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Announcement:

Moody's affirms the Class A, X, B and C CMBS Notes issued by Talisman-3 Finance p.l.c.

22 Sep 2009

EUR 615 million affected

London, 22 September 2009 -- Moody's Investors Service has today affirmed the following classes of Notes issued by Talisman-3 Finance p.l.c. (amounts reflect initial outstandings):

EUR 560.0M Class A Commercial Mortgage Backed FRN due 2015, affirmed at Aaa, previously on Jun 7, 2006 assigned Aaa

EUR 0.05M Class X Commercial Mortgage Backed FRN due 2015, affirmed at Aaa, previously on Jun 7, 2006 assigned Aaa

EUR 27.5M Class B Commercial Mortgage Backed FRN due 2015, affirmed at Aaa, previously on Dec 12, 2007 upgraded to Aaa

EUR 27.5M Class C Commercial Mortgage Backed FRN due 2015, affirmed at Aaa, previously on Dec 12, 2007 upgraded to Aaa

Moody's does not rate the Class D, E and F Notes.

Today's rating affirmations take Moody's updated central scenarios into account, as described in Moody's Special Report "Moody's Updates on Its Surveillance Approach for EMEA CMBS".

1) Transaction and Portfolio Overview

Talisman-3 Finance p.l.c, represents the securitisation of initially 13 commercial mortgage loans originated by ABN AMRO BANK N.V., London Branch that were secured by mainly first ranking mortgages on 88 commercial and multi-family properties located across Germany and France. The Berlin Loan and the Dresden Loan are cross defaulted but not cross-collateralised. The properties were predominantly office (57.4%) with the remaining collateral pool consisting of retail (28.8%), multi-family (3.7%), mixed-use (4.7%) and other (5.4%). 69% of the properties were located in Germany and 31% in France.

Since the closing date in June 2006, eight of the initial thirteen loans have pre-paid, representing 80.4% of the original pool balance. Until the principal amount outstanding under the Notes reduced to a threshold of 50% of the principal amount outstanding at the closing date, prepayments were allocated to the Notes on a 50% sequential and 50% pro rata basis. Subsequent to the 50% threshold being reached, the transaction switched to 100% sequential payment allocation. The remaining loans are not equally contributing to the portfolio: the cross defaulted loans represent 52.3% of the current portfolio balance, while the smallest loan (the Trier Loan) represents 7.0%. The current loan Herfindahl index is 2.8. Following the prepayments, the remaining loans are currently secured by 26 properties all located in Germany which are office use (50.5%), retail use (27.9%) and multi-family (21.6%).

As of the last interest payment date, all of the remaining five loans in the portfolio were current. However, the Berlin and Dresden Loans were on the servicer's watchlist due to their impending maturity date in January 2010.

2) Rating Rationale

Today's rating affirmations follow a detailed re-assessment of the loan and property portfolio's credit risk. Hereby, Moody's main focus was on property value declines, term default risk, refinancing risk and the anticipated work-out timing for potentially defaulting loans. In its review, Moody's reassessed each loan in the transaction.

As outlined in more detail below, today's rating affirmations take into account the most recent performance of the commercial property investment and lending markets in Germany and Moody's opinion about future property value performance and lending market conditions. Driven by a higher default risk assessment at the loan maturity dates, Moody's now anticipates that a large portion of the portfolio will default over the course of the transaction term. Coupled with the negative impact of significantly reduced property values, Moody's expects a substantial amount of losses on the securitised portfolio. Those expected losses will, given the default risk profile and the anticipated work-out strategy for defaulted loans, crystallise only towards the end of the transaction term.

However, 80.4% of the initial loan portfolio has repaid since closing and due to the repayments the credit enhancement available to the Class A, B and C has increased significantly. The current subordination levels for Moody's rated classes (73.1% for the Class A, 58.3% for the Class B and 43.5% for the Class C) provide protection against the expected losses.

Moody's notes that in light of the upcoming refinancing dates in 2010 for 59.4% of the loans there is an increased rating sensitivity, in particular for the Class C Notes. The loan maturity date of the cross-defaulted Berlin and Dresden Loans (52.3% of the current pool balance) is in January 2010. In Moody's opinion, the refinancing risk for these loans is high and the uncertainty around the refinancing is not only driven by the loan characteristics including (i) the Moody's LTV level of 119% based on the whole loan amount and (ii) the remaining weighted average lease term of approximately 12 years but also by the ability of the borrower to find a refinancing in the current difficult lending environment. The servicer's strategy with respect to these two loans if the borrowers are not able to repay the loans will also play a role. A default of the Berlin and Dresden Loans at maturity, coupled with an immediate foreclosure of the properties by the special servicer, could result in rating sensitivity on the Class C Notes.

The Class X Notes are entitled to receive the difference between (i) interest payable on the loans and (ii) interest payable on the Notes and certain costs and are also entitled to receive prepayment fees in connection with the underlying loans. The rating of the Class X does not address the likelihood of payment of any prepayment fees. The liquidity facility can be used to cover potential interest shortfalls on the Class X Notes. In relation to principal, the Class X Notes benefit from equivalent amounts deposited on the Class X Principal Account. Moody's believes that the Class X Notes have a different risk profile in comparison to the other classes in the transaction given their characteristics. The rating of the Class X Certificates is therefore not affected by the increased credit risk of the loan portfolio.

3) Moody's Portfolio Analysis

Property Values. Property values across the Continental European markets have declined significantly until mid 2009 and are expected to continue to decline at least until 2010. Moody's estimates that compared to the underwriter's ("U/W") values at closing, the values of the properties securing this transaction have declined by on aggregate 20% until mid 2009 (ranging from no decrease for the Trier Loan to a 36% decline for the Dresden Loan). Based on this property value assessment, Moody's estimates that the transaction's mid-2009 weighted average ("WA") securitised loan-to-value ("LTV") ratio was 103% compared to the reported U/W LTV of 78%. None of the remaining loans have additional debt in the form of B-loans.

Moody's has taken the anticipated property value development, including a gradual recovery from 2011 onwards, into account when analysing the default risk at loan maturity and the loss given default for each securitised loan.

Refinancing Risk. The transaction's exposure to loans maturing in the short-term (2010) is very high. 59% of the current portfolio matures in 2010, 20% in 2012 and the remaining 21% in 2013. As Moody's expects property values in the Continental European markets to only slowly recover from 2011 onwards, all the loans will still be relatively highly leveraged at their respective maturity dates. Consequently, in Moody's view, for all of the loans, the default risk at maturity has increased substantially compared to the closing analysis.

Term Default Risk. The occupational markets in Continental Europe are currently characterised by falling rents, increasing vacancy rates and higher than average tenant default rates. Except for the Waterloo Loan, which is secured by multi-family properties and a granular tenant base, the remaining loans benefit from long leases expiring only after the loan maturity dates. However, Moody's has incorporated into its analysis higher than average tenant default rates for a majority of the loans thereby increasing the term default risk assumption for the respective loans.

Overall Default Risk. Based on its revised term and maturity default risk assessment for the securitised loans, Moody's anticipates that a large portion of the portfolio will default over the course of the transaction term. The default risk of all loans is predominantly driven by refinancing risk. In Moody's view, the Berlin and Dresden Loans have currently the highest default risk, while the Waterloo Loan has the lowest risk of defaulting.

Concentration Risk. The portfolio securitised in Talisman-3 Finance p.l.c exhibits an average concentration in terms of property types and property location.

Work-Out Strategy. In scenarios where a loan defaults, Moody's current expectation is that the servicer will most likely not pursue an immediate sale of the property in today's depressed market conditions. Therefore, Moody's has assumed that in most cases, upon default, a sale of the mortgaged properties and ultimate work-out of the loan will occur at a later point in time.

Increased Portfolio Loss Exposure. Taking into account the increased default risk of the loans, the most recent performance of the commercial property markets in Continental Europe, Moody's opinion about future property value performance and the most likely work-out strategies for defaulted loans, Moody's anticipates a substantial amount of losses on the securitised portfolio, which will, given the default risk profile and the anticipated work-out strategy for defaulted loans, crystallise only towards the end of the transaction term.

4) Rating Methodology

The principal methodologies used in rating and monitoring the transaction are "Update on Moody's Real Estate Analysis for CMBS Transaction in EMEA" June 2005 and "Moody's Updates on its Surveillance Approach for EMEA CMBS" March 2009, which are available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. The last Performance Overview for this transaction was published on 31 July 2009.

Further information on Moody's analysis of this transaction is available on www.moodys.com. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

For updated monitoring information, please contact monitor.cmbs@moodys.com. To obtain a copy of Moody's Pre-Sale Report on this transaction, please visit Moody's website at www.moodys.com or contact our Client Service Desk in London (+44-20-7772 5454).

London
Daniel Kolter
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Johannesburg
Viola Karoly
Associate Analyst
Structured Finance Group
Moody's Investors Service South Africa (Pty) Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's affirms the Class A, X, B and C CMBS Notes issued by Talisman-3 Finance p.l.c.
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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