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European Loan Conduit No. 37 (HELIOS): 23 December 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 Lender to the Senior Borrower pursuant to the Senior Facility Agreement. The Senior Loan will be secured by, among other things, first ranking mortgages over freehold and leasehold hotel properties located throughout England and Scotland.

As at the Closing Date, the Portfolio is comprised of 49 hotels totalling 5,972 keys and operating under globally-recognised brands. 47 of the assets (5,621 keys) operate as limited-service Holiday Inn Express by InterContinental Hotels Group hotels; one asset (151 keys) operates as a limited-service Hampton by Hilton, and one asset as full-service Park Inn by Radisson hotel (200 keys). 46 of the Holiday Inn Express hotels and the sole Hampton by Hilton hotel are operated by the Sponsor, and the remaining two assets (Holiday Inn Express Poole, 85 keys, and Park Inn by Radisson York, 200 keys) are leased to third-party operators and generate rental income of approximately £2,700,000 as at the Closing Date. The Portfolio is wholly managed by Atlas Hotels Ltd.

The Portfolio is mainly spread across five cities / regions:

(a) London (6 Hotels / 827 rooms / 25.1% of the aggregate market value of the Property Portfolio)
(b) South West (9 Hotels / 1,054 rooms / 19.1% of the aggregate market value of the Property Portfolio)
(c) Midlands (11 Hotels / 1,285 rooms / 14.7% of the aggregate market value of the Property Portfolio)
(d) South East (3 Hotels / 447 rooms / 7.0% of the aggregate market value of the Property Portfolio)
(e) Scotland (6 Hotels / 694 rooms / 10.4% of the aggregate market value of the Property Portfolio)

EU risk retention: Morgan Stanley Bank N.A., as 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. 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.

US Risk Retention: This securitisation transaction will be subject to the credit risk retention requirements of Section 15G of the Exchange Act, thus an economic interest in the credit risk of the securitised assets in this transaction is expected to be retained pursuant to Regulation RR (17 CFR § 246.1 et seq.) as a combination of the following: (a) Morgan Stanley Bank 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 (b) the Retaining Sponsor will comply with Regulation RR through Morgan Stanley Bank, N.A., its majority-owned affiliate. The Retaining MOA is expected to acquire from the Retaining Sponsor, on the Closing Date, a "single vertical security" in the Issuer, with an aggregate balance of approximately £18,321,052.63 as of the Closing Date in the form of the VRR Loan.

Compare/contrast: European Loan Conduit No. 34 (Scorpio), Ribbon Finance 2018