KBRA Assigns Preliminary Ratings to PNMAC GMSR ISSUER TRUST MSR COLLATERALIZED NOTES, Series 2022-GT1

KBRA assigns preliminary ratings of ‘BBB (sf)’ to the Series 2022-GT1 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 2022-GT1 Term Notes is primarily dependent on the credit rating of PNMAC (KBRA Rating: BBB-/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 holder must also be a holder 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.

In performing the rating review, KBRA utilized its Finance Company Global Rating Methodology, Corporate Instrument Notching Global Methodology, and ESG Global Rating Methodology.

Click here to view the report. To access ratings and relevant documents, click here.

Related Publications

• Private National Mortgage Acceptance Company, LLC Surveillance Report
• Finance Company Global Rating Methodology
• Corporate Instrument Notching Global Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

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