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European Loan Conduit No. 36 (USIL): 04 November 2019

The Issuer will make payments on the Notes and the VRR Loan from payments of principal and interest received by the Issuer under loans advanced by the Original Senior Lenders to the Senior Borrowers pursuant to the Senior Facilities Agreement.

Immediately prior to the Closing Date, the Loan Seller shall acquire from Morgan Stanley Bank, N.A. (as an Original Senior Lender) a €640mln interest in the Senior Loan. The Loan Seller is an Original Senior Lender in respect of the €83.9mln remaining interest in the Senior Loan.

The Senior Loan will be secured by, among other things, first ranking mortgages over 100 predominantly light industrial and warehouse properties located throughout Germany. The properties offer approximately 1,583,986 sqm of total lettable area which is currently let to 1,064 tenants at an occupancy level of 87.4%. The net lettable area across the portfolio is split by use type across warehouse (82.66%), office (13.62%) and other (3.72%).

EU Risk Retention: Morgan Stanley Bank, N.A., as an originator in respect of the Senior Loan, will retain a material net economic interest in the securitisation of not less than 5% in accordance with the text of Article 6(1) of Regulation (EU) 2017/2402 (the Securitisation Regulation). As at the Closing Date, such retained material net economic interest will comprise not less than 5% of the nominal value of each of the tranches sold or transferred to investors in accordance with Article 6(3)(a) of the Securitisation Regulation in the form of the VRR Loan, the initial principal amount of which will equal at least 5% of the aggregate of (i) the principal amount of the VRR Loan and (ii) the Principal Amount Outstanding of each Class of Notes, in each case, in accordance with the EU Risk Retention Rules.

US Risk Retention: This transaction will be subject to the credit risk retention requirements of Section 15G of the Exchange Act. Morgan Stanley Principal Funding, Inc. will act as the "retaining sponsor" and on the Closing Date will, pursuant to the VRR Loan Agreement, advance the VRR Loan to the Issuer in its capacity as Initial VRR Lender; and the Retaining Sponsor will comply with Regulation RR through Morgan Stanley Bank, N.A., its majority-owned affiliate (the Retaining MOA). The Retaining MOA is expected to acquire from the Retaining Sponsor (as Initial VRR Lender) on the Closing Date a "single vertical security" in the Issuer, with an aggregate balance of approximately €37,257,894.74 as of the Closing Date in the form of the VRR Loan. The VRR Loan will represent at least 5% of all "ABS interests" in the Issuer.

Compare/contrast: European Loan Conduit No. 35 (EOS), Taurus 2018-3 DEU DAC