10yr yields are at 3.54 and MBS FNCL 4.5's are at the lows of the day at 101-09. This will result in lenders continuing to reprice for the worse, but we can't really say it means anything considering the low volume and the looming NFP. Again, the range can't be considered truly broken without confirmation from NFP tomorrow. So the market has us up against the wall to some extent, but don't lose composure if you're waiting for a definitive range break. We can't know whether or not that's what we're seeing until tomorrow..

Not to say that today doesn't matter, but compared to tomorrow, and with respect to each days' ability to nudge us out of "the range," today is nothing and tomorrow is everything. At least it's everything for now as it will arrive at a time where yields are at one extreme end of their range. To reiterate the non-existence of "threat to the range" posed by today's trade, the market has spoken. Volume surged in the 10am hour and firmly supported the range. 10 minute moving averages for treasury futures volume around that time were 45k contracts. Current 10 minute moving averages are under 15k, and falling.

The return of the "I" word.... Following Bernanke, there's some noticeable inflation buzz. Thus far, it hasn't pushed bonds outside the worst levels of their range today, but close. 10 yr yields have backed up to 3.539 and FNCL 4.5's have fallen to 101-12. This is likely good enough to see reprices for the WORSE.

During the Bernanke Q&A session, both MBS and treasuries have weakened slightly, though both are within the range of their previous highs and lows today. FNCL 4.5's are at 101-14 and 10yr yields are up to 3.525. It's not assumed that there is a causal relationship here, just noting that they have been occurring at the same time. Volume is rather low.

Bernanke speech text is out and despite a little blip in bond prices, things continue to be exceedingly flat this afternoon, especially for MBS. FNCL 4.5's are currently at 101-16 and the 10yr is at 3.515.

Ben Bernanke, the chairman of the Federal Reserve, will address the National Press Club today, delivering a speech titled “The Economic Outlook and Macroeconomic Policies,” as well as take written questions from reporters in the audience. While the speech is an important precursor to Ben's appearance next week before the House Budget Committee, we are most interested in the Q&A session that will follow. We don't expect journalists to hold back their skepticism. Bernanke's credibility is at risk here: http://www.c-span.org/Events/Federal-Reserve-Chairman-Discusses-the-Challenges-of-the-Economic-Recovery/10737419365/

Two things we've mentioned recently that are pertinent to today's action. 1) not uncommon to see outer-limits range-testing ahead of data like NFP. 2) 3.56 is the outer limit. In addition, we also need to keep in mind that even the 3.50 that marks the less extreme perception of the range is based on CLOSING marks, so in the grand scheme, a close at or under 3.50 makes the range completely unbroken despite inter-day forays. All that aside, volume has already shown us a stalwart defense of the range, rising as much as it has needed to to keep the range intact. When yields have drifted higher this morning, the volume has stayed heavy until yields returned near 3.50. 10yr contracts have been over 200k for the 9am, 10am, and 11am hours today, versus 132k, 105k, and 169k yesterday.

10yr yields turned the corner before breaking below 3.50 and are currently at 3.513. FNCL 4.5's are in a range between 101-19 and 101-16, currently on the lower end. The narrowness and stability of the range makes reprices for the worse unlikely, and reprices for the better are possible from lenders that priced with an eye toward the morning weakness.

Showing themselves to be content to march to the beat of their own drummer, bonds continue to hold relatively stable levels despite a stock market that has rallied somewhat off it's morning lows. 10yr yields are at 3.505 and FNCL 4.5's 101-17. No risks of reprices for the worse, and to reiterate previous notes, we could see reprices for the better (in small amounts) the longer this ground-holding/rallying persists in bonds. But keep an eye out today for volatility.