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COMMENTS

European CMBS Monitor Q3 2020

COMMENTS

Dutch Covered Bond Market Insights 2020

NEWS

Driver UK Master Compartment 3’s Class A And B U.K. Auto ABS Notes Ratings Affirmed

SF Insights: Covered Bonds 2021 Outlook

NEWS

Curzon Funding’s MTN Program Rating Placed On CreditWatch Negative; ABCP Program Rating Affirmed


European CMBS Monitor Q3 2020

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All information is as of Sept. 30, 2020, unless stated otherwise.

New Issuance

One new-issue U.K. transaction closed during the third quarter of this year, Taurus 2020-2 UK DAC.

Table 1

Closed Transactions - Q3 2020
Transaction name Issuance amount (€) Arranger No. of loans No. of properties Sponsor Property type Jurisdiction
Taurus 2020-2 UK DAC* 450.0 Bank of America 1 285 Blackstone Light industrial U.K.
*Not rated by S&P Global Ratings.

Table 2

New Issuance Q3 2020 - Pricing
Transaction name Taurus 2020-2 UK DAC
Closing date Aug. 1, 2020
Deal size 450.0
Index SONIA
AAA 170
AA 250
A 310
BBB 410
BB N/A
B N/A
Weighted average note margin 248
Loan margin 248
Excess before senior expenses Match funded

Chart 1

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Chart 2

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Chart 3

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Surveillance

Table 3

List Of European CMBS Surveillance Ratings Actions
Article Publication date
DECO 2019-RAM U.K. CMBS Ratings Lowered Following Review Sept. 16, 2020
Intu (SGS) Finance CMBS Notes Ratings Lowered Then Raised Following Change In Rateable Promise Sept. 11, 2020
Longstone Finance Class C U.K. CMBS Notes Rating Raised; Class A And B Affirmed July 29, 2020
Various Rating Actions Taken In Three European Hotel-Backed CMBS Transactions July 1, 2020

The outstanding S&P Global Ratings-rated European CMBS balance marginally decreased to €31.5 billion from €32.7 billion over the last quarter. The decrease in the note balance is mainly due to the partial redemption of the CGG-Tambelle REDO 3 loan in DECO 14-Pan Europe 5 B.V., following a sale of the loan on Dec. 16, 2019. The change also reflects the net effect of currency rate movements.

Table 4

European CMBS: Key Statistics
Q3 2020 Q2 2020 Q3 2019
1.0 loans
Collateral balance (bil. €) 18.3 18.6 16.8
Number of loans outstanding 21 22 30
Number of transactions outstanding 19 19 23
Proportion of loans in special servicing* (%) 21.1 22.7 40.0
2.0 loans
Collateral balance (bil. €) 13.2 14.0 14.2
Number of loans outstanding 37 37 34
Number of transactions outstanding 31 31 28
Proportion of loans in special servicing (%) 8.1 8.1 5.9
Total
Collateral balance (bil. €) 31.5 32.7 31.0
Number of loans outstanding 58 59 64
Number of transactions outstanding 50 50 51
Proportion of loans in special servicing (%) 12.1 13.6 21.9
*The proportion of loans in special servicing figure for the 1.0 loans has an upwards bias since those which have already repaid without going through a workout process are excluded from the calculation. We expect this figure to decrease over time as more 1.0 loans are resolved or pass their legal final maturities.

Table 5

Loans Repaid
Transaction Loan Jurisdiction Asset type Loan maturity date Note final maturity date Comment
DECO 14—Pan Europe 5 B.V. CGG- Tambelle REDO 3 Germany Mixed use Jan. 20, 2014 Oct. 27, 2020 The senior CGG loan was sold at a loss on Dec. 16, 2019.

Table 6

List Of Next 12 Months' Maturing Loans
Deal name Loan name Loan balance (€) % of portfolio Loan maturity Extendable? LTV (%) Servicer name Specially serviced? No. of properties Asset type Jurisdiction
Taurus 2019-4 FIN DAC Senior Loan 204,276,935 1 Aug. 16, 2021 Y 58.93 CBRE Loan Services Limited N 3 Mixed use Finland
Scorpio (European Loan Conduit No.34) DAC Project Scorpio 317,827,317 1 Nov. 17, 2020 Y 66.82 Mount Street Mortgage Servicing Ltd. N 112 Office U.K.
Patrimonio Uno CMBS S.r.l. Project Patrimonio 35,941,659 1 Dec. 31, 2020 N 15.57 Mount Street Mortgage Servicing Ltd. N 28 Mixed use Italy
Elizabeth Finance 2018 DAC Maroon loan 73,515,555 1 Jan. 15, 2021 Y 73.94 CBRE Loan Services Limited Y 4 Retail U.K.
Libra (European Loan Conduit No. 31) DAC Senior Loan 223,657,261 1 Jan. 20, 2021 Y 63.21 Mount Street Mortgage Servicing Ltd. N 49 Mixed use Various
Taurus CMBS (U.K.) 2006-2 PLC The Mapeley Loan 91,015,556 1 Apr. 20, 2021 N 75.00 Capita Asset Services (UK) Ltd N 47 Office U.K.
Kanaal CMBS Finance 2019 DAC Big 6 (Tranche A, Tranche B) 128,232,102 1 May. 15, 2021 Y CBRE Loan Services Limited N 17 Retail Netherlands
Taurus 2018-2 UK DAC Securitised Acquisition Facility Loan 245,269,145 1 May. 20, 2021 Y 38.61 Mount Street Mortgage Servicing Ltd. N 1 Office U.K.
Taurus 2019-3 UK DAC Securitised Senior Loan 464,557,286 1 Jun. 20, 2021 Y 63.02 Mount Street Mortgage Servicing Ltd. N 21 Student accomodation U.K.
*Loan maturity may be extended if certain conditions are met. LTV--Loan to value.

Specially Serviced Loans

The number of loans in special servicing has decreased to seven loans from eight.

A small number of loans breached their special servicing triggers over the last quarter, most notably for some of the hotel transactions. However, in each case the loans were not moved to special servicing. Instead, the sponsor offered concessions in the form of cash deposits to have these breaches waived.

The loans in special servicing comprise mixed-use, retail, and office loans. The retail sector represents 77% of the total volume of loans in special servicing, compared with 3% for the office sector loans and 20% for the mixed-use loans.

Table 7

Specially Serviced Loans
Transaction Loan Jurisdiction Asset type Comment
Additions
N/A N/A N/A N/A N/A
Cures/resolved
DECO 14—Pan Europe 5 B.V. CGG- Tambelle REDO 3 Germany Mixed use The senior CGG loan was sold at a loss on Dec. 16, 2019.
Unresolved
N/A N/A N/A N/A N/A
N/A--Not applicable.

Chart 4

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Chart 5

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Appendix

Table 8

Special Servicing Index
Transaction Loan Loan origination date Date added Jurisdiction Asset type Special servicer
Elizabeth Finance 2018 DAC Maroon loan Nov. 29, 2017 April 15, 2020 U.K. Retail CBRE Loan Services Limited
Deco 2014-Tulip Ltd. The Orange Loan May. 14, 2014 July 24, 2019 Netherlands Mixed use Situs Asset Management
Debussy DTC PLC Toys R Us UK Properties Mar. 28, 2013 Feb. 22, 2018 U.K. Retail CBRE Loan Services Limited
JUNO (ECLIPSE 2007-2) Ltd. PRINS_BOUDEWIJN Dec. 21, 2006 Feb. 10, 2015 Belgium Office Link Asset Services (London) Ltd.
Epic (Drummond) DAC Zenon Aug. 16, 2006 Dec. 20, 2013 Greece Retail / car parks The Royal Bank of Scotland PLC
DECO 14—Pan Europe 5 B.V. Mansford Nord Bayern Dec. 29, 2006 Dec. 17, 2012 Germany Retail Situs Companies (The)
DECO 14—Pan Europe 5 B.V. Arcadia Dec. 21, 2006 March 5, 2010 Germany Mixed use Situs Companies (The)

Table 9

List Of European CMBS Publications
Article Publication date Type
U.S. And European CMBS COVID-19 Impact: Retail And Lodging Are The Hardest Hit Sept. 29, 2020 Commentary
European Structured Finance Outlook H2 2020: Weathering The Storm July 28, 2020 Commentary
Data notes

The figure for the total number of loans in European CMBS transactions that we rate excludes the loans in small-loan transactions, nonperforming loan (NPL) transactions, and commercial real estate collateralized debt obligations (CRE CDOs).

Loans that were originated from the year 2009 onwards are classified as 2.0 loans. All other loans originated before this period are instead defined as 1.0 loans.

This report does not constitute a rating action.

Primary Credit Analyst:Oliver Thomas, London + 44 20 7176 8589;
Oliver.Thomas@spglobal.com
Secondary Contact:Mathias Herzog, Frankfurt (49) 69-33-999-112;
mathias.herzog@spglobal.com
Research Contributor:Simran Nawani, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

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