KBRA Resolves Watches and Affirms All Ratings for Taurus 2021-2 SP DAC
22 Oct 2024 | London
KBRA UK (KBRA) affirms all of its outstanding ratings for Taurus 2021-2 SP DAC, a CMBS single borrower transaction. The ratings are simultaneously removed from Watch Developing (DEV) where they were placed on 13 September 2024. The affirmations follow a surveillance review of the transaction, which has exhibited an increase in KLTV from the prior review and from securitisation. However, the magnitude of the change does not warrant rating actions at this time.
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 loan has been paid down by €62.7 million due to the sale of one property and scheduled amortisation. As of the August 2024 IPD, the senior outstanding debt balance was €207.2 million including €9.0 million of undrawn capex facility. Additionally, the outstanding mezzanine debt totaled €40.1 million. The remaining collateral consists of seven office assets in Spain that comprise 198,754 sqm. Six (95.4% of loan balance) of the properties are located in Madrid and the remaining property (4.6%) is located in Barcelona.
The underlying loans were subject to a restructuring agreement in September 2024, which extended the maturity date by three years to 16 September 2027. In order to effect the restructuring, the senior loan was paid down by €12.5 million and the €9.0 million undrawn capex facility was extinguished using remaining funds in the blocked account, resulting in an outstanding debt balance of €185.8 million as of the paydown on 16 September 2024. In addition, the mezzanine loan was paid down by €2.5 million, resulting in outstanding mezzanine debt of €37.6 million.
KBRA utilised information obtained from the trustee and servicer to analyse the remaining loan collateral. The analysis produced a KNCF of €15.4 million and KBRA value of €227.5 million (€1,145 per sqm). The resulting in-trust KLTV is 91.1%, up from 88.1% at last review and 90.8% at securitisation. The post paydown senior loan KLTV would be 81.6% assuming the paydowns have been applied as described in the restructuring agreement. KBRA maintains its KPO of Underperform for the loan due to the properties’ declining performance since the last review.
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