MORTGAGE & STRUCTURED PRODUCTS TRADER: Caution Ahead

Research evidence excerpt

MORTGAGE & STRUCTURED PRODUCTS TRADER: Caution Ahead

Credit Strategy Research

24 July 2026 | 4:33PM EDT

MORTGAGE & STRUCTURED PRODUCTS TRADER

Caution Ahead

Agency MBS: Favoring down-in-coupon bias near term; softer REIT demand Arun Manohar

+1(212)902-8763 |

n Near-term risks for the MBS basis are skewed towards further widening, driven arun.manohar@gs.com

Goldman Sachs & Co. LLC

by an uncertain geopolitical outlook and Fed policy response. We retain our

Ben Shumway

year-end spread target on de-escalation expectations. +1(801)578-2553 |

ben.shumway@gs.com

n Given this rate and geopolitical outlook, we prefer a down-in-coupon bias. We

Neth Karunamuni

like owning FN 2.0s-2.5s and shorting FN 6.0/5.0 swap, as lower coupons could +1(212)934-0799 |

neth.karunamuni@gs.com

benefit from normalization and rate rallies while higher coupons face greater Goldman Sachs & Co. LLC

extension risk into a further rate back-up.

n Mortgage REIT demand for agency MBS in Q2 was marginally weaker than that in

Q1, led by a modest decline in the pace of capital raising.

RMBS: Relative value across prime RMBS deals

n The OAS differential of prime jumbo seniors relative to same coupon FN TBAs

remains wider than its 2025 average.

n Senior tranches of prime investor RMBS deals are the most attractive, as they

trade at comparable OAS differentials vs. prime jumbo seniors despite having a

more favorable convexity profile.

n On the other hand, seniors of the owner-occupied agency-eligible RMBS deals

trade at tighter OAS differentials than prime investor despite having a

comparatively worse convexity profile. We favor prime investor deals across the

various flavors of prime RMBS deals.

CMBS: Return to office

n Aggregate CMBS delinquency rates remain above pre-pandemic levels, driven