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TREASURIES-Prices rise after recent sell-off in light volume
October 23, 2017 / 3:18 PM / a month ago

TREASURIES-Prices rise after recent sell-off in light volume

    By Gertrude Chavez-Dreyfuss
    NEW YORK, Oct 23 (Reuters) - U.S. Treasury prices rose on
Monday in thin volume, tracking gains in the European bond
market, as investors added to positions after a sell-off the
last few days and ahead of this week's debt auctions and a
European Central Bank monetary policy meeting. 
    "Anybody that wanted to sell on the idea that U.S. tax
reform was on its way was able to do that last week and get
reasonable prices to readjust their positions," said Jim Vogel,
interest rates strategist, at FTN Financial in Memphis,
Tennessee.
    "There's really no particular news. Anybody that really
wants to nibble or add after the sell-off has to pay
progressively higher prices," he added.
    Euro zone government bond yields also slipped. A big win for
Japanese Prime Minister Shinzo Abe's ruling bloc in a national
election ensured the continuation of ultra-easy monetary policy
in Japan and sets the stage for this week's ECB policy meeting.

    Investors expect the ECB to flag a gradual approach in terms
of removing monetary accommodation in the euro zone that has
kept euro zone bond yields low for some time.
    Market participants are also focused on this week's
shorter-dated Treasury debt auctions. The Treasury is selling
$26 billion in 2-year notes on Tuesday, $34 billion in 5-year
notes and $15 billion in 2-year floating rate notes on
Wednesday, and $28 billion in 7-year notes.
    Since the September auction cycle, yields have moved higher 
as interest rate hike expectations for December have increased.
This reflects the recent stronger U.S. economic data as well as
the Federal Reserve's increased hawkishness about the outlook
for interest rates.
    "We expect to see relatively solid demand...at the auction 
as Treasuries have cheapened sharply on an outright basis across
the curve," said TD Securities in a research note.
    In late morning trading, 10-year U.S. Treasury note prices
were up 3/32, yielding 2.370 percent, down from
Friday's 2.381 percent. 
    The 30-year bond prices rose 8/32, with a yield of 2.880
percent, down from 2.894 percent last Friday.
    U.S. two-year note yields, meanwhile, were at 1.564 percent
, also down from 1.576 percent on Friday. 
    
      October 23 Monday 10:56AM New York / 1456 GMT
                               Price                  
 US T BONDS DEC7               152-15/32    0-9/32    
 10YR TNotes DEC7              124-244/256  0-32/256  
                               Price        Current   Net
                                            Yield %   Change
                                                      (bps)
 Three-month bills             1.09         1.108     0.005
 Six-month bills               1.24         1.2649    0.000
 Two-year note                 99-164/256   1.5642    -0.012
 Three-year note               99-202/256   1.6979    -0.019
 Five-year note                99-104/256   2.0019    -0.018
 Seven-year note               99-108/256   2.2153    -0.015
 10-year note                  98-248/256   2.3682    -0.013
 30-year bond                  97-108/256   2.8793    -0.015
                                                      
   DOLLAR SWAP SPREADS                                
                               Last (bps)   Net       
                                            Change    
                                            (bps)     
 U.S. 2-year dollar swap        23.75         0.00    
 spread                                               
 U.S. 3-year dollar swap        22.50         0.25    
 spread                                               
 U.S. 5-year dollar swap         7.50         0.00    
 spread                                               
 U.S. 10-year dollar swap       -2.75        -0.25    
 spread                                               
 U.S. 30-year dollar swap      -30.25         0.25    
 spread                                               
 
 (Reporting by Gertrude Chavez-Dreyfuss; Editing by Chizu
Nomiyama)
  

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