monthly macro monitor
key trends for the agency mbs investor
may 2025
- Employment and inflation measures released in May were largely in-line with consensus estimates and prior month readings.
- Interest rate volatility generally declined in May from April’s elevated levels despite the intra-month U.S. credit rating downgrade by Moody’s.
- Interest rate volatility is expected to remain somewhat elevated over the intermediate term as a result of concerns regarding government spending and growing fiscal deficits.
- Agency MBS spreads tightened modestly over the course of the month and exhibited somewhat more stability relative to April trends, but they continue to remain elevated against this uncertain macroeconomic backdrop.
Key Rate and Spread trends
Important Disclosures
Federal funds rate data last updated May 31, 2025. Source: Federal Reserve.
Economic data last updated May 31, 2025. 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 May 31, 2025, and each monthly change (rounded to the nearest whole number) reflects the difference between May 2025 month-end data and April 2025 month-end data. Source: Bloomberg.
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.
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