KBRA Affirms the Rating of Argentic Risk Retention Pass Through Certificates, MOA 2020-H7 E
12 Jul 2024 | New York
KBRA affirms the outstanding BBB- (sf) rating of Argentic Risk Retention Pass Through Certificates, MSC 2019-H7 E, a $22.4 million pass through certificate. The rating is solely dependent on the rating of the underlying E-RR certificate within MSC 2019-H7, a CMBS conduit securitization rated by KBRA. The affirmations follow a surveillance review of the underlying transaction, which has exhibited stable pool performance since issuance.
As of the June 2024 remittance report, there are two specially serviced assets (2.0% of the pool balance), one of which is matured performing (1.1%). KBRA identified 11 K-LOCs (18.9%), including the specially serviced assets. Of the K-LOCs, one (1.9%) has an estimated loss. Excluding the K-LOC with an estimated loss, the transaction’s WA KLTV is 97.5%, compared to 99.9% at last review and 98.3% at securitization. The KDSC is 1.89x, compared to 1.87x at last review and 1.88x at securitization.
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.
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