MBS began the session at a disadvantage after overnight trading pushed bond yields and stock prices higher.  At 8:30am, the Consumer Price Index (CPI) data was a bit softer than expected. 

With the increasingly real conversation about raising rates at the Fed, inflation is rapidly becoming a market mover again after taking at least 4 years off.  Today's reaction to CPI is one of the biggest we've seen to inflation data recently.  Although the headline numbers were in line with expectations, Core CPI (which factors out the more volatile food and energy prices) fell to +0.1 from last month's +0.3.  Forecasts called for +0.2.

MBS and Treasuries improved noticeably after that.  Fannie 3.5s went from 5/32nds down on the day to 3/32nds higher.  10yr yields dropped from 2.5 to 2.46. 

Rising stock prices and a stronger-than-expected Existing Home Sales report pushed bonds back in the other direction, though not all the way back to morning lows.  The net effect is slight losses for production MBS with Fannie 3.5s down only 1 tick at the moment.

MBS Pricing Snapshot
Pricing shown below is delayed, please note the timestamp at the bottom. Real time pricing is available via MBS Live.
MBS
FNMA 3.0
98-18 : -0-03
FNMA 3.5
102-14 : -0-02
FNMA 4.0
105-21 : -0-01
Treasuries
2 YR
0.4837 : -0.0123
10 YR
2.4836 : +0.0086
30 YR
3.2766 : +0.0126
Pricing as of 7/22/14 12:22PMEST
Morning Reprice Alerts and Updates
A recap of Alerts and Updates provided to MBS Live subscribers.
10:13AM  :  ALERT ISSUED: Negative Reprice Risk Already a Consideration for Some Lenders
8:51AM  :  Bonds Bounce Back on CPI After Opening Weaker
Live Chat Featured Comments
A recap of featured comments from the Live Discussion on the MBS Live Dashboard.
Matthew Graham  :  "Right off the bat, if I had to guess why we're not seeing a more pronounced negative reaction, I'd say that this is roughly in line with where Pending Home Sales suggested today's Existing Home Sales would be. I'm not sure why the forecast was as low as it was actually. I tried to find a way to chart this last night when working on charts for the Day Ahead, but ended up giving up because the chart didn't make great sense. Anyway, bottom line was that Pending Home Sales jump higher last time would have put today's Existing Sales around 5.05 mln if they held the same pace."
Matthew Graham  :  "RTRS - US JUNE EXISTING HOME SALES 5.04 MLN UNIT ANNUAL RATE, HIGHEST SINCE OCT 2013 (CONSENSUS 4.97 MLN), VS MAY 4.91 MLN (PREV 4.89 MLN)-NAR"
Matthew Graham  :  "I think some may be a bit defensive about that possibility, thus the small amount of 'relief' at the as-expected headline."
Oliver Orlicki  :  "was the market looking for more inflation?"
Matthew Graham  :  "RTRS- U.S. JUNE CPI +0.3 PCT (+0.2573; CONSENSUS +0.3 PCT), EXFOOD/ENERGY +0.1 PCT (+0.1291; CONS +0.2 PCT)"