July 27, 2020 / 1:30 PM / 16 days ago

TREASURIES-Yields slightly lower ahead of Fed meeting

    By Ross Kerber
    July 27 (Reuters) - U.S. Treasury yields ticked lower on
Monday as investors set up for a dovish message from the U.S.
Federal Reserve amid the COVID-19 pandemic.
    The benchmark 10-year yield was down 1.2 basis
points at 0.5774% in morning trading.
    No major announcements are expected at the end of the U.S.
central bank's two-day meeting on Wednesday. But 
analysts foresee policymakers laying the groundwork for weak
economic expectations and more dovish action later this year,
said Jim Barnes, director of fixed income for Bryn Mawr Trust.
    "The market is bracing itself for a continued dire outlook
from the Fed, which is keeping yields anchored," Barnes said.
    Along with the government bonds, other safe haven assets
were also in demand Monday as Sino-U.S. tensions rose and
coronavirus cases climbed in southern and western U.S.
states. 
    More than 146,000 Americans have died of COVID-19 - nearly a
quarter of the global total - and there are nearly 4.2 million
confirmed cases in the country, or at least 1 in 79 people have
been infected.
    The U.S. Treasury Department is scheduled to auction about
$200 billion in bills and notes later on Monday.
    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 43 basis points, about a basis point lower
than Friday's close.
    Though still above Friday's low of 33 basis points, the
lowest since March 17, the gap was far below its level of 72
basis points reached June 5.
    The two-year  U.S. Treasury yield, which
typically moves in step with interest rate expectations, was
down less than a basis point at 0.1433% in morning trading.
    
      July 27 Monday 9:10AM New York / 1310 GMT
                               Price                  
 US T BONDS SEP0               181-13/32    0-10/32   
 10YR TNotes SEP0              139-176/256  0-28/256  
                               Price        Current   Net
                                            Yield %   Change
                                                      (bps)
 Three-month bills             0.105        0.1065    -0.002
 Six-month bills               0.1325       0.1344    0.000
 Two-year note                 99-247/256   0.1433    -0.006
 Three-year note               99-226/256   0.1646    -0.005
 Five-year note                99-240/256   0.2628    -0.011
 Seven-year note               100-120/256  0.4312    -0.014
 10-year note                  100-116/256  0.5774    -0.012
 20-year bond                  102-28/256   1.0072    -0.017
 30-year bond                  100-184/256  1.2211    -0.018
                                                      
   DOLLAR SWAP SPREADS                                
                               Last (bps)   Net       
                                            Change    
                                            (bps)     
 U.S. 2-year dollar swap         6.50         0.50    
 spread                                               
 U.S. 3-year dollar swap         5.00         0.25    
 spread                                               
 U.S. 5-year dollar swap         3.00         0.00    
 spread                                               
 U.S. 10-year dollar swap       -1.00         0.00    
 spread                                               
 U.S. 30-year dollar swap      -41.25         0.75    
 spread                                               
                                                      
 
    

 (Reporting by Ross Kerber in Boston
Editing by Nick Zieminski)
  
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