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

Research evidence excerpt

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

Deutsche Bank

Research

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Fixed Income Chart Of The Day 26 June 2026

Do quarter-end pension flows flatten the

Steven Zeng, CFA curve?

Strategist

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Conventional market view suggests that pension and index-related fixed income

buying around quarter-end tends to flatten the Treasury curve. We examine the Matthew Raskin

historical evidence. Strategist

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We test this hypothesis using a combination of regression and event analysis. To

control for factors that could influence the 10s-30s curve, we first regress the Andrew Fu

one-day change in 10s-30s on changes in Fed expectations (proxied by the 2y +1-212-250-1743

yield), risk sentiment (S&P 500 returns), and oil price changes. These 3 factors are

all highly significant, and residuals from the regression thus represent changes in Francis Yared

the 10s-30s curve not explained by these macro drivers, for example rebalancing Strategist

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flows.

Ioannis Sokos We then analyze these residuals over a 5-day event window surrounding quarter-

ends (t-3 to t+1) since 2000. On average, the 10s-30s residual flattened by +44-20-754-75680

approximately 0.5bp between t-1 and t0, with the timing consistent with actual

observed quarter-end buying. To further assess the impact of rebalancing, we Soniya Sadeesh

sort quarter-end observations by the size of pension flows (sourced from the Strategist

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Fed’s quarterly flow of funds data), which we then divide by the amount of 20y+

Treasuries outstanding to control for market growth. As today’s chart shows, 10s- Markus Heider

30s flattening is more prominent during periods with above-median and top- Macro Strategist

quartile pension flows. +44-20-754-52167