Market Overview

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 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
, which was published at

Related Publications: (available


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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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