Mortgage & Structured Products Trader: Relative value across RMBS and datacenter ABS

MBS: Modest overweight; production coupon GNs enter cheap territory. In addition to the potential for OAS compression, we believe MBS investors can benefit from normalization in interest rate volatility and the attractive carry. Comparing valuations of GN MBS vs. FN MBS, we find that production and higher coupon GNs have underperformed over the past week, partly as FN dollar rolls spiked, and appear relatively more attractive now; however, the catalyst for GNs to tighten could be a pickup in bank demand, which is likely to occur only once interest rates settle into a range. RMBS: Relative value within fixed-rate RMBS. Across the fixed-rate RMBS universe, we find non-QM AAAs to be the most attractive, using realistic prepayment assumptions based on rate incentives at issuance rather than pricing convention and normalizing for average life;