March 13, 2020 / 2:18 PM / 23 days ago

TREASURIES-U.S. Treasury yields rise as volatility fuels illiquidity

    By Karen Pierog
    CHICAGO, March 13 - U.S. Treasury yields rose on Friday as
liquidity remained a problem in the volatile market even after
the New York Federal Reserve's action to make a massive amount
of cash available in an effort to calm jitters as the
coronavirus spreads. 
    The 10-year note yield was last at 0.952%, up
from 0.852% at Thursday's close.
    Justin Hoogendoorn, head of fixed income strategy and
analytics at Piper Sandler in Chicago, said there were "very
little bids" in the market.
    "It really does scream volatility, scream that there's a
lack of liquidity in the marketplace," he said. 
     Hoogendoorn added that the latest move by the New York Fed
represents "a massive amount of help."
    The New York Fed said on Thursday it would make $1.5
trillion available in repurchase agreement (repo) loans in three
tranches of $500 billion each and that it would start purchasing
a broader range of U.S. Treasury securities than it has been of
late, a shift that signals the Fed could deploy some of its
crisis-era tools sooner than planned.
    It saw relatively low takeup of the new loans, however. 
Banks borrowed $17 billion at a three-month repo operation on
Friday, and $78.4 billion at a three-month operation on
Thursday. They also took only $24.1 billion in one-month loans
on Friday.
    Meanwhile, the bond market was expecting another big
interest rate cut from the Federal Reserve at its meeting next
week. Last week, the U.S. central bank lowered rates by 50 basis
points. 
    With global stock markets bouncing off their lows, Wall
Street opened higher a day after its worst session since 1987.

    Thirty-year Treasury yields were at 1.542%, up
from 1.411% at Thursday's close.
    Two-year Treasury yields were trading at 0.532%.

   March 13 Friday 9:58AM New York / 1358 GMT
     
                               Price        Current   Net Change
                                            Yield %   (bps)
 Three-month bills             0.2975       0.3027    -0.024
 Six-month bills               0.38         0.3871    0.029
 Two-year note                 101-39/256   0.5322    0.043
 Three-year note               99-160/256   0.6265    0.043
 Five-year note                101-248/256  0.7199    0.068
 Seven-year note               101-144/256  0.8928    0.098
 10-year note                  105-44/256   0.9522    0.100
 30-year bond                  110-240/256  1.5422    0.131
                                                      
   DOLLAR SWAP SPREADS                                
                               Last (bps)   Net       
                                            Change    
                                            (bps)     
 U.S. 2-year dollar swap        -2.75        -0.25    
 spread                                               
 U.S. 3-year dollar swap        -5.00         1.75    
 spread                                               
 U.S. 5-year dollar swap         2.00         0.50    
 spread                                               
 U.S. 10-year dollar swap       -4.75        -1.75    
 spread                                               
 U.S. 30-year dollar swap      -63.50        -3.25    
 spread                                               
 
 (By Karen Pierog in Chicago and Karen Brettell in New York;
Editing by David Gregorio)
  
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