Rating Action: Moody's assigns provisional ratings to notes to be issued by Taurus 2021-1 UK DACGlobal Credit Research - 11 Feb 2021Approximately GBP 323 million of CMBS ratedLondon, 11 February 2021 -- Moody's Investors Service ("Moody's") has assigned the following provisional ratings to the debt issuance of Taurus 2021-1 UK DAC (the "Issuer"):....GBP158M Class A Notes Commercial Mortgage Backed Floating Rate Notes due 2031, Assigned (P)Aaa (sf)....GBP40M Class B Notes Commercial Mortgage Backed Floating Rate Notes due 2031, Assigned (P)Aa3 (sf)....GBP36M Class C Notes Commercial Mortgage Backed Floating Rate Notes due 2031, Assigned (P)A3 (sf)....GBP56M Class D Notes Commercial Mortgage Backed Floating Rate Notes due 2031, Assigned (P)Baa3 (sf)....GBP33.1M Class E Notes Commercial Mortgage Backed Floating Rate Notes due 2031, Assigned (P)Ba3 (sf)Taurus 2021-1 UK DAC is a true sale transaction of a floating rate loan totalling GBP 340.1 million. The issuer will on-lend the proceeds to the borrower who will use the proceeds to finance the acquisition and related transaction closing costs of 45 logistics, warehouse and light industrial assets located in the UK and predominantly in or around Greater London. There will be a GBP 85.0 million mezzanine facility that is contractually and structurally subordinated to the senior facility.Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavour to assign definitive ratings. A definitive rating (if any) may differ from a provisional rating.RATINGS RATIONALEToday's rating actions are based on: (i) Moody's assessment of the real estate quality and characteristics of the collateral; (ii) analysis of the loan terms; and (iii) the expected legal and structural features of the transaction.The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Our analysis has considered the effect on the performance of commercial real estate from the current weak UK economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around our forecasts is unusually high.We regard the coronavirus outbreak as a social risk under our ESG framework, given the substantial implications for public health and safety.The key parameters in Moody's analysis are the default probability of the securitised loan (both during the term and at maturity) as well as Moody's value assessment of the collateral. Moody's derives from these parameters a loss expectation for the securitised loan. Moody's default risk assumptions are low/medium for the loan.The key strengths of the transaction include: (i) the very good quality urban logistics and light industrial portfolio; (ii) the low to medium default risk; (iii) the good tenant diversity; and (iv) the experienced sponsor and asset manager.Challenges in the transaction include: (i) the additional mezzanine debt that increased the overall leverage; (ii) the lack of amortisation; (iii) the weak covenants; and (iv) the increased uncertainty around the impact of the coronavirus crisis.The Moody's LTV of the securitised loan at origination is 75.4%. Moody's has applied a property grade of 1.5 for the portfolio (on a scale of 1 to 5, 1 being the best).The principal methodology used in these ratings was "Moody's Approach to Rating EMEA CMBS Transactions" published in October 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1243194. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.Factors That Would Lead to an Upgrade or Downgrade of the Ratings:Main factors or circumstances that would lead to a downgrade of the ratings are generally: (i) a decline in the property values backing the underlying loan; (ii) an increase in the default probability of the loan; and (iii) changes to the ratings of some transaction counterparties.Main factors or circumstances that could lead to an upgrade of the ratings are generally: (i) an increase in the property values backing the underlying loan; or (ii) a decrease in the default probability driven by improving loan performance or decrease in refinancing risk.For further details, please refer to the presale report available in due course.REGULATORY DISCLOSURESFor further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1261096.The analysis relies on a Monte Carlo simulation that generates a large number of collateral loss or cash flow scenarios, which on average meet key metrics Moody's determines based on its assessment of the collateral characteristics. Moody's then evaluates each simulated scenario using model that replicates the relevant structural features and payment allocation rules of the transaction, to derive losses or payments for each rated instrument. The average loss a rated instrument incurs in all of the simulated collateral loss or cash flow scenarios, which Moody's weights based on its assumptions about the likelihood of events in such scenarios actually occurring, results in the expected loss of the rated instrument.Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1243406.At least one ESG consideration was material to the credit rating action(s) announced and described above.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the EU and is endorsed by Moody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating. Benjamin Bouchet Asst Vice President - Analyst Structured Finance Group Moody's Investors Service Ltd. One Canada Square Canary Wharf London E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 Andrea M. Daniels Associate Managing Director Structured Finance Group JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 Releasing Office: Moody's Investors Service Ltd. 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