DBRS Finalises Provisional Ratings on Mint 2015 plc

DBRS Ratings Limited (DBRS) has today finalised the provisional ratings on the following classes of Commercial Mortgage-Backed Floating Rate Notes due February 2025 (collectively, the Notes) issued by Mint 2015 Plc (the Issuer):

-- Class GBP-A rated AAA (sf)
-- Class GBP-B rated AA (low) (sf)
-- Class GBP-C rated A (low) (sf)
-- Class GBP-D rated BBB (low) (sf)
-- Class GBP-E rated BB (low) (sf)
-- Class GBP-F rated B (high) (sf)

-- Class EUR-A rated AAA (sf)
-- Class EUR-B rated AA (high) (sf)
-- Class EUR-C rated A (low) (sf)
-- Class EUR-D rated BBB (low) (sf)
-- Class EUR-E rated BB (high) (sf)

All trends are Stable

Mint 2015 Plc is the securitisation of two floating-rate commercial real estate loans made by J.P. Morgan Chase Bank, N.A. London Branch. One loan is denominated in GPB Sterling and is collateralised by two four-star hotel properties located in London. The outstanding size of this loan is £264,299,285, although only £251,084,000 is being securitised in this transaction. The other loan is denominated in euros and is collateralised by a single four-star hotel located in Amsterdam. The outstanding size of this loan is €137,858,937, although only €130,965,000 is being securitised as part of this transaction. The difference between the outstanding loan balances and the securitised portions of the loans represents the Originator’s retention in the loans. Proceeds from the two loans serve to refinance existing indebtedness and to pay related financing costs.

The properties were acquired by the sponsor, The Blackstone Group L.P., (The Blackstone Group) through two of the funds that it manages for the benefit of third-party investors. The three properties collateralising the securitized loans are part of a larger eight-hotel portfolio acquired by the sponsor for £610,000,000 plus transaction costs in September 2011. Five of the hotels in the portfolio were recently sold. The remaining three properties are purpose-built 4-star hotels managed by Hilton and branded as DoubleTree by Hilton.

The Blackstone Group began building its real estate business in 1992, with the acquisition of a series of hotel businesses. Since then, it has built its business into a global operation, with investment professionals in the United States, Europe and Asia. The Blackstone Group has a strong presence in the United Kingdom and the Netherlands, having made several substantial investments in these markets over the years.

The Blackstone Group’s business plan for the assets is to drive average daily rates while maintaining occupancy and to increase food and beverage revenues at the properties. The exit strategy for the portfolio is to sell the hotels independently of each other over the term of the loan. The sale of each of the remaining properties is subject to a 115% release premium.

The DBRS net cash flow (NCF) for the U.K.-based assets was £23,551,311. DBRS applied a blended capitalisation rate of 7.09% to the NCF to arrive at a DBRS stressed value of £332,404,432, which represents a 25.59% discount to the market value provided by CBRE. The DBRS NCF for the Dutch asset was €14,821,068. DBRS applied a 7.35% capitalization rate to cash flow to arrive at a DBRS stressed value of €191,775,066, which is a 17.69% discount to the CBRE market value for this property.

The rated final maturity of the Notes is in February 2025, seven years beyond the maturity of the initial loan term and five years beyond the fully extended loan term. If necessary, this is believed to be sufficient time, given the security structure and jurisdiction of the underlying loans, to enforce on the loan collateral and repay bondholders, assuming both extension options will be exercised.

The ratings assigned by DBRS to the Notes are based exclusively on the credit provided by the transaction structure and underlying assets of the issuer. All classes 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 pound sterling or euros as noted.

The principal methodology applicable is European CMBS Rating Methodology.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

Other methodologies referenced in this transaction are listed at the end of this press release and may be found at http://www.dbrs.com/about/methodologies

For a more detailed discussion of the 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 Mint 2015 Plc, J.P. Morgan Chase Bank, N.A., London Branch, and CBRE Limited.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; however, Agreed upon Procedures (AUP) are included in the requested documentation.

DBRS was not supplied with AUP documents. Data checks were performed, and DBRS did apply additional cash flow stresses in its scenarios.

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. This is the first DBRS rating on this financial instrument.

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

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

A decrease of 10% and 20% in the DBRS NCF, derived by looking at comparable properties, market rents, market occupancies in addition to expense ratios and capital expenditures, would lead to a downgrade in the transaction, as noted below for each class respectively.

Class GBP-A Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class GBP-A to AAA (sf)
-- 20% decline in DBRS NCF, expected rating of Class GBP-A to AAA (sf)

Class GBP-B Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class GBP-B to A (low) (sf)
-- 20% decline in DBRS NCF, expected rating of Class GBP-B to BBB (low) (sf)

Class GBP-C Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class GBP-C to BBB (low) (sf)
-- 20% decline in DBRS NCF, expected rating of Class GBP-C to BB (high) (sf)

Class GBP-D Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class GBP-D to BB (low) (sf)
-- 20% decline in DBRS NCF, expected rating of Class GBP-D to B (low) (sf)

Class GBP-E Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class GBP-E to B (low) (sf)
-- 20% decline in DBRS NCF, expected rating of Class GBP-E to NR

Class GBP-F Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class GBP-F to NR
-- 20% decline in DBRS NCF, expected rating of Class GBP-F to NR

Class EUR-A Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class EUR-A to AAA (sf)
-- 20% decline in DBRS NCF, expected rating of Class EUR-A to AAA (sf)

Class EUR-B Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class EUR-B to AA (high) (sf)
-- 20% decline in DBRS NCF, expected rating of Class EUR-B to A (high) (sf)

Class EUR-C Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class EUR-C to BBB (low) (sf)
-- 20% decline in DBRS NCF, expected rating of Class EUR-C to BB (high) (sf)

Class EUR-D Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class EUR-D to BB (sf)
-- 20% decline in DBRS NCF, expected rating of Class EUR-D to B (sf)

Class EUR-E Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class EUR-E to BB (low) (sf)
-- 20% decline in DBRS NCF, expected rating of Class EUR-E to B (low) (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.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Scott Goedken, Senior Vice President, EU CMBS
Initial Rating Date: May 29, 2015
Initial Rating Committee Chair: Erin Stafford, Managing Director, Global CMBS

DBRS Ratings Limited
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Mincing Lane
London
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United Kingdom

Registered in England and Wales: No. 7139960

The rating methodologies 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

A description of how DBRS analysis structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrs.com/research/278375.