The rating service made a couple of issuer-friendly tweaks to its MBS loss model criteria proposed in June. The rating service, for the first time, will con-sider catastrophic risk when assessing loans.
Several real estate investment trusts, including MFA Financial and Starwood Property Trust, are expanding their portfolio of non-qualified mortgages. The loans provide attractive returns, whether retained or bundled into an MBS.
Annaly and Chimera are generating strong returns aggregating mortgages, issuing non-agency MBS and retaining subordinate tranches from the deals. Chimera plans to be a regular issuer of non-agency MBS with GSE-eligible loans.
Quicken increased its contributions to prime non-agency MBS this year, including $619 million of loans going into deals issued in the second quarter. Characteristics of the deals were largely unchanged.