This is one of those RMBS REITs with 9:1 leverage. These things don't seem like a good idea. I get why you might do this stuff opportunistically as a bank - but as a stand alone vehicle seems like you are likely to get screwed or get wiped out if a capital injection is needed.
I presume the managers determine the appropriate amount of leverage for this by solving for the yield required to get crazy investors to buy it. Even in a crisis where RMBS spreads widen way out and this trades way below book I think I would have a hard time investing in this.
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