Press Release

DBRS Morningstar Confirms Ratings of Oranje (European Loan Conduit No. 32) DAC

December 04, 2020

DBRS Ratings GmbH (DBRS Morningstar) confirmed its ratings of the following classes of notes due November 2028 issued by Oranje (European Loan Conduit No. 32) DAC (the Issuer):

-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of the transaction despite different levels of performances of each loan over the last 12 months. Also since most of the assets in the transaction’s portfolio are office properties, the transaction is less affected by the Coronavirus Disease (COVID-19) pandemic than CMBS transactions secured by hospitality or retail properties.

Oranje (European Loan Conduit No. 32) DAC is a securitisation originated by Morgan Stanley & Co. International plc in 2018. At issuance, the transaction comprised five Dutch commercial real estate loans that totalled EUR 207.3 million. Following the prepayment of the Le Mirage loan in November 2019 and several property disposals from the Cygnet and Phoenix loans, the transaction has four loans outstanding and amounted to EUR 173.3 million as of the August 2020 interest payment date (IPD).

DBRS Morningstar notes that the four remaining loans have different levels of performance since last review. As of Q3 2020, the properties securing the Legion loan (9.4% of the transaction by debt amount) were fully occupied following the lease up of the Orteliuslaan100 property in Utrecht. However, the properties securing the Cygnet loan (11.0% of the transaction by debt amount) are struggling to find new occupiers for their vacant space and registered a 26.0% vacancy rate on the August 2020 IPD. The vacancy rate is expected to increase further after the disposals of two fully let assets at Bakkenzuigerstraat 1, Almere and at De Brauwweg 74-82, Schiedam in Q4 2020. DBRS Morningstar understands that the Cygnet assets face significant market competition for leasing and that the Cygnet borrower, Annexum Beheer B.V., is planning to sell off the portfolio gradually. As a structural mitigant and based on the current Cygnet loan’s loan-to-value (LTV) of 50.9%, there is a 30% release premium for any disposals as long as the Cygnet loan’s LTV is above 50%. DBRS Morningstar also noted a EUR 4.4 million increase in market value (MV) for the Cygnet properties on a like-for-like basis, which to some extent mitigates the credit risk prompted from potential cherry-picked disposals.

The other two loans in the transaction, the Phoenix (53.6% of the transaction) and Cheetah loans (26.0%), maintained relatively similar performance levels since the last review. DBRS Morningstar expects that the Phoenix loan will perform better in the coming IPDs following several new leases signed/agreed to in Q3 2020 including one new lease at the presently vacant Eastpoint building in Rotterdam. As such, the portfolio’s vacancy rate is expected to decrease further below the currently reported 16.1%. DBRS Morningstar also noted three property disposals within the Phoenix loan but considered these disposals credit neutral as they were the smallest assets by MV and the disposals were subjected to a release premium of 7.5%. The Cheetah loan is the only loan that has retail assets in the transaction. However, based on the August 2020 IPD investor report, the loan’s performance was not severely impacted by the coronavirus pandemic. This is mostly explained by the fact that the three largest commercial tenants in the Cheetah loan, supermarket and DIY stores, were still allowed to trade during the pandemic; while 29% of the rental income coming from residential units was also not affected by the coronavirus pandemic. As a result, DBRS Morningstar did not revise its underwriting assumptions for the Cheetah loan.

Since the last review, new valuations have been conducted on all the loans. The new valuations concluded an MV increase for all four loans on a like-for-like basis: the Phoenix loan’s MV has increased by EUR 22.6 million (or by 13.1%) to EUR 194.8 million, the Cheetah loan’s MV increased by EUR 11.8 million (or by 16.8%) to EUR 82.0 million; and the MV for the Legion subportfolio is now EUR 29.5 million, which is EUR 5.2 million (or by 21.4%) higher than that at issuance. The Cygnet loan had the lowest absolute value increase at EUR 4.4 million (being 13.6%) to EUR 36.8 million. When factoring in scheduled amortisation and release premiums, the transaction’s LTV has decreased from 53.4% at issuance (excluding the Le Mirage loan) to 50.6% as of the August 2020 IPD.

The outstanding loans have different terms and maturity dates: 15 November 2022 for Cheetah and Cygnet, 15 November 2023 for Legion and 15 August 2021 (with two 12 month extension options) for Phoenix. The transaction is structured with a five-year tail period (based on the latest senior loan maturity) to allow the special servicer to work out loans not repaid at maturity by 15 November 2028 at the latest, which is the final legal maturity of the notes.

DBRS Morningstar maintained its underwriting assumptions since the last review but updated its net cash flow (NCF) to reflect the property disposals in the Cygnet and Phoenix loans. The new DBRS Morningstar NCFs for both loans are respectively EUR 1.9 million and EUR 9.2 million. This resulted in an updated DBRS Morningstar value of EUR 23.8 million for the Cygnet loan and EUR 127.3 million for the Phoenix loan, representing value haircuts of 35.0% and 34.7%, respectively.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an economic contraction, leading to sharp increases in unemployment rates and income reductions for many tenants and borrowers. DBRS Morningstar anticipates that vacancy rate increases and cash flow reductions may continue to increase for many CMBS borrowers, some meaningfully. In addition, commercial real estate values will be negatively affected, at least in the short term, affecting refinancing prospects for maturing loans and expected recoveries for defaulted loans. The ratings are based on additional analysis as a result of the global efforts to contain the spread of the coronavirus.

On 16 April 2020, the DBRS Morningstar Sovereign group released a set of macroeconomic scenarios for the 2020-22 period in select economies. These scenarios were last updated on 2 December 2020. For details, see the following commentaries: and The DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.

On 16 June 2020, DBRS Morningstar published a commentary outlining how the coronavirus crisis is likely to affect DBRS Morningstar-rated CMBS transactions in Europe. For more details, please see: and

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at:

All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “European CMBS Rating and Surveillance Methodology” (13 December 2019).

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

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

These may be found at:

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at:

The sources of data and information used for these ratings include investor reports prepared by Mount Street Mortgage Servicing Limited since issuance.

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

At the time of the initial rating, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

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

The last rating action on this transaction took place on 4 December 2019, when DBRS Morningstar confirmed its ratings of all the rated notes in the transaction.

The lead analyst responsibilities for this transaction have been transferred to Rick Shi.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar 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 Morningstar NCF, derived by looking at comparable market rents, market occupancies in addition to expense ratios, and capital expenditure, may or may not lead to a downgrade in the transaction, as noted below for each class, respectively.

Class A Notes Risk Sensitivity:
--10% decline in DBRS Morningstar NCF, expected rating of the Class A notes at AA (sf)
--20% decline in DBRS Morningstar NCF, expected rating of the Class A notes at A (sf)
Class B Notes Risk Sensitivity:
--10% decline in DBRS Morningstar NCF, expected rating of the Class B notes at A (low) (sf)
--20% decline in DBRS Morningstar NCF, expected rating of the Class B notes at BBB (high) (sf)
Class C Notes Risk Sensitivity:
--10% decline in DBRS Morningstar NCF, expected rating of the Class C notes at BBB (sf)
--20% decline in DBRS Morningstar NCF, expected rating of the Class C notes at BB (high) (sf)
Class D Notes Risk Sensitivity:
--10% decline in DBRS Morningstar NCF, expected rating of the Class D notes at BB (high) (sf)
--20% decline in DBRS Morningstar NCF, expected rating of the Class D notes at BB (low) (sf)
Class E Notes Risk Sensitivity:
--10% decline in DBRS Morningstar NCF, expected rating of the Class E notes at BB (sf)
--20% decline in DBRS Morningstar NCF, expected rating of the Class E notes at B (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:

Ratings assigned by DBRS Ratings GmbH are subject to EU and U.S. regulations only.

Lead Analyst: Rick Shi, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 6 November 2018

DBRS Ratings GmbH
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60311 Frankfurt am Main – Deutschland
Tel. +49 (69) 8088 3500

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at:

-- European CMBS Rating and Surveillance Methodology (13 December 2019)
-- Legal Criteria for European Structured Finance Transactions (11 September 2019)
-- Derivative Criteria for European Structured Finance Transactions (24 September 2020)
-- Interest Rate Stresses for European Structured Finance Transactions (28 September 2020)

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at