JONES LANG LASALLE INCORPORATED Class A at A (low) (sf)
Class B at BBB (low) (sf)
The trends on all ratings remain Negative.
The rating confirmations reflect positive reletting dynamics and the transaction's relatively stable performance over the last 12 months. The ratings are based on information provided to DBRS Morningstar by the servicer as of the date of this press release.
The transaction is a 95% securitisation of an originally
The loan is backed by Derbion (formerly Intu Derby), a 1.3 million square foot shopping mall located southeast of the Derby city centre in
In
An additional paydown of
The disruption related to the COVID-19 pandemic continued to challenge the transaction's performance with some volatility observed in contracted rent levels due to incentives offered to new tenants. However, DBRS Morningstar notes a decline in the level of rent arrears as well as positive letting dynamics, with the borrower agreeing to a long-term lease with Frasers. As a result, DBRS Morningstar did not revise its underwriting assumptions and confirmed the ratings on all classes of notes with Negative trends, reflecting continued uncertainty in the retail market. DBRS Morningstar's
The transaction benefits from a liquidity facility of
The initial loan maturity of the loan is
The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an immediate economic contraction, leading in some cases to increases in unemployment rates and income reductions for many tenants and borrowers. DBRS Morningstar anticipates that vacancy rate increases and cash flow reductions may continue to arise for many commercial mortgage-backed security (CMBS) borrowers, some meaningfully. In addition, CRE values will be negatively affected, at least in the short term, affecting refinancing prospects for maturing loans and expected recoveries for defaulted loans. The ratings are based on additional analysis to expected performance as a result of the global efforts to contain the spread of the coronavirus.
The DBRS
ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.
Notes:
All figures are in British pound sterling unless otherwise noted.
The principal methodology applicable to the ratings is: 'European CMBS Rating and Surveillance Methodology' (17 December 2021).
Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.
DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.
For a more detailed discussion of the sovereign risk impact on Structured Finance 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://www.dbrsmorningstar.com/research/381451/global-methodology-for-rating-sovereign-governments.
The DBRS
The sources of data and information used for these ratings mainly include servicer reports provided by
DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial ratings, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.
The last rating action on this transaction took place on
Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.
Sensitivity Analysis: To assess the impact of changing the transaction parameters on the ratings, DBRS Morningstar considered the following stress scenarios, as compared with the parameters used to determine the ratings (the Base Case):
Class A Risk Sensitivity:
10% decline in DBRS Morningstar NCF, expected rating of Class A notes to BBB (high) (sf)
20% decline in DBRS Morningstar NCF, expected rating of Class A notes to BBB (low) (sf)
Class B Risk Sensitivity:
10% decline in DBRS Morningstar NCF, expected rating of Class B notes to BB (sf)
20% decline in DBRS Morningstar NCF, expected rating of Class B notes to B (sf)
For further information on DBRS Morningstar historical default rates published by the
These ratings are endorsed by
Generally, the conditions that lead to the assignment of a Negative or Positive trend are resolved within a 12-month period. DBRS Morningstar's outlooks and ratings are monitored.
Lead Analyst:
Rating Committee Chair:
Initial Rating Date:
Tel. +44 (0) 20 7855 6600
Registered and incorporated under the laws of
The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.
European CMBS Rating and Surveillance Methodology (
Legal Criteria for European Structured Finance Transactions (
Interest Rate Stresses for European Structured Finance Transactions (
Derivative Criteria for European Structured Finance Transactions (
DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (
A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/278375.
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
Ratings
Date Issued Debt Rated Action Rating Trend Attributesi
US = Lead Analyst based in USA
CA = Lead Analyst based in
EU = Lead Analyst based in EU
E = EU endorsed
U =
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-participating
20-Dec-21 Class A Confirmed A (low) (sf) NegUK
E
20-Dec-21 Class B Confirmed BBB (low) (sf) NegUK
E
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