monthly macro monitor

key trends for the agency mbs investor
JUNE 2024

  • May’s core inflation measures, which were released in June, showed improvement on a year-over-year basis.
  • The labor market has continued to move into better balance over the past year, despite a stronger-than-anticipated nonfarm payrolls report at the beginning of the month.
  • Benchmark interest rates declined modestly across the curve, and current coupon Agency MBS spreads widened modestly to blended 5/10-year swap and Treasury rates.

Key Rate and Spread trends

Important Disclosures
Federal funds rate data last updated June 30, 2024. Source: Federal Reserve.

Economic data last updated June 30, 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 June 30, 2024, and each monthly change reflects the difference between June 2024 month-end data and May 2024 month-end data. Source: Bloomberg.

This is not an offer to sell securities or the solicitation of an offer to buy securities.

Investment in AGNC Investment Corp. (“AGNC”) involves risks and uncertainties that may cause future performance to vary from historical results. Please refer to our annual and quarterly reports on file with the SEC and available on our website or at www.sec.gov for more information about AGNC, including material risks and other factors that may affect future performance.

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