Morningstar DBRS Confirms Credit Ratings on Vantage Data Centers Jersey Borrower SPV Limited

DBRS Ratings Limited (Morningstar DBRS) confirmed its credit rating on the notes issued by Vantage Data Centers Jersey Borrower SPV Limited (the Issuer) as follows:

-- Class A-2 at A (low) (sf)

The trend remains Stable.

CREDIT RATING RATIONALE
The transaction features Class A-1 variable funding notes (VFN) and Class A-2 notes. On the closing date, only the GBP 600.0 million Class A-2 notes were issued, while the Class A-1 notes remained undrawn and retained by Barclays Bank PLC and SMBC London Branch. The Issuer may draw on the Class A-1 VFN up to a maximum amount of GBP 100.0 million and subject to the satisfaction of certain conditions as laid out in the transaction documents, including, but not limited to, a rating agency confirmation being obtained. Once issued, the Class A-1 notes rank senior to the Class A-2 notes in the pre-enforcement priority of payments, but pari passu in the post-enforcement priority of payments. Morningstar DBRS does not rate the Class A-1 notes.

The Issuer conducted a GBP 43.0 million VFN draw on 19 December 2024 and a GBP 40.0 million VFN draw on 16 May 2025. Consequently, the Class A-1 notes balance increased to GBP 83.0 million. The Class A-2 notes' balance remains at GBP 600.0 million.

The transaction is collateralised by the Issuer's leasehold and fee-simple interests in two data centers, CWL11 and CWL13, respectively. The data centers are located in close proximity to one another just outside of Newport, Wales, and accounted for 111,828 kilowatts (kW) in total leased capacity as of the cut-off date (31 December 2023). CWL11 was repurposed into a data center in 2010 and is held leasehold with a lease term of 110 years. CWL13, which is held freehold, was constructed in 2022 as a purpose-built data center for a single hyperscaler. The tenancy at CWL11 comprises 65 unique tenants as of April 2025, including retail and wholesale clients as well as two hyperscalers, one of which is also the single tenant at the CWL 13 asset. The two hyperscalers account for 91.8% of total leased capacity. The larger contributor of the two is the main UK subsidiary of its AAA-rated parent entity and the single tenant at CWL 13, and it accounts for 72.9% of total leased capacity across CWL11 and CWL13. The second-biggest tenant is the main UK subsidiary of its BBB-rated parent entity and accounts for 18.9% of total leased capacity.

Both assets have booked-but-not billed (BBnB) capacity that is gradually coming online. BBnB capacity represents capacity that has been leased but is not yet ready for service. Since issuance, around 24,000 kW of BBnB capacity has been delivered. Based on the April 2025 investor report, there is now 102,257 kW of live capacity, an increase from 79,463 kW at issuance. There is another 8,600 kW of BBnB capacity across the collateral.

The annualised adjusted base rent for the assets increased to GBP 103.0 million in April 2025 from GBP 89.9 million at issuance. The weighted-average remaining lease term across the collateral is 8.2 years according to the April 2025 investor report. The loan-to-value ratio (LTV) stands at 57.8% as of April 2025, based on an appraised value of GBP 1.1 billion as of January 2024. The debt service coverage ratio (DSCR) for the April 2025 interest payment date is 1.78 times (x) and the three-month average DSCR, the metric used for trigger testing purposes, stands at 1.79x.

Morningstar DBRS has revised its net cash flow (NCF) assumptions based on the latest available tenancy schedule, with the Morningstar DBRS Year 2 NCF increasing to GBP 70.2 million from GBP 64.5 million at issuance. Giving effect to the obligor purchasing freehold interest in CWL11, Morningstar DBRS has also tightened its cap rate assumption to 7.50% from 7.75% at issuance, and the discount rate to 8.75% from 9.25% at issuance for this asset. The cap rate and discount rate assumptions for CWL13 remained the same. Subsequently, Morningstar DBRS' Net Present Value (NPV) for the collateral increased to GBP 956.4 million from GBP 867.2 million at issuance. The revised Morningstar DBRS NPV equates to an 8.7% haircut to the appraiser's market value of GBP 1.1 billion as of January 2024. The positive credit impact of the increased Morningstar DBRS NPV was offset by the total debt increasing following the VFN draws. As such, Morningstar DBRS confirmed its credit rating on the Class A-2 notes at A (low) (sf) with a Stable trend.

Class A-2 notes pay a fixed interest rate of 6.172%. The Class A-1 notes have a floating interest rate based on Sonia plus a margin of 2.75% and are unhedged. Both tranches are interest only until their respective anticipated repayment dates (ARDs). The Class A-2 notes' ARD is in May 2029. The Class A-1 VFN's ARD is in May 2026, but can be extended twice to May 2028. Any excess cash flow will be used to amortise the outstanding principal balances of the Class A-1 VFN and Class A-2 notes after their respective ARDs until the final maturity of the notes in May 2039. If there are Class A-1 VFN still outstanding on the Class A-2 ARD in May 2029, excess cash flow will go towards amortising the Class A-1 VFN first and will start amortising the Class A-2 notes once no Class A-1 VFN are outstanding (in a pre-enforcement scenario).

The notes pay interest on a monthly basis. The transaction is structured with a liquidity reserve that is sufficient to cover three months of interest payments on the Class A-1 and Class A-2 notes and Class A-1 VFN commitment fees. The liquidity reserve amount stands at GBP 10.8 million as of April 2025.

The transaction features certain covenants, the breach of which before the ARD will result in excess cash applied towards principal amortisation. These include: a cash trap event, which occurs if the DSCR falls below 1.35x at any calculation date; a scheduled amortisation event (DSCR falling below 1.5x); rapid amortisation events (DSCR falling below 1.2x or a breach of the tax deed of covenant); and a Class A LTV test event, which occurs if the LTV exceeds 70%.

Morningstar DBRS' credit rating on the Class A-2 notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. For the security listed above, the associated financial obligations are the interest on the Class A-2 notes and the principal amount of the Class A-2 notes.

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For the security listed above, this includes post-ARD additional interest and the prepayment fee for the Class A-2 notes.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025) https://dbrs.morningstar.com/research/454196.

Notes:
All figures are in British pound sterling unless otherwise noted.

The principal methodology applicable to the credit rating is Rating and Monitoring Data Center Transactions (23 April 2025), https://dbrs.morningstar.com/research/452372.

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

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

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

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for this credit rating include a data tape dated 31 March 2025 and monthly investor reports prepared by US Bank Global Corporate Trust.

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

At the time of the initial credit rating, Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing this credit rating to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this Issuer took place on 24 May 2024 when Morningstar DBRS finalised its provisional credit rating on the Class A-2 notes at A (low) (sf) with a Stable trend.

The lead analyst responsibilities for this transaction have been transferred to Mirco Iacobucci.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the base case):

Risk Sensitivity:
-- 10% decline in Morningstar DBRS NCF, expected credit rating of BBB (low) (sf) on the Class A-2 notes and
-- 20% decline in Morningstar DBRS NCF, expected credit rating of BB (low) (sf) on the Class A-2 notes.

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

This credit rating is endorsed by DBRS Ratings GmbH for use in the European Union.

Lead Analyst: Mirco Iacobucci, Senior Vice President, Sector Lead
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 30 April 2024

DBRS Ratings Limited
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London EC1Y 1HQ United Kingdom
Tel. +44 (0) 20 7855 6600
Registered and incorporated under the laws of England and Wales: Company No. 7139960

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

-- European CMBS Rating and Surveillance Methodology (4 March 2025),
https://dbrs.morningstar.com/research/449278
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025), https://dbrs.morningstar.com/research/454196.

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.