Declining mortgage rates spell prepayment risk for recent RMBS

Since early November, US interest rates have slipped from multi-year highs as the benchmark 10-year Treasury fell to around 2.6%. The flattening has upended most investors’ views on fixed income performance into 2019, and in particular is drawing out concerns about a reopening of the refinancing window for mortgages originated last year.

  • By Alexander Saeedy
  • 07 Jan 2019

“The severe drop in investor confidence has caused many equity indices to enter or approach ‘bear market’ territory and Treasury yields to fall over 50bps from their early November highs,” said Scott Buchta, head of fixed income strategy at Brean Capital.

As Treasury rates have climbed down ...

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GlobalCapital European securitization league table

Rank Lead Manager/Arranger Total Volume $m No. of Deals Share % by Volume
1 Citi 3,237 10 19.12
2 Goldman Sachs 2,096 5 12.39
3 Morgan Stanley 1,965 5 11.61
4 BNP Paribas 1,686 6 9.96
5 Barclays 1,565 4 9.25

Bookrunners of Global Structured Finance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 30,859.27 98 11.48%
2 JPMorgan 25,558.51 72 9.51%
3 Wells Fargo Securities 24,627.51 67 9.16%
4 Bank of America Merrill Lynch 23,023.30 73 8.56%
5 Barclays 16,546.45 55 6.16%