Morningstar DBRS Discontinues Credit Ratings on Pearl Finance 2020 DAC and Usil European Loan Conduit No. 36 DAC

DBRS Ratings GmbH (Morningstar DBRS) discontinued its credit ratings on all classes of commercial mortgage-backed floating-rate notes (the notes) issued by Pearl Finance 2020 DAC and Usil European Loan Conduit No. 36 DAC as the notes were redeemed in full on 19 February 2024 and 20 February 2024 for the two transactions, respectively. This concluded Morningstar DBRS’ surveillance of these transactions.

Prior to their repayment, Morningstar DBRS’ credit ratings and the outstanding principal balance of the notes were as follows:

Pearl Finance 2020 DAC
-- Class A1 notes rated at AAA (sf); EUR 149,632,494.48
-- Class A2 notes rated at AAA (sf); EUR 19,825,125.45
-- Class B notes rated at AA (high) (sf); EUR 30,681,741.77
-- Class C notes rated at AA (low) (sf); EUR 38,139,765.15
-- Class D notes rated at A (sf); EUR 32,286,632.88
-- Class E notes rated at BBB (high) (sf); EUR 30,209,714.97

Usil European Loan Conduit No. 36 DAC
-- Class RFN notes rated at AAA (sf); EUR 19,111,810.49
-- Class A-1 notes rated at AAA (sf); EUR 258,200,559.67
-- Class A-2 notes rated at AAA (sf); EUR 73,867,147.53
-- Class B notes rated at AA (low) (sf); EUR 68,229,163.44
-- Class C notes rated at A (low) (sf); EUR 60,966,675.45
-- Class D notes rated at BBB (sf); EUR 64,597,919.44
-- Class E notes rated at BB (high) (sf); EUR 64,502,360.39
-- Class F notes rated at B (high) (sf); EUR 66,891,336.70

Please refer to https://dbrs.morningstar.com/issuers/26188 and to https://dbrs.morningstar.com/issuers/24197 for more information.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at (23 January 2024), https://dbrs.morningstar.com/research/427030.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodology applicable to the credit ratings is European CMBS Rating and Surveillance Methodology (17 January 2024), https://dbrs.morningstar.com/research/426818.

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

In Morningstar DBRS’ opinion, a discontinued-repaid credit rating action does not warrant the application of the entire principal methodology, as the bonds have been repaid in full.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit 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: https://dbrs.morningstar.com/research/421590.

The sources of data and information used for these credit ratings include servicer reports from CBRE Loan Servicing Limited (for Pearl Finance 2020 DAC) and from Mount Street Mortgage Servicing Limited (for Usil European Loan Conduit No. 36 DAC), as well as investor reports from U.S. Bank Global Corporate Trust.

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

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

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

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

The last credit rating actions on these transactions took place on 24 November 2023 (for Pearl Finance 2020 DAC) and on 26 October 2023 (for Usil European Loan Conduit No. 36 DAC), when Morningstar DBRS confirmed its credit ratings on the notes with Stable trends.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on dbrs.morningstar.com.

As this is a discontinued-repaid rating action, sensitivity analysis is not applicable.

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Andrea Selvarolo, Senior Analyst, European Real Estate Ratings
Rating Committee Chair: Mirco Iacobucci, Senior Vice President, Sector Lead, European Real Estate Ratings
Initial Rating Date: 29 October 2020 (Pearl Finance 2020 DAC); 21 October 2019 (Usil European Loan Conduit No. 36 DAC)

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- European CMBS Rating and Surveillance Methodology (17 January 2024), https://dbrs.morningstar.com/research/426818
-- Legal Criteria for European Structured Finance Transactions (30 June 2023), https://dbrs.morningstar.com/research/416730
-- Interest Rate Stresses for European Structured Finance Transactions (15 September 2023), https://dbrs.morningstar.com/research/420602
-- Derivative Criteria for European Structured Finance Transactions (18 September 2023), https://dbrs.morningstar.com/research/420754
-- Currency Stresses for Global Structured Finance Transactions (30 January 2024), https://dbrs.morningstar.com/research/427281

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

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at [email protected].