TEXT-S&P affirms all ratings in U.K. CMBS Deal Epic (Ayton)

Fri Jan 18, 2013 12:06pm GMT

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OVERVIEW

-- We have reviewed the remaining loan backing Epic (Ayton) under our revised European CMBS criteria.

-- Following our review, we have affirmed and removed from CreditWatch negative our ratings on the class E and F notes.

-- At the same time, we have affirmed our ratings on the class A, B, C, and D notes.

-- Epic (Ayton) is a U.K. CMBS synthetic transaction that closed in 2005.

Standard & Poor's Ratings Services today affirmed its credit ratings on Epic (Ayton) PLC's class A, B, C, D, E, and F notes. At the same time, we have removed from CreditWatch negative our ratings on the class E and F notes (see list below).

On Dec. 6, 2012, we placed our ratings on the class E and F notes on CreditWatch negative following an update to our criteria for rating European commercial mortgage-backed securities (CMBS) transactions (see "Ratings On 240 Tranches In 77 European CMBS Transactions Placed On CreditWatch Negative Following Criteria Update").

Our analysis reflects our November 2012 European CMBS criteria (see "European CMBS Methodology And Assumptions," published on Nov. 7, 2012).

There is one loan remaining backing this transaction. The loan is secured by a prime retail asset located in Central London on the corner of Oxford Street. The property is fully occupied by Nike retail B.V. (a subsidiary of Nike Inc. (A+/Stable/A-1)) and Redcastle Ltd. The loan is due to mature in July 2013. The current reported loan-to-value ratio is 49.1% and the interest coverage ratio is 1.82x.

In our opinion, the levels of credit enhancement available to the class A to E notes remain adequate to absorb the amount of losses that the underlying assets would suffer under highly stressed scenarios.

However, the maximum rating achievable for this transaction under our 2012 counterparty criteria is constrained to our long-term issuer credit rating on the transaction's swap provider, The Royal Bank of Scotland PLC (A/Stable/A-1), plus one notch (see "Counterparty Risk Framework Methodology And Assumptions," published on Nov. 29, 2012, and "Various Rating Actions Taken On Epic (Ayton)'s Class A, B, C, D, And E CMBS Notes For Counterparty Reasons," published on Nov. 8, 2012). We have therefore affirmed our 'A+ (sf)' ratings on the class A to E notes

We believe that the available credit enhancement to the class F notes is sufficient to cover asset-credit risk at their current rating level. Therefore, we have affirmed and removed from CreditWatch negative our 'A (sf)' rating on the class F notes.

Epic (Ayton) is a U.K. CMBS synthetic transaction that closed in 2005.

RELATED RESEARCH

-- Ratings On 240 Tranches In 77 European CMBS Transactions Placed On CreditWatch Negative Following Criteria Update, Dec. 6, 2012

-- Various Rating Actions Taken On Epic (Ayton)'s Class A, B, C, D, And E CMBS Notes For Counterparty Reasons, Nov. 8, 2012

-- Application Of Property Evaluation Methodology In European CMBS Transactions, Nov. 7, 2012

-- Standard & Poor's Ratings Definitions, June 22, 2012

-- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012

-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic FactorsEuropean CMBS Monthly Bulletin, published monthly

RATINGS LIST

Class Rating

To From

Epic (Ayton) PLC

GBP537.95 Million Commercial Mortgage-Backed Floating-Rate Notes

Ratings Affirmed

A A+ (sf)

B A+ (sf)

C A+ (sf)

D A+ (sf)

Ratings Affirmed And Removed From CreditWatch Negative

E A+ (sf) A+ (sf)/Watch Neg

F A (sf) A (sf)/Watch Neg

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