ITG Futures Treasury Futures Weekly: Bond Futures Rise First, Then Retreat
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ITG Futures' treasury weekly describes an inverted-V week for Chinese government bond futures—new highs early, consecutive pullbacks later—as the market shifted from an ultra-long-end breakout to profit-taking and curve rotation. On August 14 the CSRC website showed 15 small and mid-sized fund firms filing 63-month closed-end amortized-cost bond funds, whose lockups steer duration toward 5-7-year bonds, explaining the mid-curve bulge on August 18. Liquidity drove the late-week reversal: the PBoC skipped 7-day reverse repos for eight straight working days from August 11, withdrawing a net RMB95.8bn/327.4bn/327.4bn on August 18-20, and even after resuming RMB95bn on August 21, overnight Shibor rose 5.0bp to 1.434%. The MOF will keep deploying the RMB800bn new policy-based financial instrument and issue RMB300bn of special bonds to recapitalize central financial firms; RMB1.73tn of swap bonds had been issued by end-July, 86.7% of the quota. With over RMB2tn of special and ultra-long bonds due late August-September, the base case sees TL ranging 115.0-116.5, squeezed between supply pressure and policy coordination; the RRR/rate-cut window may move forward to late August-September, leaving bonds in a tailwind. TL2609 fell 0.46% to 115.860; T2612 rose 0.04% to 109.470.