Collateralized Digital Infrastructure and Agency MBS Update

Goldman Sachs maintains a neutral view on Agency MBS, favoring low premium TBAs, while highlighting maturity risk as the key focus for the rapidly growing digital infrastructure securitization market.

Key Takeaways

• 1.Maintain a neutral stance on Agency MBS basis, preferring low premium TBAs (FN 5.5s-6.0s) as rate volatility is expected to stay subdued.
• 2.Digital infrastructure securitization (Datacenter and Fiber) has grown rapidly, reaching $19.5 billion YTD issuance, primarily driven by ABS.
• 3.The primary risk in digital infrastructure assets is maturity risk due to technological obsolescence, rather than repayment risk, which remains low due to strong demand.

Table of Contents

• Agency MBS: Remain neutral, prefer low premium TBAs
• Relative value in digital infrastructure securitizations
• Expect 30-year FN prepays to be roughly unchanged in May vs. April
• Data center ABS & CMBS
• What does Digital Infrastructure Encompass?
• A portfolio approach may be most suited to mitigate maturity risk
• Tiering for value within the individual sectors
• Cross-Asset Valuations
• Agency MBS metrics
• MBS vs. corporates
• MBS issuance
• CMBS spreads and issuance volumes
• Consumer ABS - spreads and collateral performance

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