It wasn’t just US government bonds that attracted attention. Goldman Sachs expanded its investments in pass-through RMBS, increasing its holdings from $6.7bn in Q1 to $12.7bn, now accounting for 9.5% of its total AFS portfolio.

Notably, Goldman had not held any RMBS for a decade before a change of strategy 6 months ago -> www.risk.net/risk-quantum...

Shifting tack, Goldman bought $6.7bn of agency RMBS in Q1 - Risk.net

Purchase of amortised-cost securities is first diversification away from US Treasuries in seven years