KBRA Affirms the Rating of Argentic Risk Retention Pass Through Certificates, MOA 2020-WC41 E
11 Oct 2024 | New York
KBRA affirms the outstanding BBB- (sf) rating of Argentic Risk Retention Pass Through Certificates, MOA 2020-WC41 E, a $22.6 million pass through certificate. The rating is solely dependent on the rating of the underlying E-RR certificate within WFCM 2017-C41, a CMBS conduit securitization rated by KBRA. The affirmations follow a surveillance review of the underlying transaction, which has exhibited a slight improvement in pool performance since KBRA's last rating change in January 2021 primarily due to a decline in delinquent and specially serviced assets. However, the level of K-LOCs remains relatively elevated.
As of the September 2024 remittance period, there are no delinquent or specially serviced assets within the underlying trust; however, KBRA identified 11 K-LOCs (28.7% of the pool balance). Of the K-LOCs, five (10.4%) have estimated losses. Excluding the K-LOCs with estimated losses, the transaction’s WA KLTV is 108.4%, compared to 114.0% at KBRA’s last rating change and 102.6% at securitization. The KDSC is 1.59x, compared to 1.54x at KBRA’s last rating change and 1.72x 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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