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European CMBS Monitor Q2 2021


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Table Of Contents: S&P Global Ratings Credit Rating Models

European CMBS Monitor Q2 2021


All information is as of June 30, 2021, unless stated otherwise. New issue transactions are those rated by S&P Global Ratings.

New Issuance

Four new issue transactions closed during the second quarter of 2021: Taurus 2021-3 DEU DAC, Last Mile Securities - PE2021 DAC, Berg Finance 2021 DAC, and Bruegel 2021 DAC.

Table 1

Closed Transactions - Q2 2021
Transaction name Issuance amount (€) Arranger No. of loans No. of properties Sponsor Property type Jurisdiction
Taurus 2021-3 DEU DAC 473.0 Bank of America 2 2 AGC Equity Partners Investment Management Ltd. Mixed Germany
Last Mile Securities - PE 2021 DAC* 383.5 Morgan Stanley 1 49 Blackstone Light Industrial The Netherlands and Germany
Berg Finance 2021 DAC 295.3 Goldman Sachs 2 29 Fortress and Ares Office The Netherlands, Austria, France, Finland, and Germany
Bruegel 2021 DAC 218.6 Goldman Sachs 1 9 PPF Group Office, hotel, and retail The Netherlands
*Not rated by S&P Global Ratings.

Table 2

New Issuance Q2 2021 - Pricing
Transaction name Taurus 2021-3 DEU DAC Last Mile Securities - PE 2021 DAC* Berg Finance 2021 DAC Bruegel 2021 DAC
Closing date Apr. 1, 2021 Apr. 8, 2021 May. 25, 2021 Jun. 24, 2021
Deal size 513.0 393.0 295.348 218.6
AAA 120 105 105 80
AA 180 120 145 125
A 260 160 235 180
BBB 340 235 350 247
BB 475 350 500 N/A
B 600 500 N/A N/A
Weighted average note margin 234 179 192 110.8
Loan margin 234 - 343 230
Excess before senior expenses - - 151 119.2
EURIBOR--Euro Interbank Offered Rate. N/A--Not applicable. *Not rated by S&P Global Ratings.


Chart 2


Chart 3



Table 3

List Of European CMBS Surveillance Ratings Actions
Article Publication date
N/A--Not applicable.

The outstanding S&P Global Ratings-rated European CMBS balance slightly increased to €30.03 billion from €30.01 billion over the last quarter. The increase in the note balance is mainly due to the change in the net effect of currency rate movements.

Table 4

European CMBS: Key Statistics
Q2 2021 Q1 2021 Q2 2020
1.0 loans
Collateral balance (bil. €) 16.2 16.1 18.6
Number of loans outstanding 14 15 22
Number of transactions outstanding 13 14 19
Proportion of loans in special servicing (%) 0.0 0.0 22.7
2.0 loans
Collateral balance (bil. €) 13.8 13.9 14.0
Number of loans outstanding 37 35 37
Number of transactions outstanding 32 31 31
Proportion of loans in special servicing (%) 8.1 8.6 8.1
Collateral balance (bil. €) 30.0 30.0 32.7
Number of loans outstanding 51 50 59
Number of transactions outstanding 45 45 50
Proportion of loans in special servicing (%) 5.9 6.0 13.6

Table 5

Loans Repaid
Transaction Loan Jurisdiction Asset type Loan maturity date Note final maturity date Comment
Kantoor Finance 2018 DAC PPF Loan The Netherlands Mixed use May 22, 2023 May 22, 2023 The PPF loan repaid in full on May 17, 2021
Libra (European Loan Conduit No. 31) DAC Senior Loan Various Mixed use Jan. 20, 2022 Oct. 26, 2028 The Senior loan repaid in full on April 8, 2021
DECO 2015-HARP Ltd. The Boland loan Ireland Office April 20, 2022 April 27, 2027 The Boland loan repaid in full on Feb. 21, 2020
Deutsche Pfandbriefbank AG Estate UK-3 - ESTATE UK-3 1021201398 U.K. Retail July 23, 2015 March 20, 2022 The Notes have been repaid on March 20, 2020

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
Kanaal CMBS Finance 2019 DAC Big 6 (Tranche A, Tranche B) 124,455,521 49.00 Aug. 15, 2021 Y 60.02 CBRE Loan Services Ltd. N 6 Retail The Netherlands
Oranje (European Loan Conduit No. 32) DAC Phoenix Loan 92,844,450 60.45 Aug. 15, 2021 Y 47.61 Mount Street Mortgage Servicing Ltd. N 15 Office The Netherlands
Taurus 2019-4 FIN DAC Senior Loan 204,276,935 100.00 Aug. 16, 2021 Y 68.92 CBRE Loan Services Ltd. N 3 Mixed use Finland
Scorpio (European Loan Conduit No.34) DAC Project Scorpio 332,534,457 100.00 Nov. 17, 2021 Y 65.14 Mount Street Mortgage Servicing Ltd. N 110 Office U.K.
Magenta 2020 PLC Senior Loan 313,259,035 100.00 Dec. 31, 2021 Y 72.19 CBRE Loan Services Ltd. N 17 Mixed use U.K.
Salus (European Loan Conduit No. 33) DAC Senior Loan 427,145,250 100.00 Jan. 23, 2022 Y 57.9 Mount Street Mortgage Servicing Ltd. N 1 Office U.K.
EOS (European Loan Conduit No. 35) DAC Senior Loan 177,794,542 100.00 April 20, 2022 Y 48.4 Mount Street Mortgage Servicing Ltd. N 112 Mixed use The Netherlands
Taurus 2018-2 UK DAC Securitised Acquisition Facility Loan 150,016,262 100.00 May 20, 2022 Y 21.5 Mount Street Mortgage Servicing Ltd. N 1 Office 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 remains as three, with no changes occurring since the previous quarter.

The loans in special servicing comprise of hotel (62%) and retail (38%) assets.

Table 7

Specially Serviced Loans
Transaction Loan Jurisdiction Asset type Comment
N/A--Not applicable.

Chart 4


Chart 5



Table 8

Special Servicing Index
Transaction Loan Loan origination date Date added Jurisdiction Asset type Special servicer
Debussy DTC PLC Toys R Us UK Properties March 28, 2013 Feb. 22, 2018 U.K. Retail CBRE Loan Services Ltd.
Elizabeth Finance 2018 DAC Maroon loan Nov. 29, 2017 April 20, 2021 U.K. Retail Mount Street Mortgage Servicing Ltd.
Helios (European Loan Conduit No. 37) DAC Project Atlas Dec. 12, 2019 Nov. 23, 2020 U.K. Hotel Mount Street Mortgage Servicing Ltd.

Table 9

List Of European CMBS Publications
Article Publication date Type
Presale: Viridis (European Loan Conduit No. 38) DAC June 28, 2021 Presale Report
Presale: Agora Securities UK 2021 DAC June 16, 2021 Presale Report
Presale: Bruegel 2021 DAC June 3, 2021 Presale Report
Presale: Berg Finance 2021 DAC April 27, 2021 Presale Report
Servicer Evaluation: Trimont Real Estate Advisors UK Ltd. June 30, 2021 Full Analysis
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 onward are classified as 2.0 loans. All other loans originated before this period are defined as 1.0 loans.

This report does not constitute a rating action.

Primary Credit Analyst:Carla N Powell, London + 44 20 7176 3982;
Secondary Contact:Mathias Herzog, Frankfurt + 49 693 399 9112;
Research Contributor:Shweta Sawant, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

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