KBRA Downgrades the Rating of Argentic Risk Retention Pass Through Certificates, MOA 2020-WC39 E
2 Aug 2024 | New York
KBRA downgrades the BBB- (sf) rating to BB (sf) for the Argentic Risk Retention Pass Through Certificates, MOA 2020-WC39 E, a $36.9 million pass through certificate. The rating is solely dependent on the rating of the underlying E-RR certificate within WFCM 2017-C39, a CMBS conduit securitization rated by KBRA. The rating action follows a surveillance review of the transaction, which has exhibited an increase in estimated losses from five K-LOCs (21.2% of the pool balance).
As of the July 2024 remittance, there are five specially serviced assets (14.2%) within the underlying trust. KBRA identified nine K-LOCs (27.2% of the pool balance), five of which (21.2%) have estimated losses. Excluding the K-LOCs with estimated losses, the transaction's WA KLTV is 97.1%, compared to 99.0% at last review and 94.6% at issuance. The KDSC is 1.80x, compared to 1.84x at last review and 2.04x at issuance.
Rating Sensitivities
The factors that can lead to qualification or change of the rating include: 1) The rating of the pass through certificate is directly and solely dependent on the rating of its underlying collateral certificate, 2) The rating of the underlying collateral certificate is dependent on the performance of the CMBS conduit transaction that issued them, which is a function of the credit behavior of the underlying loans and performance of the properties that serve as loan collateral, and 3) The scope and interpretation of risk retention regulations is largely untested in any legal or regulatory proceedings. Adverse interpretations or actions by legal or regulatory authorities could result in qualification or withdrawal of ratings on the pass through certificate.
To access rating and relevant documents, click here.