Low cap CMO floaters and moderately seasoned non-QM reprice wider

Goldman Sachs mortgage & structured products trader note. Stress in the agency MBS market appears largely restricted to low cap agency CMO floaters, where discount margins widened further this week, driven primarily by mark-to-market deleveraging by levered holders. We view the episode as manageable for the MBS market and prefer owning 7.0% caps within the CMO floater market, finding them attractive vs. CLO AAAs. The sharp agency MBS widening has had only a modest impact on the non-agency RMBS market: new issue AAA non-QM spreads widened about 10bp week-over-week, while some moderately seasoned deals—especially low GWAC, low cost-of-funding deals from late 2025/early 2026—saw greater widening as participants price them to full extension and slower prepays. We expect prepays on early-2026 issued 7.0% GWAC non-QM deals to ramp to about 15 CPR, and to around 20 CPR if mortgage rates fall 50bp. September non-QM issuance fell ~28% y/y, the first y/y decline this year. We retain our 2026 non