January 2, 2020 / 2:31 PM / 25 days ago

TREASURIES-Yields fall in light post-holiday trading volume

    By Karen Brettell
    NEW YORK, Jan 2 (Reuters) - U.S. Treasury yields fell on
Thursday in light post-holiday trading, after longer-dated debt
posted its highest yearly returns since 2014.
    There were no major market drivers, with benchmark 10-year
note yields holding near the top end of their recent range.
    Trading volumes were light with many traders and investors
away after Wednesday's New Year holiday.
    The yield curve between two-year and 10-year notes held just
below 36 basis point level reached on Tuesday, which was the
steepest since October 2018.
    Longer-dated debt gained last year on concerns about low
inflation and weak growth as the Federal Reserve cut interest
rates three times during the year. Demand for yield, with many
bonds in Europe and Japan trading in negative territory, added
to its outperformance.
    Thirty-year bonds returned 16.34% last year,
according to Bank of America Merrill Lynch.  Benchmark 10-year
notes returned 8.91% for the year.
    Bonds gave up some of their gains in December, however, as
risk appetite improved after the United States and China agreed
to the first phase of a trade deal.
    The 10-year yields were last at 1.893%. They are
holding below the three-month high of 1.973% reached on Nov. 7,
but are up from 1.69% at the beginning of December and a
three-year low of 1.43% reached on Sept. 3.
    Overnight funding markets were stable on Thursday after the
Fed’s daily liquidity operations provided the market with
adequate funding to get through the crucial year-end period,
when there is often a funding squeeze.
      January 2 Thursday 9:13AM New York / 1413 GMT
                               Price        Current   Net
                                            Yield %   Change
 Three-month bills             1.52         1.5512    -0.005
 Six-month bills               1.545        1.583     0.000
 Two-year note                 100-30/256   1.565     0.004
 Three-year note               100-22/256   1.595     0.003
 Five-year note                100-96/256   1.6714    -0.012
 Seven-year note               99-164/256   1.8049    -0.018
 10-year note                  98-184/256   1.8929    -0.017
 30-year bond                  100-84/256   2.3596    -0.017
   DOLLAR SWAP SPREADS                                
                               Last (bps)   Net       
 U.S. 2-year dollar swap        10.75        -1.00    
 U.S. 3-year dollar swap         6.50        -1.25    
 U.S. 5-year dollar swap         3.00        -0.50    
 U.S. 10-year dollar swap       -3.25        -0.25    
 U.S. 30-year dollar swap      -31.25        -1.00    
 (Editing by David Gregorio)
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