monthly macro monitor
key trends for the agency mbs investor
JULY 2026
- Iran Conflict: The global geopolitical backdrop remained fragile as the Iran conflict continued through its fifth month. In early July, President Trump declared the ceasefire associated with the memorandum of understanding (MOU) executed between the U.S. and Iran in mid-June to be over, and military activity resumed. Oil prices and financial markets were volatile throughout the month, and the path to a final resolution remains uncertain. Despite this continued volatility, however, “[t]he economy is showing impressive resilience…even with recent shocks, the trends are positive and reveal solid growth,” as Fed Chairman Warsh noted during his July press conference.
- Employment: Key employment measures released in July were mixed. U.S. nonfarm payrolls (NFP) declined significantly month-over-month and missed estimates. The unemployment rate improved slightly to 4.2%, below both the prior month’s level and the median consensus estimate, due primarily to a decline in the labor force participation rate.
- Inflation: Despite continued pressure from elevated energy prices, key inflation measures released in July declined month-over-month. While the Fed held interest rates steady in July, expectations for rate hikes continue to increase as the market prices in less certainty of taming inflation in the near term. Fed funds futures are now pricing in a 100% probability of one hike and an approximately 40% probability of an additional hike by the end of the year.
- Federal Reserve and Monetary Policy: The FOMC maintained the 3.50-3.75% target range for the federal funds rate at its July meeting. The decision was not unanimous, however, as three FOMC members voted to hike the target range by 25 basis points. Chairman Warsh’s remarks were consistent with those at his June press conference and centered around the Fed’s commitment to delivering price stability, the transition away from forward Fed guidance, and his optimism regarding the potential evolution of the Fed’s approach to implementing monetary policy. Read our July Fed Report for more details.
- Interest Rates and Agency MBS Spreads: Interest rates increased across the curve month-over-month and interest rate volatility trended higher, particularly following Chairman Warsh’s press conference near the end of the month, as markets continued to digest the elimination of forward Fed guidance and the overhang of a volatile geopolitical backdrop and elevated inflation. Agency MBS spreads to benchmark rates ended the month modestly higher.
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 July 31, 2026. Source: Federal Reserve.
Economic data last updated July 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 July 31, 2026, and each monthly change (rounded to the nearest whole number) reflects the difference between July 2026 month-end data and June 2026 month-end data. Source: Bloomberg.
The ICE BofA U.S. Mortgage Backed Securities Index (M0A0) is shown over the trailing 12 months ended July 31, 2026, and the total return is measured over the one month ended July 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 July 31, 2026, and each total return is measured over the one month ended July 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 July 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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