Bank analysts are paid to worry and so worry they do. Rob Ford, head of asset-backed trading at Barclays Capital, is concerned that prepayment risk is rising and that the impact is not being properly priced in.

As securitisation issues are trading at a premium to par, reinvesting is a problem if bonds are repaid while new mortgage products make it evermore likely that there will be prepayment. Mr Ford recently even went as far as to say the pricing on Bloomberg may be misleading because the prepayment assumptions when the deal was priced may not reflect current trends. In a bull market, it seems, everything gets out of line.

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