MORTGAGE & STRUCTURED PRODUCTS TRADER: Value steps down in seconds

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MORTGAGE & STRUCTURED PRODUCTS TRADER: Value steps down in seconds

Credit Strategy Research

26 June 2026 | 5:48PM EDT

MORTGAGE & STRUCTURED PRODUCTS TRADER

Value steps down in seconds

MBS: Foreclosure to drive low-coupon GN buyouts rather than policy changes Arun Manohar

+1(212)902-8763 |

n Delinquency rates for FHA loans remain historically elevated, with seasonal arun.manohar@gs.com

Goldman Sachs & Co. LLC

trends likely to push them higher in the coming months.

Ben Shumway

+1(801)578-2553 |

n Recently, VA added a partial claim program to its loss mitigation waterfall. Based ben.shumway@gs.com

on the trends after FHA introduced a similar program, we do not expect VA’s

Neth Karunamuni

program to materially reduce delinquencies or affect buyout prepayments. +1(212)934-0799 |

neth.karunamuni@gs.com

n On the other hand, investors should monitor foreclosure starts for a leading Goldman Sachs & Co. LLC

indicator of trends in GN lower-coupon buyout prepayments. Foreclosure starts

among FHA loans have increased in recent months. A material increase in

foreclosure starts could suggest lender focus on resolving delinquencies, which

could boost lower-coupon GN II/FN swap prices.

RMBS: Closing in on value in non-AAA rated CES tranches

n We shift our view on closed-end second lien (CES) AAAs versus non-QM AAAs to

neutral following recent spread inversion. However, the recent bear flattener has

made CES AAAs attractive on yields vs. agency MBS.

n We find value in AA and A-rated CES tranches, driven by their spread pickup

versus non-QM and better total returns in a rate rally scenario.

n A handful of CES deals will become call-eligible this year, with the number

expected to increase notably in 2027 and 2028.

ABS: The One Big Beautiful Bill overhauls student lending over summer break