Fixed Income Cross Product Relative Value Monitor

Research evidence excerpt

J P M O R G A N

Global Markets Strategy

06 August 2026

Fixed Income Cross Product

Relative Value Monitor

Corporates broadly outperformed thus far this week,

leaving GNMA Program Loans and Student Loan ABS

near the cheaper end of their trading range.

Good morning, this Cross Products Relative Value Report is intended to provide

an efficient high-level rich/cheap analysis of fixed-income products relative to IG

Corporates. Securities appearing at the top of the maturity/average-life band are

rich versus IG corporates, while spreads on bonds near the bottom are trading at

cheaper levels versus corporates.

Securitized Products & Public

Finance Municipals Strategy

Corporate bond spreads continued to tighten post-FOMC, moving another 3bp

tighter versus Treasurys thus far this week while securitized product spreads were

more mixed. Unchanged spreads on Student Loan ABS (Prime AAA) puts them

3bp wider vs. corps, and 1.3-1.6 sigma cheap over 1-3-5yr horizons. 10-year

Freddie K (A1 and A2) spreads were also unchanged versus Treasurys, and thus

widening versus corporates, remaining towards the wides over the past five

years.

John Sim

Peter DeGroot AC

(1-212) 834-7293

J.P. Morgan Securities LLC

(1-212) 834-3124

J.P. Morgan Securities LLC

Nathaniel Rosenbaum, CFA

(1-212) 834-2370

J.P. Morgan Securities LLC

Rishad Ahluwalia

2yr Jumbo Prime continues to move off its 5-year tights, widening another 3bp

on the week versus corporates, but are still 1.8-2.3 sigma rich across 1-3-5yr

horizons. In 2yrs on the curve, CRE CLO AAA were similarly wider by 3bp

(versus corps.), while still near one-year tights. 5yr AA CLOs show 2bp wider vs.

UST on the week, but still near their tightest levels versus corporates at +52bp

for recent issue. Conduit LCF 5y AAA spreads tightened 3bp versus UST, and lean

rich over 1-3-5yr horizons. On the other side of the spectrum, GNMA Program

Loans are the most attractively priced sector in the 5-year portion of the curve,

based on their spread range, at 68bp spread to similar corporates and 2bps off the

5-year wides.

30yr IG tax-exempt municipals lagged by 9bp versus corporates on the week,

…