AGNC ICE Current Coupon AGENCY MBS Indices

AGNC and Intercontinental Exchange (ICE) have developed a series of fixed income indices that track the performance of “current coupon” Agency mortgage-backed securities. The Agency MBS that comprise these indices are 30- or 15-year fixed rate pass-through securities guaranteed by Fannie Mae (FNMA) or Freddie Mac (FHLMC), which are U.S. Government-sponsored enterprises (GSEs), or Ginnie Mae (GNMA), a U.S. Government agency. The Uniform Mortgage-Backed Security (UMBS) indices are comprised exclusively of GSE guaranteed mortgage-backed securities issued through the UMBS program, and the GNMA index is comprised of Ginnie Mae securities.

The $9 trillion Agency MBS market consists of securities with coupons in 50 basis point increments (e.g., 5.5%, 6.0%, etc.). Current coupon Agency MBS refers to the Agency MBS coupons priced closest to par value and are generally the most liquid cohort of Agency MBS.

The AGNC ICE indices 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 on this website 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.