monthly macro monitor

key trends for the agency mbs investor
JUly 2024

  • Economic data released in July continued to provide confidence that the economy is moving into better balance, with inflation measures trending lower and the labor market showing signs of further softening.
  • At the FOMC’s July 31st press conference, Fed Chair Powell conveyed a dovish tone, and his remarks provided a clear signal that the Committee will likely move toward a less restrictive monetary policy stance at its next meeting.
  • Against this backdrop, benchmark interest rates declined across the curve, and current coupon Agency MBS spreads to blended 5- and 10-year swap and Treasury rates tightened modestly.
  • While interest rate volatility remains elevated by longer-term historical standards, it is still well below the peaks experienced over the last several years.

Key Rate and Spread trends

Important Disclosures
Federal funds rate data last updated July 31, 2024. Source: Federal Reserve.

Economic data last updated July 31, 2024. Core CPI and Core PCE exclude food and energy. Source: Bureau of Labor Statistics and Bureau of Economic Analysis.

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 July 31, 2024, and each monthly change reflects the difference between July 2024 month-end data and June 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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