What is month end duration extension?

Discussion in 'Financial Futures' started by Dogfish, Feb 1, 2006.

  1. Dogfish


    And why will it be more prominent in the tnote at the end of Feb when the 30yr is reintroduced?

    Every month I read it provides support to the bond market and every month I google the term for a decent explanation of what it actually is but never find one.

    Could somebody please explain, Thanks.
  2. MTE


    I'm no expert, but I'd say it has to do with end of month bond portfolio rebalancing to keep duration constant.

    It's more of an educated guess, though.
  3. Dogfish


    Sounds good, still wondering how the 30yr issue affects it though