MBS AFTERNOON: Testing Limits of Range

Heeeeeeeeeading into the 5 pm marking period...

The FN 4.0 is trading -0-04 at 99-09 yielding 4.084%  and the FN 4.5 is bid -0-02 at 101-23 yielding 4.294%. The secondary market current coupon is 4.137%. The CC is +77/10yr TSY and +67/10yr swap. It has been a choppy day...

 10s went out selling with most of the flows taking place early is the session within the 119-16 to 119-21 price range. This is where most of the trading volume was "accummulated" and "distributed". This is our 3.32 to 3.37 range. See chart below. Range intact, but we are testing it's lower limits as we head towards option expiration on Friday.

 Lock Bias Still On....

Anyone see the changes to THIS?

Consistent with the continued evolution of the program's operation, the New York Fed will begin in late November to use internal staff on select days to execute the program's agency MBS purchases. From an operational perspective, the New York Fed's trading approach will replicate the one currently employed by the program's trading investment manager, Wellington, although the New York Fed will be trading in its own name. From a settlement perspective, the New York Fed will continue to leverage the middle office settlement support of Wellington for any trades executed by New York Fed staff. While the New York Fed plans to continue to employ the services of outside investment managers, the New York Fed anticipates that, through the balance of the program, the trading days on which its own staff conducts the program's purchasing activity will gradually increase relative to those trading days on which Wellington executes the program's purchasing activity.

ps...am I being clear on my lock/float stance?