Are Danish Mortgage bonds cheap ?

Lots of stories in Danish press from Pension funds and Banks (see Danske Bank CEO yesterday) about how cheap Danish mortage bonds are for the moment. They might be cheap as must fixed income spread products are - unless we move into a very long global recession / depression (which we could!) - but are they really cheap on a relative scale.

Below are some charts showing that Danish mortgages are priced in line with US mortgages for the moment. In the current situation it could be argued that they actually should be cheaper. Compared to Swedish mortgages thay are cheaper, but Swedish mortgages are to expensive on a relative scale.

First a look at the underlying yield curves where US 10 year swap rates versus Danish 10 yr Swap rates relative stabile relationship

But the governement curve is much steeper in the US than in DK amid the stress on the Danish Kroner

Traditional 30 yr mortages in the US trade OAS in the 200 level after 50bp move up in the last week

Danish mortgage bonds trade OAS in t a range from 110bp to 180bp over swaps depending on coupon and maturity. Compared to Governments they are in the range of 120 to 200bp.

10 yr Agencies 135bp over UST and 84bp over in Swaps

10 yr Non-Callable Danish Mortage 145bp over Governments and 95bp over swaps

Swedish mortgages bonds ... Are they too exepensive on a relative scale ?