Do Quarter-End Pension Flows Flatten The Curve

Deutsche Bank Research examines whether pension-related rebalancing flows at quarter-end impact the 10s-30s Treasury curve. They find that after controlling for macro drivers, these flows create a measurable flattening bias.

Key Takeaways

• 1.Pension and index-related fixed income buying around quarter-end statistically tends to flatten the 10s-30s Treasury curve.
• 2.Regression analysis shows that 10s-30s curve flattening is more pronounced during periods of above-median or top-quartile pension flows.

Table of Contents

• Fixed Income Chart Of The Day
• Do quarter-end pension flows flatten the curve?

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