Mortgage & Structured Products Trader Holding Tight

Credit Strategy Research 14 August 2026 | 4:21PM EDT

MORTGAGE & STRUCTURED PRODUCTS TRADER

Agency CMBS: Strong demand and tight spreads, although heavy supply is ahead Arun Manohar | n Spreads on Fannie/Freddie guaranteed CMBS are near the tightest levels of the Goldman Sachs & Co. LLC year and generally rank in the bottom quintile of their historical range across Ben Shumway multiple valuation metrics. Persistently tight spreads are likely a function of | several investors choosing to asset swap the cashflow into a floating-rate. Goldman Sachs & Co. LLC

Neth Karunamuni n However, the key near-term risk is the supply seasonals, with the final four | months contributing 40% of the annual volume. However, we expect any spread Goldman Sachs & Co. LLC

widening to be contained (less than 5-7bp, all else equal).

RMBS: Favorable fundamentals for Single-Family Rental (SFR) deals n AAA-rated SFR RMBS spreads versus 5-year conduit CMBS have tightened from 20bp to 10bp this year, reflecting improving fundamentals. Recent acceleration in SFR rent growth, which continues to outpace multi-family rent growth, supports the sector’s relative value. n While there is some refinance risk for upcoming maturities, issuers have options to infuse equity and transact properties to meet DSCR targets. The ROAD to Housing Act may also have increased the value of existing portfolios, strengthening incentives for operators to support refinancings with additional equity.

ABS: Navigating dispersion across issuers in consumer unsecured n Consumer unsecured, a high dispersion sector within ABS markets, is perhaps best viewed through an ‘issuer-first’ lens. We use the average coupon to loss ratio as a proxy for an issuer’s underwriting effectiveness. We find that coupon to loss ratios are highly correlated with spreads across the AAA and A tranches. n We recommend that investors lower in the ratings stack favor issuers with high coupon-to-loss ratios for greater downside protection. Conversely, investors higher in the capital structure may prefer issuers with lower coupon-to-loss ratios, as these offer wider spreads while still benefiting from substantial credit enhancement.

Investors should consider this report as only a single factor in making their investment decision. For Reg AC certification and other important disclosures, see the Disclosure Appendix, or go to

Goldman Sachs Mortgage & Structured Products Trader

Agency CMBS Agency CMBS spreads remain tight, even as supply seasonals likely to turn more challenging for the sector

Agency CMBS spreads are trading near their tightest levels of the year. Spreads on 10-year Freddie K deals are at 29bp, in line with where a new issue 5-year Freddie K-deal priced earlier this week. In fact, spreads are trading near the richer end of the range across the various metrics we track (Exhibit 1). For instance, 10-year Freddie K spreads are at the 7th percentile of the historical (post-2013) range, while the spread pickup vs. current coupon Treasury OAS is at the 8th percentile of the historical range. Other valuation metrics, including comparisons with low-coupon MBS (FN 2.0s) vs. IG corporates and regression-based models, similarly indicate that agency CMBS spreads are trading near the tighter end of their historical ranges.

Exhibit 1: Across various spreads metrics, agency CMBS trades near the tighter end of their historical ranges

FH K A2 spreads vs. CC Tsy OAS vs. CC Tsy OAS vs. FN 2.0s Tsy vs. FN 2.0s Yld Deviation from IG corporates IG corporates (mid-2013 (mid-2013 (QT - 2018-19, OAS (2023 (2023 onwards) regression (mid-2013 (QT - 2018-19, onwards) onwards) 2022 onwards) onwards) estimate onwards) 2022 onwards) FH K A2 spreads vs. FH K A2 spreads

Source: Goldman Sachs FICC & Equities, Yield Book, Goldman Sachs Global Investment Research

The agency CMBS market benefits from demand from a broad range of investors. Holdings of the Federal Home Loan Banks (FHLBs) have increased in recent years to reach over $155 billion currently (Exhibit 2). In addition, domestic banks and insurance companies own over $350 billion and over $80 billion of agency CMBS, respectively. In recent quarters, some large money-center banks have started…