Press Release|CMBS
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KBRA Affirms All Classes of Taurus 2021-2 SP DAC

17 Oct 2025   |   London

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KBRA UK (KBRA) affirms the ratings on all classes of Taurus 2021-2 SP DAC, a CMBS single-borrower transaction. The affirmations follow a surveillance review of the transaction, which has shown a decrease in KLTV since the last review in October 2024. This improvement is driven by deleveraging following a loan restructuring in September 2024 and the disposal of one property in November 2024. In addition, a modest increase in rents achieved on new leases has resulted in a 5.8% improvement in gross rental income (GRI) for the remaining six properties compared to the last review.

While these developments are positive, the magnitude of change does not warrant rating actions at this time. Nonetheless, refinancing risk remains elevated as the loan matures in September 2027. This concern is heightened by the loan’s failure to refinance at its original maturity in September 2024, which led to loan restructuring. In addition, lease rollover risk persists, with 49.6% of total GRI subject to lease break options or expirations by the loan’s amended fully extended maturity date in September 2027.

The transaction collateral at securitisation consisted of a €139.9 million portion of a €269.9 million limited recourse, first lien mortgage financing secured by the borrowers’ freehold interests in eight office assets located in Spain. The senior loans included a €22.9 million pari passu capex facility which was funded into a blocked account at closing. Since the transaction closing date in September 2021, the senior loan has been paid down by €107.8 million due to the sale of two properties, loan restructuring in September 2024 and related payments (including repayment of the capex facility) and amortisation. As of the August 2025 IPD, the senior outstanding debt balance was €162.1 million. Additionally, the outstanding mezzanine debt totaled €34.6 million. The remaining collateral consists of six office assets in Madrid, Spain that comprise 174,408 sqm.

KBRA utilised information obtained from the trustee and servicer to analyse the remaining loan collateral. The analysis resulted in a KNCF of €15.8 million, compared to €14.7 million at the last review, and a KBRA value of €234.4 million (€1,344 per sqm), up from €227.5 million (€1,305 per sqm) at the previous review. The resulting in-trust KLTV is 69.1%, down from 91.1% at the last review (81.6% post-loan restructuring in September 2024) and 90.8% at securitisation.

To access ratings and relevant documents, click here.

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Disclosures

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.

There are certain issuers, entities or transactions rated by KBRA Europe or KBRA UK that may be or have relationships with Shareholders and/or Shareholder-Related Companies, as that term is defined in KBRA’s Shareholder and Shareholder Related Companies for KBRA Europe and KBRA UK Policy and Procedure. Relevant disclosure information may be found here.

About KBRA UK

Kroll Bond Rating Agency, LLC (KBRA), one of the major credit rating agencies (CRA), is a full-service CRA 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. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S. Kroll Bond Rating Agency UK is located at 1 Connaught Place, 2nd Floor London, England.

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