monthly macro monitor
key trends for the agency mbs investor
FEBRUARY 2026
- Employment measures released in February were stronger than expected. U.S. nonfarm payrolls materially exceeded both consensus estimates and prior month levels, and the unemployment rate declined slightly month-over-month. The annual benchmark process revealed that job growth in 2025 was softer than initially estimated, resulting in a downward revision to the change in nonfarm payrolls from +584,000 to +181,000, a decline of 403,000 relative to previously published data.
- Key inflation measures were somewhat mixed, as January core CPI declined month-over-month, in-line with expectations, while December core PCE increased and was higher than expected. PCE data is expected to remain on a lag until April, however, so timing distortions in the data remain possible.
- Minutes from the Fed’s January meeting highlighted a continued divide among Fed officials regarding the path of near-term monetary policy decisions, as “several participants indicated that they would have supported a two-sided description of the Committee’s future interest rate decisions, reflecting the possibility that upward adjustments to the target range for the federal funds rate could be appropriate if inflation remains at above-target levels.”
- This macroeconomic backdrop and rising geopolitical tensions, particularly toward the end of the month, drove an increase in interest rate volatility, a modest flattening of the yield curve, and a moderate widening of Agency MBS spreads to benchmark rates on a month-over-month basis.
Key Rate and Spread trends
mortgage performance
Important Disclosures and Disclosures
Federal funds rate data last updated February 28, 2026. Source: Federal Reserve.
Economic data last updated February 28, 2026. 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.
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 February 28, 2026, and each monthly change (rounded to the nearest whole number) reflects the difference between February 2026 month-end data and January 2026 month-end data. Source: Bloomberg.
The ICE BofA U.S. Mortgage Backed Securities Index (M0A0) is shown over the trailing 12 months ended February 28, 2026, and the total return is measured over the one month ended February 28, 2026. Source: Bloomberg.
The AGNC ICE UMBS 30-Year Current Coupon Index (AGNCU30C) and the AGNC ICE UMBS 15-Year Current Coupon Index (AGNCU15C) track the performance of 30-year and 15-year, respectively, fixed rate residential mortgage pass-through securities issued under the Uniform Mortgage-Backed Security (UMBS) program guaranteed by Fannie Mae and Freddie Mac. The AGNC ICE GNMA 30-Year Current Coupon Index (AGNCG30C) tracks the performance of US dollar denominated 30-year fixed rate residential mortgage pass-through securities publicly issued by Ginnie Mae (GNMA) in the U.S. domestic market. Each chart is shown over the trailing 12 months ended February 28, 2026, and each total return is measured over the one month ended February 28, 2026. Source: Bloomberg.
ICE Data Indices, LLC (“ICE Data”) is the Administrator and the calculation agent for the AGNC ICE UMBS 30-Year Current Coupon Index, the AGNC ICE UMBS 15-Year Current Coupon Index, and the AGNC ICE GNMA 30-Year Current Coupon Index (collectively, the “Indices”). Additional information regarding the Indices is available at indices.ice.com. You may not download, use, share, disclose, transmit, publish, distribute, disseminate, scrape, or commercialize the Indices data contained herein. ICE DATA AND ITS THIRD PARTY SUPPLIERS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDICES, INDICES VALUES OR ANY DATA INCLUDED THEREIN AS WELL AS WITH RESPECT TO THE CALCULATION AND DISSEMINATION OF SUCH INDICES. IN NO EVENT SHALL ICE DATA AND ITS THIRD PARTY SUPPLIERS HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, DIRECT, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
The indices cited herein are provided for information purposes only. To the extent the index provides a general investment strategy, it does not take into account any specific needs or financial circumstances of any person, entity or group of persons or entities and should not be considered investment advice or a recommendation to buy or sell securities. Past performance of the index is not indicative of future performance. Actual ongoing or future performance will vary, perhaps materially, from the performance provided herein. The performance of each index does not include fees or costs of any financial instrument that references the index. Index levels for periods before the index’s live date represent hypothetical data determined by retroactive application of a back-tested model, itself designed with the benefit of hindsight. Index information, data and values included herein are provided on an “as is where is” basis and are subject to the disclaimers and other important disclosures included in ICE’s Bond Index Methodologies available here or on ICE’s website. AGNC makes no representation or warranty, express or implied, with respect to the indices, any index value or data included therein, including any warranty of merchantability or fitness for a particular purpose, and any and all representations and warranties are hereby disclaimed. For additional important information, disclosures, pool cohort construction, and index methodologies, please refer to the following links: AGNCU30C, AGNCU15C, and AGNCG30C.
AGNC total stock return is measured over the trailing one and 12 months ended February 28, 2026; it includes price appreciation and dividend reinvestment, and dividends are assumed to be reinvested at the closing price of the security on the ex-dividend date. Past performance is not indicative of future results. Source: Bloomberg.
Data and commentary, including thoughts, opinions, and outlook of AGNC Investment Corp. (“AGNC”) management, are provided for information purposes only and should not be construed as investment advice.
Investment in AGNC involves risks and uncertainties that may cause future performance to vary from historical results or any forward-looking commentary provided. Please refer to our annual and quarterly reports on file with the SEC and available on our website or at www.sec.gov for more information about AGNC, including material risks, other factors that may affect future performance, and notices regarding forward-looking statements. AGNC disclaims any obligation to update or revise any forward-looking commentary. Stockholders and other interested parties may sign up to receive AGNC’s news, perspectives, and other types of email alerts by clicking the Subscribe link below.