July 6, 2020 / 1:22 PM / a month ago

TREASURIES-Yields higher as investors factor in auctions

    By Ross Kerber
    BOSTON, July 6 (Reuters) - U.S. Treasury yields were higher
on Monday as investors priced in auctions this week that will
increase the supply of the low-risk debt.
    The benchmark 10-year yield was up 3 basis
points in morning trading at 0.7006%.
    Treasury auctions including one for $29 billion of 10-year
notes set for Wednesday will increase the supply of the
securities and push down their prices, a dynamic traders have in
mind, said Ian Lyngen, head of U.S. rates strategy for BMO
Capital Markets.
    In addition world markets were higher on Monday as investors
focused on the prospects for a swift recovery from the COVID-19
pandemic. "There has been a bit of risk-on trade
overnight," Lyngen said.
    Investors bet on China leading the revival from a
pandemic-driven downturn, looking past a surge in new cases of
COVID-19 at home.
    During the Independence Day weekend, several states reported
a record increase in new infections, with Florida surpassing the
highest daily tally reported by any European country during the
peak of the outbreak.
    A closely watched part of the U.S. Treasury yield curve
measuring the gap between yields on two- and 10-year Treasury
notes, seen as an indicator of economic
expectations, was at 54 basis points. That was about two basis
points higher than Friday's close and roughly in line with its
level since June 15.
    The two-year U.S. Treasury yield, which typically
moves in step with interest rate expectations, was up less than
a basis point at 0.1625% in morning trading.
      July 6 Monday 8:58AM New York / 1258 GMT
                               Price        Current   Net
                                            Yield %   Change
 Three-month bills             0.145        0.1471    0.005
 Six-month bills               0.16         0.1628    0.001
 Two-year note                 99-237/256   0.1625    0.007
 Three-year note               100-42/256   0.194     0.013
 Five-year note                99-172/256   0.3164    0.019
 Seven-year note               99-212/256   0.5251    0.025
 10-year note                  99-72/256    0.7006    0.030
 20-year bond                  98-60/256    1.2254    0.031
 30-year bond                  94-224/256   1.4624    0.029
   DOLLAR SWAP SPREADS                                
                               Last (bps)   Net       
 U.S. 2-year dollar swap         6.75        -0.25    
 U.S. 3-year dollar swap         4.75         0.00    
 U.S. 5-year dollar swap         2.75        -0.50    
 U.S. 10-year dollar swap       -3.00        -0.50    
 U.S. 30-year dollar swap      -50.00        -0.25    
 (Reporting by Ross Kerber in Boston; Editing by Andrea Ricci)
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