Stability now, (modest) widening later

Research evidence excerpt

Stability now, (modest) widening later

Credit Strategy Research

10 July 2026 | 5:02PM EDT

MORTGAGE & STRUCTURED PRODUCTS TRADER

MBS: Supportive technicals, but lighter GSE demand suggests modest widening risk Arun Manohar

+1(212)902-8763 |

n Current coupon OAS will likely remain range-bound near-term, provided the arun.manohar@gs.com

Goldman Sachs & Co. LLC

10-year Treasury yield holds below 4.67%. However, we expect spreads to widen

Ben Shumway

modestly by year-end as the market adapts to a slower pace of—and more +1(801)578-2553 |

ben.shumway@gs.com

spread-sensitive—GSE demand. We revise down our expectation for GSE Goldman Sachs & Co. LLC

demand in 2026 to $125 billion. Neth Karunamuni +1(212)934-0799 |

neth.karunamuni@gs.com

n We retain our preference for FN 5.0s due to relatively wide OAS. FN 5.5s–6.0s can Goldman Sachs & Co. LLC

outperform in a range-bound rates backdrop, but rally-related convexity risk

remains undercompensated. FN 2.0s-2.5s offer buy-on-dip opportunities, with

realized year-over-year prepay increases supporting model projections.

RMBS: Deal structure and spread differentials dictate value in HELOCs

n Language around the principal distribution and delinquency trigger calculations

vary across HELOC issuers and collateral types. Driven by the steeper

delinquency ramps, we find that seasoned fixed-rate deals provide marginally

less cushion vs. triggers than floating-rate deals.

n Among fixed-rate deals, we prefer TPMT for its flatter delinquency ramps and

sequential principal waterfalls, across AAA-A rated tranches. Among floaters,

GRADE and OBX deals offer spread pick-up relative to JPMMT.

Home Improvement ABS: A solid foundation provides good reasons to be positive

n Recently, A-rated tranches of home improvement ABS have traded flat to