June 30, 2020 / 7:40 PM / in 3 days

TREASURIES-Longer-term yields rise amid month-end rebalancing trades

 (Recasts, updates yields, adds analyst comments)
    By Karen Pierog
    CHICAGO, June 30 (Reuters) - U.S. Treasury yields on the
longer rose on Tuesday as month-end rebalancing injected a touch
of volatility into the market.
    The benchmark 10-year yield was last up 1.7
basis points at 0.6528%, while the yield on the five-year note,
which hit a record low of 0.266% earlier in the session, was
last up less than a basis point at 0.2862%.
    Justin Lederer, an interest rate strategist at Cantor
Fitzgerald in New York, said the volatility may be due to some
month-end rebalancing trades. He noted that overall trading
volume was "very, very light" and added that the market seemed
range bound. 
    Meanwhile, investors were fixated on spikes in U.S.
coronavirus cases and what those mean for an economic rebound. 
    Collin Martin, fixed income strategist at Schwab Center for
Financial Research in New York, said a surge in virus cases in
parts of the United States was overshadowing economic data.
   "It's not that we're not looking at the numbers anymore. But
if we're getting data from May and early June, they might not
matter as much if we're seeing cases rise," he said.
    "That seems to be the reason why we're seeing 10-year yields
drop lately. They're back to pretty much the low end of their
coronavirus trading range," he added. 
   Coronavirus cases more than doubled in at least 10 U.S.
states, including Florida and Texas, this month, according to a
Reuters analysis.
   In testimony before the U.S. House of Representatives
Financial Services Committee, Federal Reserve Chair Jerome
Powell said the economy's path is highly uncertain and gave
updates on various programs the Fed put in place to combat the
economic fallout from the virus.. 
    A closely watched part of the U.S. Treasury yield curve
measuring the gap between yields on two- and 10-year Treasury
notes, which is viewed as an indicator of
economic expectations, was at 49.90 basis points, 2.8 basis
points higher than at Monday's close.
   June 30 Tuesday 2:19PM New York / 1919 GMT
                                                      
                                                      
                                                      
                               Price        Current   Net
                                            Yield %   Change
                                                      (bps)
 Three-month bills             0.145        0.1471    -0.003
 Six-month bills               0.1625       0.1653    -0.005
 Two-year note                 99-243/256   0.1505    -0.009
 Three-year note               100-58/256   0.1731    0.000
 Five-year note                99-210/256   0.2862    0.005
 Seven-year note               100-24/256   0.4863    0.013
 10-year note                  99-188/256   0.6528    0.017
 20-year bond                  99-24/256    1.1763    0.019
 30-year bond                  96-16/256    1.412     0.022
                                                      
   DOLLAR SWAP SPREADS                                
                               Last (bps)   Net       
                                            Change    
                                            (bps)     
 U.S. 2-year dollar swap         7.25         0.50    
 spread                                               
 U.S. 3-year dollar swap         5.75         0.00    
 spread                                               
 U.S. 5-year dollar swap         3.50         0.00    
 spread                                               
 U.S. 10-year dollar swap       -2.00         0.25    
 spread                                               
 U.S. 30-year dollar swap      -49.50         0.50    
 spread                                               
                                                      
 

 (Reporting by Karen Pierog;
Editing by Sandra Maler and Cynthia Osterman)
  
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