monthly macro monitor
key trends for the agency mbs investor
november 2024
- In October, the U.S. nonfarm payroll employment report came in materially below estimates, representing a sharp decline from September; this report, however, has been heavily discounted due to the significant negative impacts of strike activity and Hurricanes Helene and Milton.
- Key inflation measures – core CPI and core PCE – were generally consistent with expectations and continued to provide optimism for the long-term inflationary outlook.
- Following the election in early November, interest rates rallied across the curve, and interest rate volatility declined to levels consistent with the pre-election period in September, reversing the substantial increases experienced in October during the run up to the election.
- Against this backdrop, Agency MBS spreads to benchmark rates stabilized and, over the course of the month, tightened modestly toward the midpoints of the more recent trading ranges.
Key Rate and Spread trends
Important Disclosures
Federal funds rate data last updated November 30, 2024. Source: Federal Reserve.
Economic data last updated November 30, 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 November 30, 2024, and each monthly change reflects the difference between November 2024 month-end data and October 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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