KBRA Places All Ratings for Taurus 2020-1 NL DAC on Watch Downgrade
20 Dec 2024 | London
KBRA UK (KBRA) places the ratings of all notes of Taurus 2020-1 NL DAC, a CMBS single-borrower transaction, on Watch Downgrade. The Watch actions are primarily driven by the deterioration in performance of the remaining collateral properties since KBRA’s last rating actions in March 2024 and since securitisation.
The transaction collateral consists of a limited-recourse, first-lien mortgage loan in the amount of €358.6 million as of November 2024. There is also a €36.7 million capex facility and a €60.6 million mezzanine loan. The senior loan is secured by a portfolio of 34 commercial properties (32 office, two industrial) in the Netherlands. At securitisation, the transaction originally had a senior loan balance of €653.5 million, an unfunded €67.0 million capex facility and a €110.6 million mezzanine loan. The mortgage loan was secured by the freehold and leasehold interests in 105 commercial properties. Seventy-one properties have been sold and released as collateral, and the securitised loan amount was paid down by 45.1% to its current balance. The loan sponsor is Blackstone Real Estate Partners, an affiliate of The Blackstone Group LP (NYSE: BX).
Some key credit metrics have worsened since our review in March and securitisation. At securitisation the KLTV was 96.5% (calculated using the senior loan balance plus the unfunded cap ex facility of €67.0 million). The current KLTV based on the outstanding loan balance of €395.4 million (including the capex facility) is 117.5%, up from 110.0% at KBRA’s last review. The upward drift in KLTV is a result of the change in composition of the pool as well as the deterioration in performance of the remaining properties in the pool. In terms of composition, the original pool had a KLTV of 96.5% at securitisation (as mentioned above), while the remaining properties in the pool had a KLTV of 103.7% based on metrics at securitisation.
The portfolio’s average rent and occupancy have also declined. As of November 2024, the weighted-average occupancy rate of the remaining 34 properties is 76.8%, down from 85.0% at the time of our March 2024 review, and from 90.4% at securitisation after adjusting for property releases. As of November 2024, the portfolio’s average rent is €155 per square metre, compared to €167 at closing (net of property releases), according to the servicer.
The senior loan collateralising Taurus 2020-1 NL DAC was amended effective 9 December 2024 and the final maturity date was extended by one year to 15 February 2026. In addition, among other things, the senior facility agent is allowed to withdraw €5.0 million from the cash trap account to prepay the senior loans if the outstanding principal amount has not been reduced by €30.0 million on or before 15 October 2025.
KBRA will continue to monitor the transaction and will seek to resolve or update the Watch Downgrade status within 90 days by applying KBRA’s relevant methodologies. To resolve the Watch Placement, KBRA would conduct a full transaction review.
Rating Sensitivities
For a discussion of rating sensitivities see the March 2024 CMBS surveillance report for Taurus 2020-1 NL DAC.
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