DBRS Morningstar Confirms All Ratings of A10 Bridge Asset Financing 2020-C, LLC

DBRS Limited (DBRS Morningstar) confirmed the ratings on the following classes of notes issued by A10 Bridge Asset Financing 2020-C, LLC:

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (low) (sf)
-- Class C Notes at A (low) (sf)
-- Class D Notes at BBB (high) (sf)
-- Class E Notes at BBB (low) (sf)
-- Class F Notes at BB (sf)
-- Class G Notes at B (sf)

All trends are Stable.

The rating confirmations reflect the overall performance of transaction, which has remained in line with DBRS Morningstar’s expectations. In conjunction with this press release, DBRS Morningstar has published a rating action report with in-depth analysis and credit metrics for the transaction with business plan updates on the select loans. To access this report, please click on the link under Related Documents below or by contacting us at [email protected].

The initial collateral consisted of 58 loans secured by cash flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. Of those 58 loans, 32 were cross-collateralized and cross-defaulted into separate portfolios. At issuance, the pool had an initial trust balance of $398.2 million comprising loan assets and $10.8 million held in a reserve account to fund future funding participations.

As of the July 2021 remittance report, 46 of the original 58 loans remain in the pool and 27 of the remaining loans are cross-collateralized and cross-defaulted into its respective portfolios. The current trust balance of $329.7 million consists of an outstanding aggregate loan balance of $323.2 million with $6.6 million held in reserve, representing a collateral reduction of 17.6% since issuance. According to the collateral manager, cumulative future funding of $22.3 million has been released to individual borrowers to date to aid in business plan completion and $24.2 million of future funding remains outstanding. No loans are in special servicing but seven loans, representing 20.8% of the maximum trust balance, are on the servicer’s watchlist.

The transaction consists of both recently originated loans and loans that were originated in 2017 or earlier. Currently 19 loans, representing 59.7% of the pool balance, were originated in 2019 or 2020 with the remaining loans, representing 40.3% of the pool, originated prior to 2018. There is the potential for adverse selection in the transaction as properties secured by the seasoned loans have generally needed more time than originally projected to stabilize; however, these loans also generally have moderate leverage based on updated appraised values ordered prior to the subject transaction, which was securitized in September 2020. As of the July 2021 reporting, the transaction had a weighted-average as-is loan-to-value ratio of 52.4%.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

All ratings are subject to surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by DBRS Morningstar.

DBRS Morningstar provides updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction:

-- Prospectus ID#39 – One Harbor Landing (4.8% of the pool balance)
-- Prospectus ID#41 – Two Harbor Landing (2.5% of the pool balance)
-- Prospectus ID#40 – Three Harbor Landing (3.0% of the pool balance)
-- Prospectus ID#42 – Five Harbor Landing (0.9% of the pool balance)
-- Prospectus ID#8 – Belle View Office Park (3.3% of the pool balance)
-- Prospectus ID#12 – St. Louis Holiday Inn (2.7% of the pool balance)
-- Prospectus ID#10 – Stream – Town & Country (3.1% of the pool balance)
-- Prospectus ID#32 – Stream – North River (1.2% of the pool balance)

For complimentary access to this content, please register for the DBRS Viewpoint platform at www.viewpoint.dbrsmorningstar.com The platform includes issuer and servicer data for most outstanding CMBS transactions (including non-DBRS Morningstar rated), as well as loan-level and transaction-level commentary for most DBRS Morningstar-rated and -monitored transactions.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is the North American CMBS Surveillance Methodology (March 26, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria. For a list of the structured-finance-related methodologies that may be used during the rating process, please see the DBRS Morningstar Global Structured Finance Related Methodologies document, which can be found on dbrsmorningstar.com in the Commentary tab under Regulatory Affairs. Please note that not every related methodology listed under a principal structured finance asset class methodology may be used to rate or monitor an individual structured finance or debt obligation.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at [email protected].

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process. Please note a sensitivity analysis is not performed for CMBS bonds rated CCC or lower. The DBRS Morningstar long-term rating scale definition indicates that ratings of CCC or lower are assigned when the bond is highly likely to default or default is imminent, thereby prevailing over a sensitivity analysis.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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