KBRA assigns preliminary ratings to PNMAC GMSR ISSUER TRUST MSR COLLATERALIZED NOTES, Series 2022-GT1


NEW YORK–(BUSINESS WIRE)–KBRA assigns preliminary ratings of “BBB(sf)” to Term Notes Series 2022-GT1 of PNMAC GMSR ISSUER TRUST, the primary trust issuer of PennyMac Loan Services, LLC (PLS) of back-to-back notes participation certificates evidencing a participating interest in the mortgage servicing rights (MSR) on the loans underlying the mortgage-backed securities guaranteed by Ginnie Mae. KBRA’s rating on the Notes is primarily dependent on the rating of Private National Mortgage Acceptance Company, LLC (PNMAC), as guarantor of the redemption.

KBRA’s rating on Term Notes Series 2022-GT1 is primarily dependent on PNMAC’s credit rating (KBRA Rating: BBB-/Stable) as a repurchase guarantor under a repurchase agreement facility in support of the issuer’s rights to MSRs granted by Ginnie Mae to PNMAC’s affiliate, PLS, certain features of the transaction being further described in KBRA’s pre-sale report providing a one-notch increase in ticket rating. Generally, these features of the transaction are factors that KBRA believes reduce the risk of MSR being extinguished by Ginnie Mae, including (i) the alignment of interests between PLS and Ginnie Mae on the basis of size and of PLS’s market share, (ii) a Tripartite Recognition Agreement which includes PLS, Ginnie Mae and the Indentured Trustee, (iii) an existing uncapped Advanced VFN for the purpose of advancing Ginnie Mae’s MBS payments to the name of PLS ​​where holder of Advanced VFN must also hold MSR VFN, and (iv) structural tests and triggers designed to amortize term notes in the event of test failure. The Notes do not constitute 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 reliance on PNMAC to make payments on the rated notes.

When reviewing the rating, KBRA used its Overall rating methodology for financial companies, Corporate Instrument Notching Global Methodologyand ESG Global Rating Methodology.

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About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a rating agency with the UK Financial Conduct Authority under the temporary registration scheme. In addition, KBRA is designated as the Designated Rating Agency 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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