T. Rowe Underweights MBS

T. Rowe Price recently shaved $375 million off its mortgage-backed securities holdings, with a focus on reducing plain vanilla pass-throughs with a duration of around 4.5 years.

  • 15 Apr 2005
Email a colleague
Request a PDF
Dan Shackelford
T. Rowe Price recently shaved $375 million off its mortgage-backed securities holdings, with a focus on reducing plain vanilla pass-throughs with a duration of around 4.5 years. The asset manager went from a slight overweight to mortgages to an underweight, due to the recent increase in interest-rate volatility, according to Dan Shackelford, portfolio manager. "With higher volatility, the amount of uncertainty over prepayment increases and mortgage valuations decrease," Shackelford said. He is part of a team that manages $7.5 billion in investment-grade bonds from Baltimore.

Shackelford has cut back his mortgage holdings from around 40% to 35%, putting the cash to work in Treasuries and agencies. Treasuries now make up another 20%, while agencies are 7-8% of his portfolio. The allocations should remain at these weightings in the near future.

Shackelford is neutral his index's weighting in corporates at 25% of the portfolio. Within corporates, the portfolio manager likes utility bonds, especially those of regulated energy and natural gas companies. He said he likes these companies for their steady cash flow and lower risk of leveraged buyouts. At the same time he is avoiding names vulnerable to leveraged buyouts, which may result in more equity-friendly behavior, he said. Shackelford declined to give examples.

The rest of the portfolio is made up of 8% commercial mortgage-backed and asset-backed securities and 2% TIPS. The asset manager is around 5% underweight the duration of his bogey, the Lehman Brothers Aggregate Bond Index.

  • 15 Apr 2005

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 414,341.60 1584 9.03%
2 JPMorgan 377,311.36 1724 8.23%
3 Bank of America Merrill Lynch 358,416.32 1295 7.81%
4 Goldman Sachs 266,063.47 914 5.80%
5 Barclays 264,598.20 1056 5.77%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 44,979.63 190 6.68%
2 Deutsche Bank 37,125.85 136 5.51%
3 BNP Paribas 36,403.69 206 5.41%
4 JPMorgan 33,752.71 110 5.01%
5 Bank of America Merrill Lynch 32,865.23 106 4.88%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 22,398.41 104 8.72%
2 Morgan Stanley 18,608.72 99 7.25%
3 Citi 17,768.49 110 6.92%
4 UBS 17,372.80 70 6.76%
5 Goldman Sachs 17,228.66 97 6.71%