Prices of Treasury coupon securities are well bid this morning as a variety of factors combine to push prices higher. I think that the calendar was an arbitrary constraint and with the calendar page prepared to turn to the cruelest of months many investors who were precluded from playing by quarter end or fiscal year end are now free to join the fray. I think that activity is manifesting itself this morning in the improvement of the 5 year note on the curve. It has improved about 4 basis points this morning versus the wings.
Separately,some traders with whom I spoke mentioned that the end of the quarter opens the window of time in which hedge fund investors may seek to exit. So several participants thought that we were subject to hearing a raft of stories over the next few days about hedge fund liquidations as they seek to satisfy those withdrawing money.
There is also a story circulating regarding Dutch pension fund duration mismatches and the attendant need of these entities to fund themseleves in the long end of the bond market.
In that regard, today is month end and the extesion in the Index is minimal so do not expect a big push at 300 PM.
Activity has been mixed this morning with two way flow in the belly and some modest end user buying in the long end.