Rate path clouds floaters

Research evidence excerpt

Rate path clouds floaters

Credit Strategy Research

18 June 2026 | 4:59PM EDT

MORTGAGE & STRUCTURED PRODUCTS TRADER

Agency MBS: Policy rate uncertainty may temper bank demand for CMO floaters Arun Manohar

+1(212)902-8763 |

n Following the roughly $40 billion net addition in March, bank MBS holdings have arun.manohar@gs.com

Goldman Sachs & Co. LLC

remained broadly stable. The pace of additions in May was weaker than in March

Ben Shumway

despite CMO floater DMs reaching comparable levels. +1(801)578-2553 |

ben.shumway@gs.com

n We believe volatility in the front end of the yield curve may also affect bank

Neth Karunamuni

demand, similar to long-end volatility. Uncertainty around Fed policy can +1(212)934-0799 |

neth.karunamuni@gs.com

dampen bank purchases of CMO floaters in the near term. Goldman Sachs & Co. LLC

n Improving excess deposit creation should support banks securities demand long

term, although uncertainty around the preference for Treasuries and the impact

of the Basel III Endgame proposal keeps us cautiously optimistic; we maintain our

$75 billion estimate for 2026 net bank additions.

Non-QM RMBS: Better collateral guides 2025 vintage outperformance

n Delinquency ramps of 2025 vintage non-QM loans have outperformed the 2024

vintage, as collateral has improved, with lower GWACs and higher credit scores.

n There are signs of performance in certain regions being impacted by home price

declines. For example, 2025 vintage Texas loans continue to underperform the

2024 vintage, while 2025 vintage Florida loans remain resilient.

n Investor demand for non-QM remains healthy, with Q2 2026 issuance volumes

tracking the all-time high reached in the prior quarter.

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