June 8, 2020 / 2:37 PM / a month ago

TREASURIES-Yields dip as market takes a breather from run up

    By Karen Pierog
    CHICAGO, June 8 (Reuters) - U.S. Treasury yields were lower
on Monday as the market took a pause from last week's dramatic
rise and ahead of another spate of supply.
    The benchmark 10-year yield was last down 2.6
basis points at 0.8785%. Yields spiked on Friday in the wake of
a better-than-expected May unemployment report with the 10-year
note yield rising above 0.9% for the first time since March 20.

    "After such a significant move last week, it wouldn't
necessarily be surprising to see a little bit of a breather or
at least a more gradual move here," said Bill Merz, head of
fixed income research at U.S. Bank Wealth Management in
Minneapolis. 
   Later on Monday, the Treasury will sell $44 billion of
three-year notes as it continues to finance massive stimulus
spending to combat the economic fallout of the coronavirus
outbreak.  
    Merz said with the Federal Reserve in near-full control of
the front end of the yield curve, the notes should be able to be
"digested relatively easily."
    Other sales this week include $29 billion of 10-year notes
on Tuesday and $19 billion of 30-year bonds on Thursday. 
    Also looming this week is a two-day Fed meeting. While no
major policy decisions are expected, the central bank will issue
its first economic projections since December.
   The two-year U.S. Treasury yield, which typically
moves in step with interest rate expectations, was last down 1.2
basis points at 0.2043%.
    A closely watched part of the U.S. Treasury yield curve
measuring the gap between yields on two- and 10-year Treasury
notes that is seen as an indicator of economic
expectations was at about 67 basis points, roughly 1 basis point
lower than at Friday's close.
    Bids submitted in a Monday morning overnight repurchase
agreement (repo) operation totaled $67.05 billion, according to
the New York Federal Reserve, which said it accepted all the
bids. Another $53.2 billion in bids were submitted and accepted
in a 29-day repo operation. 
June 8 Monday 9:22 a.m. New York / 1422 GMT
                               Price                  
                                                      
                                                      
                               Price        Current   Net
                                            Yield %   Change
                                                      (bps)
 Three-month bills             0.16         0.1623    0.005
 Six-month bills               0.185        0.1883    0.005
 Two-year note                 99-216/256   0.2043    -0.012
 Three-year note               99-148/256   0.2696    -0.024
 Five-year note                99-24/256    0.4343    -0.043
 Seven-year note               98-196/256   0.6815    -0.036
 10-year note                  97-152/256   0.8785    -0.026
 30-year bond                  89-252/256   1.6769    -0.001
                                                      
   DOLLAR SWAP SPREADS                                
                               Last (bps)   Net       
                                            Change    
                                            (bps)     
 U.S. 2-year dollar swap         8.00        -0.25    
 spread                                               
 U.S. 3-year dollar swap         5.25        -0.25    
 spread                                               
 U.S. 5-year dollar swap         4.25         0.25    
 spread                                               
 U.S. 10-year dollar swap       -2.00         0.25    
 spread                                               
 U.S. 30-year dollar swap      -48.75         0.25    
 spread                                               
 


 (By Karen Pierog
Editing by Marguerita Choy)
  
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