Fixed Income Cross Product Relative Value Monitor

Research evidence excerpt

J P M O R G A N

Global Markets Strategy

20 August 2026

Fixed Income Cross Product

Relative Value Monitor

Corporates tick another basis point wider this week, as

most sec. products extend outperformance. Long taxexempts lag by 12bp after setting new 5-year tights last

week.

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

Thus far this week, corporate bond spreads have moved another basis point

wider (after widening 2-3bp last week), while securitized product spreads are

largely stable. Unchanged spreads on Student Loan ABS (Private AAA) puts

them 1.2-1.7 sigma cheap vs. corporates over 1-3-5yr horizons. GNMA Program

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

based on their spread range, at 64bp spread to similar corporates and 6bp off the

5-year wides. 10-year Freddie K (A1 and A2) spreads are also unchanged versus

Treasuries, and thus tighter versus corporates, while remaining towards the wider

end of the past five years.

John Sim

Looking at securities that are trading rich relative to their five-year spread

range to corporates, 2yr Jumbo Prime remains 1.6-2.0 sigma rich across 1-3-5yr

horizons. CRE CLO AAA is also near five-year tights around the 2-year area of

the curve. 5yr AA CLOs are just 2bp from 5-year tights versus corporates at

+38bp for recent issue. After tightening last week, conduit LCF 5y AAA spreads

moved 2bp wider on the week, and are 1bp through similar term corporates,

continuing to show ~1 sigma rich over 1-3-5yr horizons.

After setting fresh 5-year tights on Friday, 30yr IG tax-exempt municipals

widened by 12bp vs. corporates this week, while sitting 1.4-1.6 sigma rich over

a 5-year horizon. Thus, we think insurance and bank-based investors should

continue to consider paring long-dated tax-exempts, as we expect additional

widening in the fall.

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