Press Release

DBRS Morningstar Confirms Ratings of Oranje (European Loan Conduit No. 32) DAC

December 04, 2019

DBRS Ratings GmbH (DBRS Morningstar) confirmed its ratings of the following classes of notes due November 2028 issued by Oranje (European Loan Conduit No. 32) DAC (the Issuer):

-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)

All trends are Stable.

Oranje (European Loan Conduit No. 32) DAC is a securitisation totalling EUR 207.3 million at issuance, with a 60.3% loan-to-value (LTV) ratio. The transaction comprised five floating-rate senior commercial real estate loans advanced by Morgan Stanley & Co. International plc. To maintain compliance with regulatory requirements, the loan sellers hold approximately 5.0% of the senior loan. The transaction is secured by 77 commercial real estate assets (down from 78 at issuance), which are predominantly office assets located throughout the Netherlands. Since closing, the second-smallest loan, the Le Mirage loan (previously known as the Desert loan), has been fully repaid following the sale of the single asset in June 2019. The funds from the prepayment of the loan, paid down the notes on a pro rata basis. The exit fee of 1.0% and prepayment fee of 3.5% also were applied to the notes. The Le Mirage loan had an LTV of 67.8%, which was the second-highest-LTV of the five loans. DBRS Morningstar considers the prepayment of the Le Mirage loan to be credit positive as it slightly deleveraged the notes. As of the November 2019 interest payment date (IPD), the outstanding aggregate whole loan balance reduced to EUR 173.1 million from the issuance aggregate balance of EUR 207.3 million, as a result of the paydown of the Le Mirage loan.

The largest loan is the EUR 96.0 million Phoenix loan, representing 55.5% of the aggregate whole loan balance of the remaining four loans. Out of the four remaining loans, the Phoenix loan is the least leveraged at 54.2% LTV. The Phoenix loan comprises 18 office properties throughout the Netherlands. As of the August 2019 IPD, rental income increased to EUR 15.0 million annually, from the annual gross rental income reported at closing of EUR 14.6 million. Net rental income is also stable in the portfolio, as it is roughly unchanged since issuance and the DBRS Morningstar net cash flow (NCF) still represents a 37.8% haircut to the net rental income. The three smaller remaining loans (the Cheetah, Cygnet and Legion loans) together represent 44.5% of the total balance and have higher LTVs than the Phoenix loan. The three higher indebted loans currently have a weighted-average LTV of 64.0%, which is lower than the weighted-average LTV of the loans at issuance, mainly as a result of the Cygnet loan’s higher valuation as of the May 2019 IPD. All three loans benefit from amortisation throughout their scheduled loan terms. Additionally, because of the lower leverage of the largest loan, if it repays, the paydown will be paid 30% sequentially to noteholders with the remaining 70% pro rata, in order to further protect the most-senior noteholders from a scenario with the Phoenix loan repaying leaving the higher leveraged and more risky loans as collateral for the notes.

The underlying collateral is performing in line with DBRS Morningstar’s expectations at issuance; however, an adjustment to DBRS Morningstar’s vacancy assumption for the Cygnet loan was made, after occupancy for the portfolio has not increased in line with the sponsor’s business plan. Therefore, DBRS Morningstar increased its underwriting vacancy assumption to 22% from 17%, which affected the DBRS Morningstar internal NCF only slightly and did not cause any rating changes to the notes.

All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is: “European CMBS Rating and Surveillance Methodology”.

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the surveillance section of the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on at:

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at:

The sources of data and information used for these ratings include Mount Street Mortgage Servicing Limited.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

This is the first rating action since the Initial Rating Date.

The lead analyst responsibilities for this transaction have been transferred to Christopher Horst.

Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies, is available on

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):

A decrease of 10% and 20% in the DBRS Morningstar NCF, derived by looking at comparable market rents, market occupancies in addition to expense ratios, and capital expenditure, would lead to a downgrade in the transaction, as noted below for each class, respectively.

Class A1 Notes Risk Sensitivity:
--10% decline in DBRS NCF, expected rating of Class A Notes to AA (low) (sf)
--20% decline in DBRS NCF, expected rating of Class A Notes to BBB (high) (sf)

Class B Notes Risk Sensitivity:
--10% decline in DBRS NCF, expected rating of Class B Notes to BBB (high) (sf)
--20% decline in DBRS NCF, expected rating of Class B Notes to BBB (sf)

Class C Notes Risk Sensitivity:
--10% decline in DBRS NCF, expected rating of Class C Notes to BBB (low) (sf)
--20% decline in DBRS NCF, expected rating of Class C Notes to BB (sf)

Class D Notes Risk Sensitivity:
--10% decline in DBRS NCF, expected rating of Class D Notes to BB (sf)
--20% decline in DBRS NCF, expected rating of Class D Notes to B (sf)

Class E Notes Risk Sensitivity:
--10% decline in DBRS NCF, expected rating of Class E Notes to B (sf)
--20% decline in DBRS NCF, expected rating of Class E Notes to below B (low) (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.

Lead Analyst: Christopher Horst, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 6 November 2018

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at:

-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions
-- European CMBS Rating and Surveillance Methodology

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at