Kroll Bond Rating Agency UK Limited (KBRA) is pleased to announce the assignment of preliminary ratings to five classes of Taurus 2021-2 SP DAC, a CMBS single-borrower securitisation.
The collateral for the transaction consists of a €139.9 million portion of a €269.9 million limited recourse, first lien mortgage financing. The floating rate loan, first utilised in September 2019, has a three-year initial term with two, one-year extension options. The loan is secured by the borrowers’ interests in eight office assets in Spain. Six of the assets, accounting for 83.1% of the allocated loan amount, are located in Madrid, and the remaining two assets are located in Barcelona. The properties are leased to 171 individual tenants, of which the largest represents 10.1% of gross rental income, and the top 10 represent 49.7%. The tenants comprise a variety of multinational, regional, and local firms.
KBRA’s analysis of the transaction included a detailed evaluation of the properties’ cash flows and the application of our European CMBS Rating Methodology. The results of our analysis yielded a KBRA net cash flow (KNCF) of €19.5 million, individual property capitalisation rates of 6.50% or 6.75%, a KBRA Value of €297.3 million, and a KBRA Loan to Value (KLTV) of 90.8%. In our analysis of the transaction, we also reviewed and considered third party technical due diligence, environmental, and valuation reports; and legal documentation.
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.
Information on the meaning of each rating category can be located here.
This credit rating is endorsed by Kroll Bond Rating Agency Europe Limited for use in the European Union. Information on a credit rating’s endorsement status is available on its rating page at KBRA.com.
Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
About KBRA UK
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider. Kroll Bond Rating Agency UK is located at Augustine House, Austin Friars, London, EC2N 2HA, United Kingdom.
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Stephen Hughes, Director (Lead Analyst)
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Matthew Horner, Director
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Nitin Bhasin, Senior Managing Director (Rating Committee Chair)
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Business Development Contact
Mauricio Noé, Senior Managing Director, Head of Europe
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