Morningstar DBRS Confirms Credit Ratings of Taurus 2021-4 UK DAC

DBRS Ratings Limited (Morningstar DBRS) took the following credit rating actions on the bonds issued by Taurus 2021-4 UK DAC (the Issuer):

-- Class C confirmed at AAA (sf)
-- Class D confirmed at A (low) (sf)
-- Class E confirmed at BB (high) (sf)
-- Class F confirmed at BB (low) (sf)

CREDIT RATING RATIONALE
The rational to the recommended credit ratings is supported by the stable performance of the loan securing the transaction over the last year.

The transaction is a securitisation of GBP 844.0 million at origination in August 2021, comprising two interest-only, senior commercial real estate loans: the Fulham loan, totalling GBP 633.2 million, and the United VI loan, totalling GBP 210.9 million. The loans were advanced by Bank of America Europe DAC to entities owned and managed by Blackstone Inc. (Blackstone). Following the prepayment of the Fulham loan in February 2024, the only outstanding loan is the Unite VI loan, whose balance is unchanged since cut off.

The United VI loan is secured separately by a portfolio of 49 light-industrial and logistics assets integrated into Blackstone's logistics platform, Mileway. The portfolio is well diversified across all major regions in the UK, with the majority of assets located in and around major UK logistical hubs.

The loan to value (LTV) of the loan stands at 64.5% based on the latest valuation dated May 2024, improved from last year 69.3% and in line with 65.0% at origination. The latest valuation performed by Savills Advisory Services (Savills) in May 2024, resulted in GBP 327.0 million, 7.5% higher than the previous valuation at GBP 304.4 million.

No LTV cash trap covenant for the loan has been breached. The loan is currently performing as debt service has been regularly paid since origination.
The net rental income for the United VI portfolio increased to GBP 21.1 million as of February 2025 interest payment date IPD, up from GBP 17.99 million at last annual review and up from GBP 13.17 million since origination. Therefore, the debt yield (DY) for the loan stands at 10.0%, up from 8.4% as at last review and higher than 7% at cut off. No DY cash trap covenant has been breached.

Morningstar DBRS underwrote a new tenancy schedule dated 31 December 2024 and provided by the servicer, Situs Asset Management (Situs). Morningstar DBRS used new underwriting assumptions for NCF (GBP 15.2 million versus GBP 14.8 million), while cap rate (6.5%), occupancy (10.0%), and capital expenditure remained unchanged.
Morningstar DBRS value resulted GBP 233.88 million, representing an haircut of 28.48% compared with Savills' valuation.

The transaction features a Class X interest diversion structure; however, no trigger event has occurred since issuance.
On the closing date, the Issuer entered into a liquidity facility agreement with Bank of America, N.A. (BofA), in which BofA made liquidity support of GBP 18 million available. The Issuer liquidity reserve can be used to cover interest shortfalls on the Class A, Class B, and Class C notes. Following the Fulham loan repayment, GBP 14.9 million of liquidity facility was cancelled at February 2024 IPD. Currently, the liquidity reserve amount stands at GBP 1.9 million and is equivalent to nine months based on the interest strike rate of 2% per annum (p.a.) or 6.1 months based on the Sonia cap of 4.0% p.a., respectively.

The loan maturity date is in August 2026. The final notes maturity is in August 2031. The transaction is structured with a five-year tail period to allow the special servicer to work out the loan, if needed, by the final legal maturity of the notes.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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 Factors in Credit Ratings (13 August, 2024) https://dbrs.morningstar.com/research/437781 .

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 (4 March 2025) https://dbrs.morningstar.com/research/449278

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

Morningstar 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 credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include the servicer reports published by Situs Asset Management Limited, the cash management reports published by US Bank Global Corporate Trust, valuation reports by Jones Lang LaSalle Limited and Savills Advisory Services 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 this issuer took place on 18 March 2024 when Morningstar DBRS discontinued Classes A and B, upgraded the Class C notes to AAA (sf) from A (low) (sf), the Class D notes to A (low) (sf) from BBB (low) (sf), the Class E notes to BB (high) (sf) from BB (low) (sf), and the Class F notes to BB (low) from B (high) (sf).

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

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the base case):

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

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

Class E Risk Sensitivity:
-- 10% decline in Morningstar DBRS NCF, expected rating of Class E notes at BB (low) (sf)
-- 20% decline in Morningstar DBRS NCF, expected rating of Class E notes at below B (low) (sf)

Class F Risk Sensitivity:
-- 10% decline in Morningstar DBRS NCF, expected rating of Class E notes at B (high) (sf)
-- 20% decline in Morningstar DBRS NCF, expected rating of Class E notes at below B (low) (sf)

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
Rating Committee Chair: David Lautier, Senior Vice President
Initial Rating Date: 18 March 2025

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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 (4 March 2025) https://dbrs.morningstar.com/research/449278

Interest Rate Stresses for European Structured Finance Transactions (24 September 2024) https://dbrs.morningstar.com/research/439913.

Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024) https://dbrs.morningstar.com/research/443196.

Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (13 August 2024) https://dbrs.morningstar.com/research/437781

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/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.