monthly macro monitor
key trends for the agency mbs investor
AUGUST 2026
- Iran Conflict: The Iran conflict continued through its sixth month, and the 60-day negotiation window outlined in the U.S. and Iran’s memorandum of understanding (MOU) lapsed in mid-August without any formal follow-on extensions. Later in the month, the Administration pivoted to an economic and financial campaign entitled “Operation Economic Outcast,” which aims to “sever the economic lifelines that sustain the Iranian regime and the Islamic Revolutionary Guard Corps.” Oil prices and financial markets remained volatile, and the path to a final resolution remains uncertain.
- Employment: Key employment measures released in August were mixed. U.S. nonfarm payrolls (NFP) declined month-over-month, posting the first monthly net job loss since February, and missed estimates. The unemployment rate improved slightly to 4.1%, below both the prior month’s level and the median consensus estimate, due primarily to a decline in the labor force participation rate, which hit its lowest level since early 2021.
- Inflation: Despite continued pressure from elevated energy prices, key inflation measures released in August were flat to slightly lower on a year-over-year rate basis and were in-line with consensus estimates. Core CPI eased to 2.5% from 2.6%, and core PCE was unchanged at 3.3%.
- Federal Reserve and Monetary Policy: As the FOMC did not meet in August, the target range for the federal funds rate remained unchanged at 3.50-3.75%. Delivering his first keynote address at the Jackson Hole symposium late in the month, Chairman Warsh struck an unexpectedly hawkish tone, noting that “while this summer’s PCE and CPI readings were better than expected, they do not tell me that underlying trends have meaningfully improved.” Chairman Warsh also reiterated his stance against forward guidance as well as any commitment to an explicit reaction function, stating instead that he is “committed to a discipline, not to a decision.” Near-term rate hike expectations increased meaningfully following his speech, with fed funds futures pricing in a 65% probability of a September rate hike as of the end of the month compared to 35% prior to Chairman Warsh’s remarks.
- Interest Rates and Agency MBS Spreads: Short-to-intermediate term interest rates increased modestly in August, particularly toward the end of the month as near-term rate hike expectations grew. On August 19th, the Treasury announced that it would increase, by at least double (from $2 billion to at least $4 billion per operation), the size of its longer-dated Treasury security buybacks, which is anticipated to take effect September 9th. Associated Treasury yields declined immediately in connection with the announcement, but the move largely reversed within a day as fiscal and supply concerns more than offset the perceived benefit. Notwithstanding this activity, interest rate volatility declined from July levels, and Agency MBS spreads to benchmark rates tightened modestly month-over-month.
Key Economic Data and Yield Curve Trends
Key Rate and Spread trends
mortgage performance
Important Notices and Disclosures
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.
Federal funds rate data last updated August 31, 2026. Source: Federal Reserve.
Economic data last updated August 31, 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 August 31, 2026, and each monthly change (rounded to the nearest whole number) reflects the difference between August 2026 month-end data and July 2026 month-end data. Source: Bloomberg.
The ICE BofA U.S. Mortgage Backed Securities Index (M0A0) is shown over the trailing 12 months ended August 31, 2026, and the total return is measured over the one month ended August 31, 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 U.S. 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 August 31, 2026, and each total return is measured over the one month ended August 31, 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 August 31, 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.
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