They are not MBS. These are senior unsecured debt issued by Sallie Mae. They pay interest monthly equal to YOY change in CPI-U plus a margin (2% for OSM, 2.05% for ISM) and they mature in early 2017 (OSM) and early 2018 (ISM). They are not callable prior to maturity.
The main risks to these bonds are:
- Changes in real interest rates on debt of similar maturities. The best benchmark is probably 10 year TIPS.
- Credit exposure to Sallie Mae. No question, there is credit exposure here, but it is to a an A rated financial institution that is highly unlikely (IMO) to experience any financial difficulties.
- It is possible for there to be no coupon in any given month, but it would require an annual YOY CPI-U change of -2%. Coupons are paid monthly, so this would likely be a short-lived issue.
In return for the (very minor, IMO) credit risk, you get a YTM of about 3.5% over CPI at current prices. If these things start scraping against 22 again, YTM approaches 4% over CPI.