KBRA Downgrades the Rating of Argentic Risk Retention Pass Through Certificates, MOA 2020-WC39 E
1 Aug 2025 | New York
KBRA downgrades its BB (sf) rating to B- (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 KBRA's estimated losses from eight K-LOCs (33.9% of the pool balance) since last ratings change in August 2024.
As of the July 2025 remittance period, there are seven specially serviced assets (25.2%), one of which is REO (2.4%). KBRA identified ten K-LOCs (37.4%), including the specially serviced assets, of which eight (33.9%) have estimated losses. Excluding the K-LOCs with estimated losses, the transaction's WA KLTV is 88.9%, compared to 97.1% at last ratings change and 94.6% at securitization. The KDSC is 1.75x, compared to 1.80x at last ratings change and 2.04x 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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