Summary

• The I shares of the GS US Mortgage Backed Securities Fund returned +0.11% (Net) over the quarter underperforming its benchmark, Bloomberg US Govt/MBS Index, by -28bps.
• The Bloomberg US Mortgage-Backed Securities Index returned +0.40% in Q1, with spreads tightening (Option-Adjusted-Spread).
• Treasuries broadly sold off over Q1'26, with the front end selling off faster than the long end.

Market Overview

Treasuries broadly sold off over Q1'26, with the front end selling off faster than the long end. In Q1, a dramatic escalation of the Middle East conflict led to a growth scare. March's CPI print was