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European CMBS Monitor Q4 2020

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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

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Chart 2

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Chart 3

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Surveillance

Table 4

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

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Chart 5

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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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