Recipient email addresses will not be used in mailing lists or redistributed.
Use semicolon to separate each address, limit to 20 addresses.
characters you see
You have successfully sent the research.
Please note: some research requires a paid subscription in order to access.
Already a customer?
Don't want to see this again?
Accept our to continue to Moodys.com:
AND SCROLL DOWN!
By clicking “I AGREE” [at the end of this document],
you indicate that you understand and intend these terms and conditions to be
the legal equivalent of a signed, written contract and equally binding, and
that you accept such terms and conditions as a condition of viewing any and all
Moody’s information that becomes accessible to you [after clicking “I AGREE”] (the
“Information”). References herein to “Moody’s” include Moody’s
Corporation, Inc. and each of its subsidiaries and affiliates.
Terms of One-Time Website Use
you have entered into an express written contract with Moody’s to the contrary,
you agree that you have no right to use the Information in a commercial or
public setting and no right to copy it, save it, print it, sell it, or publish
or distribute any portion of it in any form.
acknowledge and agree that Moody’s credit ratings: (i) are current opinions of
the future relative creditworthiness of securities and address no other risk; and
(ii) are not statements of current
or historical fact or recommendations to purchase, hold or sell particular
securities. Moody’s credit ratings and
publications are not intended for retail investors, and it would be reckless
and inappropriate for retail investors to use Moody’s credit ratings and
publications when making an investment decision. No
warranty, express or implied, as the accuracy, timeliness, completeness,
merchantability or fitness for any particular purpose of any Moody’s credit
rating is given or made by Moody’s in any form whatsoever.
3. To the extent permitted by law, Moody’s and its directors,
officers, employees, representatives, licensors and suppliers disclaim
liability for: (i) any indirect, special, consequential, or incidental losses
or damages whatsoever arising from or in connection with use of the
Information; and (ii) any direct or compensatory damages caused to any person
or entity, including but not limited to by any negligence (but excluding fraud
or any other type of liability that by law cannot be excluded) on the part of
Moody’s or any of its directors, officers, employees, agents, representatives,
licensors or suppliers, arising from or in connection with use of the
4. You agree to read [and
be bound by] the more detailed disclosures regarding Moody’s ratings and the
limitations of Moody’s liability included in the Information.
5. You agree that any disputes relating to this agreement or your use of
the Information, whether sounding in contract, tort, statute or otherwise,
shall be governed by the laws of the State of New York and shall be subject to
the exclusive jurisdiction of the courts of the State of New York located in
the City and County of New York, Borough of Manhattan.
02 Oct 2009
EUR 336 million of CMBS affected
London, 02 October 2009 -- Moody's Investors Service has today downgraded the following class of
Notes issued by Taurus CMBS (Pan-Europe) 2006-3 PLC (amount
reflects initial outstandings):
EUR336M Class A Commercial Mortgage Backed Floating Rate Notes due 2015
Notes, Downgraded to Aa2; previously on Apr 8, 2009 Aaa
Placed Under Review for Possible Downgrade
Moody's does not rate the Class B, Class C, Class D,
Class X1 and Class X2 Notes issued by Taurus CMBS (Pan-Europe)
2006-3 PLC. Today's rating action concludes the review for
possible downgrade that was initiated for on 8 April 2009 and takes 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
Taurus CMBS (Pan-Europe) 2006-3 PLC closed in November 2006
and represents the securitisation of initially 7 mortgage loans originated
by Merrill Lynch. The loans were secured directly and indirectly
by first-ranking legal mortgages over initially 29 (currently 16)
commercial properties located in Switzerland (69.8% of initial
underwriter's market value), France (18.4%)
and Germany (11.8%). The properties use was mainly
retail (49.6%) and office (44.7%).
Since closing, approximately 30% of the initial pool repaid
or prepaid. The Dubendorf Loan (12% of the initial portfolio
balance) repaid in full in September 2009, two months after its
scheduled maturity date in July 2009. In addition, some partial
prepayments occurred in relation to the EPIC Loan (following the release
of security on the EPIC 2 Property in September 2009) and on the Phone
Loan (partially prepaid several times since closing following the disposal
of 11 properties). In addition, all the loans but the Triumph
Loan provide for scheduled amortisation. The two largest loans
in the pool are now the EPIC Loan and the Trafalgar Loan which contribute
44% and 19% to the total securitised balance. The
smallest loan is the Vich Brig Loan which contributes 4% to the
portfolio. The current loan Herfindahl index is 3.6,
compared to 4.8 at closing.
Since closing, all the scheduled amortisation has been applied 50%
sequential and 50% pro-rata to the notes. The various
prepayments of the Phone Loan were applied fully pro-rata.
On the next interest payment date ("IPD"), the prepayment that occurred
in relation to the EPIC Loan in September 2009 will be allocated fully
pro-rata. In contrast, the repayment of the Dubendorf
Loan that occurred in September 2009 will be applied 50% sequential
/ 50% pro-rata. Since closing and accounting for
the latest payments, the Class A subordination level has marginally
increased from 25.4% to 27.3%. As of
the last IPD, all loans were current. Only the Dubendorf
Loan was on the watch list as its maturity date was extended from 28th
July to 28th August 2009.
2) Rating Rationale
The downgrade of the Class A Notes follows 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 the future. In its review,
Moody's especially concentrated on the largest loans in the portfolio
accounting for on aggregate 88% of the current portfolio i.e.
the EPIC Loan, the Trafalgar Loan, the Triumph Loan and the
As outlined in more detail below, today's rating action is mainly
(i) the refinancing profile of the transaction
(ii) the performance of the European commercial property markets;
(iii) Moody's opinion about future property market performance; and
(iv) potential increase of credit quality dispersion within the portfolio
coupled with weak sequential pay triggers.
Driven by, in most cases, a higher default risk assessment
at the loan maturity dates, Moody's now anticipates that a substantial
portion of the portfolio will default over the course of the transaction
term. Coupled with the negative impact of reduced property values,
Moody's expects a considerable amount of losses on the securitised portfolio.
Those expected losses will, given the anticipated work-out
strategy for defaulted loans, crystallise mostly towards the end
of the transaction term.
The current subordination level for the Class A Notes of 27% provides
protection against those expected losses. However, the likelihood
of higher than expected losses on the portfolio has increased substantially,
which results in today's rating action. In addition, as the
sequential redemption event triggers have not been met and not expected
to be met in the near future, it is unlikely that the credit enhancement
available to Class A will increase over the short term. Moody's
notes that the sequential redemption trigger events in this transaction
are relatively loose in comparison to other EMEA large multi-borrower
CMBS transactions: 20% of the closing securitised balance
needs to be in default for two consecutive interest payment dates.
Given the refinancing profile of the portfolio, it is likely that
any repayment occuring in 2010 and 2011 will still be allocated modified
pro-rata or even pro-rata, even if other loans default
at their maturity. From the viewpoint of the most senior class,
this increases the risk of credit quality dispersion in the portfolio
not being mitigated by sequential amortisation and increasing subordination.
3) Moody's Portfolio Analysis
Property Values. Property values across the Continental European
markets have declined, in some markets significantly, until
mid 2009 and are expected to continue to decline at least until 2010-2011.
Moody's estimates that compared to the underwriter's ("U/W") values at
closing, the values of the properties securing this transaction
have declined on average by approximately 10% until mid 2009 (ranging
from a 20% decline for the Phone Loan to a 6% decline for
the EPIC Loan). Looking ahead, Moody's anticipates further
declines until 2010 and 2011, resulting in, on average,
a 16% value decline from the closing U/W value to Moody's
trough value (ranging from a 24% decline for Triumph Loan to a
8% decline for the Vich Brig Loan). 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
Based on this property value assessment, Moody's estimates that
the transaction's early-2009 weighted average ("WA")
securitised loan-to-value ("LTV") ratio was
74.9% compared to the current U/W LTV of 67.1%.
Due to the further envisaged declines, the WA LTV will increase
in Moody's opinion to 77.9% in 2010 and will only
gradually recover thereafter. Based on Moody's anticipated
trough values, the LTVs for the securitised loans range between
72.5% (Phone Loan) and 86.54% (Trafalgar Loan).
As 5 loans have additional debt in the form of B-loans (amounting
to EUR 49.9 million on aggregate), based on estimated trough
values, the overall whole loan leverage is on average 90.3%.
Refinancing Risk. Following the repayment of the Dubendorf Loan,
the transaction has no exposure to loans maturing in 2009. However,
four loans accounting for approximately 74% of the pool are due
to refinance in 2010 and 2011 (30% in 2010 and 44% in 2011).
The remaining loans have maturity dates in 2013. Moody's adjustment
of the refinancing risk assessment is primarily due to the decline in
property values and its expectations that commercial real estate lending
will remain scarce over the next 2 to 3 years. As Moody's expects
property values in the Continental European markets to only slowly recover
from 2011 onwards, all loans will be still highly leveraged at their
respective maturity dates. Consequently, in Moody's view,
for all 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. In particular,
loans secured by Properties which will experience significant lease rollover
over the next few years (Triumph, Phone and EPIC) could be,
in Moody's view, especially exposed to weakening occupational markets.
As a consequence, Moody's has incorporated into its analysis an
allowance for deterioration in coverage ratios and weakening tenant qualities,
in turn increasing the term default risk assumption for some of the loans.
Overall Default Risk. Based on its revised term and maturity default
risk assessment for the securitised loans, Moody's anticipates that
a substantial 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 Triumph
Loan (17% of current portfolio balance) has currently the lowest
default risk, while the Trafalgar Loan (8% of the current
portfolio) has the highest risk of defaulting.
Concentration Risk. The portfolio securitised in this transaction
exhibits an average concentration in terms of property types and property
Property Disposals. Moody's notes that the Phone Loan and the EPIC
Loan have witnessed several prepayments that were driven by property disposals
(Phone Loan) or security releases (EPIC Loan) since closing. The
resulting loan prepayments were allocated pro-rata to the notes
and unless the sequential redemption event triggers are met, future
prepayments will continue to be allocated pro-rata. In relation
to the EPIC Loan, it is not excluded that there may be further prepayments
that will result in potential security releases. According to the
loan documentation, prepayments that are not the result of property
disposals do not trigger a release premium. As such, those
prepayments and security releases will most likely not, as already
witnessed in 2009, reduce the overall leverage of the EPIC Loan.
However, they would reduce the overall loan balance, potentially
increasing the refinancing prospects of the remaining loan. In
Moody's view, due to the lack of a release premium being payable,
those potential repayments and security releases increase the risk of
negative selection and credit quality dispersion within the loan and the
portfolio. This risk is from the viewpoint of the most senior noteholder
not sufficiently mitigated as future prepayments of the EPIC Loan will
most likely continue to be allocated pro rata to the Notes.
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 considerable amount of
losses on the securitised portfolio, which will, given the
anticipated work-out strategy for defaulted loans, crystallise
only towards the mid to 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 20 August
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 email@example.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).
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades the Class A CMBS Notes issued by Taurus CMBS (Pan-Europe) 2006-3 PLC to Aa2
Asst Vice President - Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
© 2020 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.
CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND/OR ITS CREDIT RATINGS AFFILIATES ARE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY'S (COLLECTIVELY, "PUBLICATIONS") MAY INCLUDE SUCH CURRENT OPINIONS. MOODY'S INVESTORS SERVICE DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY'S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY'S INVESTORS SERVICE CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS ("ASSESSMENTS"), AND OTHER OPINIONS INCLUDED IN MOODY'S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY'S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY'S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.
MOODY'S CREDIT RATINGS,
ASSESSMENTS, OTHER OPINIONS, AND PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS OR PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.
ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY'S PRIOR WRITTEN CONSENT.
MOODY'S CREDIT RATINGS,
ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.
All information contained herein is obtained by MOODY'S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided "AS IS" without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY'S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing its Publications.
To the extent permitted by law, MOODY'S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY'S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY'S.
To the extent permitted by law, MOODY'S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY'S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.
NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY'S IN ANY FORM OR MANNER WHATSOEVER.
Moody's Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody's Corporation ("MCO"), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody's Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody's Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and Moody's investors Service also maintain policies and procedures to address the independence of Moody's Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody's Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com
under the heading "Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy."
Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY'S affiliate, Moody's Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody's Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to "wholesale clients" within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY'S that you are, or are accessing the document as a representative of, a "wholesale client" and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to "retail clients" within the meaning of section 761G of the Corporations Act 2001. MOODY'S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.
Additional terms for Japan only: Moody's Japan K.K. ("MJKK") is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody's Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody's SF Japan K.K. ("MSFJ") is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization ("NRSRO"). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.
MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.
MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.