KBRA Assigns Preliminary Ratings to PMT ISSUER TRUST – FMSR, Series 2018-FT1 Term Notes

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns a rating of ‘BBB- (sf)’ to the Series 2018-FT1 Term Notes from PMT ISSUER TRUST – FMSR, PennyMac Corp. (PMC) master trust issuer of notes backed by participation certificates evidencing participation interest in mortgage servicing rights (MSR) on loans underlying Fannie Mae guaranteed mortgage backed securities. KBRA’s rating on the notes is primarily dependent upon the rating of PennyMac Mortgage Investment Trust (PMT), as guarantor.

KBRA’s rating on the Series 2018-FT1 Term Notes is primarily dependent on the credit rating of PMT (KBRA Rating: BB+/Stable) guarantees all obligations of PMC under the PC Repurchase Agreement pursuant to the Repo Guaranty, which are obligations of the Repo Seller, including the repurchase and payment obligations of the Servicer that are guaranteed by the Repo Guarantor. Transaction features are fully described in KBRA’s pre-sale report providing one notch uplift on the rating of the notes.

Generally, these transaction features are factors that KBRA believes reduce the risk of Fannie Mae terminating PMC’s rights to the MSRs and asset volatility: (i) PMC’s servicing capabilities through agreements with PLS, a subsidiary of PennyMac Financial Services Inc. (PFSI) along with the pre-existing relationship between Fannie Mae, PMC and PLS, and Fannie Mae’s consent to PMC’s securitization of the MSR pursuant to the acknowledgment agreement (AA) (ii) a tri-party AA among Fannie Mae, PMC, and the securitization Indenture Trustee, (iii) c. Direct guarantee from PMT on PMC’s obligations to make payments or post collateral to resolve collateral value deficiencies that may arise (iv) structural tests and triggers designed to amortize the term notes upon test failure. The Issuer pledge the participation certificates, the Issuer’s rights under the PC Repurchase Agreement, the Issuer’s rights as pledgee of the MSRs and the related collateral to the Indenture Trustee pursuant to the terms of the Base Indenture to secure its obligations with respect to the offered notes.

KBRA’s rating approach for the rated notes utilized its Global Finance Company Rating Methodology (November 28, 2017). KBRA’s Global 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, PMT ISSUER TRUST - FMSR, Series 2018-FT1, which was published on April 19, 2018 on www.kbra.com.

Related Publications: (available at www.kbra.com)

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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.

Contacts

Kroll Bond Rating Agency
Analytical:
Lenny Giltman, 646-731-2378
Managing Director
lgiltman@kbra.com
or
Sharif Mahdavian, 646-731-2301
Senior Director
smahdavian@kbra.com
or
Kristymarie Cariello, 646-731-2494
Director
kcariello@kbra.com
or
Jack Kahan, 646-731-2486
Managing Director
jkahan@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical:
Lenny Giltman, 646-731-2378
Managing Director
lgiltman@kbra.com
or
Sharif Mahdavian, 646-731-2301
Senior Director
smahdavian@kbra.com
or
Kristymarie Cariello, 646-731-2494
Director
kcariello@kbra.com
or
Jack Kahan, 646-731-2486
Managing Director
jkahan@kbra.com