【高盛】英文结构性信贷交易员在紧缩市场中寻找价值

7May2025|2:26PMEDT

TheStructuredCreditTrader

Findingvalueinatightermarket

TakeawaysfromtheGSStructuredFinanceConference

nAtourannualStructuredFinanceConferencelast

Thursday,weheardfromkeyindustryleadersonviewsandthemesacrossmarkets,withmostinvestors

focusedonidentifyingidiosyncraticupsideinadisorientingmacroenvironment.

nSentimentontheresidentialmarketwasrelatively

bullish,whilesentimentontheCREmarketwasmoremixed.OnCLOs,mostinvestorsagreedthatnear-termtechnicalswouldtightenspreads,butthelong-term

outlookwasmoredour.

Whereweseeattractivevalueforbondinvestors

nWhiletheunderlyingloanscanhavehighseveritiesin

theeventofadefault,wethinkhomeimprovementABSofferbettervaluethancomparableABSproducts,givensolidborrowercreditquality.

particularofferinglittlemarginforerroratpresentvaluations.

Directandindirectimpactsfromfederalstudentloandebtcollection

nOnMay5th,theDepartmentofEducationresumeddebtcollectionondefaultedfederalstudentloans.

nThesizeablegovernmentguaranteeinFFELPABS

structuresshouldprotectholdersofratedbonds,

althoughapotentialhittocreditscoresfor~9millionborrowerscouldhaveindirecteffectsonthebroaderconsumerABSsector.

VinayViswanathan

+1(212)9340799|

vinay.viswanathan@

GoldmanSachs&Co.LLC

BenShumway

+1(801)578-2553|

ben.shumway@

GoldmanSachs&Co.LLC

LotfiKaroui

+1(917)343-1548|lotfi.karoui@GoldmanSachs&Co.LLC

nConduit10-yearAAAlastcashflowbondshavewidenedbeyondtherestofAAACMBS,butfavorablesupply

technicals,strongcarry,andlightratingsdriftmakeitacompellingpocketofvalue.

nCLOsgenerallystillappearrelativelyrichtouswhenaccountingforswapspreads,withCLOequityin

Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.ForRegACcertificationandotherimportantdisclosures,seetheDisclosureAppendix,orgoto

/research/hedge.html

.

GoldmanSachsTheStructuredCreditTrader

7May20252

TableofContents

Forecasts13

Cross-AssetValuations

14

Cross-AssetPerformance

16

AgencyMBS-ValuationsandPerformance

16

AgencyMBS-DurationandConvexity

18

CMBS-SpreadsandIssuanceVolumes

19

CLOandleveragedloans

21

ConsumerABS/RMBS-SpreadsandCollateralPerformance

22

Non-AgencyRMBS-Issuanceandcreditmetrics

25

Non-AgencyRMBS-Single-FamilyRental(SFR)

27

Non-AgencyRMBS-Secondliens

28

DisclosureAppendix

29

GoldmanSachsTheStructuredCreditTrader

7May2025<

TakeawaysfromtheGSStructuredFinanceConference

GoldmanSachshosteditsannualStructuredFinanceConferencelastweek,withpanelshostingindustryleadersacross

publicandprivatestructuredfinance.Ourbroadtakeawaywasthatinvestorsandlenderswerefocusedonidentifying

idiosyncraticopportunitiesinadisorientingmacroenvironment.Theresidentialcreditmarketwaslargelyviewedasresilient,withmostparticipantssuggestinglow-single-digithomepriceappreciationoverthenearterm,inlinewithourforecasts

(Exhibit1).Weheardsomeinvestorsarguethatnon-agencyRMBScreditcurvesweretoosteepgiventheuncertaingrowthoutlook,withbetterrelativevalueattainableintheagencyRMBSmarket.Ontheilliquidside,homebuilderfinancingwas

toutedasapotentiallyenticingopportunitybutwithconcentratedexposuretoconstructionandhousingfundamentals.

Commercialmortgagessawagreaterdiversityofopinions,withsomeparticipantsflaggingimproveddatainofficeleasingbutotherstakingalessoptimisticviewonofficerefinancability.Theextentforlowercommercialmortgagerateswas

debated,butmostagreedthattheextensiontrendwasunlikelytoabate.Datacenterswerewidelyfavoredbyinvestors,withsomeparticipantscitingstrongcapexfiguresinhyperscalerQ1earningsasevidencethatdemandconcernswere

overblown.Ontheprivateside,GPUfinancingwasalsotoutedasaninterestingopportunity.IntheCLOmarket,most

participantsexpectedCLOcreationtoslowgivenweakloanissuanceandmediocrearbitrageeconomics.Manager

performanceislargelyexpectedtofacehigherdispersion,withpotentialconsolidationofsmallermanagers.Most

participantsexpectedspreadstogrindtighterneartermgivenstrongdemandtechnicalsvis-à-viscontinuedinsurance

demandforIGtranchesandresilientflows,butthelonger-termoutlookwaslargelymorecautious.Finally,consumerABSconversationswerefocusedonthegrowthofprivateconsumerstructuredfinance,withmoretraditionaldirectlending

platformsdeployingcapitaltowardsasset-backedstrategies.

7May2025<#>

Exhibit1:Weexpect+3.2%nationalHPAin2025(fullyear)and+1.9%in2026

AnnualhomepriceappreciationwithGSforecastsfor2025and2026

%AnnualHPA(Case-ShillerNational)

25

20

15

10

5

0

-5

-10

HistoricalForecast

05060708091011121314151617181920212223242526

Source:S&P,HaverAnalytics,GoldmanSachsGlobalInvestmentResearch

CLOequity:Notenoughmarginforerror

OurhighestconvictionviewontheleveragedloanmarketsinceMarchhasbeenthatfasterdowngrademomentumisvery

likely.WhilesofarthishasnotplayedoutforCLOportfolios,thevulnerabilityofB-ratedloanstoCCCdowngradeswould

undoubtedlyhavethelargesteffectonCLOequity.Atthesametime,CLOequityvaluationshavebeenremarkablyresilient,withpricesinsecondarytradingnearpre-tarifflevels.ApotentialcatalystofdecompressionbetweenCLOequityandCLO

debtisthetightbasisbetweenCLOBByieldsandequityIRRs(Exhibit2).WhilewearenotoptimisticonCLOspreadsdownthestackonanabsolutebasis,wethinkinvestorswithhighyieldtargetsshould(andinmanycasesalreadydid)rotateawayfromCLOequityintoBBs.BB-ratedCLOspreadshavedecompressedfromtherestofthedebtstack,potentiallydrivenbytheirlimitedappealtoinsurancecapital(Exhibit3).Lightequitysupplyisthemainrisktothisbearishrecommendation,asamiddlingcash-on-cashnewissuearbitrageandpaltryloanissuancewilllikelyconstrainnewissuedeals.Sofarnewissue

volumehasheldupreasonablywell,with$13billionofCLOcreationinApril,abovetheQ1pace.However,weattributethistoalargevolumeofpre-existingwarehouselinesbeforethetariffselloffthatCLOmanagershavetopayoff.Asthese

warehouseswinddown,wethinkCLOmanagerswithequityretentionfundswilllikelyhavebetterdealeconomics,limitingaccesstoequityfromthebroaderinvestorcommunity.

GoldmanSachsTheStructuredCreditTrader

7May2025<#>

Exhibit2:CLOBByieldsareconvergingtoequityyieldsinaggregate

Yield-to-maturityforPalmerSquareCLOBBindex(hedgedagainsttheforwardcurve)vs.theratioofCLOequitypaymentstoimpliedbalance(i.e.approximaterealizedequityyield)

%CLOequityandBByields

Exhibit3:CLOseniormezz(A/AA)hasoutperformedsinceFebruary

ChangeinPalmerSquareCLOtrancheindexspreadstodayfromFebruary1stadjustedbythebetaofmonthlyspreadchangestotheAAACLOindexovertheprior10years(2015-2025)

(alltranchesadjustedbyAAAbeta)

bpBeta-adjustedspreadchangesinceFebruary

18

16

14

12

10

8

6

160

140

120

100

80

60

40

20

0

BByieldtomaturityCLOequityyield

Beta-adjustedpeakwideningTotalwidening

AAAAAABBBBB

171819202122232425

Source:PalmerSquare,Intex,GoldmanSachsGlobalInvestmentResearchSource:PalmerSquare,Bloomberg,GoldmanSachsGlobalInvestmentResearch

CLOportfolioratingsdrift:Benignfornow

Wehavebeenbracingforariseinloandowngrades,underpinnedbyourexpectationoftariff-drivenearningspressureandthevulnerabilityofB3-ratedloanissuers.Earlyindicationssuggestthatthisisalreadyplayingout,butlesssoforCLO

portfoliosthanthebroaderloanmarket.Asevidence,theratioofloandowngradestoupgradessofarthisyearis3.4to1,

thehighestratiosince2020H1.However,filteringfortheuniverseofloansheldbyCLOmanagerssuggestsadifferent

picture.Amongthetop250assetsacrossallCLOportfolios,thedowngradetoupgraderatiowas1:3basedonS&Pratings.

Forthetop251-750assets,thedowngradetoupgraderatiowas1:2.5.Ontopoftheratingsoutperformancevs.thebroaderloanmarket,CLOportfoliosalsoenteredthisperiodofmacrovolatilityfromaplaceofstrengthintermsof

overcollateralizationcushions(Exhibit4).Forcontext,80%ofoutstandingBSLCLOshaveaminimumOCcushionover2%,withanaverageS&PCCCsharefortheseCLOsof4.4%today(Exhibit5).Bycontrast,CLOsfailingtheirjuniorOCtesthaveanaverageS&PCCCshareover12%.ThetakeawayforCLOinvestors,inourview,isthathigherdowngradeswilldrive

elevateddispersioninperformanceacrossCLOmanagersandvintages.Inthisenvironment,wecontinuetothinkan

up-in-qualitystancetowardsstrongmanagersindealswithintheirreinvestmentperiodsisprudent.

GoldmanSachsTheStructuredCreditTrader

7May2025<#>

Exhibit4:Inaggregate,CLOmanagershavebuttressedtheirjuniorOCcushionsoverrecentmonths

MedianjuniorOCcushionfortheoutstandingBSLCLOuniverseovertime

Exhibit5:80%ofoutstandingBSLCLOshaveaminimumOCcushionover2%

BreakdownofcurrentUSDBSLCLOmarketbyminimumOCcushion

%

6.0

5.0

4.0

3.0

2.0

1.0

0.0

-1.0

DistributionofminimumOCcushiontoday

MedianminimumOCcushionacrossBSLCLOs

Below0%(6%)

Above6%(5%)

Latest

0%to2%

(14%)

2%to4%(22%)

4%to6%(53%)

07091113151719212325

Source:Intex,GoldmanSachsGlobalInvestmentResearchSource:Intex,GoldmanSachsGlobalInvestmentResearch

Federalstudentloandebtcollection:Limiteddirecteffects,morepotentindirecteffects

OnMay5th,theDepartmentofEducationbegancollectingondefaultedfederalstudentloansafterthepauseonloan

paymentsthatbeganduringtheCOVID-19pandemicendedthispastOctober.TheconsequencesforABSmarketscanbe

separatedintodirecteffectsandknock-oneffectsofresumedpaymentsandcollections.FFELPstudentloanABS(bonds

structuredoutoffederalloansthroughprivateoriginators)areanaturalstartingpoint,anddelinquencyincreaseswithinthesebondsarereadilyapparentwiththeD30+ratespikingupfromitslocallowof11.3%inOctober2024toover16%inMarch2025,representingthehighestdelinquencyratesinoveradecade(Exhibit6).Whilethismayinitiallyscreenasacausefor

alarm,FFELPbondshaveseveralmitigatingfactorsthatprotectinvestors.Firstandmostimportantly,loanbalancesare97%guaranteedbytheFederalGovernment.Second,educationalloandebtisdifficulttodischargeeveninabankruptcyevent,

increasingtheprobabilityofeventualresumptionofpayments.FortheprivatestudentloanABSmarket,thispolicyshift

couldpushdelinquencyratesupinsympathyasconsumersstruggletojugglehigheraggregatedebtservicingobligations.Thusfar,whileD30+andD60+ratesonprivatelabelstudentloanABShaverisen(Exhibit7),theincreasesareanorderofmagnitudelowerthanthatseenonFFELPABSanddonotconstitutestrongevidenceofcontagionrisk,inourview.ForthebroaderconsumerABSmarket,apotentialheadwindcouldstemfromcreditscoredeterioration.TheFederalReserveBankofNewYorkestimatesthatover9millionborrowersnationwidearepastdueontheirstudentloanpayments(~20%ofall

studentloanborrowers)andaresettofacepotentiallylargedeclinesintheircreditscore.Thegoodnewsisthathouseholdcreditscoresarestartingfromaveryhighbase,atestamenttothebuild-upofrealnetworthoverthepastfouryears.

GoldmanSachsTheStructuredCreditTrader

7May2025<#>

Exhibit7:DelinquenciesonprivatelabelstudentloanABShaveseenmuchlessdramaticincreasesindelinquenciesthanFFELPABS

BalanceweightedD30+andD60+ratesonprivatelabelstudentloanABS;onlybondsthatremitmonthlyareincluded

%D30+D60+

Exhibit6:DelinquenciesonfederalstudentloanshaveacceleratedsignificantlysincepaymentsresumedinOctober2024

BalanceweightedD30+andD60+ratesonFFELPABS;onlybondsthatremitmonthlyareincluded

%D30+D60+

18

16

14

12

10

8

6

4

2

0

8

7

6

5

4

3

2

1

0

10111213141516171819202122232425

13141516171819202122232425

Source:Intex,GoldmanSachsGlobalInvestmentResearchSource:Intex,GoldmanSachsGlobalInvestmentResearch

HomeimprovementABS:Unprovenbutpromising

SecuritizationsofhomeimprovementloansmarkarelativelynewsectorwithinABSbutofferauniquevaluepropositionasapocketofprimecollateralintheconsumerloansector.Evenbetter,homeimprovementABSprimaryspreadsareroughlyinlinewithconsumerunsecuredABSspreadsdespitemuchhigheraveragecreditscores(Exhibit8).Onthesurface,this

screensasatremendousvalueopportunity,butwebelievetwonuancesoftheassetclassmeritattentionbyinvestors.First,thenatureofthecollateralsecuringhomeimprovementloanspresentsuniquechallenges.Inmanycases,theonlycourseofactionforlendershopingtonotcharecoveryfromdefaultedborrowersistofilealienagainsttheproperty,leadingto

potentiallylengthyandcostlylegaldisputes.Thishasdrivenhighseverityratesforthesector,runningat~80-85%todayvs.~90%forunsecuredconsumerABS.Second,consumerABSdealstypicallyhavestrongercreditenhancementsbuiltintothedealsthanforhomeimprovementABSdeals(Exhibit9).Withthesedetailsinmind,dothehigherspreadsofhome

improvementABSrepresentavaluepropositioninthecurrentmarket?Webelievetheydogiventhestrongerrecenttrendsincreditperformance,withsignificantlylowerandflatterdefaultcurvesforhomeimprovementloansvs.unsecured

consumerloans(Exhibit10).Asaresult,werecommendinvestorsoverweighthomeimprovementABSvs.unsecuredconsumerABS,especiallydownthestack,despitethemeaningfullysmallermarketsizetoday.

GoldmanSachsTheStructuredCreditTrader

7May2025<#>

Exhibit8:HomeimprovementABSspreadsareroughlyinlinewithconsumerABSspreadsbothforjuniorandseniorbonds.NewissueAAspreads(leftpanel)andBBBspreads(rightpanel)forconsumerABSdealsvs.thesecondarycorporatebondmarket

bpAAspreads:Consumerunsecuredvs.peers

AAcorporatesConsumerunsecuredABS

SubprimeAutoABSHomeImprovementABS

400

350

300

250

200

150

100

50

0

Jan-22Jul-22Jan-23Jul-23Jan-24Jul-24Jan-25

bpBBBspreads:Consumerunsecuredvs.peers

BBBcorporatesConsumerunsecuredABS

SubprimeAutoABSHomeimprovementABS

800

700

600

500

400

300

200

100

0

Jan-22Jul-22Jan-23Jul-23Jan-24Jul-24Jan-25

Source:Bloomberg,GoldmanSachsGlobalInvestmentResearch

GoldmanSachsTheStructuredCreditTrader

7May2025<#>

Exhibit9:CreditenhancementisthickerforconsumersunsecuredABSBBBsvs.homeimprovementABS

AverageoriginalcreditsupportforhomeimprovementBBBsandconsumerunsecuredBBBs

%

25

20

15

10

5

0

BBBtranches:Medianoriginalcreditsupport

ConsumerUnsecuredHomeimprovement

2022202320242025

Source:Bloomberg,GoldmanSachsGlobalInvestmentResearch

GoldmanSachsTheStructuredCreditTrader

7May20251#>

Exhibit10:HomeimprovementABSarerecordingsignificantlylowerCDR’sthanmarketplacepersonalloans

1MCDRratessinceissuanceforhomeimprovementABS(leftpanel)andmarketplaceunsecuredconsumerloanABS(rightpanel)

%

30

25

20

15

10

5

0

%

30

HomeimprovementABS:1MCDR

201920202021

202220232024

25

20

15

10

5

0

16111621263136

MonthssinceIssuance

MarketplacepersonalloanABS:1MCDR

2020

2024

2021

2025

2022

2019

2023

16111621263136

MonthssinceIssuance

Source:Intex,GoldmanSachsGlobalInvestmentResearch

CarryiskingforconduitCMBS10-year

WhilewehavealargelycautiousviewonconduitCMBS,especiallydownthestack,wethinkAAAconduit10-yearlastcashflow(LCF)bondsofferanattractivecarryopportunity.Despiteanuncertainmarketoutlook,wethinkthreekeyreasonsmakeconduit10-yearLCFasensiblepocketforinvestorstobuythedip.First,thesebondshavewidenedmorethantherestof

AAACMBS,includingagencyCMBS,withspreadsacrossprimaryandsecondarymarketsappearingcheapvs.history

(Exhibit11).Whilewiderspreadsbythemselvesarenotasufficientreasontoaddbonds,wethinkweak10-yearconduit

originationcouldpresentasupportivesupplytechnicalamidasteeperyieldcurve.Thishasalreadybeenplayingout,with7ofthe8conduitsecuritizationssinceMarch1strepresenting5-yeardeals.Second,widerspreadshistoricallydosetupa

goodentrypointforlongpositionsintoAAAconduitLCF,wherecarryexplainsasignificantchunkofhistoricalexcessreturns(Exhibit12).Finally,themaincredit-relatedheadwindforAAAconduit–ratingsdowngrades–shouldbemutedinan

environmentofremarkablystableratingsdrift.Forexample,only0.95%ofAAAconduitbondsweredowngradedoverthe

pasttwoyears,and0.85%duringCOVID,vs.12%atthepeakoftheGlobalFinancialCrisis(usingMoody’sratingsdatain

Exhibit13).Whilewethinkrecessionriskremainsaboveaverage,recenteconomicdatahasbeenlargelyconstructive,which

GoldmanSachsTheStructuredCreditTrader

7May202511

makesuslessconcernedaboutcatastropheriskforgrowth.

Exhibit11:Conduit10yrhaswidenedmorethantherestofAAACMBSyear-to-date

Year-to-datespreadchanges(ofsecondarytradinglevels)forAAA/agency-guaranteedCMBSsectors

bpYear-to-datespreadchangeacrossCMBS

30

25

20

15

10

5

0

-5

-10

-15

Conduit10yr

(OTRLCFAAA)

FreddieK10yr

(A2)

SASBfloater

(HotelAAA)

SASBfixed

(OfficeAAA)

SASBfloater

(MF/Industrial

FreddieK5yr

(A2)

CRECLOAAAConduit5yr

(OTRLCFAAA)

AAA)

Source:GSFICC&Equities,GoldmanSachsGlobalInvestmentResearch

GoldmanSachsTheStructuredCreditTrader

7May202512

Exhibit12:Historically,carrydrivesthebulkofconduitLCFAAAexcessreturns

OAStoTreasuriesvs.forward12-monthexcessreturnforconduit10-yearlastcashflowAAA

Exhibit13:RatingsmigrationforAAAconduitbondshasbeenremarkablystablesincetheGlobalFinancialCrisis

Rolling2-yeardowngraderateofconduitCMBSbondsoriginallyratedAAA(usingMoody’sratings)

10

Forward12-monthexcessreturn(%)

8

6

4

2

0

-2

-4

-6

-8

%AAAconduitdowngraderate(rolling2-year)

ConduitLCFspreadsvs.forward12-monthexcessreturn

14

12

10

8

6

4

2

0

0406081012141618202224

R²=49%

5075100125150175200225AAACMBSlastcashflowOAStoTreasuries

Source:Bloomberg,GoldmanSachsGlobalInvestmentResearch