In this paper, we propose a new generative model for multi-agent trajectory data, focusing on the case of multi-player sports games. Our model leverages graph neural networks (GNNs) and variational recurrent neural networks (VRNNs) to achieve a permutation equivariant model suitable for sports. On two challenging datasets (basketball and soccer), we show that we are able to produce more accurate forecasts than previous methods. We assess accuracy using various metrics, such as log-likelihood and 'best of N' loss, based on N different samples of the future. We also measure the distribution of statistics of interest, such as player location or velocity, and show that the distribution induced by our generative model better matches the empirical distribution of the test set. Finally, we show that our model can perform conditional prediction, which lets us answer counterfactual questions such as 'how will the players move differently if A passes the ball to B instead of C?'