Prepayments helped pay down senior bonds, making the remaining subordinated tranches the larger share of an expanded-credit deal’s balance. Result: A larger cushion against potential losses, DBRS said.
In the span of two days, Chase offered a first-of-its-kind risk-sharing transaction involving non-qualified mortgages and two prime non-agency MBS, including one with a balance of $1.10 billion.
JPMorgan Chase is set to issue a credit-risk transfer transaction involving non-QMs and Ellington Financial is the first issuer with a non-QM MBS predominantly stocked with loans originated after March 2020.