Treasuries opened firmer, pulled back on improving economic data, sat in a tight range into noon then popped on month-end buying. The uptick in GDP prodded dealer selling. The Michigan sentiment report, though a bit softer, failed to garner much market impact.
The strength, however, reported in the employment component of the Chicago PM survey did spark a pullback. Rumors that a New York-based think tank predicted no ECB rate cut encouraged some profitable steepeners to come off.
But in general, the back end of the market outperformed on month-end duration needs as the widely followed Lehman Portfolio Index showed a greater duration lengthening than in preliminary estimates.