PennyMac Mortgage Investment Trust-穆迪(Moody's)确认PennyMac Mortgage Investment Trust的长期发行人评级为B2结论性审查; 前景是负面的

Rating Action: Moody’s confirms PennyMac Mortgage Investment Trust’s long-term issuer rating at B2 concluding review; outlook is negative

全球信贷研究– 27年2020月XNUMX日

New York, August 27, 2020 — Moody’s Investors Service, (“Moody’s”) has confirmed PennyMac Mortgage Investment Trust’s (PMT) corporate family rating at Ba3 and its long-term issuer rating at B2, concluding the review for downgrade initiated on 21 May 2020. The outlook is negative.

The review followed financial losses reported in the first quarter of 2020. The confirmation of PMT’s ratings reflects the company’s improved capitalization and the expectation that profitability will continue to benefit from strong origination volumes over the next 12-18 months. In addition, the company has maintained a solid liquidity profile, with a lessened reliance on mark-to-market financing, making it more resilient to market shocks.

The rapid and widening spread of the coronavirus outbreak has led to a severe and extensive credit shock across many sectors, regions and markets. Given Moody’s expectation for deteriorating asset quality, profitability, capital and liquidity, the residential mortgage Real Estate Investment Trust (REIT) sector is among those most affected by this credit shock. Moody’s regards the coronavirus outbreak as a social risk under its environmental, social and governance (ESG) framework, given the substantial implications for public health and safety.


The confirmation of PMT’s ratings reflects an unchanged ba3 standalone assessment, following the large financial loss PMT reported in the first quarter of 2020, which significantly reduced its capitalization. While Moody’s expects the mortgage market to remain volatile over the next 12-18 months in this challenging operating environment, PMT’s standalone credit profile benefits from strengthened, higher capital levels.

The company experienced an approximately 29% decline in book equity in the first quarter of 2020 due to a $600.9 million net loss driven by a $1 billion non-cash fair value decline on its government-sponsored enterprise (GSE) credit risk transfer (CRT) investments.

However, in the second quarter of 2020, PMT reported net income of $458.4 million, driven by record correspondent mortgage loan production segment results and a partial recovery of approximately $453 million in the fair value of its GSE CRT investments.

The company’s capitalization as measured by tangible common equity to tangible managed assets (TCE/TMA) increased to 24.6% as of 30 June 2020 from 15.3% as of 31 March 2020. The improved capitalization was achieved through strong profitability, as well as a decline in assets in the second quarter, resulting in higher capital metrics, evidencing the company’s greater ability to absorb unexpected losses.

Elevated origination volumes, strong gain-on-sale margins and reduced reliance on mark-to-market financing should support solid profitability for PMT over the next 12-18 months, from what it experienced in the first quarter of 2020 when it reported a net loss of $600.9 million, driven by a non-cash fair value loss of approximately $1 billion on its CRT investments. Furthermore, the company’s liquidity profile benefits from lessened reliance on mark-to-market financing through term financing, which does not contain mark-to-market provisions, for all of its funded CRT investments. As a result of the term financing structure, PMT has not been subject to margin calls.

The rapid and widening spread of the coronavirus outbreak, deteriorating global economic outlook, and asset price declines are creating a severe and extensive credit shock across many sectors, regions and markets. The residential mortgage Real Estate Investment Trust (REIT) sector has been one of the sectors affected by the shock and PMT has experienced significant volatility in the fair value of its CRT investments, incurring a sizable net loss in the first quarter of 2020 and a partial recovery in the second quarter of 2020, which led to volatility in its capital levels for the first half of 2020. Moody’s regards the coronavirus outbreak as a social risk under its environmental, social and governance (ESG) framework, given the substantial implications for public health and safety. Today’s actions reflect the impact on PMT of the breadth and severity of the shock, and the deterioration in credit quality it has triggered.

The negative outlook reflects Moody’s view that challenging operating conditions will continue, including uncertainty and volatility in the mortgage market, over the next 12-18 months. The negative outlook reflects the risks for creditors from the volatility of the company’s performance in this challenging environment, with uncertainty about future mortgage loan delinquencies and related realized, actual losses on PMT’s CRT investments, as well as volatility of capital levels stemming from fair value changes to PMT’s CRT investments.


The negative outlook indicates that a ratings upgrade is unlikely over the next 12-18 months. The outlook could return to stable if the company continues to maintain its strong profitability and capital levels; for example, net income to average managed assets and TCE/TMA remain above 4.0% and 20.0%, respectively.

The ratings could be downgraded if the company’s liquidity position deteriorates beyond an adequate buffer to its debt covenants, its franchise deteriorates demonstrated by materially weakened profitability, or its capitalization as measured by tangible common equity to tangible managed assets deteriorates below 15%.

The principal methodology used in these ratings was Finance Companies Methodology published in November 2019 and available at Alternatively, please see the Rating Methodologies page on for a copy of this methodology.


有关穆迪关键评级假设和敏感性分析的进一步说明,请参阅本披露表中的方法学假设和假设敏感性部分。 穆迪的评级符号和定义可以在以下网址找到:。

对于按计划,系列,债务类别/类别或证券发行的评级,本公告提供了与随后发行的债券,同一系列,债务类别/类别,抵押或证券的评级有关的某些监管披露。根据穆迪(Moody)的评分惯例,仅从现有评分中获得评分的程序。 对于在支持提供者上发布的评级,本公告提供了有关支持提供者的信用评级操作以及从支持提供者的信用评级得出其信用评级的证券的每个特定信用评级操作的某些法规披露。 对于临时评级,在每种情况下交易结构和条款均未发生变化的情况下,本公告提供了与所分配的临时评级以及最终债务发行之后可能分配的最终评级相关的某些监管披露。在以可能影响等级的方式分配最终等级之前。 有关更多信息,请访问www.moodys.com上相应发行人的发行人/实体页面上的“评级”标签。

对于从本信用评级行动的主要实体获得直接信用支持的任何受影响的证券或受评级实体,并且其信用评级行动的结果可能会改变其评级,相关的监管披露将为担保人的披露。 如果适用于司法管辖区,则以下披露存在此方法的例外情况:辅助服务,对评级实体的披露,对评级实体的披露。


征集这些评级。 请参阅其网站www.moodys.com上提供的穆迪“指定和分配未经请求的信用评级政策”。




本信用评级公告的全球规模信用评级是由穆迪在欧盟以外的一家关联公司发布的,并根据该协议第5条第60322款获得了穆迪的Deutschland GmbH(位于德国美因河畔法兰克福市安德维尔4号,邮编3)的认可。关于信用评级机构的(EC)第1060/2009号法规。 有关欧盟认可状态以及穆迪发布信用评级办公室的更多信息,请访问。



吉恩·伯曼(Gene Berman)副总裁-分析师金融机构集团穆迪投资者服务公司250 Greenwich Street纽约,纽约州10007美国新闻工作者:1 212 553 0376客户服务:1 212 553 1653安娜·阿索夫医学博士-金融机构金融机构组织新闻工作者:1 212 553 0376客户服务:1 212 553 1653发布办公室:穆迪投资者服务公司250 Greenwich Street New York,NY 10007美国新闻工作者:1 212 553 0376客户服务:1 212 553 1653

©2020年,穆迪公司,穆迪投资者服务公司,穆迪分析公司和/或其许可人和关联公司(统称为“穆迪”)。 版权所有。

由穆迪投资者服务公司和/或其信用评级联盟发布的信用评级是穆迪当前对实体,信用承诺或债务或债务类证券,材料和商品,产品的相对未来信用风险的当前选择。穆迪(统称“出版物”)可能包含此类当前意见。 MOODY的投资者服务将信用风险定义为存在风险,即实体可能会因违约或损害而来,并没有履行其合同上的财务义务,并承担任何预计的财务损失。 有关由穆迪投资者服务信用评级解决的合同财务义务类型的信息,请参见穆迪的评级符号和定义出版物。 信用评级不会解决任何其他风险,包括但不仅限于:流动风险,市场价值风险或价格波动。 信用评级,非信用评估(以下简称“评估”)以及穆迪出版物中包含的其他意见均不是当前或历史事实的陈述。 穆迪的出版物还可能包括基于定量模型的信用风险和相关观点的估计,或者穆迪分析公司和/或其附属机构发表的评论。 穆迪的信用等级,评估,其他意见和出版物不构成或提供投资或财务建议,穆迪的信用等级,评估,其他意见和出版物也不是,也不提供针对建议的购买建议。 穆迪的信用评级,评估,其他意见和出版物并未评论任何特定投资者的投资适宜性。 穆迪(Moody)发行其信用评级,评估和其他意见,并发布其出版物,并期望并理解,每位投资者都将在适当的照顾下,对每项安全性进行充分的研究和评估,然后再考虑对这些安全性进行评估。

穆迪的信用评级,评估,其他观点和出版物不供零售投资者使用,零售投资者不愿意,不恰当地使用穆迪的信用评级,评估,评估,其他意见或建议。 如果您有任何疑问,请联系您的财务或其他专业顾问。



MOODY'S从其认为是准确和可靠的来源获得本文包含的所有信息。 但是,由于人为或机械错误的可能性以及其他因素,此处包含的所有信息均按“原样”提供,没有任何形式的保证。 MOODY'S采取了所有必要的措施,以便其在分配信用等级时使用的信息具有足够的质量,并且来自MOODY'S认为可靠的来源,包括适当的时候,包括独立的第三方来源。 但是,MOODY'S不是审核员,因此在任何情况下都无法独立地验证或确认在评级过程中或准备其出版物时收到的信息。


在法律允许的范围内,MOODY'S及其董事,高级职员,雇员,代理商,代表,许可人和供应商不承担对任何个人或实体造成的任何直接或补偿性损失或损害的责任,包括但不限于任何过失(但不限于不包括穆迪或其任何董事,高级职员,雇员的舞弊,故意的不当行为或为避免疑义而无法排除的任何其他类型的责任(为避免法律的疑问) ,代理商,代表,许可人或供应商,源自或与此处包含的信息或使用或无法使用任何此类信息有关。


穆迪公司(“ MCO”)的全资信用评级机构子公司穆迪投资者服务公司(Moody's Investors Service,Inc.)特此披露,大多数债务证券发行人(包括公司和市政债券,债券,票据和商业票据)和优先股评级为穆迪投资者服务公司(Moody's Investors Service,Inc.)同意,在分配任何信用等级之前,已同意向穆迪投资者服务公司(Moody's Investors Service,Inc.)征求其提供的信用等级意见和服务,费用从1,000美元到大约2,700,000美元不等。 MCO和穆迪投资者服务公司还维护政策和程序,以解决穆迪投资者服务公司信用评级和信用评级程序的独立性。 有关MCO董事与受评级实体之间以及持有穆迪投资者服务公司信用评级并已向SEC公开报告超过5%的MCO所有权权益的实体之间可能存在的某些隶属关系的信息,每年都会在以下网址上发布:,标题为“投资者关系-公司治理-董事和股东联盟政策”。

仅适用于澳大利亚的其他条款:本文档在澳大利亚的任何出版物均遵循MOODY'S分支机构的澳大利亚金融服务许可证,穆迪投资者服务有限公司ABN 61 003 399 657 AFAF 336969和/或穆迪分析澳大利亚有限公司ABN 94 105 136 972 AFSL 383569(如适用)。 本文档仅提供给《 761年公司法》第2001G条所指的“批发客户”。通过继续从澳大利亚内部访问本文档,您向MOODY'S表示您正在或以下列方式访问本文档:代表“批发客户”,并且您或您所代表的实体都不会直接或间接地将本文件或其内容传播给《 761年公司法》第2001G条所指的“零售客户”。MOODY的信用评级是一种观点关于发行人债务义务的信誉度,而不是发行人的股本证券或散户投资者可用的任何形式的担保。

仅限日本的附加条款:穆迪日本KK(“ MJKK”)是穆迪集团日本GK的全资信用评级机构子公司,该公司由MCO的全资子公司穆迪海外控股有限公司全资拥有。 穆迪SF Japan KK(“ MSFJ”)是MJKK的全资信用评级机构子公司。 MSFJ不是国家认可的统计评级组织(“ NRSRO”)。 因此,MSFJ分配的信用等级为非NRSRO信用等级。 非NRSRO信用评级是由非NRSRO的实体分配的,因此,根据美国法律,额定义务将不符合某些类型的待遇。 MJKK和MSFJ是在日本金融服务局注册的信用评级机构,其注册号分别为FSA专员(评级)第2号和第3号。