Two months back Macquaire Equities Research issued a report declaring that investing in agency MBS “is like playing a game of chicken.” The analytics firm was speaking mainly about REITs, advising its clients to “take the dividends and run.” Its chief concern was that MBS investing REITs aren’t diversified. “We spoke with agency REIT management teams and found that while the current environment is challenging, for the most part they remain committed to the agency MBS asset class,” wrote Macquarie analyst Jasper Burch. Earlier this month, hedge fund giant Cerberus Capital filed...