DBRS Ratings GmbH (DBRS Morningstar) downgraded the ratings on the following classes of Commercial Mortgage-Backed Floating Rate Notes (the Notes) issued by Taurus CMBS (Pan-Europe) 2007-1 Limited:
-- Class C notes to D (sf) from CCC (sf)
-- Class D notes to D (sf) from C (sf)
The rating downgrades are the results of crystallisation of interest losses on both classes and both classes not being fully repaid at the legal final maturity of the transaction; both events can result in a rating downgrade to D (sf) independently. However, DBRS Morningstar noted that the noteholders have not objected to the special servicer’s request to have 12 additional months past the legal final maturity of the notes in order to conclude the sale of the Selath properties in the Fishman JEC portfolio. The sale of the Selath properties was completed shortly after the legal maturity date on 27 February 2020 and the Fishman JEC borrower had agreed to use all the proceeds from the EUR 42.5 million sale to repay the then outstanding balance of EUR 39.3 million. However, there was still not enough interest income to repay full interests on the outstanding notes and senior costs. While the deferred interest was not paid, some principal receipts were used to cover senior cost shortfall, thus incurring principal losses on the Class D notes and below.
Following the downgrade, DBRS Morningstar has withdrawn and discontinued its ratings on the Class C and Class D notes. This concludes DBRS Morningstar’s surveillance on this transaction.
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is “European CMBS Rating and Surveillance Methodology” (13 December 2019).
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 at: https://www.dbrsmorningstar.com/about/methodologies.
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: https://www.dbrsmorningstar.com/research/350410/global-methodology-for-rating-sovereign-governments.
The sources of data and information used for these ratings include investor reports from Link Asset Services, cash manager’s reports from Intertrust, and published deal notices on Irish Stock Exchange.
DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial ratings, 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.
The last rating action on this transaction took place on 19 February 2020, when DBRS Morningstar discontinued its rating on the Class B notes following their full repayment.
The lead analyst responsibilities for this transaction have been transferred to Rick Shi.
Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.
For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.
Ratings assigned by DBRS Ratings GmbH are subject to EU and U.S. regulations only.
Lead Analyst: Rick Shi, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 2 July 2007
DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500
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The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.
-- European CMBS Rating and Surveillance Methodology (13 December 2019), https://www.dbrsmorningstar.com/research/354637/european-cmbs-rating-and-surveillance-methodology.
-- Legal Criteria for European Structured Finance Transactions (11 September 2019), https://www.dbrsmorningstar.com/research/350234/legal-criteria-for-european-structured-finance-transactions.
-- Interest Rate Stresses for European Structured Finance Transactions (10 October 2019), https://www.dbrsmorningstar.com/research/351557/interest-rate-stresses-for-european-structured-finance-transactions.
-- Derivative Criteria for European Structured Finance Transactions (26 September 2019), https://www.dbrsmorningstar.com/research/350907/derivative-criteria-for-european-structured-finance-transactions.
A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/278375.
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at firstname.lastname@example.org.