monthly macro monitor
key trends for the agency mbs investor
JUNE 2026
- Iran Conflict: The U.S. and Iran signed a memorandum of understanding (MOU) on June 17, 2026 to be utilized as a negotiating framework with the intent of formally ending the war within 60 days. Despite this important step, the global geopolitical backdrop remains fragile, and the path to a final resolution remains uncertain. While the Strait of Hormuz is technically open and energy pressures have eased somewhat, the normalization of global oil trade activity is expected to be gradual.
- Employment: Key employment measures released in June remained strong. U.S. nonfarm payrolls (NFP) increased month-over-month and significantly exceeded estimates. The unemployment rate remained unchanged, consistent with expectations.
- Inflation: As expected amid elevated energy prices, key inflation measures released in June increased month-over-month. Concerns over lingering inflationary pressures, a hawkish Fed dot plot released in June, and Chairman Warsh’s press conference commentary have further increased market expectations of an interest rate hike in 2026. Fed funds futures are now pricing in a 100% probability of one hike and an approximately 20% probability of an additional hike by the end of the year.
- Federal Reserve and Monetary Policy: As generally expected, the FOMC maintained the 3.50-3.75% target range for the federal funds rate at its June meeting, highlighting elevated inflation levels as the key risk to the Fed’s dual mandate. This meeting marked Kevin Warsh’s first as the new Fed Chairman following his assumption of office in May, and he made clear his intention to examine current Fed practices and refresh those where he sees room for improvement as the Fed enters a new chapter under his leadership. Read our June Fed Report for more details.
- Interest Rates and Agency MBS Spreads: Short-term interest rates increased month-over-month and the yield curve flattened somewhat as market participants priced in greater expectations for interest rate hikes this year. The impacts of shifting rate expectations and progress regarding the state of the Iran conflict somewhat offset each other, and, overall, interest rate volatility was relatively benign during the month. Agency MBS spreads to benchmark rates ended the month relatively unchanged.
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 June 30, 2026. Source: Federal Reserve.
Economic data last updated June 30, 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 June 30, 2026, and each monthly change (rounded to the nearest whole number) reflects the difference between June 2026 month-end data and May 2026 month-end data. Source: Bloomberg.
The ICE BofA U.S. Mortgage Backed Securities Index (M0A0) is shown over the trailing 12 months ended June 30, 2026, and the total return is measured over the one month ended June 30, 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 June 30, 2026, and each total return is measured over the one month ended June 30, 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 June 30, 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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