March 5, 2020 / 8:59 PM / in 23 days

TREASURIES-U.S. 10-year yield hits new low as coronavirus impacts spread

    * 10-year Treasury yield hits record low of 0.899%
    * Yield curve steepens in intraday trading

 (New throughout, updates  yields, adds analyst comment, yield
curve details)
    By Karen Pierog
    NEW YORK, March 5 (Reuters) - U.S. Treasury prices rallied
on Thursday as fears about the spreading coronavirus left market
fundamentals in the dust and the 10-year note yield sank to a
record low.
    The 10-year Treasury yield, which has fallen in 10 of the
last 11 sessions, dropped as low as 0.899%, setting a new bottom
after slipping below 1% for the first time ever on Tuesday
following the Federal Reserve's 50-basis-point interest rate
cut.
    Yields on two-year notes fell to their lowest in nearly four
years.
    Subadra Rajappa, head of U.S. rates strategy at Societe
Generale in New York City, said fears about the virus were
driving money into the bond market.
    "It's hard to look past developments of the virus situation
and look at fundamentals and make an assessment on where
(Treasuries) should be trading," she said.
    Reports that more corporations ordering workers to stay at
home boosted Treasuries, according to Jim Vogel, senior interest
rates strategist at FHN Financial in Memphis.
    "That's another element people are trying to process through
the market," he said, adding that while the virus was initially
seen as affecting supplies of goods, it now could reduce demand
as well.
    Amazon.com Inc and Facebook Inc joined
Microsoft Corp in recommending Seattle area employees
work from home after several people in the region were infected.

    Globally, there have been over 96,500 cases and more than
3,300 deaths, according to a Reuters tally.
    In afternoon trading, U.S. 10-year yields fell
to 0.921% from 0.992% late on Wednesday.
    Yields on U.S. 30-year bonds were at 1.562%,
down from 1.636% on Wednesday. They touched an all-time trough
of 1.507% on Tuesday.
    U.S. 2-year yields were last at 0.587%, after hitting
0.554%, the lowest since July 2016. 
    The yield curve steepened early, posting the widest spread
between two-year and 10-year notes since October
2018 before flattening later in the session. 
    Ahead of Friday's release of the February employment report,
the number of Americans filing for unemployment benefits fell
last week, suggesting the labor market was on solid footing
despite the coronavirus outbreak.
    
      March 5 Thursday 3:35PM New York/2035 GMT
                                                      
                                                      
                                                      
                               Price        Current   Net
                                            Yield %   Change
                                                      (bps)
 Three-month bills             0.62         0.6313    -0.075
 Six-month bills               0.51         0.5184    -0.146
 Two-year note                 101-15/256   0.5874    -0.052
 Three-year note               102-50/256   0.6215    -0.035
 Five-year note                102-50/256   0.6763    -0.053
 Seven-year note               102-16/256   0.8205    -0.059
 10-year note                  105-120/256  0.9232    -0.069
 30-year bond                  110-108/256  1.5628    -0.073
                                                      
   DOLLAR SWAP SPREADS                                
                               Last (bps)   Net       
                                            Change    
                                            (bps)     
 U.S. 2-year dollar swap         7.00         1.50    
 spread                                               
 U.S. 3-year dollar swap         5.00        -0.25    
 spread                                               
 U.S. 5-year dollar swap         6.00         0.25    
 spread                                               
 U.S. 10-year dollar swap       -0.25         0.75    
 spread                                               
 U.S. 30-year dollar swap      -40.50        -0.50    
 spread                                               
 
 (Reporting by Karen Pierog; Additional reporting by Gertrude
Chavez-Dreyfuss; Editing by Richard Chang and David Gregorio)
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