PennyMac is preparing to sponsor $468 million in securitized bonds secured by mortgages on prime, agency-eligible mortgages. The residential mortgage-backed securities deal (RMBS), PMT Loan Trust, 2024-INV2, offers super-senior, senior support and class B notes.
The deal issues about 24 tranches of notes, including two residual tranches, according to Kroll Bond Rating Agency, which assessed the notes. Moody's Ratings also assessed the notes, according to Asset Securitization Report's deal database. Some yields ranged from 5.8% on the Aaa/AAA (KBRA/Moody's) to 5.9% on the Aa1/AA, according to the database.
KBRA notes that the super senior classes benefit from 15.0% in credit enhancement. Senior support notes will benefit from 6.6% in coverage, while subordinate enhancement levels range from 5.3% to 0.70%.
Notes will repay investors sequentially, according to KBRA, from a pool of 1,301 fixed-rate mortgages that have an aggregate principal balance of $468,088, and all of which are first liens.
The RMBS notes have a final maturity date of December 2059, according to KBRA.
On a weighted average (WA) basis, borrowers had an original FICO score of 774. A little over a quarter of the borrowers, 25.1%, are self-employed, says KBRA. Borrowers also have an annual income of $307,671, and liquid reserves of $448,498, according to the rating agency.
The pool also benefits from geographic diversity. While California is the state with the largest percentage of the pool balance, and Los Angeles accounts for the largest central business area, the concentrations are relatively small. California accounts for 14.0% of the pool balance, while Los Angeles represents 4.2% among cities.
KBRA assigns AAA to the super senior notes; AA to the senior notes; AAA to the A-X6 through A-X25; AA to the A-X30 and A-X31; AA- to the B1 notes; A- to the B2 notes; BBB- to the B3 notes; BB to the B4 notes; and B+ to the B5 notes.
