* 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) 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 GMTPrice Current NetYield % Change
(bps)Three-month bills 0.62 0.6313 -0.075Six-month bills 0.51 0.5184 -0.146Two-year note 101-15/256 0.5874 -0.052Three-year note 102-50/256 0.6215 -0.035Five-year note 102-50/256 0.6763 -0.053Seven-year note 102-16/256 0.8205 -0.05910-year note 105-120/256 0.9232 -0.06930-year bond 110-108/256 1.5628 -0.073
DOLLAR SWAP SPREADSLast (bps) Net
Change (bps)U.S. 2-year dollar swap 7.00 1.50
spreadU.S. 3-year dollar swap 5.00 -0.25
spreadU.S. 5-year dollar swap 6.00 0.25
spreadU.S. 10-year dollar swap -0.25 0.75
spreadU.S. 30-year dollar swap -40.50 -0.50
(Reporting by Karen Pierog; Additional reporting by Gertrude Chavez-Dreyfuss; Editing by Richard Chang and David Gregorio)