The mortgage backed securities market is not dead after all, but if the latest issue is any indication it has morphed dramatically.Three mortgage managers, Collins Securities, Pioneer Mortgage Securities and Prime Mortgage Group have joined forces to establish a funding program called Trilogy Asset Securities Trust Series 1. The trio priced these securities on March 7. The trust has one undisclosed investor and the pricing was set at an undisclosed coupon. The funding program has a $303 million capacity. All loans will be variable rate housing loans that will be insured under an LMI policy.The senior tranche is rated Aa2 by Moody's (rather than the more typical Aaa) and makes up 99 per cent of the program. An unusual feature of the program is that it includes $3 million of NIM notes - cashflow from the excess spread that the originators are entitled to.Moody's analyst Jennifer Wu said it was unique to have NIM notes issued with principal notes.The trust manager is HVB Australia, the local subsidiary of a German bank that is part of the European Financial Services Group, UniCredit.UniCredit was involved in an RHG (formerly Rams) funding package earlier this year and there has been speculation that it is the sole investor in Trilogy.