DBRS Takes Rating Actions on Several European CMBS Transactions Following Methodology Update

DBRS Ratings Limited (DBRS) took rating actions on 33 classes of notes across seven commercial mortgage-backed securities (CMBS) transactions. DBRS completed its review of all outstanding DBRS-rated true-sale European CMBS transactions. In its review, DBRS assessed the impact of the material methodology changes outlined in the “European CMBS Rating and Surveillance Methodology” published on 19 February 2018, and considered, where relevant, transaction specific events (e.g., class redemptions, loan prepayments or property disposals). The below rating actions are broadly in line with those expected in “DBRS Updates its European CMBS Rating and Surveillance Methodology”, 19 February 2018. DBRS took the following rating actions:

Tibet CMBS S.R.L. – (Commercial Mortgage-Backed Floating-Rate Notes Due December 2026)

-- Class A confirmed at AA (sf)
-- Class B confirmed at A (high) (sf)
-- Class C confirmed at A (low) (sf)
-- Class D confirmed at BB (low) (sf)

All trends are Stable.

DECO 2015-Charlemagne S.A. – (Commercial Mortgage-Backed Floating-Rate Notes Due April 2025)

-- Class A confirmed at AAA (sf)
-- Class B upgraded to AAA (sf) from AA (low) (sf)
-- Class C upgraded to AA (high) (sf) from A (low) (sf)
-- Class D upgraded to A (low) (sf) from BBB (low) (sf)
-- Class E upgraded to BBB (high) (sf) from BB (sf)

All trends are Stable.

Deco 2014-Gondola S.R.L. – (Commercial Mortgage-Backed Floating-Rate Notes Due February 2026)

-- Class A rating has been discontinued to Disc.-Repaid.
-- Class B rating has been discontinued to Disc.-Repaid.
-- Class C upgraded to AAA (sf) from A (sf), with a Stable trend.
-- Class D upgraded to BBB (high) (sf) from BBB (low) (sf); trend changed to Stable from Negative.
-- Class E confirmed at BB (high) (sf), with a Negative trend.

Taurus 2015-1 IT S.r.l. – (Commercial Mortgage-Backed Floating-Rate Notes Due February 2027)

-- Class A confirmed at A (high) (sf)
-- Class B confirmed at BBB (high) (sf); trend changed to Stable from Negative.
-- Class C upgraded to BBB (sf) from BB (sf); trend changed to Stable from Negative.
-- Class D upgraded to BBB (low) (sf) from B (sf); trend changed to Stable from Negative.

The trends on all Classes are now Stable.

Taurus CMBS (Pan-Europe) 2007-1 Limited– (Commercial Mortgage Backed Floating Rate Notes due 2020)

-- Class A1 has been discontinued. to Disc.-Repaid.
-- Class A2 upgraded to BBB (sf) from CCC (sf)
-- Class B confirmed at CCC (sf)
-- Class C confirmed at CCC (sf)
-- Class D confirmed at C (sf)

The Interest in Arrears on the Class A2, Class, B, Class C Notes have been repaid and accordingly, the Interest in Arrears designation was removed. However, Class D still has Interest in Arrears. All the classes have ratings that carry no trends.

Taurus 2016-1 DEU Designated Activity Company – (Commercial Mortgage-Backed Floating-Rate Notes Due November 2026)

-- Class A confirmed at AAA (sf)
-- Class B upgraded to AAA (sf) from AA (high) (sf)
-- Class C upgraded to AAA (sf) from AA (low) (sf)
-- Class D upgraded to A (high) (sf) from BBB (sf)
-- Class E upgraded to A (high) (sf) from BB (sf)
-- Class F upgraded to A (sf) from BB (low) (sf)

All trends are Stable.

Taurus 2016-2 DEU Designated Activity Company – (Commercial Mortgage-Backed Floating-Rate Notes Due January 2027)

-- Class A confirmed at AAA (sf)
-- Class B confirmed at AA (sf)
-- Class C upgraded to A (sf) from A (low) (sf)
-- Class D upgraded to BBB (high) (sf) from BBB (low) (sf)

All trends are Stable.

The rating actions are predominantly the result of applying the revised DBRS loan-to-value (LTV) sizing parameters as outlined in the DBRS’s “European CMBS Rating and Surveillance Methodology” published on 19 February 2018. The review considered current loan and property performance as well as transactions specific events like prepayments or property disposals.

The below ratings assigned materially deviate from the rating implied by the direct sizing parameters that are a substantial component of the DBRS “European CMBS Rating and Surveillance” methodology:

-- Taurus CMBS (Pan-Europe) 2007-1 Limited, Class A2
-- Taurus 2016-1 DEU Designated Activity Company, Class D
-- Taurus 2016-1 DEU Designated Activity Company, Class E

DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by a substantial component of a rating methodology. In this case, the assigned rating reflects structural (i.e., loan or transaction) features that outweigh the quantitative sizing parameters output.

More specifically, the rating on Class A2 of Taurus CMBS (Pan-Europe) 2007-1 Limited reflects the lack of third-party liquidity provisions being available to the issuer and the upcoming bond maturity in February 2020. The analytical impact of these structural features is outlined in DRBS’s “European CMBS Rating and Surveillance Methodology” published on 19 February 2018.

The rating of Taurus 2016-1 DEU Designated Activity Company, Class D likewise reflects that the transaction’s liquidity facility cannot be used to pay interest on this class in case of loan payment shortfalls. The rating of Taurus 2016-1 DEU Designated Activity Company, Class E reflects that this class at a higher rating level would not pass the additional the additional cash flow stress DBRS undertakes for potential upgrades, as described in DRBS’s “European CMBS Rating and Surveillance Methodology”.

Since publication of the updated methodology, Moda 2014 S.r.L. repaid in full and DBRS ratings were consequently discontinued shortly thereafter on 1 March 2018. A separate rating action on Debussy DTC Class A notes was taken on 9 March 2018. Please refer to the associated press release for more information.

In addition to true-sale European CMBS transactions, DBRS publicly rates one interest rate swap related to one European CMBS transaction. Its rating is not affected by the methodology update. DBRS maintains provisional ratings on 36 tranches of two transactions involving unexecuted, unfunded financial guarantees that reference two commercial real estate loan portfolios originated by two U.K. banks. For those, DBRS expects to publish the relevant rating actions in the near term.

Notes:
All figures are in euros or British pound sterling unless otherwise noted.

The principal methodology applicable to the ratings are: European CMBS Rating and Surveillance Methodology.

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

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

In DBRS’s opinion, a discontinued-repaid rating action does not warrant the application of the entire principal methodology, as the bond has been repaid in full.

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

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for this rating include the relevant Servicer and/or Special Servicer, and Cash Manager.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings, DBRS was supplied with third-party assessments for the following transactions:
-- Tibet CMBS S.R.L.
-- DECO 2015-Charlemagne S.A.

However, this did not impact the rating analysis.

Additionally, at the time of the initial ratings, DBRS was not supplied with third-party assessments for the following transactions:
--Deco 2014 - Gondola S.R.L.
--Taurus 2015-1 IT S.r.l.
--Taurus CMBS (Pan-Europe) 2007-1 Limited
--Taurus 2016-1 DEU Designated Activity Company
--Taurus 2016-2 DEU Designated Activity Company

However, this did not impact the rating analysis.

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

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating actions on these transactions took place on the following dates:
--19 January 2018 for Tibet CMBS S.R.L.
--21 March 2017 for Taurus 2016-1 DEU Designated Activity Company
--23 May 2017 for Taurus 2016-2 DEU Designated Activity Company
--11 April 2017 for Taurus 2015-1 IT S.r.l.
--19 July 2017 for Deco 2014 - Gondola S.R.L.
--17 August 2017 for DECO 2015-Charlemagne S.A.
--22 August 2017 for Taurus CMBS (Pan-Europe) 2007-1 Limited

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 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:

Tibet CMBS S.r.l

Class A Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class A to A (high) (sf)
-- 20% decline in DBRS NCF, expected rating of Class A to A (low) (sf)

Class B Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class B to BBB (high) (sf)
-- 20% decline in DBRS NCF, expected rating of Class B to BBB (sf)

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

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

DECO 2015 – Charlemagne S.A.

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

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

Class C Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class C at AA (low) (sf)
-- 20% decline in DBRS NCF, expected rating of Class C at A (low) (sf)

Class D Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class D at BBB (high) (sf)
-- 20% decline in DBRS NCF, expected rating of Class D at BBB (low) (sf)

Class E Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class E at BBB (high) (sf)
-- 20% decline in DBRS NCF, expected rating of Class E at BBB (high) (sf)

Deco 2014 – Gondola

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

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

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

Taurus 2015 – 1 IT SRL

Class A Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected downgrade of Class A to A (low) (sf)
-- 20% decline in DBRS NCF, expected downgrade of Class A to BBB (high) (sf)

Class B Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected downgrade of Class B to BBB (high) (sf)
-- 20% decline in DBRS NCF, expected downgrade of Class B to BBB (sf)

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

Class D Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected downgrade of Class D to BB (high) (sf)
-- 20% decline in DBRS NCF, expected downgrade of Class D to BB (sf)

Taurus CMBS (Pan Europe) 2007-1

Class A2 Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class A2 at BBB (sf)
-- 20% decline in DBRS NCF, expected rating of Class A2 at BBB (sf)

Class B Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class B at CCC (sf)
-- 20% decline in DBRS NCF, expected rating of Class B at CCC (sf)

Class C Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class C at CCC (sf)
-- 20% decline in DBRS NCF, expected rating of Class C at CCC (sf)

Class D Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class C at C (sf)
-- 20% decline in DBRS NCF, expected rating of Class C at C (sf)

Taurus 2016 – 1 DEU Designated Activity Company

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

Class B Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class B at AAA (sf)
-- 20% decline in DBRS NCF, expected rating of Class B at AAA (sf)

Class C Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class C at AAA (sf)
-- 20% decline in DBRS NCF, expected rating of Class C at AAA (sf)

Class D Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class D at A (high) (sf)
-- 20% decline in DBRS NCF, expected rating of Class D at A (high) (sf)

Class E Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class E at A (high) (sf)
-- 20% decline in DBRS NCF, expected rating of Class E at A (low) (sf)

Class F Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class F at A (sf)
-- 20% decline in DBRS NCF, expected rating of Class F at BBB (high) (sf)

Taurus 2016 – 2 DEU Designated Activity Company

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

Class B Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class B at AA (low) (sf)
-- 20% decline in DBRS NCF, expected rating of Class B at A (low) (sf)

Class C Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class C at A (low) (sf)
-- 20% decline in DBRS NCF, expected rating of Class C at BBB (sf)

Class D Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class F at B (sf) BBB (sf)
-- 20% decline in DBRS NCF, expected rating of Class F at CC (sf) BB (sf)

Generally, the conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. DBRS’s outlooks and ratings are monitored.

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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 and US regulations only.

Tibet CMBS S.R.L.
Lead Analyst: Jorge Lopez Herguido, Senior Financial Analyst, EU CMBS
Rating Committee Chair: Christian Aufsatz, Managing Director, Head of European Structured Finance
Initial Rating Date: 22 January 2015

DECO 2015-Charlemagne S.A.
Lead Analyst: Rick Shi, Senior Financial Analyst, EU CMBS
Rating Committee Chair: Christian Aufsatz, Managing Director, Head of European Structured Finance
Initial Rating Date: 24 July 2015

Deco 2014 – Gondola SRL
Lead Analyst: Rick Shi, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director, Head of European Structured Finance
Initial Rating Date: 15 July 2014

Taurus 2015-1 IT SRL
Lead Analyst: Jorge Lopez Herguido, Financial Analyst, EU CMBS
Rating Committee Chair: Christian Aufsatz, Managing Director, Head of European Structured Finance
Initial Rating Date: 22 January 2015

Taurus CMBS (Pan-Europe) 2007-1 Limited
Lead Analyst: Jorge Lopez Herguido, Senior Financial Analyst
Rating Committee Chair: Erin Stafford, Managing Director, Head of North American CMBS
Initial Rating Date: 2 July 2007

Taurus 2016-1 DEU Designated Activity Company
Lead Analyst: Jorge Lopez Herguido, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director, Head of European Structured Finance
Initial Rating Date: 24 February 2016

Taurus 2016-2 DEU Designated Activity Company
Lead Analyst: Jorge Lopez Herguido, Senior Financial Analyst
Rating Committee Chair: Christian Aufsatz, Managing Director, Head of European Structured Finance
Initial Rating Date: 4 May 2016

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY 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.

-- European CMBS Rating and Surveillance Methodology
-- Legal Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions

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

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.