“Mortgages are cheap to Corporates” has become one of the most popular adages in the HG credit market this year, achieving near Taylor Swift status within certain circles of investors (aka the Taylor rule). In this podcast, we roll out a novel framework to look at Corporates versus MBS relative value. If we compare the OAS of MBS (which takes call risk into account) versus Corporate spreads adjusted for downgrade risk, then are Corporates cheap to MBS?
Speakers:
Stephen Dulake, Global Head of Credit, Securitized Products and Public Finance Research
Nathaniel Rosenbaum, Head of U.S. High Grade Strategy
Nick Maciunas, Head of U.S. Agency MBS Research
This podcast was recorded on 27 Oct 2023
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