March 6, 2020 / 12:13 PM / a month ago

TREASURIES-U.S. long-dated yields hit all-time lows as virus panic roils markets

    * Strong U.S. jobs report fails to lift market sentiment
    * New milestones set across bond market
    * Coronavirus infections hit more than 100,000 globally
-Reuters

 (Recasts, adds jobs data, table, updates prices, new comment)
    By Gertrude Chavez-Dreyfuss
    NEW YORK, March 6 (Reuters) - U.S. Treasury prices soared on
Friday, pushing long-dated yields to fresh record lows, as
concern that the coronavirus outbreak will hammer the world
economy sent investors fleeing to assets seen as safe havens in
turbulent times. 
    A strong U.S. non-farm payrolls report for February pushed
yields slightly higher from lows, but the Treasury market kept
its bullish undertone.
    Nonfarm payrolls increased by 273,000 jobs last month,
matching January's tally, which was the largest since May 2018.
    While transportation and warehousing payrolls fell by 4,000
jobs last month, showing some early impact from the coronavirus,
they were more than offset by strong gains nearly across all
other sectors, including government. The economy created 85,000
more jobs in December and January than previously reported.
    "It's a very good jobs number. This has been the story for
the last couple of years," said Gregory Faranello, head of U.S.
rates at AmeriVet Securities in New York.
    "We've had a lot of global uncertainty, at the same time,
the U.S. economy has done very well. A lot of the downdraft
benefited the U.S. consumer."
    But the jobs report has been overshadowed by growing market
panic caused by the coronavirus, which so far has infected more
than 100,000 people globally, according to a Reuters tally. That
number could rise as more people get tested.
    "Treasuries were rallying before the non-farm payrolls and
since the release, we've seen the bulk of the price action
retained," said Ian Lyngen, head of U.S. rates strategy at BMO
Capital Markets in New York.
    "From there, the market will be sensitive to incoming
Covid-19 (coronavirus) headlines and we anticipate a reluctance
to go home short Treasuries for the weekend," he added.
    New milestones were set across the U.S. bond market, which
has this week seen some of its biggest moves in years. 
    The 10-year Treasury yield fell to a record low of 0.695%
 and was last down  at 0.712%. 
    The 30-year Treasury yield dropped more than 20 bps to a
record low of 1.278%. It was on course for its
biggest daily fall since late 2011 during the depths of the euro
zone sovereign debt crisis.
    Short-dated U.S. bonds racked up sizable moves of their own,
with two-year Treasury yields falling more than 10 basis points
to 0.439%, their lowest since 2015. They were last at
0.454%
    Two-year bond yields have tumbled 87 bps in the past two
weeks in their biggest two-week drop since 1987.
    Coronavirus spread across the United States on Thursday,
surfacing in at least four new states.
    The prospect of a prolonged economic slowdown globally
whacked equity markets and with a weekend looming, investors
were heading to the relative safety of government bonds. 
    
      March 6 Friday 9:20AM New York / 1420 GMT
                                                      
                                                      
                                                      
                               Price        Current   Net
                                            Yield %   Change
                                                      (bps)
 Three-month bills             0.4925       0.5013    -0.124
 Six-month bills               0.385        0.3911    -0.127
 Two-year note                 101-88/256   0.441     -0.144
 Three-year note               102-158/256  0.4765    -0.139
 Five-year note                102-240/256  0.5261    -0.147
 Seven-year note               103-72/256   0.6432    -0.178
 10-year note                  107-176/256  0.6979    -0.227
 30-year bond                  118-80/256   1.2634    -0.307
                                                      
   DOLLAR SWAP SPREADS                                
                               Last (bps)   Net       
                                            Change    
                                            (bps)     
 U.S. 2-year dollar swap        11.00         4.00    
 spread                                               
 U.S. 3-year dollar swap         7.75         3.00    
 spread                                               
 U.S. 5-year dollar swap         8.00         2.00    
 spread                                               
 U.S. 10-year dollar swap        3.25         3.50    
 spread                                               
 U.S. 30-year dollar swap      -40.75        -0.25    
 spread                                               
 
    
 (Reporting by Gertrude Chavez-Dreyfuss; Additional reporting by
Dhara Ranasinghe in London)
  
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