DBRS Confirms Ratings of Four U.K. CMBS Transactions

DBRS Ratings Limited (DBRS) has today confirmed the following classes of European CMBS transactions, as follows:

DECO 2012-MHILL Limited
-- Class A at AAA (sf);
-- Class B at AA (high) (sf);
-- Class C at A (high) (sf).

INDUS (ECLIPSE 2007-1) PLC
-- Class B at AAA (sf);
-- Class X at AAA (sf).

MINT 2015 PLC
-- Class GBP-A rated AAA (sf);
-- Class GBP-B rated AA (low) (sf);
-- Class GBP-C rated A (low) (sf);
-- Class GBP-D rated BBB (low) (sf);
-- Class GBP-E rated BB (low) (sf);
-- Class GBP-F rated B (high) (sf);

-- Class EUR-A rated AAA (sf);
-- Class EUR-B rated AA (high) (sf);
-- Class EUR-C rated A (low) (sf);
-- Class EUR-D rated BBB (low) (sf);
-- Class EUR-E rated BB (high) (sf).

WESTFIELD STRATFORD CITY FINANCE PLC
-- Class A at AAA (sf).

All trends across all transactions are Stable.

DBRS analysed the portfolios in various stressed scenarios based on its current expectations of the Brexit impact on commercial real estate values. All ratings were confirmed given the historical performance trends and DBRS value haircut at issuance that is expected to sufficiently buffer the transactions from any value declines.

DBRS has completed a review of all DBRS-rated transactions with collateral within the United Kingdom following the recent EU Referendum vote in June. This impact has been addressed on a deal-by-deal basis. For more information on the impact to the UK commercial real estate market, please see the press release, “DBRS Takes Several Rating Actions on UK CMBS.” Individual press releases for the other transactions with collateral in the UK are available on www.dbrs.com.

Notes:
All figures are in GBP sterling unless otherwise noted. The principal methodology applicable is: European CMBS Surveillance.

The applicable methodologies are: European CMBS Surveillance, European CMBS Rating Methodology, Legal Criteria for European Structured Finance Transactions, Derivative Criteria for European Structured Finance Transactions and Unified Interest Rate Model for European Securitisations, which can be found on www.dbrs.com under Methodologies.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

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

This may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for these ratings include, Deutsche Bank AG, Situs Asset Management Limited, Cushman & Wakefield LLP, Intu Properties Plc, Capita Asset Services (London) Limited, CBRE Loan Services Limited, CBRE Hotels Limited and U.S. Bank Global Corporate Trust Services.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on these transactions took place on:
-- DBRS confirmed the ratings of DECO 2012-MHILL Limited on 10 June 2016.
-- DBRS upgraded the rating of Class B and confirmed Class X of INDUS (ECLIPSE 2007-1) plc on 22 April 2016.
-- DBRS confirmed the ratings of Mint 2015 plc on 17 June 2016.
-- DBRS confirmed the ratings of Westfield Stratford City PLC on 16 October 2015.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the Base Case):

A decrease of 10% and 20% in the DBRS NCF, derived by looking at comparable properties, market rents, market occupancies in addition to expenses ratios, capital expenditures and re-tenanting costs, would lead to the following ratings in the transaction, as noted below for each class respectively:

DECO 2012-MHILL Limited
Class A Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class A at AAA (sf);
-- 20% decline in DBRS NCF, expected rating of Class A at AAA (sf).

Class B Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class B at AA (high) (sf);
-- 20% decline in DBRS NCF, expected rating of Class B at BBB (high) (sf).

Class C Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class C at BBB (low) (sf);
-- 20% decline in DBRS NCF, expected rating of Class C at BB (low) (sf).

INDUS (ECLIPSE 2007-1) Plc
Class B Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class B at AAA (sf);
-- 20% decline in DBRS NCF, expected rating of Class B at AAA (sf).

MINT 2015 PLC
Class GBP-A Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class GBP-A at AAA (sf);
-- 20% decline in DBRS NCF, expected rating of Class GBP-A at AAA (sf).
Class GBP-B Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class GBP-B at A (low) (sf);
-- 20% decline in DBRS NCF, expected rating of Class GBP-B at BBB (low) (sf).
Class GBP-C Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class GBP-C at BBB (low) (sf);
-- 20% decline in DBRS NCF, expected rating of Class GBP-C at BB (high) (sf).

Class GBP-D Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class GBP-D at BB (low) (sf);
-- 20% decline in DBRS NCF, expected rating of Class GBP-D at B (low) (sf).

Class GBP-E Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class GBP-E at B (low) (sf);
-- 20% decline in DBRS NCF, expected rating of Class GBP-E at Not Rated.

Class GBP-F Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class GBP-F at Not Rated;
-- 20% decline in DBRS NCF, expected rating of Class GBP-F at Not Rated.

Class EUR-A Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class EUR-A at AAA (sf);
-- 20% decline in DBRS NCF, expected rating of Class EUR-A at AAA (sf).

Class EUR-B Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class EUR-B at AA (high) (sf);
-- 20% decline in DBRS NCF, expected rating of Class EUR-B at A (high) (sf).

Class EUR-C Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class EUR-C at BBB (low) (sf);
-- 20% decline in DBRS NCF, expected rating of Class EUR-C at BB (high) (sf).

Class EUR-D Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class EUR-D at BB (sf);
-- 20% decline in DBRS NCF, expected rating of Class EUR-D at B (sf).

Class EUR-E Note Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class EUR-E at BB (low) (sf);
-- 20% decline in DBRS NCF, expected rating of Class EUR-E at B (low) (sf).

WESTFIELD STRATFORD CITY FINANCE PLC
Class A Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class A at AA (low) (sf);
-- 20% decline in DBRS NCF, expected rating of Class A at BBB (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

DECO 2012-MHILL Limited

Initial Lead Analyst: Scott Goedken
Initial Rating Date: 1 February 2012
Initial Rating Committee Chair: Mary Jane Potthoff

Lead Surveillance Analyst: Rick Shi, Senior Financial Analyst
Rating Committee Chair: Erin Stafford, Managing Director

INDUS (ECLIPSE 2007-1) PLC
The lead responsibilities for this transaction have been transferred to Rick Shi.

Initial Lead Analyst: Scott Goedken
Initial Rating Date: 15 March 2007
Initial Rating Committee Chair: Erin Stafford

Lead Surveillance Analyst: Jorge Lopez Herguido, Financial Analyst, Global CMBS
Rating Committee Chair: Erin Stafford, Managing Director, Global CMBS

MINT 2015 PLC
Initial Lead Analyst: Scott Goedken
Initial Rating Date: 29 May 2015
Initial Rating Committee Chair: Erin Stafford

Lead Surveillance Analyst: Rick Shi, Senior Financial Analyst
Rating Committee Chair: Erin Stafford, Managing Director

WESTFIELD STRATFORD CITY FINANCE PLC
Initial Lead Analyst: Scott Goedken
Initial Rating Date: 8 October 2014
Initial Rating Committee Chair: Erin Stafford

Lead Surveillance Analyst: Jorge Lopez Herguido, Financial Analyst, Global CMBS
Rating Committee Chair: Erin Stafford, Managing Director, Global CMBS

DBRS Ratings Limited
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London EC3M 3BY
United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies

The rating methodologies used in the analysis of this transaction can be found at:
http://www.dbrs.com/about/methodologies.

-- European CMBS Surveillance
-- European CMBS Rating Methodology
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Unified Interest Rate Model for European Securitisations

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.