60% of IVR's non-agency RMBS portfolio is Senior Re-Remics. These have 40% credit enhancement and were legacy AAA prime/jumbo/Alt-A securities purchased by someone else (at a very low price) then re-securitized to create new AAA securities. IVR buys the most senior piece of this securitization. The borrower payment profile here is extremely solid (IVR gets paid first in the pool) and hence these securities typically have only a 3 year duration. The likelihood of any realized credit losses on this book is very low irrespective of what Markit Indices indicate. Any unrealized losses will reverse relatively quickly as these securities pay down in a fairly rapid fashion.
Haircuts on Re-Remics have remained very low. Prices on the most senior pieces have also held up better than the indices show. This is a pretty safe asset, as I detailed earlier--40% subordination gives you lots of downside protection.
Plenty of dealers are extending repo financing to higher quality customers like Invesco (and I mean the entire organization, which includes a big global fixed income manager). What evidence do you have to the contrary and why are you so convinced that there will be a problem here accessing financing? There is just no support for the scenarios you keep painting.
I do want to buy credit--when it is the top of the quality stack and unlikely to experience any losses yet is priced as if there will be huge losses. Why buy something riskier when I have confidence in the credit quality here? The margin of safety is a lot higher.
IVR is like my personal Re-Remic trading at 70 cents on the dollar. It can trade at 60 or 50 cents, I realize, but ultimately it will go to par. And I get paid well to wait until that day.