NEMUS II (Arden) plc. Quarterly Servicer Report to Investors. Note Interest Period 17/08/ /11/2009

Transcription

1 NEMUS II (Arden) plc Quarterly Servicer Report to Investors Note Interest Period 17/08/ /11/2009

2 Contents 1 Executive Summary 2 Loan Distribution 3 ICR/DSCR Summary - Most Recent Period 4 Repayments / prepayments 5 ICR History (per Facility Agreement covenant) 6 ICR History (Securitised Loan Basis) 7 DSCR History Securitised Loan Basis (NOI) 8 LTV History (Whole Loan Basis) 9 LTV History (Securitised Loan Basis) 10 Balance History (Securitised Loans) 11 Balance / Valuation History (Cut off) 12 Balance / Valuation History (Current) 13 Top 10 Tenants 14 Lease Expiry Profile 15 Vacancies / Voids 16 Vacancy History 17 Notes to Table (6 Reports) 18 Amortisation Schedules 19 Deliquency Information 20 Special Notices 21 Loan Swap Rate Information 22 Contacts *Front Page shows 171 Victoria Street (Loan No.3)

3 Executive Summary Unless stated otherwise all amounts in this report are in GBP ( ) Current Previous Issue Effective Date 16/11/ /08/ /12/2006 Loan Balance 256,748, ,953, ,872,748 Scheduled Amortisation for Period 204, ,939 Unscheduled Amortisation for Period 0 44,429 Partial Repayment 0 408,546 Full Repayment 0 0 Number of Loans Number of Properties Number of Tenants (Commercial) Number of Delinquencies Number of Loans not Current (Whole Loan) Weighted Average ICR on securitised loan balance 220.8% 163.2% 130.6% Weighted Average LTV Ratio on securitised loan balance 87.2% 87.3% 69.9% Loans currently in Special Servicing Outstanding Loan Balance of Loans in Special Servicing 35,122,159 35,159,318 0 % of Total Pool of Loans in Special Servicing Summary Comments: Loan 6 (Oriel Property), This loan remains in Special Servicing due to continuing payment defaults at the Whole Loan level relating to the unpaid additional amortisation. The loan is current at the securitised level due to the operation of the post default payment waterfall which allows for all amounts of amortisation due to the A Lender to be paid ahead of interest and principal to the B Lender. The portfolio was revalued in June 2009 at the request of the Special Servicer, the Whole Loan LTV ratio stands at 108.5%, with the securitised loan LTV ratio reduced by 0.01% since the last report at 76.5%. Loan 4 (Carlton House), This loan remains in Special Servicing, the Borrower continues to have severe cash flow problems which have further deteriorated due to tenants going into administration. The Servicer continues to monitor and control all property related cash flow. Loan 3 (Kirkglade) and Loan 5 (Fern) remain on the Servicer Watchlist due to LTV breaches. Both loans remain current. The Weighted Average ICR is calculated on a 12 month trailing basis and excludes the cost of hedging from the calculation, the fall in the 3 month LIBOR rate from 5.84% to 0.59% over the past 12 months accounts for this improvement. Page 1

4 Loan Distribution ORIGINAL BALANCES CURRENT BALANCES Next Period Interest Rate (incl. of Margin)% Loan Name Whole Loan Securitised Portion B Loan Whole Loan Securitised Portion B Loan Loan Maturity Original Securitised LTV% Current Securitised LTV% Original Whole Loan LTV% Current Whole Loan LTV% Remaining Loan Term (Mths) Escrow Balance GBP Whole Loan Securitised Portion Mortgage Repayment Type 1- Castle Properties (Jersey) Limited 11,320,000 11,320,000 9,881,330 9,881,330 31/01/ , % % Bullet 2 - Chainmill Properties Limited 46,290,000 40,000,000 6,290,000 46,290,000 40,000,000 6,290,000 12/05/ % % Bullet 3 - Kirkglade Limited 149,810, ,810,000 20,000, ,345, ,540,578 19,804,423 31/10/ , % % Amortising 4 - Carlton House Investments Limited 12,440,000 12,440,000 11,925,000 11,925,000 31/10/ % % Amortising 5 - Fern Trustee 1 Ltd and Fern Trustee 2 Ltd as Trustees for Buchanan House Unit Trust 49,873,073 43,873,073 6,000,000 49,112,931 43,204,376 5,908,555 31/10/ , % % Amortising 6 - Oriel Property Limited 32,999,542 23,429,675 9,569,867 32,896,030 23,197,159 9,547,575 31/10/ % % Amortising Totals 302,732, ,872,748 41,859, ,450, ,748,442 41,550,552 Weighted Average Notes: Interest is calculated on an Actual/365 day count basis. LTVs have been calculated using the most recently available property valuations. Page 2

5 ICR / DSCR SUMMARY - MOST RECENT PERIOD Whole Loan Basis Loan No. Facility Gross Interest Net Interest (inc Hedge) Agreement Facility Gross Interest Net Interest (inc Hedge) Agreement See note 1 See note 2 See note 3 See note 1 See note 2 See note A N/A N/A B N/A N/A N/A N/A C N/A N/A N/A N/A N/A N/A A - Cash Trap Trigger 140% B - Cash Trap Trigger 112% C - Cash Trap Trigger 125% ICR SUMMARY DSCR SUMMARY Securitised Loan Basis ICR SUMMARY DSCR SUMMARY Loan No. Facility Gross Interest Net Interest (inc Hedge) Facility Gross Interest Net Interest (inc Hedge) See note 1 See note 2 See note 1 See note N/A N/A N/A N/A N/A N/A Note 1 Note 2 Note 3 Ratio calculated per requirement of CMSA report i.e. Gross Interest / Finance Cost excluding the benefit/cost of hedge, on a 12 month Trailing Actual basis. Ratio calculated including the benefit/cost of hedge, on a 12 month Trailing Actual basis. Calculated in accordance with the requirements of the Facility Agreement i.e. forecast on a 12 month forward looking basis. Page 3

6 Repayments/Prepayments Whole Loan Securitisation Original Whole Loan Current Amount Outstanding Original Loan Repayment Amount Prepayment Amount Cumulative Scheduled Amortisation Cumulative Unscheduled Amortisation Unpaid Amortisation Current Amount Outstanding Reference Obligation Castle Properties (Jersey) Limited 11,320,000 9,881,330 11,320, ,438, ,881,330 Chainmill Properties Limited 46,290,000 46,290,000 40,000, ,000,000 Kirkglade Limited 149,810, ,345, ,810, ,269, ,540,578 Carlton House Investments Limited Fern Trustee 1 Ltd & Fern Trustee 2 Ltd 12,440,000 11,925,000 12,440, , ,925,000 49,873,073 49,112,931 43,873, , ,204,376 Oriel Property Limited 32,999,542 32,896,030 23,429, , , ,197,159 Total 302,732, ,450, ,872, ,438,670 2,477, , ,748,442 Page 4

7 ICR History (per Facility Agreement covenant) Loan No WA Covenant Cash trap trigger n/a n/a n/a Closing Feb May Aug Nov Feb May Aug Nov Feb May Aug Nov Note: Loan 1 - Calculated Ratio is based on the assumption that residential tenant leases are renewed on a one year rolling basis. Percent Loan No. Feb-07 May-07 Aug-07 Nov-07 Feb-08 May-08 Aug-08 Nov-08 Feb-09 May-09 Aug-09 Nov-09 Commentary: The above ICR covenant calculations have been made in accordance with the requirements of the respective Whole Loan Facility Agreements (i.e. 12 month forward looking basis). The reduction in the ratio for Loan 1 is as a result of agreeing an extension on the lease for the largest tenant (Play.com), in exchange for extending the lease by 7 years the Borrower agreed to a reduced rent for the first twelve months ( 294,542p.a.) rising after twelve months to 439,542p.a. (previous rent was 414,528p.a.). Page 5

8 ICR History (Securitised Loan Basis) Loan No WA Covenant Cash trap trigger n/a n/a n/a Closing per OC Feb May Aug Nov Feb May Aug Nov Feb May Aug Nov Percent Loan No. Feb-07 May-07 Aug-07 Nov-07 Feb-08 May-08 Aug-08 Nov-08 Feb-09 May-09 Aug-09 Nov-09 Commentary: The ICR is calculated on the basis of NOI as a ratio to gross loan interest payable on the securitised loan (The interest cost EXCLUDES any financial benefit / cost derived from Interest Rate hedging arrangements). The reduction in the 3 month LIBOR rate from 12 months ago, % as at October 2008 compared to % as at October 2009 accounts for this improvement in the ratios. Page 6

9 DSCR History Securitised Loan Basis (NOI) % Feb May Aug Nov Feb May Aug Nov Feb May Aug Nov Percent /08/07 01/11/07 01/02/08 01/05/08 01/08/08 01/11/08 01/02/09 01/05/09 01/08/09 01/11/09 loan 1 loan 3 loan 4 loan 5 loan 6 loan 2 Commentary DSCR is calculated on the basis of NOI as ratio to Debt Service on securitised loan. (The interest cost EXCLUDES any financial benefit/cost relating to Interest Rate hedging arrangements). The reduction in the 3 month LIBOR rate from 12 months ago, % as at October 2008 compared to % as at October 2009 accounts for this improvement in the ratios. Page 7

10 LTV History (Whole Loan Basis) Loan No WA Covenant 75.0 n/a Closing Feb May Aug Nov Feb May Aug Nov Feb May Aug Nov Percent Loan No. Feb-07 May-07 Aug-07 Nov-07 Feb-08 May-08 Aug-08 Nov-08 Feb-09 May-09 Aug-09 Nov-09 Commentary The LTV covenant calculations are made in accordance with the requirements of the respective Whole Loan facility agreements. Page 8

11 LTV History (Securitised Loan Basis) Loan No WA Covenant (Whole Loan) 75.0 n/a Closing per OC Feb May Aug Nov Feb May Aug Nov Feb May Aug Nov Percent Loan No. Feb-07 May-07 Aug-07 Nov-07 Feb-08 May-08 Aug-08 Nov-08 Feb-09 May-09 Aug-09 Nov-09 Commentary The above calculations have been made on the basis of the most recent valuations against the securitised loan balance outstanding. Page 9

12 Balance History (Securitised Loans) Closing 11,320,000 40,000, ,810,000 12,440,000 43,873,073 23,429,675 Feb-07 11,320,000 40,000, ,723,350 12,380,000 43,842,207 23,424,978 May-07 11,320,000 40,000, ,576,045 12,320,000 43,772,758 23,424,742 Aug-07 11,320,000 40,000, ,485,063 12,260,000 43,723,883 23,424,440 Nov-07 11,320,000 40,000, ,394,080 12,200,000 43,674,269 23,423,963 Feb-08 11,320,000 40,000, ,303,097 12,140,000 43,623,904 23,423,479 May-08 11,320,000 40,000, ,168,790 12,080,000 43,558,433 23,423,332 Aug-08 11,320,000 40,000, ,073,475 12,020,000 43,506,316 23,422,838 Nov-08 10,720,000 40,000, ,986,825 11,960,000 43,453,411 23,378,152 Feb-09 10,720,000 40,000, ,900,175 11,925,000 43,392,562 23,375,097 May-09 10,289,876 40,000, ,744,205 11,925,000 43,323,667 23,279,166 Aug-09 9,881,330 40,000, ,644,558 11,925,000 43,268,000 23,234,318 Nov-09 9,881,330 40,000, ,540,578 11,925,000 43,204,376 23,197,159 Balance history relates to securitised loan balances only. Millions Commentary Closing Feb-07 May-07 Aug-07 Nov-07 Feb-08 May-08 Aug-08 Nov-08 Feb-09 May-09 Aug-09 Nov Page 10

13 Balance / Valuation History (Cut Off) Reference Obligation No of Properties No of Tenants Reference Obligation Amount (Cut Off) Cut off Valuation Valuer Valuation Date Property Type Region ,320,000 14,300,000 Cushman and Wakefield, Healey and Baker 28/10/2005 Mixed Use - Industrial, Retail and Office Jersey, UK ,000,000 61,000,000 GVA Grimley LLP 03/05/2006 Office London, UK ,810, ,000,000 Jones Lang Lasalle 03/08/2006 Office London,UK ,440,000 15,500,000 GVA Grimley LLP 27/06/2006 Mixed Use Commercial Midlands, UK ,873,073 58,500,000 Jones Lang Lasalle 02/08/2006 Office Scotland, UK ,429,675 39,050,000 Colliers CRE 29/08/2006 Retail UK, various Total ,872, ,350,000 Obligation Amount Cut off Valuation 17% 9% 4% 15% % 10% 4% 16% % % % 50% Page 11

14 Balance / Valuation History (Current) Reference Obligation No of Properties No of Tenants (Commercial) Reference Obligation Amount (Current) Current Valuation Valuer Valuation Date Property Type Region ,881,330 13,630,890 # Buckley & Co. Ltd 08/02/2008 Mixed Use - Industrial, Retail and Office Jersey, UK ,000,000 61,000,000 GVA Grimley LLP 03/05/2006 Office London, UK ,540, ,750,000 Jones Lang Lasalle 14/12/2008 Office London,UK ,925,000 12,390,000 GVA Grimley LLP 16/04/2009 Mixed Use Commercial Midlands, UK ,204,376 41,000,000 Jones Lang Lasalle 02/04/2009 Office Scotland, UK ,197,159 30,335,000 Colliers CRE 01/06/2009 Retail UK, various Total ,748, ,105,890 # Value has been adjusted for sales to date. Balance History Current Valuation 17% 9% 4% 16% % 10% 5% 20% % 5 6 4% % 47% Page 12

15 Top 10 Tenants Rank Tenant Net Rental Income p.a ( ) %of Net Annual rent Cumulative % 1 John Lewis Partneship 7,400, McKinsey and Co Inc UK 2,852, Somerfield Stores Ltd 2,100, Network Rail Infrastructure 1,947, Transport Scotland 1,097, National Westminster Bank plc 495, ACM Shipping Limited 477, Mc Donalds Property Company Ltd 397, DSG Retail Ltd 360, Boa Limited T/A Play.com 294, Percent Tenant Page 13

16 Lease Expiry Profile Year Rental Income Expiring (%) Total Income Less Expiry (%) Rental Income Expiring / Breaking ( ) Total Income Less Expiry ( ) % 98.70% 269,951 19,990, % 97.19% 313,726 19,676, % 90.85% 1,313,810 18,362, % 89.16% 350,289 18,012, % 87.47% 351,307 17,661, % 87.32% 30,600 17,630, % 81.82% 1,139,500 16,491, % 81.58% 50,540 16,440, % 81.58% 0 16,440, % 67.39% 2,941,519 13,499, % 66.13% 262,660 13,236, % 66.13% 0 13,236, % 60.77% 1,110,569 12,125, % 60.20% 118,500 12,007, % 49.86% 2,143,432 9,863, and later 47.57% 2.29% 9,863, % 95% 90% 85% 80% 75% Total Income Less Expiry % Page 14

17 Vacancies / Voids Loan Lettable area (Sq ft) Vacant area (Sq ft) Vacancy % (cut off) Vacancy (previous quarter) Vacancy (current) 1 92,495 7, % 6.6% 8.4% 2 70, % 0.0% 0.0% 3 224, % 0.0% 0.0% 4 71,880 12, % 16.0% 16.8% 5 196,871 3, % 1.8% 1.8% 6 150, % 0.0% 0.0% Total 807,257 23, % 2.61% 2.89% 4% 3% 8% Lettable Area by Region (Sq Ft) 11% London East Midlands 37% Scotland S W England Region Lettable area (Sq ft) Vacant area (Sq ft) Vacancy % (cut off) Vacancy (previous quarter) Vacancy (current) London 295, % 0.0% 0.0% East Midlands 92,291 12, % 12.4% 13.1% Scotland 211,491 3, % 1.6% 1.6% S W England 22, % 0.0% 0.0% Wales 32, % 0.0% 0.0% N W England 60, % 0.0% 0.0% Other 92,495 7, % 6.6% 8.4% Total 807,257 23, % 2.61% 2.89% 26% 19% Wales N W England Other 11% Lettable Area by Sector (Sq Ft) Office Industrial Sector Lettable area (Sq ft) Vacant area (Sq ft) Vacancy % (cut off) Vacancy (previous quarter) Vacancy (current) 9% Other Office 508,002 6, % 1.2% 1.4% Industrial 59,426 7, % 9.0% 11.8% Other 17, % 0.0% 0.0% Mixed Use 71, % 0.0% 0.0% Retail 150,907 9, % 6.2% 6.2% Total 807,257 23, % 2.61% 2.89% 2% 7% 63% Mixed Use Retail Page 15

18 Vacancy History Closing 2.6% 0.0% 0.0% 0.9% 1.7% 0.0% Feb % 0.0% 0.0% 0.9% 1.7% 0.0% May % 0.0% 0.0% 0.9% 1.7% 0.0% Aug % 0.0% 0.0% 0.8% 0.0% 0.0% Nov % 0.0% 0.0% 0.8% 0.0% 0.0% Feb % 0.0% 0.0% 0.8% 0.0% 0.0% May % 0.0% 0.0% 0.8% 0.0% 0.0% Aug % 0.0% 0.0% 0.8% 0.0% 0.0% Nov % 0.0% 0.0% 3.0% 0.0% 0.0% Feb % 0.0% 0.0% 0.0% 0.0% 0.0% May % 0.0% 0.0% 13.8% 0.0% 0.0% Aug % 0.0% 0.0% 13.8% 0.0% 0.0% Nov % 0.0% 0.0% 16.8% 0.0% 0.0% 18.0% 16.0% 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% Closing Feb-07 May-07 Aug-07 Nov-07 Feb-08 May-08 Aug-08 Nov-08 Feb-09 May-09 Aug-09 Nov Commentary Vacancy rate (Loan 1) is based on the assumption that the residential leases are on a one year rolling basis. Page 16

19 Notes to Table Loan 1 Castle Properties (Jersey) Limited Loan Information Original Loan Balance 11,320,000 Tenant Rent p.a. Expiry Date % of total rent Current Loan Balance 9,881,330 Boa Lmtd T/A Play.com 294,542 30/09/ % Amortisation per quarter Nil Citco Jersey Ltd 173,160 13/10/10 & 23/6/ % Prepayment 0 Maples Finance J Ltd 102,972 08/07/ % Status Current Jersey Tele Net Ltd 94,924 08/07/2012* 9.9% Dividend Trap exceeded No Residential tenants 86,000 various 9.0% *Break option Date Property Information Financial Information Number of Properties 5 % Whole Securitised Location/s Jersey Calculation per CMSA Industrial, Retail and Office Sector mixed use Loan to Value Total sq ft 92,495 ICR Vacancy sq ft 7,805 DSCR Vacancy rate 8.4% Calculation per Facility Agreement Passing Rent p.a. 955,708 Loan to Value 72.5 Net Rent p.a. 955,708 ICR* No of Tenants 14 (commercial) DSCR N/A * 12 month forward looking covenant Commentary Top 5 Tenants The LTV covenant which is currently 73% reduces to 70% with effect from 28/11/2009, we have been in discussion with the Borrower concerning continued compliance with this covenant and sufficient funds will be placed on deposit on or prior to 28/11/2009 to ensure continued compliance. In the meantime two units are in the process of being sold for a combined total of 655,000, the Release Amount against these units is 184,000. In addition the Borrower has just placed Blocks 1 and 2 on the market for sale, provided the asking price is achieved this will see the loan repaid in full N/A Page 17 (a)

20 Notes to Table Loan 2 Chainmill Properties Limited Loan Information Top 5 Tenants Original Loan Balance 40,000,000 Tenant Rent p.a. Expiry Date % of total rent Current Loan Balance 40,000,000 Mc Kinsey and Co Inc UK 2,852,443 24/03/ % Amortisation per quarter Nil ACM Shipping Limited 477,800 01/08/ % Prepayment 0 Out of Africa 270,000 28/09/ % Status Current Institute of Directors 185,000 01/08/ % Dividend Trap exceeded No Michael Page International 130,680 01/08/ % Property Information Financial Information Number of Properties 1 % Whole Location/s London Calculation per CMSA Sector Office Loan to Value 75.9 Total sq ft 70,169 ICR Vacancy sq ft 0 DSCR Vacancy rate 0.0% Calculation per Facility Agreement Passing Rent p.a. 3,924,124 Loan to Value 75.9 Net Rent p.a. 3,360,507 ICR* No of Tenants 6 DSCR N/A * 12 month forward looking covenant Securitised N/A Commentary Loan continues to perform in accordance with the terms of the underlying Facility Agreement. This property has not been revalued since closing as under the terms of the Loan Facilty Agreement there is no LTV covenant. At closing the property was valued at 61,000,000, according to the most recent audited financial statements of the Borrower (as at 31 December 2008) the 'Fair Value' of the property is stated as 47,400,000. Page 17 (b)

21 Notes to Table Loan 3 Kirkglade Limited Loan Information Top 5 Tenants Original Loan Balance 129,810,000 Tenant Rent p.a. Expiry Date % of total rent Current Loan Balance 128,540,578 John Lewis Partnership 7,400,000 20/04/2031* 81.6% Amortisation per quarter per amortisation schedule Nat West Bank plc 495,000 29/09/ % Prepayment 0 Mc Donalds Property Ltd 397,500 28/09/ % Status Watch List DSG Retail Ltd 360,000 25/03/2011* 4.0% Dividend Trap exceeded No People Phone Limited 170,500 20/11/ % *Break option Date Property Information Financial Information Number of Properties 1 % Whole Securitised Location/s London Calculation per CMSA Sector Office Loan to Value Total sq ft 224,935 ICR Vacancy sq ft 0 DSCR Vacancy rate 0.0% Calculation per Facility Agreement Passing Rent p.a. 9,068,816 Loan to Value Net Rent p.a. 9,068,816 ICR* No of Tenants 8 DSCR N/A * 12 month forward looking covenant N/A The CMSA calculations for ICR and DSCR both exclude the benefit / cost of hedging. Commentary The loan remains on the Servicer Watch list due to a breach in the LTV covenant. Whilst a default has not been called the breach has not been waived. A notice of non-waiver incorporating a reservation of rights has been issued. Whilst the breach continues any surplus rental income is being trapped. Terms have now been agreed to let one of the units vacated by Next to a health shop operator for 15 years at an initial rent of 150,000 p.a. subject to a 6 month rent free period, we await confirmation that the lease has been completed. In the meantime the temporary tenant remains in both the vacated units and the second unit continues to be marketed. Until the new lease is signed the ICR is maintained at 105% by way of a cure deposit. Page 17 (c)

22 Notes to Table Loan 4 Carlton House Investments Limited Loan Information Top 5 Tenants Original Loan Balance 12,440,000 Tenant Rent p.a. Expiry Date % of total rent Current Loan Balance 11,925,000 Town & Country Inns plc 93,500 01/09/ % Amortisation per quarter per amortisation schedule Four Oaks Medical Centre 92,500 30/06/ % Prepayment 0 Fitness First Clubs 80,000 30/12/ % Status Special Servicing Pier 39 Restaurants 56,500 23/08/ % Dividend Trap exceeded Yes Majestic Wine 50,540 20/09/ % Property Information Financial Information Number of Properties 3 % Whole Location/s Midlands Calculation per CMSA Sector Mixed Use Commercial Loan to Value 96.2 Total sq ft 71,880 ICR Vacancy sq ft 12,052 DSCR Vacancy rate 16.8% Calculation per Facility Agreement Passing Rent p.a. 952,388 Loan to Value 96.2 Net Rent p.a. 952,388 ICR* No of Tenants 36 (commercial) DSCR N/A * 12 month forward looking covenant Securitised N/A The loan remains in Special Servicing and is subject to close monitoring of the cash flow, the Servicer approves all items of expenditure in accordance with a pre agreed property cash flow. Property income is falling due to the loss of tenants through tenant failure, the impact being a reduction in rental income of 157,500 per annum, or 14% of the ERV. Of the remaining vacant units, some interest has been shown but to date there have been no positive offers. The loan remains current on the basis of the renegotiated terms (i.e. amortisation holiday) Commentary The vacant space continues to be marketed and there has been some positive developments in the last quarter in respect of the ex-woolworths unit, Heads of Terms have been agreed with an established discount retailer for a 10 year lease at an initial rent of 60,000 p.a. (years 1-4), rising to 68,000 p.a. in year 5, subject to review on the 5th anniversary and subject to a 9 month rent free period. It is anticipated that the lease will be signed and the tenant operating in time for the Christmas period. Page 17 (d)

23 Notes to Table Loan 5 Fern Trustee 1 Ltd and Fern Trustee 2 Ltd Loan Information Top 5 Tenants Original Loan Balance 43,873,073 Tenant Rent p.a. Expiry Date % of total rent Current Loan Balance 43,204,376 Network Rail Infrastructure 1,947,072 28/11/ % Amortisation per quarter per amortisation schedule Transport Scotland 1,097,635 28/04/ % Prepayment 0 Scott Wilson Railways 188,160 28/11/ % Status Watch List Dividend Trap exceeded No Property Information Financial Information Number of Properties 3 % Whole Location/s Scotland Calculation per CMSA Sector Office Loan to Value Total sq ft 196,871 ICR Vacancy sq ft 0 DSCR Vacancy rate 0.0% Calculation per Facility Agreement Passing Rent p.a. 3,232,867 Loan to Value Net Rent p.a. 3,232,867 ICR* No of Tenants 4 DSCR N/A * 12 month forward looking covenant Securitised N/A The CMSA calculations for ICR and DSCR both exclude the benefit / cost of hedging. Commentary The loan remains on the Servicer Watch list due to a breach in the LTV covenant. Whilst a default has not been called the breach has not been waived. A notice of non-waiver incorporating a reservation of rights has been issued. Whilst the breach continues any surplus rental income is being trapped. The Borrower is currently in dispute with Bio Chem (rent 52,000 p.a.) who have vacated, they failed to give proper notice to exercise ta break option clause and are currently being pursued for unpaid rent since the break option date, the lease expires in May Page 17 (e)

24 Notes to Table Loan 6 Oriel Property Limited Loan Information Top 5 Tenants Original Loan Balance 23,429,675 Tenant Rent p.a. Expiry Date % of total rent Current Loan Balance 23,197,159 Somerfield Stores Limited 2,100,470 20/09/ % Amortisation per quarter per amortisation schedule rent is subject to fixed uplift of 2.25% p.a. effective 26/9 Prepayment 0 Status Special Servicing Dividend Trap exceeded No Property Information Financial Information Number of Properties 11 % Whole Location/s Various UK Calculation per CMSA Sector Retail Loan to Value Total sq ft 150,907 ICR Vacancy sq ft 0 DSCR Vacancy rate 0.0% Calculation per Facility Agreement Passing Rent p.a. 2,100,470 Loan to Value Net Rent p.a. 2,100,470 ICR* No of Tenants 1 DSCR N/A * 12 month forward looking covenant Commentary The CMSA calculations for ICR and DSCR both exclude the benefit / cost of hedging. Special Servicer Commentary - This loan defaulted on the 31st January 2009 due to the Borrower's failure to meet Additional Amortisation payments agreed following an initial LTV breach which occurred in June The breach has continued with the Borrower indicating that no further Additional Amortisation payments will be made. Annual rent has increased to 2,100,470 following the fixed annual uplift on 26/9/09. Following the payment breach, the Special Servicer requested an updated valuation of the properties by Colliers CRE, this produced a total net valuation of 30,335,000 for the portfolio, giving a Whole Loan LTV of 108.5% (76.6% in respect of the securitised loan), breaching the covenant of 85%. Due to the impact of current interest rate hedge break costs and the long unexpired lease terms remaining on the individual assets (to September 2036), the Special Servicer considers that recoveries will not be maximised by the immediate realisation of the assets. Furthermore, due to the minimal asset management input required by the portfolio, let to a single tenant on long leases with fixed rental uplifts, it is not proposed to take enforcement action to take control of the properties from the current management, who continue to meet the requirements of the loan in terms of rental and account management. Discussions have commenced with the B Lender to ascertain whether they would be prepared to take over the Whole Loan at par to protect their position which is deteriorating as a result of the requirement for them to meet all of the securitised loan amortisation (including the Additional Amortisation) ahead B Lender interest. The loan will be maintained in Special Servicing and the Special Servicer will continue to monitor the loan closely, particularly in relation to hedge breakage costs and the potential value/liquidity of the assets in the market. Securitised N/A Page 17 (f)

25 Amortisation Loan No: Period Scheduled Amortisation on Securitised Loan Actual Amortisation on Securitised Loan Scheduled Amortisation on Securitised Loan Actual Amortisation on Securitised Loan Scheduled Amortisation on Securitised Loan Actual Amortisation on Securitised Loan Scheduled Amortisation on Securitised Loan Actual Amortisation on Securitised Loan Jan-07 86,650 86,650 60,000 60,000 30,866 30, ,697 Apr , ,305 60,000 60,000 69,449 69, Jul-07 90,983 90,983 60,000 60,000 48,875 48, Oct-07 90,983 90,983 60,000 60,000 49,614 49, Jan-08 90,983 90,983 60,000 60,000 50,365 50, Apr , ,308 60,000 60,000 65,471 65, Jul-08 95,315 95,315 60,000 60,000 52,117 52, Oct-08 86,650 86,650 60,000 60,000 52,905 52, ,687 Jan-09 86,650 86,650 35,000 * 35,000 60,850 60,850 3,054 3,054 Apr , ,970 NIL * NIL 68,894 68,894 7,074 95,931 Jul-09 99,648 99,648 NIL * NIL 55,668 55, Oct , ,980 NIL * NIL 63,624 63,624 11,422 11,422 Jan ,980 NIL * 123,619 11,598 Apr ,975 NIL * 125,469 11,777 Jul-10 86,650 NIL * 127,346 11,959 Oct ,313 NIL * 129,251 20,532 Jan ,313 NIL * 110,124 8,969 Apr ,968 NIL * 153,839 32,863 Jul ,645 NIL * 135,135 21,495 Oct ,978 NIL * 116,292 23,285,820 Jan , , ,961 Apr , , ,785 Jul , , ,192 Oct-12 86, , ,252 Jan-13 86, , ,343 Apr , , ,930 Oct ,729, ,000 41,180,905 Jan ,000 Apr ,000 Jul ,000 Oct-14 10,365,000 * amortisation holiday period Page 18

26 Delinquency Information 1 Arrears, Losses and Recoveries 1.1 Loan arrears at the end of the Collection Period. 1.3 There are no ongoing loan enforcement proceedings Borrower Amount Written Off Provision Enforcement Comments N/A Nil N/A N/A N/A Days in Arrears > 180 No. of Accounts Arrears Balance Total Balance 36,250 36,250 62,575 62, , ,150 Commentary: Commentary: Arrears relate to shortfalls on WHOLE LOAN amortisation due 30/1/2009, There are no breaches of any terms of the Loans known to the Servicer likely to 30/4/2009, 31/7/2009 and 30/10/2009 in respect of Loan 6, the securitised prejudice the value of the Loan element is current as the Whole Loan amortisation is being met by the B Lender in 1.4 accordance with the terms of the post default payment waterfall. 1.2 No loan enforcement proceedings had begun at the end of the Collection Period Borrower Nature of Breach Commenced Comments Months in Arrears No. of Accounts Arrears Balance Total Balance Status Provision Comments 1-3 Nil Nil Nil N/A N/A N/A Commentary 4-6 Nil Nil Nil N/A N/A N/A 7-9 Nil Nil Nil N/A N/A N/A Nil Nil Nil N/A N/A N/A >12 Nil Nil Nil N/A N/A N/A Orders for possession have been granted in respect of: N/A Commentary: Orders for possession are pending in respect of: N/A Page 19

27 Special Notices SPECIAL NOTICES ISSUED NEMUS II (Arden) plc No Special Notices were issued in the last period Page 20

28 Loan SWAP Rate Information Loan Rate Management Fixed rate maturity date Original Notional ( m) Current Notional ( ) Swap Fixed Rate (excl. Margin) * Whole Loan Margin Interest Rate (Incl. Margin) Swap Counterparty Loan No 1 Swap 25/11/2010 9,622,000 9,622, % % % HSBC Bank plc Loan No 2 Swap 10/07/ ,290,000 46,290, % % % HSBC Bank plc Loan No 3 Extendable Swap 31/10/ ,000, ,345, % % % HSBC Bank plc Loan No 4 Swap 31/10/ ,500,000 11,720, % % % HSBC Bank plc Loan No 5 Swap 31/10/ ,000,000 49,112, % % % HSBC Bank plc Loan No 6 Swap 31/10/ ,575,250 26,548, % % % HSBC Bank plc Swap 31/10/2011 6,424,532 6,416, % % % HSBC Bank plc * : 1= Variable Swap Rate Page 21

29 Contacts Issuer NEMUS II (Arden) plc 35 Great St. Helen's London EC3A 6AP Swap Counterparty HSBC Bank plc 8 Canada Square London E14 5HQ Calculation and Reporting Agent Wells Fargo Securitisation Services Limited, 25 Canada Square, London E14 5LQ Loan Servicer and Special Servicer CB Richard Ellis Loan Servicing Limited, Kingsley House, Wimpole Street, London W1G 0RE Loan Security Agent HSBC Trustee (CI) Limited, 1 Grenville Street St Helier, Jersey JE4 9PF Principal Paying Agent, Operating Bank HSBC Bank plc 8 Canada Square London E14 5HQ Cash Manager and Agent Bank HSBC Bank plc 8 Canada Square London E14 5HQ Note Trustee and Issuer Security Trustee The Law Debenture Trust Corporation plc Fifth Floor, 100 Wood Street, London, EC2V 7EX This report has been prepared by CB Richard Ellis Loan Servicing Limited. For further information please contact: LoanServicing@cbre.com Steve Ambridge (Primary Servicing) (0) steve.ambridge@cbre.com John Smith (Special Servicing) (0) john.smith@cbre.com David Martin (Special Servicing) (0) david.martin@cbre.com Page 22