Weaker/Off Lows

Futures weaker across curve but well off first half lows, at near second half highs. Tsy futures extend early session lows after durable goods data exceeded est (+11.2% vs. +4.7%). Heavy futures volume a function of Sep/Dec rolling efforts and not a sign of market liquidity.

• Early flow includes two-way in short end, fast$ bought 5s, carry-over selling from Asian bank in 10s and 30s, real$ selling long end; pre-auction short-sets in 5s.
• Early bounce off lows, no obvious trigger, Bunds/Gilts not leading this time, some point to risk-on unwind tied to COS Meadows saying Hous Speaker Pelosi "likely holding out to end of Sep" for eco-support deal.
• Strong US Tsy $51B 5Y Note auction (91282CAJ0) stops through w/ rate of 0.298% (0.288% last month) vs. 0.307% WI; 2.71 bid/cover vs. 2.32 prior. Indirects drew 66.25% vs. 58.10% prior, directs 15.93% vs. 12.30% prior, dealers 17.82% vs. 29.60% prior.
• The 2-Yr yield is up 0.5bps at 0.1544%, 5-Yr is down 0.2bps at 0.2916%, 10-Yr is up 0.7bps at 0.69%, and 30-Yr is up 1.9bps at 1.4122%.