Goldman Sachs Mortgages and Structured Products Trader: Too Close to Call
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Goldman Sachs' Mortgages and Structured Products Trader, titled “Too Close to Call,” assembles eight exhibits spanning securitization markets. The lead charts address the agency MBS market: money managers may need to purchase a larger net amount of agency MBS in the second half of 2026, and the index's convexity profile is charted alongside a comparison of Bloomberg MBS index yields against the 1G corporate bond index yield. CMBS is covered through maturity risk on collateral, which will remain elevated in coming years, and issuance of agency CMBS REMICs. Consumer credit charts track the spread of AAA credit card ABS over Treasuries and annualized loss rates on unsecured consumer loans broken out by vintage. A cross-asset exhibit shows year-to-date excess returns, net of Treasury hedging, across asset classes. The package frames a securitization market in which, as the title suggests, the balance of outcomes across demand technicals, credit performance and valuations remains finely balanced.
Key exhibits
Exhibit 1
Exhibit 2
Exhibit 3
Exhibit 4
Exhibit 5
Exhibit 6
Exhibit 7
Exhibit 8
