Non-agency MBS issuance posts sharp decline in Q2
Ellington Financial Mortgage Trust continues its non-QM loan buying spree amid reports of a slowdown in non-agency MBS issuance.
The firm announced Tuesday that it closed a $345.7 million RMBS transaction backed by a pool of non-qualified mortgages. The underlying collateral is comprised of 765 residential mortgages, with 74.0% of the loans underwritten using bank statements, asset depletion, and DSCR documentation types.
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Approximately 58.1% of the loans were categorized as non-QM, while the remaining loans were classified as exempt from the ATR/QM rule, having been originated for a business purpose such as investment properties.
However, demand for non-agency MBS seems to be weakening. According to data from Inside Nonconforming Markets, mortgage companies issued $21.35 billion of non-agency MBA in the second quarter, down 39% from the previous quarter.
“Rising interest rates have led to diminished demand for MBS that are backed by loans originated at below prevailing rates,” trade publication Inside Mortgage Finance wrote in a report. “Given the amount of time it takes for issuers to accumulate enough mortgages to make a securitization profitable, loans in non-agency MBS have often seasoned for at least two months by the time a deal starts marketing.”
