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KBRA Assigns Preliminary Ratings to PNMAC GMSR ISSUER TRUST, Series 2018-GT2 Term Notes
[August 03, 2018]

KBRA Assigns Preliminary Ratings to PNMAC GMSR ISSUER TRUST, Series 2018-GT2 Term Notes

Kroll Bond Rating Agency (KBRA) assigns a rating of 'BBB- (sf)' to the Series 2018-GT2 Term Notes from PNMAC GMSR ISSUER TRUST, PennyMac Loan Services, LLC's (PLS) master trust issuer of notes backed by participation certificates evidencing participation interest in mortgage servicing rights (MSR) on loans underlying Ginnie Mae guaranteed mortgage backed securities. KBRA's rating on the notes is primarily dependent upon the rating of Private National Mortgage Acceptance Company, LLC (PNMAC), as repurchase guarantor.

KBRA's rating on the Series 2018-GT2 Term Notes is primarily dependent on the credit rating of PNMAC (KBRA Rating: BB+/Stable) as repurchase guarantor under a repo facility in support of the Issuer's rights to MSRs granted by Ginnie Mae to PNMAC's affiliate, PLS, with certain transaction features described more fully in KBRA's presale report providing one notch uplift on the rating of the notes. Generally, these transaction features are factors that KBRA believes reduce the risk of extinguishment of the MSRs by Ginnie Mae which include but are not limited to (i) the alignment of interest between PLS and Ginnie Mae based on PLS's size and market share, (ii) a tri-party acknowledgement agreement which includes PLS, Ginnie Mae, and the Indenture Trustee, (iii) an uncapped Advance VFN existing for the purpose of advancing Ginnie Mae MBS payments on behalf of PLS where the Advance VFN provider must also be a provider of the MSR VFN, and (iv) structural tests and triggers designed to amortize the term notes upon test failure. The notes are not a direct debt obligation of PLS or its affiliates; however, PNMAC's guarantee of PLS's obligations under the PC Repurchase Agreement creates a significant indirect dependency on PNMAC to make payments on the rated notes.

KBRA's rating approach for the rated notes utilized its b>Global Finance Company Rating Methodology (November 28, 2017). KBRA's Finance Company methodology incorporates an analysis of both business and financial factors in determining ratings. Some of the business factors include (1) market share, branding and viability, (2) risk management, and (3) economic and operational risks. Some financial factors include (1) profitability (2) liquidity and funding (3) leverage and capital adequacy, and (4) asset quality.

For complete details on the analysis, please see our pre-sale report, PNMAC GMSR ISSUER TRUST, Series 2018-GT2, which was published at

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About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

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