DBRS Finalises Provisional Rating of Westfield Stratford City Finance PLC

DBRS has today finalised the provisional rating on the following class of Commercial Mortgage-Backed Floating-Rate Notes Due August 2024 (the Notes) issued by Westfield Stratford City Finance PLC (the Issuer):

-- Class A at AAA (sf)

The trend is Stable.

The finalisation of the provisional rating follows clarification of several structural points, including the calculation of interest on the mortgage following the maturity of the loan. Such clarification points have been addressed in DBRS’s updated rating report and the credit impact to the rating was neutral; therefore, the rating remains supported. Additional details of DBRS’s analysis of the transaction are found below:

Westfield Stratford City Finance PLC is a securitisation of a fixed-rate loan made by Westfield Stratford City Finance PLC to the borrower, Stratford City Shopping Centre (No.1) Limited Partnership. The loan sponsors are Westfield Corporation (50%), Algemene Pensioen Groep NV (25%) and the Canada Pension Plan Investment Board (25%). The loan has an initial securitised balance of £750,000,000 and is hedged with an issuer-level interest rate swap.

The purpose of the loan is to provide refinancing of existing indebtedness of the borrower and to provide funding for general corporate purposes of the borrower. The collateral securing this loan consists of a single shopping centre and car parking facility located in Stratford City, England. The property contains 327 tenancies within approximately 1.9 million square feet of leasable area. The property was 98.9% occupied as of 22 April 2014.

The collateral property was valued by CBRE in May of 2014 for £1,955,000,000. DBRS’s stressed value for the property is £1,301,740,085. Utilising this stressed value for the property and the loan’s initial securitised balance of £750,000,000, DBRS calculated a stressed loan-to-value ratio of 57.62%. This compares with a loan-to-value ratio of 38.36% calculated using CBRE’s May 2014 market valuation.

The final legal maturity of the Notes is in August 2024, five years beyond the maturity of the loans. If necessary, this is believed to be sufficient time, given the security structure, jurisdiction of the collateral and governing law of the underlying loans, to enforce on the loan collateral and repay bondholders.

The rating assigned by DBRS to the Notes is based exclusively on the credit provided by the transaction structure and underlying trust assets. Notes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance.

Notes:
All figures are in GBP unless otherwise noted.

The principal methodology applicable is: European CMBS Rating Methodology.

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

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include the arrangers, Credit Agricole Corporate and Investment Bank and DeutscheBank AG, London Branch, the borrower, Stratford City Shopping Centre (No.1) Limited Partnership, and the valuation report performed by CBRE Limited.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This rating concerns a newly issued financial instrument.

The last rating action on this transaction took place on 28 July 2014, when the provisional rating was assigned.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS 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 Net Cash Flow (NCF), derived by looking at comparable properties, market rents, market occupancies in addition to expenses ratios, capital expenditures and re-tenanting costs, would lead to a downgrade in the transaction, as noted below for each class respectively:

Class A Notes Risk Sensitivity:
• 10% decline in DBRS NCF, expected rating of AA (sf)
• 20% decline in DBRS NCF, expected rating of BBB (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (ESMA) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

This credit rating has been issued outside the European Union (EU) and is endorsed by DBRS Ratings Limited. It may be used for regulatory purposes by financial institutions in the EU.

Initial Lead Analyst: Mary Jane Potthoff
Initial Rating Date: July 28, 2014
Initial Rating Committee Chair: Erin Stafford

Lead Analyst: Mary Jane Potthoff
Rating Date: October 16, 2014
Rating Committee Chair: Erin Stafford

DBRS, Inc.
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Chicago, IL 60606
USA

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

Legal Criteria for European Structured Finance Transactions
Derivative Criteria for European Structured Finance Transactions
Unified Interest Rate Model for European Securitisations
European CMBS Rating Methodology