DBRS Morningstar Confirms All Ratings on A10 Revolving Asset Financing I, LLC

DBRS Limited (DBRS Morningstar) confirmed its ratings on A10 Revolving Asset Financing I, LLC (the Issuer) as follows:

-- $250 million Class A Senior Variable Funding Notes (the Class A Notes) at AA (low) (sf)
-- $10 million Class B Senior Subordinated Floating Rate Notes (the Class B Notes) at BBB (high) (sf)

The trends are Stable.

The ratings are based on a pool composed of commercial real estate loans derived from the concentration limits and eligibility requirements as defined in the Fifth Amended and Restated Trust Indenture (the Trust Indenture). The transaction closed in October 2012 and was extended and initially upsized in October 2013, when the Class A Notes were increased to $200 million, up from $150 million at issuance. In November 2020, the borrower, A10 Capital, LLC, extended its revolving financing facility to November 2022 and the Issuer again upsized the Class A Notes, to $250 million. With each extension and upsize, DBRS Morningstar reviewed the documentation and finalized terms as part of the Issuer’s request for Rating Agency Confirmation (RAC). In addition to the provided RACs, a full surveillance review was conducted in both cases, in which DBRS Morningstar confirmed the ratings on both the Class A and Class B Notes.

DBRS Morningstar constructed a pool based on transactions previously closed by the Issuer, as well as the concentration limits and eligibility requirements as defined in the Trust Indenture for the subject transaction. The ratings address the likelihood of the timely receipt by the Class A Noteholders of interest and the ultimate repayment of principal on or before the legal final maturity date of the Issuer. The Class A Notes mature on the payment date occurring seven years following the date of the latest extension of the facility. The rating on the Class B Notes addresses the ultimate repayment of principal and, with regard to interest, the likelihood of the timely receipt by the Class B Noteholders of interest to the extent not deferred as provided for in the indenture and, if deferred, ultimate repayment of interest by its final legal maturity date. The Class B Notes shall mature on the payment date occurring three months following the legal final maturity date of the Class A Notes.

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.

DBRS Morningstar did not perform an updated model run as performance was deemed to be generally in line with expectations at the last review. As of the previous actions published on October 29, 2020, a material deviation from the North American CMBS Insight Model was reported on the Class A Notes, in which the rating assigned was higher than the implied results. The material deviation is warranted given the structural features (loan or transaction) and/or provisions in other relevant methodologies, which outweigh the quantitative model output.

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

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

The principal methodology is 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.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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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