Taurus IT S.r.l.

Transcription

1 Taurus IT S.r.l. Investors Report Securitisation of Commercial Mortgage Loans Euro 99,555,000 Class A Commercial Mortgage Backed Floating Rate Notes due 2029 Euro 44,246,000 Class B Commercial Mortgage Backed Floating Rate Notes due 2029 Euro 100,000 Class X Commercial Mortgage Backed Note due 2029 Contacts Sara Feletti / Alessandra Satta taurus it@finint.com Tel.: / 920 Via V.Alfieri, Conegliano (TV) Reporting Dates Collection Period 16/05/ /08/2018 Note Interest Period 18/05/ /08/2018 Note Payment Date 20/08/2018 This Investors Report is prepared by Securitisation Services in accordance with the criteria described in the Transaction Documents. Certain information included in this report is provided by the Parties. Please be advised that Securitisation Services will have no liability for the completeness or accuracy of such information. Page 1

2 1. Transaction overview Parties Issuer Loan Seller Arranger Servicer Lead Manager Calculation Agent Corporate Servicer Representative of the Noteholders Issuer Account Bank Paying Agent Taurus IT S.r.l. Bank of America Merrill Lynch International Limited, Milan Branch Merrill Lynch International (Bank of America Merrill Lynch) Securitisation Services S.p.A. Bank of America Merrill Lynch Securitisation Services S.p.A. Securitisation Services S.p.A. Securitisation Services S.p.A. The Bank Of New York Mellon SA/NV Milan Branch The Bank Of New York Mellon SA/NV Milan Branch Issuer's LEI code BC70C26A90D39 Main definitions Note Payment Date 18 February, 18 May, 18 August and 18 November in each year and (only in the event that the Securitised Loan is repaid in full on the Loan Payment Date prior to such Expected Note Maturity Date) the Expected Note Maturity Date, or, in each case, if any such day is not a Business Day, the Note Payment Date will instead be on the next Business Day in the same calendar month (if there is one) or the preceding Business Day (if there is not) (each such day being a Note Payment Date). For the avoidance of doubt, if the Securitised Loan is not repaid in full on the Loan Payment Date prior to an Expected Note Maturity Date, such Expected Note Maturity Date will not be a Note Payment Date. Interest Period Each of the successive interest periods by reference to which interest on the Notes is payable. The first Note Interest Period will commence on (and include) the Issue Date and end on (but exclude) the Note Payment Date falling in February Each successive Note Interest Period will commence on (and include) the next (or first) Note Payment Date and end on (but exclude) the following Note Payment Date (each, a Note Interest Period). If a Note Interest Period would otherwise end on a day which is not a Business Day, that Note Interest Period will instead end on the next Business Day in that calendar month (if there is one) or the preceding Business Day (if there is not). Business Day A day (other than a Saturday or Sunday) on which banks are open for general business in London, Milan, New York and Luxembourg and which is also a TARGET Day (Business Day). Page 2

3 2. Notes and Assets descritpion The Notes Issue Date Classes Amount Outstanding on Issue Currency Issue Date Final Maturity Date Listing ISIN code Common code Denomination Type of amortisation Indexation Spread / Fixed Rate Payment frequency Class A Notes Class B Notes Class X Note , , ,00 EUR EUR EUR 27 November November November /08/ /08/ /08/2029 GEM - Irish Stock Exchange GEM - Irish Stock Exchange Not listed IT IT IT , , ,00 pari passu and pro rata pari passu and pro rata Mandatory (*) Euribor 3M* Euribor 3M* n.a. 2,100% 4,700% n.a. Quarterly Quarterly Quarterly The Portfolio Initial Portfolio: ,00 Transfer Date: 6 November 2017 Bank of America Merrill Lynch International Limited, Milan Branch confirms that, it retains a material net economic interest in the Securitisation in an amount that is not less than 5 (five) per cent. of the principal amount of the Securitised Loan in accordance with the text of each of article 405 of the CRR, article 51 of the AIFM Regulation and article 254 of the Solvency II Regulation (in each case, as such articles are interpreted and applied on the date hereof and not taking into account any relevant national measures) and such interest will be held in the form of a pari passu interest in the Securitised Loan in accordance with article 5(1)(a) of Regulation (EU) No. 625/2014. (*) subject to a floor of zero Page 3

4 2.1 Class A Notes Interest Period Note Payment Date Outstanding Before payments Accrued Payments After payments Unpaid Interest Rate of Interest Days Accrued Interest Interest Outstanding Unpaid Interest Pool factor 27/11/ /02/ /02/ ,00-2,100% , , , ,35-0, /02/ /05/ /05/ ,35-2,100% , , , ,00-0, /05/ /08/ /08/ ,00 2,100% , , ,00-0, Page 4

5 2.2 Class B Notes Interest Period Note Payment Date Outstanding Before payments Accrued Payments After payments Unpaid Interest Rate of Interest Days Accrued Interest Interest Outstanding Unpaid Interest Pool factor 27/11/ /02/ /02/ ,00-4,700% , , , , ,22 0, /02/ /05/ /05/ , ,22 4,700% , , , , ,04 0, /05/ /08/ /08/ , ,04 4,700% , , ,20-0, Page 5

6 2.3 Class X Note Interest Period Note Payment Date Outstanding Before payments Payments After payments Unpaid Interest Class X Amount Outstanding Pool factor 27/11/ /02/ /02/ , , ,00 0, /02/ /05/ /05/ , ,00 0, /05/ /08/ /08/ , , ,61 0, Page 6

7 3.1 Interest Available Funds Collection Period all amounts of whatever nature received by or on behalf of the Issuer paid in respect of the Securitised Loan other than (in all cases) Available Funds; amounts determined to represent the same and received by or on behalf of the Issuer in respect of any sale of the Securitised Loan undertaken at the instigation of the Noteholders as an alternative to directing enforcement of the Loan Security all Recoveries in respect of interest collected by the Servicer or the Issuer credited to the Issuer Collection Account all amounts of interest accrued and paid on the Issuer Collection Account and the Issuer Payments Account an amount equal to the lesser of (i) the Interest Shortfall for that Note Payment Date and (ii) the amount credited to the Issuer Interest Reserve Account all other items and payments received by the Issuer which do not qualify as Available Funds or Loan Prepayment Fee Amounts and which have been credited to the Issuer Collection Account amounts which would on such Note Payment Date otherwise constitute surplus Available Funds in accordance with item [(c)] of the Pre-Note Enforcement Notice Priority of Payments on final redemption of the Notes in accordance with the Conditions, the balance standing to the credit of the Issuer Expenses Account, less any known documented fees, costs, expenses and Taxes required to be paid to any third party creditors Interest Available Funds 27/11/ /02/ , , ,24 16/02/ /05/ , ,74-954, ,09 16/05/ /08/ , , ,72 Page 7

8 3.2 Available Funds Collection Period all amounts received by or on behalf of the Issuer in respect of the Securitised Loan on account of principal amounts determined to represent the same and received by or on behalf of the Issuer in respect of any sale of the Securitised Loan undertaken at the instigation of the Noteholders all Recoveries in respect of principal collected by the Servicer credited to the Issuer Collection Account any insurance proceeds received by the Issuer (other than those relating to loss of rent) credited to the Issuer Collection Account any other receipts of a principal nature credited to the Issuer Collection Account Available Funds 27/11/ /02/ , ,96 16/02/ /05/ , ,97 16/05/ /08/ Page 8

9 3.3 Loan Prepayment Fee Collection Period Loan Prepayment Fee Amounts Class A Note Prepayment Fee Factor Class B Note Prepayment Fee Factor Class A Notes Prepayment Fee Payment Amount Class B Notes Prepayment Fee Payment Amount (a) (b) (c) 27/11/ /02/2018-0,69 0, /02/ /05/2018-0,69 0, /05/ /08/ Page 9

10 3.4 Issuer Available Funds Collection Period Interest Available Funds Available Funds (*) Loan Prepayment Fee Amounts Issuer Available Funds 27/11/ /02/ , , ,27 16/02/ /05/ , , ,86 16/05/ /08/ , ,72 (*) less any surplus to be considered part of the Interest Available Funds Page 10

11 4.1 Pre-Note Enforcement Notice Interest Priority of Payments Note Payment Date Issuer Expenses any third party fees and expenses payable by the Issuer as permitted under the Issuer Transaction Documents Amounts due and payable to the Representative of the Noteholders Agents fees Class A Notes Interest Payment Amount prior to a Class X Trigger Event, the Class X Amount to the Class X Noteholder Notes Default Interest Amount to each Class A Noteholder Class B Notes Interest Payment Amount (and any Deferred Interest) Notes Default Interest Amount to each Class B Noteholder Class A Notes Prepayment Fee Payment Amount Class B Notes Prepayment Fee Payment Amount amount necessary to bring the balance of the Issuer Expenses Account up to (but not exceeding) the Expenses Retention Amount amount necessary to bring the balance of the Issuer Interest Reserve Account up to (but not exceeding) the Interest Reserve Amount an amount capped (in aggregate since the Issue Date) at the Class X Expenses Amount Payments to Arranger and/or Lead Manager as indemnification any Subordinated Class X Amount to the Class X Noteholder 20/02/ , ,40 596, , , , /05/ ,64 389,60 640, , , , /08/ ,69 915,00 640, , , , , , Residual balance Page 11

12 4.2 Pre-Note Enforcement Notice Priority of Payments Note Payment Date Class A Notes Payment Amount Class B Notes Payment Amount if a Sequential Payment Trigger has occurred the Class B Notes Payment Amount the surplus, if any, as Interest Available Funds Residual balance 20/02/ , ,38-792,93-18/05/ , ,42-954,20-20/08/ Page 12

13 4.3 Post-Note Enforcement Notice Priority of Payments Note Payment Date Issuer Expenses Amount necessary to bring the balance of the Issuer Expenses Account up to (but not exceeding) the Expenses Retention Amount Amounts due and payable to the Representative of the Noteholders Agents fees Class A Notes Interest Payment Amount Class A Notes Payment Amount Notes Default Interest Amount to each Class A Noteholder Class A Notes Prepayment Fee Payment Amount Class B Notes Interest Payment Amount (and any Deferred Interest) Class B Notes Payment Amount Notes Default Interest Amount to each Class B Noteholder Class B Notes Prepayment Fee Payment Amount Payments to Arranger and/or Lead Manager as indemnification Subordinated Class X Amount to the Class X Noteholder Residual balance Page 13

14 5 - Interest Reserve Account Note Payment Date Interest Reserve Account opening balance Utilisation of the Intereste Reserve Amount to pay any Shortfall Utilisation of the Intereste Reserve Amount to pay any known Issuer Expenses not yet paid Replenishment of the balance of the Issuer Interest Reserve Account up to the Interest Reserve Amount on such Note Payment Date Interest Reserve Account ending balance 20/02/ , , ,87 18/05/ , , , /08/ , , , , ,00 Page 14

15 6 - Expenses Retention Amount Note Payment Date Issuer Expenses Account opening balance Utilisation of the Expenses Retention Amount to pay any Issuer Expenses during the Note Interest Period Replenishment of the balance of the Issuer Expenses Account up to the Expenses Retention Amount on such Note Payment Date Issuer Expenses Account closing balance 20/02/ ,00 641, ,17 18/05/ , ,17 20/08/ ,17-641, ,00 Page 15

16 7 - Events Control Valuation Event Note Payment Date Sequential Payment Trigger occurs Class X Trigger Event occurs Amount Outstanding of the Class B Notes Amount Outstanding of all Classes of Notes ranking junior to such Class Any Valuation Reduction Amounts with respect to the Loan Losses realised with respect to any enforcement of security in respect of the Properties Control Valuation Event occurs? (i) (ii) (iii) (iv) [(i)+(ii)-(iii)-(iv)]>25% YES/NO YES/NO YES/NO 20/02/2018 No No , No 18/05/2018 No No , No 20/08/2018 No No , No Page 16

17 8 - Executive Summary Loan Details Reitaly Finance CMBS Q Q Q Loan Balance EoP (EUR) Note Balance EoP (EUR) Loan Factor 100% 0% 0% % of Pool 100% 0% 0% LTV 0,65 0,65 0,65 Default LTV 0,80 0,80 0,80 WAULT to lease end 7,32 6, DY 10,42% 9,96% 9,71% Cash release conditions (LTV / DY) met YES YES YES No. of Properties 23,00 22,00 22,00 Remaining Loan Term (years) 1,61 1,36 1,11 for all interest payments. DY and LTV are compliant with the covenant requirements. DY HAS BEEN CALCULATED ON THE FOLLOWING BASIS: Projected Passing Net Rental Income of the succeeding 12 months period (EUR) Debt Total Loan DISPOSALS none LOAN DY LOAN LTV 0,2 70% 0,1 60% 0 Cut-Off Q Q Q % Cut-Off Q Q Q Page 17

18 mag-17 set-18 nov-18 mag-20 dic-20 ott-21 lug-22 ott-22 giu-23 lug-24 ott-24 apr-25 giu-25 lug-25 dic-25 giu-26 ago-27 nov-27 mar-28 giu-28 set-28 nov-28 dic Property Analysis 9.1 Portfolio summary Q Q Q Number of Properties Net Lettable Area sqm Occupied Area sqm Occupancy 93,86% 93,75% 93,75% Valuation Net Rental Income * *due to revised calculation of" Rent lease to be excluded" according to FA definition 9.2 Tenant concentration top 10 RANK TENANT ANNUAL RENT PERCENTAGE WALL (YRS) 1 UCI Cinemas ,18% 7,28 2 Conforama Italia Spa ,51% 3,84 3 G.S, S.p.a ,78% 9,01 4 Gallerie Commerciali Italia S.p.A ,76% 9,76 5 Virgin Active Italia SPA ,29% 4,57 6 FEC SPA ,78% 5,35 7 Aspiag Service Srl ,99% 13,57 8 Compagnia General Ristorazione Spa ,62% 4,78 9 Decathlon Italia Srl ,31% 18,44 10 Unieuro ,11% 0,34 Remaining Others ,67% 3,75 Total ,00% 5, Breakdown by property type VALUES BY PROPERTY TYPE Conforama Portfolio 13% Other Retail Assets 1% REVENUE BY PROPERTY TYPE Conforama Portfolio 18% Other Retail Assets 0% Docks Portfolio 13% Auchan Portfolio 13% Retail/Entert ainment 60% Docks Portfolio 13% Auchan Portfolio 11% Retail/Entert ainment 58% 9.4 Lease maturity profile 100% 95% 90% 85% 80% 75% 70% 65% 60% 55% 50% Lease Maturity Page 18

19 9 - Property Analysis 9.5 Vacancy analysis VACANCY ANALYSIS PORTFOLIO (% SQM) 14% 12% 10% 8% 6% 4% 2% 0% Cut-Off Q Q Q VACANCY BY SECTOR (% SQM) 0,5 0,4 0,3 0,2 0,1 0 VACANCY ANALYSIS (% SQM BY PROPERTY) 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 45 Nord Moncalieri Bicocca Village A. Napoli Grotte Center C. Bagnaria D. Nichelino A. Merate Pioltello UCI Bicocca Gate D. Torino D. Burolo A. Rivoli C. Campogallian o D. Novara D. Vadoligure C. Veggiano C. Tortona C. Vergiate Street Shop Bologna Others - Pordenone Street Shop Roma 1 Street Shop Roma 2 CURRENT % VACANCY (SQM) Page 18

20 10 - Property Information 10.1 Property information ALLOCATED LOAN LTV % OF POOL % OF POOL VALUE INITIAL YIELD INITIAL YIELD MATURIT PROPERTY ID AMOUNT TAURUS ALA Whole Loan LTV (CURRENT) (CUT-OFF- (ALA) (CUT-OFF-DATE) (CURRENT) (CURRENT) (CUT-OFF-DATE) Y (ALA) DATE) LTV 45 Nord Moncalieri ,14% 22,10% ,37% ,37% 65,24% 65,24% 65,24% Bicocca Village ,81% 20,77% ,17% ,17% 65,24% 65,24% 65,24% A. Napoli ,95% 5,94% ,30% ,30% 65,24% 65,24% 65,24% Grotte Center ,97% 8,95% ,99% ,99% 65,24% 65,24% 65,24% C. Bagnaria ,30% 5,29% ,88% ,88% 65,24% 65,24% 65,24% D. Nichelino ,36% 5,35% ,12% ,12% 65,24% 65,24% 65,24% A. Merate ,39% 4,39% ,18% ,18% 65,24% 65,24% 65,24% Pioltello UCI ,86% 3,86% ,03% ,03% 65,24% 65,24% 65,24% Bicocca Gate ,71% 4,70% ,73% ,73% 65,24% 65,24% 65,24% D. Torino ,57% 2,56% ,24% ,24% 65,24% 65,24% 65,24% D. Burolo ,31% 2,31% ,78% ,78% 65,24% 65,24% 65,24% A. Rivoli ,34% 2,34% ,77% ,77% 65,24% 65,24% 65,24% C. Campogalliano ,43% 2,42% ,53% ,53% 65,24% 65,24% 65,24% D. Novara ,69% 1,69% ,47% ,47% 65,24% 65,24% 65,24% D. Vadoligure ,58% 1,58% ,68% ,68% 65,24% 65,24% 65,24% C. Veggiano ,64% 1,63% ,99% ,99% 65,24% 65,24% 65,24% C. Tortona ,61% 1,60% ,10% ,10% 65,24% 65,24% 65,24% C. Vergiate ,56% 1,66% ,60% ,60% 63,77% 65,24% 65,24% Street Shop Bologna ,35% 0,35% ,00% ,00% 40,00% 40,00% 40,00% Others - Pordenone ,26% 0,26% ,00% ,00% 50,00% 50,00% 50,00% Street Shop Roma ,15% 0,15% ,00% ,00% 50,00% 50,00% 50,00% Street Shop Roma ,04% 0,04% ,00% ,00% 50,00% 50,00% 50,00% Total % 99,94% % % 65% 65% 65% 10.2 Vacancy Analysis (sqm) PROPERTY CURRENT % VACANCY (SQM) PREVIOUS % VACANCY (SQM) 45 Nord Moncalieri 2,16% 2,16% Bicocca Village 3,69% 3,69% A. Napoli 0,00% 0,00% Grotte Center 18,15% 18,15% C. Bagnaria 0,13% 0,13% D. Nichelino 0,00% 0,00% A. Merate 0,00% 0,00% Pioltello UCI 0,00% 0,00% Bicocca Gate 15,42% 15,42% D. Torino 0,00% 0,00% D. Burolo 0,00% 0,00% A. Rivoli 0,00% 0,00% C. Campogalliano 0,00% 0,00% D. Novara 0,00% 0,00% D. Vadoligure 0,00% 0,00% C. Veggiano 0,00% 0,00% C. Tortona 0,00% 0,00% C. Vergiate 0,00% 0,00% Street Shop Bologna 100,00% 100,00% Others - Pordenone 100,00% 100,00% Street Shop Roma 1 100,00% 100,00% Street Shop Roma 2 100,00% 100,00% Total 6,25% 6,25% 10.3 HISTORICAL ADJUSTED NOI QUARTER Q ,26 Q ,25 Q ,76 Page 19

21 11 - Property Commentary PROPERTY 45 Nord Moncalieri Bicocca Village COMMENT Detail of new leases signed: Unit N02, Tenant: Footlocker, contract length 6+6 years Details of leases matured, determined or surrendered in the relevant period: Unit N26, Unieuro; new lease proposed: Unieuro, 6+6 years Details of new leases signed: Details of leases matured: A. Napoli Grotte Center C. Bagnaria D. Nichelino A. Merate Pioltello UCI Bicocca Gate D. Torino D. Burolo A. Rivoli C. Campogalliano D. Novara D. Vadoligure C. Veggiano C. Tortona C. Vergiate Street Shop Bologna Others - Pordenone Street Shop Roma 1 Street Shop Roma 2 Details of new leases signed: n/a Lease Matured: Tenant: n/a PROPOSED SALES, INVESTMENT AND MARKETING STRATEGIES n/a Page 20

22 12 - Income per property PROPERTY Q Q Q Nord Moncalieri Bicocca Village A. Napoli Grotte Center C. Bagnaria D. Nichelino A. Merate Pioltello UCI Bicocca Gate D. Torino D. Burolo A. Rivoli C. Campogalliano D. Novara D. Vadoligure C. Veggiano C. Tortona C. Vergiate Street Shop Bologna Others - Pordenone Street Shop Roma Street Shop Roma Total Page 21