monthly macro monitor
key trends for the agency mbs investor
december 2024
- Key macroeconomic data measures released during the month were largely consistent with consensus estimates.
- As expected, the Federal Reserve cut the federal funds rate another 25 basis points at its December meeting, bringing total rate cuts to-date through this easing cycle to 100 basis points.
- In December, the interest rate curve steepened meaningfully, driven primarily by the significant increase in longer term interest rates as the market repriced to the Fed’s updated Summary of Economic Projections that showed fewer anticipated rate cuts in 2025 and 2026.
- Agency MBS spreads to benchmark rates were largely unchanged from the prior month.
Key Rate and Spread trends
Important Disclosures
Federal funds rate data last updated December 31, 2024. Source: Federal Reserve.
Economic data last updated December 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.
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 December 31, 2024, and each monthly change reflects the difference between December 2024 month-end data and November 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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