英文【高盛】结构性信贷交易员在紧缩市场中寻找价值

Vinay Viswanathan +1(212)934 0799 | vinay.viswanathan@gs.com Goldman Sachs & Co. LLC Ben Shumway +1(801)578-2553 | ben.shumway@gs.com Goldman Sachs & Co. LLC Lotfi Karoui +1(917)343-1548 | lotfi.karoui@gs.com Goldman Sachs & Co. LLCparticular offering little margin for error at present valuations. Direct and indirect impacts from federal student loan debt collection On May 5th, the Department of Education resumed ndebt collection on defaulted federal student loans. The sizeable government guarantee in FFELP ABS nstructures should protect holders of rated bonds, although a potential hit to credit scores for ~9 million borrowers could have indirect effects on the broader consumer ABS sector.7 May 2025 | 2:26PM EDTThe Structured Credit Trader Finding value in a tighter marketTakeaways from the GS Structured Finance Conference At our annual Structured Finance Conference last nThursday, we heard from key industry leaders on views and themes across markets, with most investors focused on identifying idiosyncratic upside in a disorienting macro environment. Sentiment on the residential market was relatively nbullish, while sentiment on the CRE market was more mixed. On CLOs, most investors agreed that near-term technicals would tighten spreads, but the long-term outlook was more dour. Where we see attractive value for bond investors While the underlying loans can have high severities in nthe event of a default, we think home improvement ABS offer better value than comparable ABS products, given solid borrower credit quality. Conduit 10-year AAA last cash flow bonds have widened nbeyond the rest of AAA CMBS, but favorable supply technicals, strong carry, and light ratings drift make it a compelling pocket of value. CLOs generally still appear relatively rich to us when naccounting for swap spreads, with CLO equity in 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 www.gs.com/research/hedge.html. Forecasts 13 Cross-Asset Valuations 14 Cross-Asset Performance 16 Agency MBS - Valuations and Performance 16 Agency MBS - Duration and Convexity 18 CMBS - Spreads and Issuance Volumes 19 CLO and leveraged loans 21 Consumer ABS/RMBS - Spreads and Collateral Performance 22 Non-Agency RMBS - Issuance and credit metrics 25 Non-Agency RMBS - Single-Family Rental (SFR) 27 Non-Agency RMBS - Second liens 28 Disclosure Appendix 29 7 May 2025 <Goldman SachsThe Structured Credit TraderTable of Contents Takeaways from the GS Structured Finance Conference Goldman Sachs hosted its annual Structured Finance Conference last week, with panels hosting industry leaders across public and private structured finance. Our broad takeaway was that investors and lenders were focused on identifying idiosyncratic opportunities in a disorienting macro environment. The residential credit market was largely viewed as resilient, with most participants