June 24, 2020 / 6:28 PM / 12 days ago

TREASURIES-Yields fall as investors eye COVID-19 spread

 (Updates with market activity, analyst comment, auction
results)
    By Ross Kerber
    June 24 (Reuters) - U.S. Treasury yields fell on Wednesday
as investors bought safe-haven assets with an eye on rising
COVID-19 patient cases in several U.S states.
    The benchmark 10-year yield was down 2.5 basis
points at 0.6839% in afternoon trading as investors moved into
safer government bonds and away from equities.
    Wall Street indexes fell as shares of airlines, resorts and
cruise operators slumped on public health concerns.
The governors of New York, New Jersey and Connecticut announced
that visitors from states with high coronavirus infection rates
must self-quarantine for 14 days on arrival.
    The trading reflected investors deciding the U.S. economy
would not bounce back quickly from the pandemic, said Thomas
Simons, Jefferies LLC money market economist.
    "It's this kind of slow realization that we're not going to
see a straight-line improvement coming out of the lockdown phase
of the virus," he said.
    Although the United States had appeared to get ahead of the
COVID-19 pandemic in May, new cases rose 25% last week.
Washington state made masks mandatory in public places, while
other states saw record cases, including Arizona and Texas,
where restrictions meant to slow its spread were lifted
early.
    A closely watched part of the U.S. Treasury yield curve
measuring the gap between yields on two- and 10-year Treasury
notes was at 49 basis points, within the narrow
range it has held for a week but double its mid-March level.
    
     
    The two-year U.S. Treasury yield, which typically
moves in step with interest rate expectations, was down less
than a basis point at 0.1876% in afternoon trading.
    A Treasury Department auction of $47 billion of five-year
notes showed strong demand with non-dealers accounting for 78%
of accepted bids, versus an average of 72.9%, according to a
note from BMO Capital Markets.

    June 24 Wednesday 2:08PM New York / 1808 GMT
                                                      
                                                      
                                                      
                               Price        Current   Net
                                            Yield %   Change
                                                      (bps)
 Three-month bills             0.15         0.1521    0.000
 Six-month bills               0.17         0.1725    -0.002
 Two-year note                 99-224/256   0.1876    -0.008
 Three-year note               100-30/256   0.2104    -0.006
 Five-year note                99-172/256   0.3171    -0.008
 Seven-year note               99-224/256   0.5184    -0.014
 10-year note                  99-112/256   0.6839    -0.025
 20-year bond                  98-136/256   1.2083    -0.040
 30-year bond                  95-64/256    1.4463    -0.043
                                                      
   DOLLAR SWAP SPREADS                                
                               Last (bps)   Net       
                                            Change    
                                            (bps)     
 U.S. 2-year dollar swap         6.25         0.25    
 spread                                               
 U.S. 3-year dollar swap         4.75         0.25    
 spread                                               
 U.S. 5-year dollar swap         4.25         0.50    
 spread                                               
 U.S. 10-year dollar swap       -1.50         0.25    
 spread                                               
 U.S. 30-year dollar swap      -48.75         0.50    
 spread                                               
                                                      
 
    
 (Reporting by Ross Kerber in Boston; editing by Jonathan Oatis
and Richard Chang)
  
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