All information is as of Dec. 31, 2020, unless stated otherwise.
New Issuance
Three new-issue transactions closed during the fourth quarter of 2020: Sage AR Funding No. 1 PLC, Folio Residential Finance No. 1 PLC, and Pearl Finance 2020 DAC.
Table 1
Closed Transactions - Q4 2020 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Transaction name | Issuance amount (€) | Arranger | No. of loans | No. of properties | Sponsor | Property type | Jurisdiction | |||||||||
Sage AR Funding No. 1 PLC* | £ 220.0 | Deutsche Bank | 1 | 1,609 | Sage Housing | Social housing | U.K. | |||||||||
Folio Residential Finance No. 1 PLC* | £ 250.0 | Barclays | 1 | 16 | Notting Hill Genesis | Multifamily | The Netherlands | |||||||||
Pearl Finance 2020 DAC | 318.6 | BNP Paribas S.A., Merrill Lynch International, and Société Générale | 1 | 61 | Blackstone | Light industrial | France, Finland, Denmark, Germany, Ireland, and the Netherlands | |||||||||
*Not rated by S&P Global Ratings. |
Table 2
Notable Features | |
---|---|
Transaction name | Notable features |
Pearl Finance 2020 DAC | This transaction is backed by a portfolio of light industrial assets located across six jurisdictions: France, Finland, Denmark, Germany, Ireland and the Netherlands. It is the first CMBS transaction rated by S&P Global Ratings to include Danish assets. This transaction included a seven-year tail period. |
Table 3
New Issuance Q4 2020 - Pricing | ||||||||
---|---|---|---|---|---|---|---|---|
Transaction name | Sage AR Funding No. 1 PLC | Folio Residential Finance No. 1 PLC | Pearl Finance 2020 DAC | |||||
Closing date | Oct. 23, 2020 | Oct. 1, 2020 | Nov. 10, 2020 | |||||
Deal size | 220.0 | 250.0 | 318.6 | |||||
Index | SONIA | Fixed | Euribor | |||||
AAA | 125 | 0 | 146 | |||||
AA | 195 | 124 | 250 | |||||
A | 215 | 0 | 285 | |||||
BBB | 300 | 0 | 395 | |||||
BB | 425 | 0 | 525 | |||||
B | 700 | 0 | N/A | |||||
Weighted average note margin | 270 | 124 | 239 | |||||
Loan margin | 270 | 124 | 239 | |||||
Excess before senior expenses | - | - | - | |||||
N/A--Not applicable. |
Chart 1
Chart 2
Chart 3
Surveillance
Table 4
List Of European CMBS Surveillance Ratings Actions | |
---|---|
Article | Publication date |
Intu Metrocentre Finance PLC U. K. CMBS Fixed-Rate Secured Notes Rating Lowered And Removed From CreditWatch Negative | Oct. 28, 2020 |
Patrimonio Uno CMBS Ratings Lowered Due To Repayment Risk As Legal Final Maturity Date Approaches | Oct. 30, 2020 |
Intu Metrocentre Finance PLC U. K. CMBS Fixed-Rate Secured Notes Rating Lowered And Removed From CreditWatch Negative | Dec. 16, 2020 |
Helios (European Loan Conduit No. 37)’s Class E Notes Lowered And Removed From CreditWatch Negative | Dec. 16, 2020 |
Elizabeth Finance 2018’s Class A To E U.K. CMBS Notes Ratings Lowered | Nov. 24, 2020 |
All Meadowhall Finance PLC U.K. CMBS Ratings Lowered On Worsened Performance | Dec. 22, 2020 |
The outstanding S&P Global Ratings-rated European CMBS balance decreased to €29.1 billion from €31.5 billion over the last quarter. The decrease in the note balance is mainly due to the full redemptions of four loans: the Mapeley STEPS loan, the Patrimonio Uno loan, the Orange loan, and the MCR loan. The change also reflects the net effect of currency rate movements.
Table 5
European CMBS: Key Statistics | ||||||||
---|---|---|---|---|---|---|---|---|
Q4 2020 | Q3 2020 | Q4 2019 | ||||||
1.0 loans | ||||||||
Collateral balance (bil. €) | 15.5 | 18.3 | 17.2 | |||||
Number of loans outstanding | 19 | 21 | 27 | |||||
Number of transactions outstanding | 17 | 19 | 22 | |||||
Proportion of loans in special servicing* (%) | 21.1 | 21.1 | 33.3 | |||||
2.0 loans | ||||||||
Collateral balance (bil. €) | 13.6 | 13.2 | 15.6 | |||||
Number of loans outstanding | 36 | 37 | 38 | |||||
Number of transactions outstanding | 31 | 31 | 32 | |||||
Proportion of loans in special servicing (%) | 8.3 | 8.1 | 5.3 | |||||
Total | ||||||||
Collateral balance (bil. €) | 29.1 | 31.5 | 32.8 | |||||
Number of loans outstanding | 55 | 58 | 65 | |||||
Number of transactions outstanding | 48 | 50 | 54 | |||||
Proportion of loans in special servicing (%) | 12.7 | 12.1 | 16.9 | |||||
*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 6
Loans Repaid | ||||||
---|---|---|---|---|---|---|
Transaction | Loan | Jurisdiction | Asset type | Loan maturity date | Note final maturity date | Comment |
Taurus CMBS (U.K.) 2006-2 PLC | The Mapeley loan | U.K. | Office | April 20, 2021 | April 24, 2024 | The Mapeley STEPS loan repaid in full on Dec. 16, 2020. |
Deco 2014-Tulip Ltd. | The Orange loan | The Netherlands | Mixed use | July 20, 2019 | July 27, 2024 | The Orange loan repaid in full on Oct. 20, 2020. |
Elizabeth Finance 2018 DAC | MCR loan | U.K. | Mixed use | July 15, 2023 | July 20, 2028 | The MCR loan repaid in full on Oct. 15, 2020. |
Patrimonio Uno CMBS S.r.l. | The Patrimonio loan | Italy | Mixed use | Dec. 31, 2020 | Dec. 31, 2021 | The Patrimonio loan repaid in full on Dec. 20, 2020. |
Table 7
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 | |||||||||||||
Elizabeth Finance 2018 DAC | Maroon loan | 72,969,316 | 100.00 | Jan. 15, 2021 | Y | 94.66 | CBRE Loan Services Limited | Y | 3 | Retail | U.K. | |||||||||||||
Libra (European Loan Conduit No. 31) DAC | Senior Loan | 223,075,949 | 100.00 | Jan. 20, 2021 | Y | 63.21 | Mount Street Mortgage Servicing Ltd. | N | 49 | Mixed Use | Various | |||||||||||||
Kanaal CMBS Finance 2019 DAC | Big 6 (Tranche A, Tranche B) | 126,697,002 | 49.00 | May. 15, 2021 | Y | 58.12 | CBRE Loan Services Limited | N | 17 | Retail | The Netherlands | |||||||||||||
Taurus 2018-2 UK DAC | Securitised Acquisition Facility Loan | 240,649,276 | 100.00 | May. 20, 2021 | Y | 38.61 | Mount Street Mortgage Servicing Ltd. | N | 1 | Office | U.K. | |||||||||||||
Taurus 2019-3 UK DAC | Securitised Senior Loan | 463,552,657 | 100.00 | Jun. 20, 2021 | Y | 63.02 | Mount Street Mortgage Servicing Ltd. | N | 21 | Student Accommodation | U.K. | |||||||||||||
Taurus 2019-4 FIN DAC | Senior Loan | 204,276,935 | 100.00 | Aug. 16, 2021 | Y | 59.87 | CBRE Loan Services Limited | N | 3 | Mixed Use | Finland | |||||||||||||
Scorpio (European Loan Conduit No.34) DAC | Project Scorpio | 316,827,546 | 100.00 | Nov. 15, 2021 | Y | 66.82 | Mount Street Mortgage Servicing Ltd. | N | 110 | Light Industrial | U.K. | |||||||||||||
Magenta 2020 PLC | Senior Loan | 299,983,864 | 100.00 | Dec. 31, 2021 | Y | 62.19 | CBRE Loan Services Limited | N | 17 | Hotels | 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 remained at seven. The Project Atlas loan of Helios (European Loan Conduit No. 37) DAC entered into special servicing, and the Orange loan of Deco 2014-Tulip Ltd. fully repaid, so it was removed from special servicing.
The loans in special servicing comprise hotel (52%), retail (40%), mixed-use (7%), and office loans (1%).
Table 8
Specially Serviced Loans | ||||
---|---|---|---|---|
Transaction | Loan | Jurisdiction | Asset type | Comment |
Additions | ||||
Helios (European Loan Conduit No. 37) DAC | Project Atlas | U.K. | Hotel | The loan become a specially serviced loan on Nov. 23, 2020, due to the breach of the senior debt yield covenant. |
Cures/resolved | ||||
Deco 2014-Tulip Ltd. | The Orange loan | The Netherlands | Mixed use | The Orange loan repaid in full on Oct. 20, 2020. |
Unresolved | ||||
N/A | N/A | N/A | N/A | N/A |
Chart 4
Chart 5
Appendix
Table 9
Special Servicing Index | ||||||
---|---|---|---|---|---|---|
Transaction | Loan | Loan origination date | Date added | Jurisdiction | Asset type | Special servicer |
DECO 14—Pan Europe 5 B.V. | Arcadia | Dec. 21, 2006 | Mar. 5, 2010 | Germany | Mixed Use | Situs Companies (The) |
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) |
JUNO (ECLIPSE 2007-2) Ltd. | PRINS_BOUDEWIJN | Dec. 21, 2006 | Feb. 10, 2015 | Belgium | Office | Link Asset Services (London) Ltd. |
Debussy DTC PLC | Toys R Us UK Properties | Mar. 28, 2013 | Feb. 22, 2018 | U.K. | Retail | CBRE Loan Services Ltd. |
Elizabeth Finance 2018 DAC | Maroon loan | Nov. 29, 2017 | Apr. 15, 2020 | U.K. | Retail | CBRE Loan Services 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 10
List Of European CMBS Publications | ||
---|---|---|
Article | Publication date | Type |
Global CMBS Property Evaluation Methodology Guidance, Including Retail Mall Cap Rate Assumptions, Updated | Dec. 4, 2020 | News |
European CMBS: The Lowdown On Liquidity Support | Oct. 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 defined as 1.0 loans.
This report does not constitute a rating action.
Primary Credit Analyst: | Carla N Powell, London + 44 20 7176 3982; carla.powell@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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