Morningstar DBRS Discontinues Credit Ratings on Taurus 2019-2 UK DAC

DBRS Ratings Limited (Morningstar DBRS) discontinued its credit ratings on all classes of commercial mortgage-backed floating-rate notes (the notes) issued by Taurus 2019-2 UK DAC as the notes were redeemed in full on 19 February 2024. This concludes Morningstar DBRS’ surveillance of this transaction.

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

-- Class A notes rated at AAA (sf); GBP 155,595,867.49
-- Class B notes rated at AA (sf); GBP 57,044,852.90
-- Class C notes rated at A (sf); GBP 40,974,274.96
-- Class D notes rated at BBB (low) (sf); GBP 60,160,189.52
-- Class E notes rated at BB (sf); GBP 33,675,079.24

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors 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 British pound sterling 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 Notice to Noteholders issued by Taurus 2019-2 UK DAC on 19 February 2024, and calculation agent’s quarterly report for the February 2024 IPD prepared by U.S. Bank Global Corporate Trust Limited.

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

At the time of the initial credit rating, 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 action on Taurus 2019-2 UK DAC took place on 22 September 2023, 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 GmbH for use in the European Union.

Lead Analyst: Deniz Gokce, Senior Analyst, European Real Estate Ratings
Rating Committee Chair: Mirco Iacobucci, Senior Vice President, Sector Lead, European Real Estate Ratings
Initial Rating Date: 28 August 2019

DBRS Ratings Limited
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London EC1Y 1HQ United Kingdom
Tel. +44 (0) 20 7855 6600
Registered and incorporated under the laws of England and Wales: Company No. 7139960

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
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024),
https://dbrs.morningstar.com/research/427030

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].