monthly macro monitor

key trends for the agency mbs investor
OCTOBER 2024

  • The September rate cut marked the beginning of the highly anticipated Fed easing cycle and the end of a challenging period of unprecedented monetary policy restraint.
  • Uncertainty related to the U.S. presidential election, however, created volatility across financial markets throughout October.
  • This uncertainty, coupled with mixed monthly economic data, caused market participants to temper rate cut expectations.
  • The market is currently expecting two additional 25 basis point rate cuts in 2024, in-line with the Fed’s median “dot plot” expectations.
  • Against the backdrop of broader market volatility, benchmark interest rates and interest rate volatility increased, and Agency MBS spreads to benchmark rates widened over the course of the month.

Key Rate and Spread trends

Important Disclosures
Federal funds rate data last updated October 31, 2024. Source: Federal Reserve.

Economic data last updated October 31, 2024. Core CPI and Core PCE exclude food and energy. Source: Bureau of Labor Statistics and Bureau of Economic Analysis.

U.S. Treasury yield curve reflects month-end Treasury yields for each tenor and month shown. Source: Bloomberg.

Current coupon Agency MBS reflects the 30-year current coupon Agency MBS yield. Agency MBS spread to U.S. Treasuries and Agency MBS spread to swaps reflect the 30-year current coupon Agency MBS yield spread to a 50/50 average of 5- and 10-year U.S. Treasury yields and a 50/50 average of 5- and 10-year SOFR OIS swaps, respectively. MOVE Index reflects the ICE BofA Move Index. Each chart is shown over the trailing 12 months ended October 31, 2024, and each monthly change reflects the difference between October 2024 month-end data and September 2024 month-end data. Source: Bloomberg.

Data and commentary is provided for information purposes only and should not be construed as investment advice.

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