Presale Report Bruegel 2021 DAC

DBRS Morningstar Issuer’s Liabilities and Ratings June 2021 Debt Note Balance Subordination Accumulative DBRS Rating Trend Rating Names (EUR) (%) NTV (%) Morningstar Action Action Rating Date Contents Class A 138,500,000 36.6 36.0 AAA (sf) New – Stable 4 June 1 Issuer’s Liabilities and Ratings Provisional 2021 1 Transaction Overview Class X1 [*] n/a N/A NR N/A N/A N/A 3 Rating Considerations Certificates 5 Portfolio Overview Class X2 [*] n/a N/A NR N/A N/A N/A 14 Sponsorship and Property Management Certificates 14 Third-Party Reports Class B 175,500,000 19.6 45.6 AA (low) (sf) New – Stable 4 June 15 Portfolio Cash Flow and Underwriting Provisional 2021 16 DBRS Morningstar Value Analysis Class C 206,800,000 5.3 53.8 A (low) (sf) New – Stable 4 June 17 Market Information Provisional 2021 18 DBRS Morningstar Sizing per Rating Class D 218,405,000 0.0 56.8s BBB (sf) New – Stable 4 June Category Provisional 2021 18 The Loan Source: DBRS Morningstar. 22 Issuer 34 Surveillance 34 Methodology Transaction Overview

Rick Shi DBRS Ratings GmbH (DBRS Morningstar) assigned provisional ratings to Bruegel 2021 DAC (the Assistant Vice President +49 69 8088 3513 Issuer), a EUR 220.15 million securitisation (the transaction) of one Dutch senior commercial real [email protected] estate loan whose main purpose is to refinance the PPF loan securitised in another DBRS Morningstar-rated commercial mortgage-backed security (CMBS) transaction, Kantoor Finance 2018 Sioban Sugrue Assistant Vice President DAC. The senior loan was advanced by Goldman Sachs Bank Europe SE (Goldman Sachs Europe) +44 20 3356 1538 and is secured against nine Dutch assets, eight of which are office buildings and one of which is a [email protected] retail asset. PPF Group N.V. (PPF or the Sponsor) and NL Asset Management B.V. (NL Asset Mirco Iacobucci Management) remain the owner and asset manager of the portfolio, respectively. Senior Vice President Head of European CMBS +44 20 7855 6653 The PPF loan refinanced an existing portfolio of seven office properties, one office/leased hotel, and [email protected] one retail property located across the Netherlands and owned by PPF since 2014. The refinancing loan amount of the portfolio is EUR 220.15 million, which results in a day-one loan-to-value (LTV) of Christian Aufsatz Managing Director 55.7% based on CBRE Valuation & Advisory Services B.V.'s (CBRE) valuation of EUR 395.18 million Head of European Structured Finance as of 31 March 2021. As at March 2021 (the cut-off date), the properties were [93.2]% occupied by +44 20 7855 6664 [108] different tenants. PPF has projected a 2021 net operating income (NOI) of EUR 24.08 million, [email protected] which implies a net initial yield (NIY) of 6.1% and a conservative day-one debt yield (DY) of 10.9%. DBRS Morningstar's net cash flow (NCF) assumption is EUR 18.3 million.

As of the cut-off date, the portfolio had been relatively less affected by the Coronavirus Disease (COVID-19) pandemic. The overall 2020 collection rate on the invoiced amounts was 96.5% with most of the assets having fully paid the rent and costs invoiced. However, the Sponsor has negotiated separate relief packages with certain tenants (most importantly with the hotel tenant,

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B3 B.V., which also received a rent deduction) and with some retail tenants in the portfolio. Page 2 of 34 Nevertheless, the majority of the tenants are paying rent in full on time.

Page 2 of 34 The loan carries a floating interest rate equal to three-month Euribor (subject to zero floor) plus a Page 2 of 34 margin of 2.3% and is fully hedged with an interest rate cap strike of 1.5% purchased from HSBC

Page 2 of 34 Continental Europe. The expected loan maturity is on 15 August 2024, and the loan amortises by 1.0% per annum (p.a.) in Years 2 to 4 and 2.0% p.a. in Year 5.

Instead of a standard liquidity facility, the transaction benefits from a liquidity reserve of EUR [9.75] million, or [4.4]% of the total outstanding balance of the notes and issuer loan. The liquidity reserve will be funded by the issuance of the Class A notes and can be used to cover interest shortfalls on the Class A, Class B, Class C, and Class D notes. According to DBRS Morningstar’s analysis, the commitment amount as at closing will be equivalent to approximately [15] months and [seven] months of coverage for the covered notes based on the interest rate cap strike rate of 1.5% p.a. and the Euribor cap after loan maturity of 5% p.a., respectively.

Class D is subject to an available funds cap where the shortfall is attributable to an increase in the weighted-average margin of the notes.

The legal final maturity of the notes is in May 2031, five years after the fully extended loan maturity date. DBRS Morningstar believes that this provides sufficient time to enforce the loan collateral and repay the noteholders, given the security structure and jurisdiction of the underlying loan.

The transaction includes a Class X diversion trigger event, meaning that if the loan's financial covenants are breached, any interest and prepayment fees due to the Class X noteholders will be paid directly in the Issuer transaction account and credited to the Class X diversion ledger. However, such funds can potentially be used to amortise the notes only following the expected note maturity or the delivery of a note acceleration notice.

To maintain compliance with applicable regulatory requirements, Goldman Sachs International (Goldman Sachs) has retained an ongoing material economic interest of not less than 5% of the securitisation via an issuer loan that was advanced by Goldman Sachs Europe.

Participants Issuer Bruegel 2021 DAC Originator Goldman Sachs Bank Europe SE Arranger Goldman Sachs International Servicer CBRE Loan Services Limited Special Servicer CBRE Loan Services Limited Note Trustee U.S. Bank Trustees Limited Issuer Account Bank Elavon Financial Services DAC Liquidity Facility Provider via Issuer Liquidity Reserve Hedging Counterparty HSBC Continental Europe

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Rating Considerations Page 3 of 34

Page 3 of 34 Strengths • The portfolio benefits from a high occupancy of 94.3% with a high weighted-average unexpired Page 3 of 34 lease term to break (WAULTb) of 6.4 years. Noticeably, the Hofplein 19 building, which was fully

Page 3 of 34 vacant at the inception of the last loan, has been fully let up following the refurbishment work while the adjacent Hofplein 20 building has also been fully let up in the past three years. As such, the portfolio is expected to remain stable in the coming years. • The historical data showed a continuous performance improvement from 2018 to 2020. This is evidenced by the increases of NOI of 17.1%, or EUR 3.2 million, and occupancy from 87.6% to 94.3%. Such improvement could be related to the high capital expenditure (capex) spending across 2017 and 2018, when Hofplein 19 was completely refurbished. A total capex investment of EUR 25.0 million was spent during 2017 and 2018. • Despite of the coronavirus pandemic, the portfolio registered a high collection rate on the invoiced amount of 96.5%. Separate rent reductions were offered only to retail tenants and B3 B.V., whereas other tenants, including Tower Hotel Rotterdam B.V., were offered a rent deferral. • Seven out of the nine assets, representing approximately 85.2% of the market value (MV), are located in Randstad regions, consisting of key areas around the central-western Netherlands in the four largest Dutch cities: Amsterdam, Rotterdam, The Hague, and Utrecht. • The loan represents relatively moderate leverage financing. Based on the DBRS Morningstar underwritten value of EUR 281.8 million, which is 28.7% below the appraiser’s concluded value, the DBRS Morningstar LTV is 78.1%. Additionally, the senior loan's term debt service coverage ratio (DSCR) based on DBRS Morningstar's NCF of EUR 18.3 million is 3.4 times (x). • The tenant profile is fairly granular and diversified, covering a multitude of sectors, both locally and internationally. Only the largest tenant represents more than 10% of gross rental income (GRI) in the portfolio, while the top 10 tenants provide circa 57.6% of the GRI of the portfolio. • Stable cash flow is assured by the underlying leases, with a WAULTb and WAULTe of 6.4 years and 7.1 years, respectively. Also, more than 2.6% of the rental income is secured by long term credit tenants. • Each asset features an individual release price setting, which ranges from 105% for the weaker assets to 120% for the stronger assets. As such, DBRS Morningstar adjusted its LTV hurdles and gave a one-notch enhancement to its ratings on the Class B and Class C notes.

Challenges and Stabilising Factors • The office sector is expected to undergo changes in the pandemic's aftermath as employees likely continue working partially, if not entirely, from home or remote locations. As such, the demand for office spaces is likely to fall. This is mitigated by the long WAULTb and WAULTe of 6.4 years and 7.1 years, respectively. Moreover, the office space in the portfolio generally features good design and amenities, which could help to attract more employees back to office. The Grade A rating of these assets also provides comfort on the post-pandemic leasing outlook of the portfolio. • The Issuer would be required to pay any negative interest on the Issuer account, which could result in a loss for the most junior class of notes under a zero excess spread scenario and also in a disposal scenario with intra-period prepayments in respect of the loan. DBRS Morningstar is of the opinion that the margin on the loan is such that there will be sufficient coverage of the Issuer- related costs. Under a disposal scenario, along with the respective margins on the loan, the risk of

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any losses to the most junior class of notes is mitigated by the pro rata payment allocation, high Page 4 of 34 release premia on the properties, and a minimum loan amount mechanism.

Page 4 of 34 • Approximately 39.3% of the lettable area of the portfolio (three assets) is in Rotterdam, which is still recovering from over-supply. Based on data collected by CBRE ERIX, in Q4 2020, the vacancy rate in Page 4 of 34 Rotterdam office assets was 8.9% while the 10-year average was 15.4%. In DBRS Morningstar’s

Page 4 of 34 opinion, such risk is mitigated by the Rotterdam assets' high WAULTb of 8.5 years, central location, and superior quality. • DBRS Morningstar understands that should the loan’s outstanding balance decrease below its minimum loan amount, which is 35% of the initial balance, the lender can cancel the facility and demand the borrower to repay the loan and all accrued amounts. This could increase the probability of default for the borrower. However, in DBRS Morningstar’s view, the borrowers are less likely to reduce the loan amount to such level given the long-term hold strategy adopted by the Sponsor. Should the loan amount indeed decrease below the minimum amount, the borrower would likely be able to refinance the bullet payment with such deleveraged portfolio. From the lender’s perspective, after the issuance, the Issuer becomes the lender and the servicer will act on behalf of the Issuer per the servicing standard, which prohibits the servicer from taking actions that will adversely affect the transaction. • Potential interest shortfall on the Class D notes due to loan prepayments under the available funds cap. The shortfall could be mitigated because, prior to the occurrence of a sequential payment trigger and Class X trigger, only the issuer liquidity reserve excess amount will be distributed sequentially while the principal receipts will be distributed pro rata thus helping to mitigate margin creep.

Loan Details PPF Loan Term Loan Balance (EUR) 220,150,000 Utilisation Date 17 May 2021 Loan Term (Years) 3+1+1 Interest Rate Three-Month Euribor + 2.3% Borrower-Level Hedging 100% hedged via an interest rate cap not exceeding 1.5% Amortisation Year 1 0% Years 2-4 1% of initial loan amount Year 5 2% of initial loan amount Event of Default Covenants LTV Covenant ≤75.0% DY Covenant ≥7.9% Cash Trap Covenants LTV Covenant ≤63.0% Years 3-5 ≥9.4% Loan Characteristics Property Value (EUR) 395,180 Reported GRI (EUR) 27,916 Sponsor-Projected 2021 NCF (EUR) 19,569 DBRS Morningstar NCF (EUR) 18,317 DBRS Morningstar Value (EUR) 281,803 Issuer LTV at Cut-Off 55.7% Issuer DY at Cut-Off 8.9% DBRS Morningstar LTV at Cut-Off 78.1% DBRS Morningstar DY at Cut-Off 8.3%

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Portfolio Overview Page 5 of 34

Page 5 of 34 The PPF loan is to refinance the same loan securitised in Kantoor Finance 2018 DAC. However, the underlying portfolio could be traced back to the Windmill loan securitised in the Deco 2015 – Page 5 of 34 Charlemagne S.A. transaction. The difference between the current portfolio and that of Windmill is

Page 5 of 34 the removal of the Wilhelminaplein 1-40 and Karperstraat 8-10 properties and the addition of the Hofplein 19 property. PPF and NL Asset Management remain the Sponsor and asset manager of the loan, respectively.

Since 2018, the Sponsor has spent EUR 21.5 million on capex to improve the Hofplein 19 and the Capellalaan properties. Noticeably, the Sponsor has invested a total of EUR 17.8 million to refurbish the Hofplein 19 asset, which was successfully leased up after the refurbishment work. As a result, the portfolio's performance improved significantly.

Exhibit 1 GRI Contributions

Capella Millennium Eusebius Hofplein 19 Hofplein 20 De Reling (Dronten) Johan H LvZH (Chelsea) Monchy Occupancy 30 100% 90% 25 80% 70% 20 60%

15 50% Occupancy 40% 10

30% GRI GRI inMillions EUR 20% 5 10% 0 0% 2014 2015 2016 2017 2018 2019 2020

Source: Goldman Sachs & DBRS Morningstar.

The PPF assets are largely concentrated in the Randstad region, which accounts for 85.2% of the MV. Specifically, Rotterdam has the highest concentration with three assets and 51.4% of MV exposure. Millennium Tower, the largest asset in the portfolio, is located directly in front of the Rotterdam Central Station. Amsterdam, together with its suburb Hoofddorp, has the second-largest exposure in terms of MV (28.4%).

Portfolio Overview—PPF Loan Property Property City Region Market Value % of Largest Tenant by In- Type (EUR) Market Place Rent Value Millennium Office Rotterdam South Holland 88,815 22.5% Tower Hotel Rotterdam Tower Capellalaan Office Hoofddorp North Holland 75,740 19.2% DPG Media Magazines B.V. Hofpoort Office Rotterdam South Holland 65,085 16.5% Spaces Rotterdam B.V. Hofplein Office Rotterdam South Holland 49,350 12.5% Unilever Nederland B.V. Flightdeck Office Amsterdam North Holland 36,485 9.2% B.3. B.V. Airborne Tower Office Arnhem Gelderland 36,230 9.2% Gemeente Arnhem

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Property Property City Region Market Value % of Largest Tenant by In- Type (EUR) Market Place Rent Page 6 of 34 Value Shopping Centre Retail Dronten Flevoland 22,125 5.6% Jumbo Supermarkten Page 6 of 34 SuyderSee B.V. Monchy Office The Hague South Holland 15,325 3.9% De Staat der Page 6 of 34 Nederlanden Chelsea Building Office Rijswijk South Holland 6,025 1.5% DXC Technology Page 6 of 34 Source: Goldman Sachs & DBRS Morningstar.

Exhibit 2 Asset Locations

Source: Goldman Sachs, Google Maps, and DBRS Morningstar.

As of the cut-off date, the physical vacancy of the portfolio was 5.7%, which is 9.9% lower than the estimated weighted-average vacancy of each submarket where the assets are located. It should be noted that in 2018 DPG Media (previously Sanoma) renegotiated its lease to take 54.5% of the Capellalaan building, where the tenant was the single tenant, until 31 December 2027. In addition, DPG Media also extended lease for "De Unit" until 31 December 2023. In return, the tenant paid a EUR 2.3 million penalty. Following the downsizing, the Sponsor invested EUR 2.9 million on capex works and completed a second entrance to the building. As such, the Sponsor has managed to lease up some of the vacant spaces and the remaining vacant spaces were considered as "flex spaces" on which DPG Media is paying a reduced rent and the Sponsor can break the lease with three-month notice.

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Largest Tenant Overview—PPF Loan Page 7 of 34 Nevertheless, DPG Media remains the largest tenant in the portfolio. DPG Media purchased

Page 7 of 34 Sanoma Media Netherlands, which is headquartered in the Capellalaan asset, from Sanoma Corporation. The second largest tenant is Tower Hotel Rotterdam B.V., which is trading as Page 7 of 34 Rotterdam Marriott Hotel. The hotel is located from ground to 13th floor in the Millennium Tower

Page 7 of 34 and registered an average occupancy rate of 74.8% from 2018 to 2019. But the occupancy dropped to 25.9% in 2020 due to the pandemic. As such, the performance related rent for the hotel lease is zero while the fixed rent of the hotel is still payable by the tenant. However, the rents from April 2020 to July 2020 were deferred to equal installments from December 2020 to May 2021. It should also be noted that the tenant is being acquired by PPF. The coworking and office provider Spaces Rotterdam B.V. is the third-largest tenant and, as of the cut-off date, did not report any arrears despite the pandemic. DBRS Morningstar noted that before PPF purchased the portfolio, one tenant in the Millennium Tower had paid its rent (EUR 95,000 p.a.) upfront until 18 June 2050. As such, PPF, or the future owner of the portfolio, will not receive any rent from the tenant until the lease expiry.

Tenant In-Place Rent % of In-Place Total Area % of Total Property WAULb ('000 EUR) Rent (sq. m) Area Occupied (Years) DPG Media Magazines B.V. 3,951 14.2% 20 631 12.5% 1 5.8 Spaces Rotterdam B.V. 2,010 7.2% 11 787 7.1% 1 12.8 Tower Hotel Rotterdam B.V. 1,931 6.9% 13 005 7.9% 1 24.4 Unilever Nederland B.V. 1,885 6.8% 8 773 5.3% 1 1.8 Gemeente Arnhem 1,847 6.6% 10 900 6.6% 1 2.3 Rijksvastgoedbedrijf 1,701 6.1% 10 986 6.7% 1 3.8 B.3. B.V. 1,138 4.1% 7 287 4.4% 1 6.3 LeasePlan Digital B.V. 799 2.9% 3 426 2.1% 1 1.8 Coolblue B.V. 790 2.8% 3 804 2.3% 1 1.4 DXC Technology 664 2.4% 4 558 2.8% 1 4.2 Sub-Total/WA Top 10 16,718 59.9% 95 157 57.6% 7.3 Outside of Top 10 11,198 40.1% 69 959 42.4% 5.0 Total/WA 27,916 100.0% 165 117 100.0% 9 6.4

Lease Rollover—PPF Loan The lease break and expiry profile of the portfolio is flat for the coming years. This is also evidenced by the high WAULTb/e of the portfolio. Many leases have a break in 2023 while the expirations are concentrated after 2027, well beyond the loan maturity.

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Year Expiring Gross Rent (EUR) Expiring Rent (as a % of Total) Cumulative Page 8 of 34 Sundry1 16,290 0% 0.1% 2021 363,487 1% 1.4% Page 8 of 34 2022 2,815,015 10% 11.4% 2023 1,772,593 6% 17.8% Page 8 of 34 2024 2,888,597 10% 28.1%

Page 8 of 34 2025 4,300,269 15% 43.5% 2026 1,592,555 6% 49.3% 2027 5,589,802 20% 69.3% 2027+ 8,576,976 31% 100.0% Total 27,915,585 100% Source: Goldman Sachs & DBRS Morningstar.

Exhibit 3 Lease Expiration Profile PPF Loan

Source: Goldman Sachs & DBRS Morningstar.

DBRS Morningstar Site Inspection Summary Because of the current restrictions caused by the coronavirus pandemic, DBRS Morningstar was unable to visit the properties in the portfolio. Instead, DBRS Morningstar relied on the valuation report to determine the quality of the buildings, which is Above Average. Below is an extract from the valuation report on the top five assets, provided by CBRE.

1 Including income from surveillance camera and Parkbee.

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Weena 686-696 (Millennium Tower), Rotterdam Page 9 of 34 MV EUR 88.8 Million; 22.5% of the Portfolio

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Source: CBRE.

The subject property is located at the Weena 686-696 in the city centre, Rotterdam’s prime office location, opposite the central train station of Rotterdam, which provides direct connections to all major cities in The Netherlands. Furthermore, tram, metro, and bus stops in front of the property provide excellent accessibility by public transport and reasonable accessibility by car as the property is located close to the junction ‘Kleinpolderplein’ of the highway A13. The immediate surroundings are mainly characterised by office buildings, occupied by well-known companies.

The subject property is an office and hotel building with a total of 32 floors. The lower part of the building (ground floor up to the 14th floor but excluding the 10th floor) is occupied by a hotel, while the office space is situated from the 14th floor up to and including the 32nd floor. The office area has a separate entrance at the Street ‘Kraepelin’. The main hotel entrance is from Weena. The building has a direct link with De Doelen, a well-known concert and congress centre. This link is a footbridge that connects the hotel part of the building with De Doelen.

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Capellalaan 65, Hoofddorp Page 10 of 34 MV EUR 75.7 Million; 19.2% of the Portfolio

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Source: CBRE.

The subject property is located at the business estate Beukenhorst-East, which is the largest office location of Hoofddorp. It is specifically located at the corner of Polarisavenue and Capellalaan. The Hoofddorp train station is located 550 metres west of the subject property. The site also benefits from good road connection and is located approximately six kilometres from Schiphol International Airport (approximately eight minutes by train and car).

The subject property consists of two attached large-scale office buildings that were completed in two phases. The first phase was completed in 1996 and the second phase in 1997. Phase I consists of a basement and seven floors above ground level, and phase II consists of a basement and five floors above ground level.

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Hofplein 20, Rotterdam Page 11 of 34 MV EUR 65.1 Million; 16.5% of the Portfolio

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Source: CBRE.

The subject property is located at Hofplein 20 in the city centre of Rotterdam, close to the central train station of Rotterdam (circa 650 metres). The building was one of the first skyscrapers built within the city centre, which is a prime office location. A tram and bus stop are in front of the property. Accessibility by car is reasonable as the property is close to the junction of the A13 and A20 motorways. The immediate surroundings are mainly characterised by office buildings. The subject property is also located within walking distance of the Town Hall and the city's central shopping area.

The subject property has a low-rise building section and a high-rise building section. The office area is arranged over a basement, ground floor, and 27 upper floors and has a rectangle-shaped floor plate. The fourth floor splits the building into a lower part and an upper part. This floor consists of parking places connected to the rest of the adjacent parking garage (four split-level floors).

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Hofplein 19, Rotterdam Page 12 of 34 MV EUR 49.4 Million; 12.5% of the Portfolio

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Source: CBRE.

The subject property was built in 1960 and consists of a ground floor and nine upper floors. On the southside the building is accessible from the ground floor via a revolving floor that leads to an entrance lobby with reception desk. The entrance lobby provides access to the office areas on the nine upper floors via three elevators and a staircase. The office areas are also accessible via an entrance at the northside, which is situated next to the Shell gas station and consists of two elevators in addition to a staircase. The ground floor is partly in use as a gas station and restaurant. The basement, which is partly in use as restaurant and partly as archive space, is accessible via the restaurant. Each office floor is roughly the same size of circa 1,411 sq. m net lettable area and benefits from a pantry and sanitary provisions. On the 10th floor, the area is leased by Deli 19 by Weena B.V. adjacent to a roof terrace.

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Johan Huizingalaan 400 (Flight Deck), Amsterdam Page 13 of 34 MV EUR 36.5 Million; 9.2% MV of the Portfolio

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Source: CBRE.

The subject property is located at the Johan Huizingalaan 400, on business site Riekerpolder, which is the most prominent sub district of Amsterdam West. Riekerpolder has been developed from the turn of the century onwards and has attracted a number of prominent office users. The offices in the business park are mostly large in scale: the average building size is 17,500 sq. m. Nearly all plots on Riekerpolder are filled, but there is still room for extending the office market. The distance from the property to the city centre of Amsterdam is circa nine kilometres.

The building was designed by ZZDP architects and completed in 1990. It was earlier known as the Nissan building, then as the Mexx building, and is currently known as the Flightdeck building. The property is arranged over a ground floor, mezzanine floor, and nine upper floors. It has a rectangle- shaped floorplate.

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Sponsorship and Property Management Page 14 of 34

Page 14 of 34 The Sponsors PPF is a Czech investment fund founded in 1991 and as of 31 December 2020 had a portfolio of Page 14 of 34 assets totalling EUR 39.7 billion. PPF’s reach spans various global markets and includes industry

Page 14 of 34 segments such as banking, financial services, telecommunications, biotechnology, insurance, real estate, and agriculture.

PPF took part in the privatisation of the Czech Republic’s economy following the social implications of the Velvet Revolution in 1989. The group’s first major investment was its acquisition of Ceska Pojistovna, the largest insurer in the Czech Republic.

PPF Real Estate Holding B.V. consolidates PPF's real estate activities and functions as a real estate developer, owner, and professional advisor. The group’s real estate investments are focused both on emerging markets such as Russia, and on building a presence in developed Western countries such as the Netherlands and Germany. PPF acquired the subject portfolio in 2014, which forms part of its EUR 2 billion real estate portfolio.

Following the unexpected death of Petr Kellner, the majority shareholder of PPF, his estate is undergoing probate.

The Asset Manager NL Asset Management is a leading commercial real estate asset manager in the Netherlands and is an affiliate of Knight Frank. NL Asset Management uses local teams with good knowledge of the local market’s investment and occupier demand to facilitate asset management services.

NL Asset Management has been managing the subject portfolio since PPF acquired it in 2014. Currently NL Asset Management manages circa 476 000 sq. m of lettable floor area spread across 174 tenants with more than EUR 1.3 billion in asset value.

Third-Party Reports

Valuation The PPF portfolio was valued by CBRE on 31 March 2021, with a concluded aggregate net MV of approximately EUR 395.2 million based on a weighted-average NIY (in-place rent) of 5.4%. CBRE estimated the vacant possession value of the portfolio to be EUR 247.2 million. To complete its analysis, CBRE inspected all nine assets both internally and externally between 31 March 2021 and 20 April 2021.

In concluding its MV, CBRE has deducted EUR 15.7 million capex correction and the relating transaction costs. As such, the portfolio MV before the capex adjustment is EUR 408.5 million.

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Technical Reports Page 15 of 34 Technical reports for the PPF portfolio properties were completed and updated on 23 April 2021 by

Page 15 of 34 CVO Group, and included both site inspections and interviews with property managers. The CVO Group technical reports contained estimates of the costs of liabilities of the properties over a 10- Page 15 of 34 year period. Per the cost schedules of the technical reports provided, the total capex works needed

Page 15 of 34 for the next 10 years amount to EUR 20.1 million. DBRS Morningstar understands that there is circa EUR 3.5 million capex reserve as of the cut-off date and therefore underwrote the capex deficit of EUR 16.6 million for the next 10 years as its capex provision assumption. Moreover, DBRS Morningstar noted that per facility agreement, the obligors are liable of funding all the budgeted capex.

Environmental Reports Phase I environmental reports for the PPF portfolio were completed and updated on 15 April 2021 by Tauw. The environmental reports provided included an assessment of the environmental liability associated with both the soil and groundwater quality and the presence of asbestos at each property. DBRS Morningstar noted that following the refurbishment work carried out in Hofplein 19 most of the asbestos-containing materials were removed with only small pieces of asbestos cement plate materials in the façade remaining. Tauw views these materials do not pose risk when left undisturbed. However, it should be noted that there is a gas station by the Hofplein 19 building and is operated by Shell. The technical report for Hofplein 20 described the risk associated with the presence of asbestos containing materials as low in the current contained state, but vulnerable to severe escalation should the seals containing the asbestos become compromised. Following review of the provided environmental reports, DBRS Morningstar concluded that no material environmental issues or costs arose that would require an additional stress to be applied to the DBRS Morningstar value assessment.

Portfolio Cash Flow and Underwriting

DBRS Morningstar NCF Analysis DBRS Morningstar underwrote the in-place rental rates for all tenants except those confirmed to be vacating and/or renewing leases at greater or lesser than rental rates based on the tenancy schedule used by the appraiser. Currently, vacant space has been grossed up based on the valuer’s estimated rental value (ERV). DBRS Morningstar applied a rental rate markdown for all units that are currently over-rented based on a threshold of 110% of the valuer’s concluded ERV for the respective unit; however, DBRS Morningstar did not mark down new leases, guaranteed leases, or leases with long-term credit-rated tenants. The DBRS Morningstar markdowns for the PPF portfolio totalled EUR 492,200.

Vacancy was underwritten at 10%, which is [4.3%] more than the in-place economic vacancy rate of roughly [5.7%]. The DBRS Morningstar assumed vacancy rate is supported by recently declining vacancy rates in the Dutch office markets. The resulting underwritten effective gross incomes (EGI) for the PPF portfolio was approximately EUR 25.9 million.

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The DBRS Morningstar underwritten expenses included non-recoverable costs and management Page 16 of 34 fees and were based on the average of expenses in 2019 and 2020. The DBRS Morningstar

Page 16 of 34 underwritten expenses totalled approximately EUR 3.7 million, representing 13.2% of the DBRS Morningstar-underwritten EGI for the PPF portfolio. Page 16 of 34

Page 16 of 34 As mentioned above, the TDD reports estimated that 10-year capex requirement to be EUR 20.1 million. DBRS Morningstar understands that there is circa EUR 3.5 million capex reserve as of the cut-off date and therefore underwrote the capex deficit of EUR 16.6 million for the next 10 years as its capex provision assumption. Obligors of the PPF loan are obliged to ensure enough funds are deposited to the capex reserve account to cover all planned maintenance for the next 12 months as per business plan. Tenant improvement allowances were underwritten at 20.0% and 2.5% for new and renewal leases, respectively, based on the asset manager’s reflection of standard market practice for each property. DBRS Morningstar underwrote leasing commissions to 5.0% for new leases and zero for renewed leases, which are also reflective of standard market practice for each property. The DBRS Morningstar-underwritten leasing costs totalled approximately EUR 2.2 million for the PPF portfolio, representing 7.8% of the underwritten EGI.

The resulting DBRS Morningstar NCF was approximately EUR 18.3 million, representing a haircut of -6.4% to the 2021 forecast NOI for the portfolio.

DBRS Morningstar Value Analysis

The valuation was completed by CBRE, which concluded an aggregate MV of EUR 395.2 million for the portfolio based on a weighted-average NIY of 5.1%. The surveyor has applied an individual initial yield rate for each property, which ranges from 3.5% to 8.9%. DBRS Morningstar applied a capitalisation rate of approximately 6.5%, which resulted in a DBRS Morningstar-underwritten value of EUR 281.8 million. The DBRS Morningstar-underwritten value represents a haircut of 28.7% to the CBRE’s MV.

DBRS Morningstar noted that the MV of the portfolio increased 30.4% since 2018, mainly driven by the increased income from the Hofplein 19 asset. As such, DBRS Morningstar updated its cap rate to 6.5% from 7.25% as DBRS Morningstar was assuming a low 44.0% occupancy then for the Hofplein 19 building, which is currently fully occupied.

Based on the DBRS Morningstar value conclusion, the resulting DBRS Morningstar stressed LTV for the portfolio is 78.1% at issuance. Additionally, the DBRS Morningstar Refi DSCR is 1.3x. The DBRS Morningstar stressed DSCR assumes a loan interest rate of approximately 4.0% and a DBRS Morningstar constant of 6.75%. DBRS Morningstar believes that the NCFs from the portfolio are sufficient for the loan to remain in compliance with the cash trap and event of default covenants during the loan term. Based on the DBRS Morningstar NCF, the DBRS Morningstar going-in DY and DBRS Morningstar exit DY are 8.3% and 8.8%, respectively.

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Page 17 of 34

Market Information Page 17 of 34 European office take-up reached 1.6 million sq. m during Q3 2020, reaching a total of 5.7 million sq.

Page 17 of 34 m for Q1 2020-Q3 2020. Year to date, this is -31% against the five-year Q1-Q3 average, and -41% on the five-year Q3 average. Among the most resilient markets have been La Defense (+25%), driven Page 17 of 34 by a megadeal early in Q1 2020, although leasing activity in Central Eastern Europe and Northern

Page 17 of 34 Europe has generally been most resilient compared with previous years. The metropolises of London and Paris have suffered the most in terms of occupier demand during 2020, reflecting the most severe lockdown measures in these cities. However, office demand is anticipated to recover once businesses are allowed to reopen, and office workers are encouraged to use public transport and return to the workplace.

The Netherlands The Netherlands is one of the few countries with relatively low public debt levels despite the tremendous impact of coronavirus, proving its economic stability. In recent months, the public debt level has risen from 50% of GDP to 63%. Unemployment rate sits at 4.3% as of Q3 2020, far more optimistic than the eurozone level of 7.8%. The Dutch office market accounted for c. 22% of total investment volume in first three quarters of 2020. The Q3 2020 investment volume was EUR 2.4 billion, a decline of 38% compared with Q3 2019. The 2020 total investment volume in office properties is forecast by CBRE to be between EUR 3.0 billion and EUR 3.5 billion. While the office occupiers had been anticipating growth since 2015, the coronavirus outbreak has put a temporary halt on the positive sentiment. A total of 694,100 sq. m, excluding lease extension, has been taken up during the first three quarters of 2020. The vacancy rate experienced a slight increase to 8.4% in Q3 2020 nationwide. However, many core cities are sitting at 5% to 6% vacancy. Due to the persistent uncertainty, occupiers are more likely to restructure and extend lease agreements. While current developments in prime areas are expected to stabilise, secondary locations will face more pressure.

Since 2015, positive sentiment about the economy has led to more office occupiers anticipating growth. The 1.4 million sq. m of office space taken up by relocating organisations in 2019 represented an increase of at least 13% compared with 2018. The coronavirus outbreak put a temporary halt to this trend with a 21% decline in the office take-up volume in the first three quarters of 2020, compared with the same period last year. A total of 694,100 sq. m of office space was taken up during the first three quarters of 2020. This does not include lease extensions and therefore reflects the market dynamics of moving or starting office-based organisations. The downward trend in the number of vacant offices seems to have stopped due to the outbreak of coronavirus, with a slight increase in the nationwide vacancy rate to 8.4% in Q3 2020. Despite the slight increase, the vacancy rate in many core cities was already at or below the frictional vacancy rate of 5% to 6%. This is a tight market with little room to meet the needs and demand of office- based organisations.

DBRS Morningstar Sizing per Rating Category Rating DBRS Morningstar LTV Hurdle AAA (sf) 50.0% AA (low) (sf) 63.4% A (low) (sf) 74.7% BBB (sf) 78.9%

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DBRS Morningstar Sizing Hurdles and Analysis Assumptions Page 18 of 34 DBRS Morningstar adjusted the LTV hurdles to give credit to the loan release price setting, diversity

Page 18 of 34 of the properties in the loan, equity investment by the Sponsors, the quality of the Sponsors, and asset managers. Page 18 of 34

Page 18 of 34 The Loan

The purpose of the PPF loan is to refinance the previous PPF loan advanced in 2018; distribute or upstream other payments to Holdco [and the Sponsor]; finance the general corporate purposes of any obligor; and finance the payment of interest, fees, and other finance costs payable pursuant to the senior facility agreement (SFA).

Nine different property holding companies formed the borrower group for the PPF loan (collectively, the PPF borrowers). The borrowers are wholly owned subsidiaries of Seven Assets Holding B.V., which in turn is a wholly owned subsidiary of PPF Real Estate Holding B.V. The borrower group structures are outlined below.

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Page 19 of 34

PPF Borrower Structure Page 19 of 34

Page 19 of 34

Source: Facility Agreement.

Page 20 of 34 Bruegel 2021 DAC | June 2021

Page 20 of 34

After issuance, the CMBS Issuer will purchase the entire EUR 220.2 million outstanding loan Page 20 of 34 balance from the loan seller and deposit the EUR [9.75] million liquidity reserve in the liquidity

Page 20 of 34 reserve ledger on the issuer transaction account. The loan purchase and liquidity reserve deposit will be financed by a EUR [218.4] million note issuance and a EUR [11.5] million issuer loan Page 20 of 34 advanced by Goldman Sachs Europe in order to comply with risk retention requirements.

Page 20 of 34 The loan is limited in recourse to the borrower group and the underlying properties, with no additional recourse to the respective Sponsor.

The EUR 220.2 million senior loan bears an interest at a floating rate equal to three-month Euribor (subject to a floor of zero) plus 2.3% margin. The loan will mature in [May] 2023 with two options to extend the loan each time for one year.

Amortisation The PPF loan borrowers are required to amortise by 1% of the initial loan amount per year from the second year of the facility’s utilisation date and an additional 1% in the last year.

Hedging To hedge against increases in the interest payable under the loan due to fluctuations in the three- month Euribor, the borrowers entered into a cap agreement with HSBC Continental Europe. DBRS Morningstar rates the hedging counterparty privately and, as at the cut-off date, its rating is commensurate with the highest rating assigned to the notes. The cap notional is 100% of the outstanding loan. The cap expires on the loan's final repayment date. The cap strike rate is 1.5%.

Prepayments Under the loan agreement, the borrower groups are obliged to prepay the loan in part or in full upon occurrence of certain events including property disposals (see below) and change of control. However, in the case of change of control, the borrowers are not obliged to repay the loan unless the lender requires so, in which case, the facility provided will be cancelled and all the outstanding balance together with accrued interest and all other accrued amounts will become immediately due and payable. It should be noted that a change of control occurs if the borrower management company ceases to be the management company of any obligor (as the case may be).

Each borrower is allowed to voluntarily prepay the loan or part of the loan, provided that such prepayment is in a minimum amount of EUR 1,000,000 and in integral multiples of EUR 250,000 for each loan. Any prepayment of the securitised part of the loan will have to be made together with accrued interest (including margin) up to the immediately following loan payment date, adjusted for the interest amount earned by depositing the prepaid amount up to such loan payment date.

Subject to certain conditions and within the first 39 months of utilisation up to 15 August 2024, prepayment fees (net of any break costs) may be payable where the borrowers make a voluntary prepayment and/or a mandatory prepayment resulting from any permitted property disposal, in which case, the prepayment fee is only applicable if the prepaid property disposal proceeds exceed 15% of the initial loan amount. However, in DBRS Morningstar's view, the borrower is less likely to reduce the loan amount to such level given the long-term hold strategy adopted by the Sponsors.

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Page 21 of 34

Should the loan amount indeed decrease below the minimum amount, the borrower would likely be Page 21 of 34 able to refinance the bullet payment with a deleveraged portfolio. From the lender’s perspective,

Page 21 of 34 after the issuance, the Issuer becomes the lender and the servicer will act on behalf of the Issuer as per servicing standard, which prohibits the servicer from taking actions that will adversely affect the Page 21 of 34 transaction.

Page 21 of 34 The prepayment fee for the loan is aligned to the make-whole margin until the date falling 27 months after the closing date, and from 28 months until the date falling 39 months after the closing date, the prepayment fee shall be gradually reduced from 1% to zero by an interval of 0.25%

Should the outstanding loan amount fall below 35% of the initial loan amount (minimum loan amount), the lender can request the relevant borrower to repay the loan together with any other amounts accrued such as interest and prepayment fees.

Finally, no prepayment fee will be payable if the prepayment is in respect of illegality, the replacement of a compromised lender (i.e., an increased cost lender, a non-consenting lender, or a defaulting lender), an expropriation or major damage (i.e., the destruction or damage of any part of any property), insurance proceeds, and a cash trap.

Cash Trap Covenants The loan agreement contains certain cash trap covenants based on DY and LTV levels. The DY cash trap covenant for the loan is 9.4% and the LTV cash trap covenant level is set at 63.0%.

It should be noted that the amount to be cash trapped excludes the payments to the asset manager and to the Sponsor, although each payment is subject to a cap and that no event of default is continuing or would occur should such payments be made.

Property Disposal Each borrower is allowed to dispose of properties, subject to the prepayment of principal in an amount equal to the following release price: 120% of the allocated loan amount (ALA) for Millennium Tower and Hofplein 19; 115% of ALA for Flightdeck (Johan Huizingalaan 400), Hofplein 20, and Capellalaan 65 assets; 110% of ALA for Monchy; 106% of ALA for SuyderSee shopping centre; and 105% of ALA for Airborne Tower and Chelsea Building.

Financial Covenants The default covenants of the loan are set at: 7.9% DY and 75.0% LTV for the entire loan term.

Loan Events of Default Default events under the terms of the loan agreement include, among other items, non-payment of any sum due (subject to relevant grace periods), financial covenant breaches (if not cured), misrepresentation, and insolvency. Remedies for a loan event of default include acceleration of the loan and enforcement of the loan security.

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Default Interest Page 22 of 34 If a borrower fails to pay an amount payable under the terms of a loan agreement on its due date,

Page 22 of 34 default interest will apply on any unpaid amounts at a rate that is 1% higher than the loan interest rate. Page 22 of 34

Page 22 of 34 The amount of default interest received by the CMBS Issuer will form part of the interest available funds on each payment date and will be passed on to noteholders in accordance with the relevant priority of payments, subject to senior-ranking items (including costs) being paid first (see below).

Borrowers Accounts As at the cut-off date, the borrower accounts are held with ABN AMRO Bank N.V. (DBRS Morningstar Critical Obligations Rating (COR): AA/R-1 (high)). DBRS Morningstar considers the borrower account banks suitable for the purpose of assigning the initial ratings to the notes. DBRS Morningstar will monitor this transaction and the suitability of the account banks in accordance with the applicable DBRS Morningstar criteria and methodologies during the term of the notes.

Issuer

Bruegel 2021 DAC, the Issuer, was incorporated in Ireland on 28 April 2021 with a registration number of 694064.

Source: Prospectus.

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CMBS Transaction Security Page 23 of 34 Noteholders and the issuer lender under the issuer loan (see below) benefits from the loan security

Page 23 of 34 granted in respect of the senior loan securitised in this transaction. As a consequence of the purchase by the Issuer of the loan on the closing date, the benefit of the loan security followed the Page 23 of 34 loan and was transferred to the Issuer. The Issuer granted a security interest over all its assets and

Page 23 of 34 undertakings in favour of the Issuer security trustee, in order to secure the obligations of the Issuer for the benefit of the noteholders, the issuer lender, Class X Certificateholders and the other issuer- secured creditors.

Issuer Account Bank The Issuer bank account is held at Elavon Financial Services DAC (privately rated by DBRS Morningstar). As at closing, DBRS Morningstar considers the Issuer account bank suitable for the purpose of assigning the initial ratings to the notes. DBRS Morningstar will monitor this transaction in accordance with its published methodologies.

Issuer Loan For the purposes of satisfying U.S., UK, and EU risk retention requirements, the Issuer has received a loan of EUR [11.5] from Goldman Sachs Europe, as Issuer lender (the Issuer loan). The proceeds of the Issuer loan will be applied by the Issuer as partial consideration for the purchase of the loan from the loan seller at closing. The Issuer lender is entitled to receive the Issuer loan share (5%) of all amounts paid to the noteholders and the Class X certificateholders on each note payment date, or such other date that distributions are made to the noteholders. The Issuer loan is limited recourse.

Transaction Waterfalls Prior to the delivery of a note acceleration notice, the transaction has separate interest and principal waterfalls. Issuer revenue proceeds include the regular loan interest payments received by the Issuer, default interest, fees (excluding prepayment fees), costs and indemnities (including break costs), whether received by regular payment, loan enforcement, or loan sale. In addition, any other income received by the Issuer (for example, interest income of any amounts held in Issuer bank accounts) and liquidity drawings (excluding property protection drawings) form part of the revenue proceeds.

Pre-Acceleration According to the pre-acceleration waterfall, available revenue proceeds will be applied – after the payment of certain amounts that rank senior to the notes – sequentially to the notes. Before the occurrence of a Class X trigger event (see below), and provided that no Class X diversion trigger event (see below) is continuing on any note payment date prior to the expected note maturity date (May 2026), interest due on the Class X certificates will be allocated to the Class X certificateholders pro rata and pari passu to the interest due on the Class A notes. In addition, on any note payment date falling after the expected note maturity date, excess revenue receipts will be applied under the pre-acceleration interest priority of payments to pay principal on the notes sequentially, ahead of then subordinated payments due on the Class X certificates. Revenue proceeds will also be used to make payments to the Issuer lender, as described in the prospectus.

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Prior to note acceleration and prior to the occurrence of a sequential payment trigger, the note Page 24 of 34 share (95%) of principal proceeds received by the Issuer will be allocated to the notes on a pro rata

Page 24 of 34 basis according to their respective principal amount outstanding. DBRS Morningstar noted that contrary to other CMBS transactions, voluntary prepayment proceeds, which is normally applied in Page 24 of 34 reverse sequential order, and [property release amounts (release premium), which is normally

Page 24 of 34 allocated sequentially to the notes (excluding the Class X certificates)] are now all allocating pro rata.

After the occurrence of a sequential payment trigger the note share of principal proceeds received by the Issuer will be applied to the notes sequentially (excluding the Class X certificates). Sequential payment triggers are non-payment at maturity, special servicer transfer, or enforcement of the Issuer security following the occurrence of a note event of default.

Post-Acceleration Following the delivery of a note acceleration notice, the transaction switches to a combined revenue and principal waterfall, according to which the priority of payments becomes strictly sequential, i.e., after payment of senior costs, principal and interest of more senior notes rank senior to principal and interest of more junior notes.

Liquidity Support DBRS Morningstar notes that certain amounts payable by the Issuer to its third-party creditors (such as costs, negative interest charged on the issuer's account, expenses, and/or other indemnities payable by the Issuer to or with respect to such third parties under the transaction documents) rank senior to the notes. If the Issuer were obliged to make substantial payments in connection with these obligations (such as a further decrease of negative interest rate) during the term of the transaction, the Issuer may not have sufficient funds to satisfy its obligations with respect to the notes. However, this is mitigated primarily by the availability of an issuer liquidity reserve of EUR [9.75] million deposited in the liquidity reserve account. The size of the liquidity reserve will decrease in accordance with agreed formulas, pro rata based on the principal amount outstanding of the notes and on reductions in the appraised values of the properties securing the loan.

The liquidity reserve can be used by the Issuer to fund expense shortfalls (including any amounts owing to third-party creditors and service providers that rank senior to the notes), property protection shortfalls, and interest shortfalls (excluding prepayment fee amounts and note excess amounts (see below)) in connection with interest due on the Issuer loan, Class A, Class B, Class C, and Class D notes in accordance with the relevant waterfall.

Based primarily on the timing of the remittance obligations of the borrowers under and in accordance with the loan documents, DBRS Morningstar understands that the Issuer cash manager is expected to have the necessary information on the amounts that are expected to be available to the Issuer on each note payment date prior to the deadline to withdraw liquidity reserve for many covered shortfalls. Consistent with other EU CMBS transactions, non-payment of interest on notes other than the most senior class of notes at any point in time would not trigger a note event of default.

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Deferred Interest Page 25 of 34 If, and to the extent, on any note payment date, there are insufficient funds available to pay interest

Page 25 of 34 on any class of notes (other than the interest on the Class X certificates and the most senior class of notes then outstanding), such unpaid interest (subject to the Class D available fund cap (see Page 25 of 34 below)) will be deferred until sufficient funds are available or the relevant class of notes is

Page 25 of 34 redeemed in full. Although deferral of interest or other amounts in these circumstances may not constitute an event of default under the terms and conditions of the notes, DBRS Morningstar notes that deferral of interest with respect to Class B, Class C, and Class D notes may have negative rating consequences. DBRS Morningstar will monitor this transaction in accordance with the applicable DBRS Morningstar criteria and methodologies during the term of the notes.

Default Interest If the borrowers fail to pay an amount payable under the terms of the loan on its due date, default interest will apply on any unpaid amounts (see above).

Default interest amounts received by the Issuer will be applied to CMBS noteholders (other than the Class X certificates) on a pro rata basis and will not bear any interest. Its payment ranks junior in the waterfall; in both pre-acceleration and post-acceleration, waterfall payment of pro rata default interest amounts ranks after payment of senior costs, repayment of liquidity facility draws, note interest payments, and liquidity subordinated amounts.

DBRS Morningstar ratings do not address the payment of default interest amounts on the notes.

Note Excess Amounts On each note payment date relating to each note interest period beginning on or after the expected note maturity date, the Euribor component payable on the notes is capped at 5%. To the extent there is a difference between the rate of interest that would have been payable had the rate of interest not been subject to the Euribor notes cap equal to 5% p.a. and the rate of interest that is actually payable, the noteholders of each class will be entitled to a payment by way of additional return equal to the amount of that difference (such difference being the Euribor excess amount). The payment of the Euribor excess amount will be subordinated to, inter alia, the payment of interest on and repayment of principal on the notes. If, and to the extent, on any note payment date, there are insufficient funds available to pay any Euribor excess amounts, such unpaid amounts will be deferred until sufficient funds are available or the relevant class of notes is redeemed in full. Any deferral in payment of the note excess amount will be borne by each class of notes in reverse sequential order, commencing with the Class D notes.

DBRS Morningstar ratings do not address the payment of Euribor excess amounts on the notes.

Prepayment Fees and Prepayment Fee Amounts Any prepayment fees received by the Issuer pursuant to the terms of the loan will be allocated as prepayment fee amounts to the Issuer loan and the CMBS notes that have been subject to redemption by reason of a prepayment of the loan. The prepayment fee amounts for the respective class of notes will depend on the note amount prepaid and the relative margin of such class of notes compared with the weighted-average margin of the classes of notes prepaid.

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Page 26 of 34

Prepayment fee amounts will be paid to noteholders in accordance with the pre-acceleration Page 26 of 34 principal priority of payments and the post-acceleration priority of payments, as the case may be.

Page 26 of 34 Prior to the delivery of a note acceleration notice they rank pari passu and pro rata to the periodic principal payments of the respective notes but senior to principal payments on more junior notes. Page 26 of 34 Following the delivery of a note acceleration notice, the payment of prepayment fee amounts for

Page 26 of 34 any class of notes ranks pari passu and pro rata with respect to interest and principal payments for the respective note, but senior to interest and principal due on more junior notes. No prepayment fee amounts will be due if there is no borrower prepayment fee payable under the loan. In addition, the aggregate prepayment fee amounts payable to all classes of notes will never be greater than the prepayment fee payable by the borrowers. The liquidity reserve will not be available for prepayment fee amounts due on any class of notes. In cases where the prepayment fee payable by the borrower exceeds the prepayment fee amounts due on the notes, the excess will be paid to the Class X certificateholders, subject to the Class X diversion trigger event described below (such amount being the Class X prepayment fee amount).

DBRS Morningstar does not rate the payment of prepayment fee amounts.

Available Funds Cap Interest due and payable on the Class D notes, in the event that a shortfall attributable to an increase in the weighted-average margin of the notes occurs, is subject to a cap equal to the lesser of: (1) the note interest amount applicable to the Class D notes; and (2) the difference between the interest available funds and any surplus principal funds available on the relevant payment date (excluding the amount available for drawing by way of a liquidity withdraw on such note payment date) and the sum of all amounts payable out of the interest available funds and any surplus principal funds on such payment date in priority to the payment of interest on the relevant class of notes.

Class X Certificates The Class X certificates are entitled to receive the Class X distribution amount. The Class X distribution amount consists of the excess spread of the transaction. It will be equal to the difference between (1) the aggregate amount of revenue receipts received by the Issuer during the most recently ended loan interest period (excluding liquidity withdrawals) and any surplus principal funds for that note payment date and (2) the aggregate of senior costs, interest payable on the other classes of notes, note excess amounts (see above), and certain amounts payable on the Issuer loan.

The Class X certificates are not entitled to any principal payment. Interest payments due to Class X certificateholders initially rank pro rata and pari passu to interest due on the Class A notes. Upon occurrence of a Class X trigger event, interest payments due to Class X certificates become subordinated to payments due on the other notes. Class X trigger events include the non-payment on maturity date, a special servicing transfer event, and the enforcement of the Issuer security following the occurrence of a note event of default.

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In addition, upon a Class X diversion trigger event being continuing on any note payment date prior Page 27 of 34 to the expected note maturity date (May 2026), the Class X distribution amount and the relevant

Page 27 of 34 Class X prepayment fee amounts, instead of being paid to the Class X certificateholders, will be retained in the Issuer transaction account and credited to a ledger, in accordance with the pre- Page 27 of 34 acceleration interest priority of payments. On any payment date prior to the expected note maturity

Page 27 of 34 date on which no Class X diversion trigger event is continuing, the Class X amounts previously retained by the Issuer on the relevant ledger (such amounts being the Class X released diversion amounts) will be released to the Class X certificateholders, in accordance with the relevant priority of payments.

The Class X released diversion amounts will be allocated to the Class X certificateholders in accordance with the relevant priority of payments after expected note maturity or post- acceleration, notwithstanding a Class X diversion trigger event being continuing on the relevant payment date. A Class X diversion trigger event will occur upon a financial covenant breach that is not cured nor waived, as disclosed in the prospectus.

DBRS Morningstar does not rate the Class X certificates of this transaction.

Material Breach of Loan Warranty Under the loan sale agreement, the seller has made certain representations and warranties to the Issuer in connection with the loan and the related security (each a loan warranty). These representations and warranties are limited in certain respects.

If there is a breach of such loan warranty where the facts and circumstances giving rise to that breach have a material adverse effect on the Issuer’s ability to make timely payment in full of its obligations under the notes (material breach), and if such material breach (1) is not capable of being remedied or (2) is capable of being remedied but has not been remedied within 60 days (or up to 90 days, as the Issuer security trustee may agree), the seller is required to indemnify the Issuer for all losses, claims, expenses, and other liabilities incurred by the Issuer as a result of such breach.

The seller may, instead of making an indemnity payment demanded by the Issuer, repurchase the loan affected by a material breach on a date not later than the second loan payment date following the demand. If this option is chosen, the consideration payable by the seller will be an amount equal to the aggregate of (1) 100% of the loan balance plus any accrued and unpaid interest; (2) all break costs that would be due to the Issuer under the loan agreement if the loan was prepaid in full on the repurchase date; (3) all other amounts due to the Issuer (as a finance party) under the applicable finance documents as at the repurchase date; (4) all fees, costs, and expenses payable by the Issuer to the servicer or the special servicer; (5) all fees, costs, and expenses incurred by any party in connection with the transfer of the loan to the seller; and (6) all fees, costs, and expenses payable by the Issuer to any party to the Issuer transaction documents upon repayment or termination by the Issuer.

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The right of the Issuer to seek a remedy with respect to a material breach may be limited to the Page 28 of 34 extent that the relevant loan warranty relates to circumstances with respect to which there are

Page 28 of 34 borrower representations and warranties under the loan agreement, and the circumstances related to breach of such borrower representations and warranties do not constitute a loan event of default Page 28 of 34 by reason of the qualification of awareness or knowledge of a borrower or other person. In such

Page 28 of 34 circumstances, the circumstances and events giving rise to the breach of loan warranty are deemed not to be a material breach.

Servicing and Special Servicing CBRE Loan Servicing (CBRELS) continues to participate in the DBRS Morningstar commercial mortgage servicer evaluation programme. DBRS Morningstar met with members of the CBRE loan servicing team at its London office on 28 November 2018 to discuss its commercial loan servicing and special servicing practices. The company services CRE loans throughout Europe, with concentrations in the UK, Germany, and Italy. CBRELS’ senior managers are highly experienced and tenured.

As of 31 December 2020, CBRE managed approximately 27 primary serviced commercial mortgage loans with an unpaid principal balance of approximately GBP 4.6 billion related to commercial mortgage-backed securities and four specially serviced commercial backed loans with an unpaid principal balance of approximately GBP 366 million related to commercial mortgage-backed securities. CBRELS is also the named special servicer on all its primary servicing mandates. In addition to servicing loans related to commercial mortgage-backed securities, CBRE also services whole loans for itself and a variety of investors. The properties securing loans in CBRE's servicing portfolio, as of 31 December 2020, are located in the UK, Cyprus, Denmark, France, Germany, Spain, Netherlands, Italy, Finland, Greece, Ireland, Belgium, Sweden, Czech Republic, Hungary, Slovakia, and Poland and include retail, office, industrial, hotel, and other types of income-producing properties. CBRE currently provide primary servicing, special servicing, facility agent, security agent, and loan valuation services on a portfolio of over GBP 48.7 billion across its European jurisdictions.

Compliance at CBRELS is the responsibility of the compliance director. Compliance is subject to the highly structured external- and internal-audit framework of its parent company. Quarterly internal audits of the servicing group are performed with a focus on individual loan files and compliance with policies and procedures. External audits of CBRELS are performed annually. The most recent CBRELS external audit concluded in early 2018 without any exceptions. CBRELS places a high value on employee training. The company provides a wide variety of training, including corporate/compliance training and systems and job-specific courses. In November 2018, CBRELS reported that existing staff averaged 52 hours of training per year. This compares favourably with the rates reported to DBRS Morningstar by other servicers similar to CBRELS.

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Technology is a high priority at CBRELS. The parent maintains a team of more than 100 technical Page 29 of 34 support staff to develop and maintain proprietary systems. In 2016, the company replaced the

Page 29 of 34 Cassiopae servicing system with Finance Active, a proprietary system with increased functionality to deal with complex loans. The system receives automated rate feeds from Bloomberg and can Page 29 of 34 download payment reports automatically. The new servicing system is integrated with other

Page 29 of 34 systems such as loan compliance and the CBRE global database. The company also implemented a new compliance diary system that includes workflow components for providing various approvals.

The CBRELS special servicing group continues to take a bottom-up approach to asset management and loan workout. Real estate strategies are developed first and then a loan strategy is devised. The company has a delineated review and approval process that leads to either a consensual or an enforced workout. The group endeavours to provide full transparency of information through regular reporting to, and consultation with, the investor. Additionally, the company strives to maintain good working relationships with CMBS trustees, issuers, and rating agencies.

As of 31 December 2020, CBRELS was mandated on 27 CMBS securitisations and was named replacement special servicer for four existing CMBS transactions. As of 31 July 2020, CBRE managed approximately 27 primary serviced commercial mortgage loans with an unpaid principal balance of approximately GBP 4.5 billion related to CMBS and three specially serviced CRE-backed loans with an unpaid principal balance of approximately GBP 335 million related to CMBS. DBRS Morningstar believes that CBRELS is capable of servicing and special servicing CMBS loans according to industry standards upheld by prudent mortgage servicers and lenders.

Ad Hoc Review The servicer or the special servicer shall conduct ad hoc reviews whenever they become aware that any of the properties has been materially damaged, left vacant, or abandoned, or if waste (environmental or otherwise) is being committed there, or otherwise at their discretion in accordance with the servicing standard. The servicer or the special servicer can also conduct such reviews more frequently if they have concerns on obligors' ability of meeting their financial obligations.

An ad hoc review may, but need not necessarily, include: (1) an inspection of a sample of the properties, (2) a consideration of the quality of the cash flow arising from the properties, and (2) a compliance check of the obligors’ covenants under the senior finance documents. All ad hoc reviews will be performed in consistency with the servicing standard and will be at the cost and expense of the issuer and will be subject to additional fees payable to the servicer or the special servicer as agreed between the servicer, the special servicer, the issuer, and the operating advisor (if appointed) (each acting in a commercially reasonable manner).

Asset Status Report If a special servicing transfer event occurs, the special servicer will be required to prepare an asset status report within 60 days after the special servicing transfer. According to the servicing agreement, the asset status report should include, among other items, a summary of the special servicer's recommended actions and strategies.

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The asset status report will be delivered to the rating agencies, the servicer, and other stakeholders. Page 30 of 34 The special servicer will also be required to deliver a draft form of a proposed noteholder notice,

Page 30 of 34 which will include a summary of the asset status report, to the issuer and the note trustee. This will include a brief summary of the status of the properties and the strategy with respect to the Page 30 of 34 securitised loan, with information redacted if the special servicer determines that it may

Page 30 of 34 compromise the position of the issuer as a lender.

Servicing Standard Unless instructed otherwise by the issuer security trustee following the delivery of a note acceleration notice, the servicer and the special servicer are bound to the servicing standard set out in the servicing agreement, which is in line with DBRS Morningstar’s expectation. It includes that the servicer and special servicer must act in accordance with all applicable laws, regulations, finance documents, and the servicing agreement. Further, they should act in the best interests and for the benefit of the issuer and to a certain standard of care with a view to (1) the prudent and timely exercise of the issuer’s rights; (2) the timely collection of all scheduled payments of loan interest, principal, and other amounts; and (3) if the securitised loan is in default, maximising recoveries for the issuer on or before the final note maturity date. In applying the servicing standard, the servicer and the special servicer are not allowed to consider any fees or other compensation they may be entitled to, or any relationship they or any affiliate may have with the borrower, and/or the ownership of any note or any interest in the senior loan they may have.

Upon delivery of a note acceleration notice, the trustee may, by way of notice, require the relevant servicer to act only in accordance with the written directions from the issuer security trustee (and without regard to the servicing standard, as applicable).

Servicing Standard Override The servicer or special servicer can take or refrain from taking certain actions in the absence of notice from or pending agreement with or even contrary to the directions of operating advisor so long that in the servicer’s or the special servicer’s good faith and reasonable judgement, such action was required by the servicing standard and would not violate any law or regulation.

Special Servicing Transfer Events The servicer will have sole responsibility to service and administer the loan until the occurrence of a special servicer transfer event. Promptly upon becoming aware of the occurrence of a special servicing transfer event, the servicer will notify details of the same to (among others) the Issuer, the Issuer security trustee, and the rating agencies. Upon delivery of such notice, the special servicer will then automatically assume all of its duties, obligations, and powers and the loan will become a specially serviced loan. A special servicing transfer event will include: a loan event of default is outstanding on the relevant loan termination date (subject to any cure rights); any payment by an obligor under the loan finance documents (different from those under paragraph before), if any, being more than 30 days overdue; any obligor becomes subject to insolvency or insolvency proceedings; a loan default arising as a result of any creditors’ process or cross-default; or any other loan event of default occurs or is, in the servicer’s opinion, imminent and in either case not likely (in the servicer’s opinion) to be cured within 21 days of its occurrence and which is likely, in the servicer’s opinion, to have a material adverse effect in respect of the Issuer.

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Page 31 of 34

Page 31 of 34 Quarterly Reporting

Page 31 of 34 The servicer is required to produce various reports on a quarterly basis that provide information about the loan and the properties. These reports are to present loan level information required Page 31 of 34 under (i) Article 7(1)(a) of the EU Securitisation Regulation and (ii) Article 7(1)(a) of the UK

Page 31 of 34 Securitisation Regulation with respect to the loan in the form of the template set out in Annexe 3 to the Disclosure RTS. These reports, collectively known as the servicer quarterly report, will be made available to the public by the Issuer cash manager agent via its website.

Servicing Fees The servicer will be entitled to the reimbursement of out-of-pocket expenses and to a servicing fee. The servicing fee would continue to be paid if either loan were to be transferred into special servicing. The special servicer will be entitled to the reimbursement of out-of-pocket expenses, to a special servicing fee, a liquidation fee, and a workout fee (if the specially serviced loan subsequently becomes a corrected loan). The fee levels are disclosed in the offering circular.

Servicer Replacement In addition to the termination of any servicer for cause in accordance with the terms of the servicing agreement, the operating advisor may, if the loan has been (and remains) designated a specially serviced loan, terminate the appointment of the special servicer at any time by notifying (among others) the Issuer and the rating agencies that it requires a replacement special servicer in accordance with the terms of the servicing agreement.

DBRS Morningstar notes that the termination of any servicer (for whatever reason) and/or appointment of a replacement servicer is subject to rating agency confirmation. DBRS Morningstar will monitor this transaction and assess the suitability of any such replacement servicer in accordance with DBRS Morningstar’s published methodologies.

Monitoring of Transaction Counterparty Ratings The servicer or (if either loan has become a specially serviced loan) the special servicer, is required to monitor the credit ratings, on a monthly basis, of each the borrower account banks, the hedging counterparty, and the insurance provider in accordance with the terms of the servicing agreement.

Transaction Tail Period At closing, the tail period of this transaction will be five years after the fully extended loan termination date, which is May 2026. DBRS Morningstar considers the tail period acceptable in connection with the assignment of the initial ratings.

[DBRS Morningstar understands that under the terms of the servicing agreement itself, the special servicer may extend the loan term without noteholder consent, subject to the servicing standard and in consultation with the controlling class/operating advisor (if any). In DBRS Morningstar’s view, the special servicer’s flexibility in terms of potential extension is mitigated by the servicing standard of maximising recoveries for the Issuer on or before the final note maturity date (see above), but DBRS Morningstar notes that an extension of the relevant loan terms to a date close to final note maturity could have a negative rating impact.]

Page 32 of 34 Bruegel 2021 DAC | June 2021

Page 32 of 34

Note Maturity Plan Page 32 of 34 The special servicer would be required to create a note maturity plan if the loan is still outstanding

Page 32 of 34 six months prior to the final note maturity date and, in the opinion of the special servicer, all recoveries then anticipated by the special servicer are unlikely to be realised in full prior to the final Page 32 of 34 note maturity date. If this were the case, the special servicer would have to prepare a draft note

Page 32 of 34 maturity plan and present the same to the Issuer, the note trustee, and the security trustee within 45 days after such date. The Issuer would, with the assistance of the special servicer, publish a draft of the note maturity plan with the regulatory information service.

Upon receipt of such draft note maturity plan, the Issuer would convene a meeting of all noteholders (other than the Class X certificateholders) at which the noteholders would have the opportunity to discuss the various proposals contained in the draft note maturity plan with the special servicer. Following the meeting, the special servicer should create the final note maturity plan, considering the views of the noteholders.

Upon receipt of the final note maturity plan, the Issuer would convene a meeting of the holders of the then most-senior class of notes, at which such senior noteholders would be requested to select their preferred option by way of ordinary resolution. If no option receives the approval of the noteholders of the most senior class of notes at such meeting, then the Issuer security trustee would be deemed to be directed by all noteholders to appoint a receiver to realise the Issuer- charged property.

Controlling Class and Operating Advisor The controlling class for the securitisation will be the most-junior class of notes (other than the Class X certificates) if the then principal amount outstanding of such class of notes is not less than 25% of the principal amount outstanding of such class of notes as at closing; for which no control valuation event is continuing; and that entire class of noteholders are not disenfranchised noteholders. To determine whether a control valuation event occurred, the valuation reduction amount (based on the most recent property valuation) in respect of the entire portfolio will be taken into account. The controlling class has the right to appoint an operating advisor to represent its interest. The operating advisor has the rights set out in the servicing documentation, including consultation rights and the right to terminate the appointment of the special servicer (see above). There will be no fees payable by the Issuer to the operating advisor.

Rating Agency Confirmations This transaction contemplates waivers of rating agency confirmations. It is the intent of DBRS Morningstar to waive rating agency confirmations, yet to receive notice upon or prior to their occurrence, as applicable. DBRS Morningstar will review all changes to the transaction parties as part of its regular surveillance of the transaction. DBRS Morningstar will not waive rating agency confirmations that affect any party involved in the operational risk of the transaction (e.g., servicer replacement) to the extent any such rating agency confirmations are contemplated in the transaction documents.

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Surveillance Page 33 of 34

Page 33 of 34 DBRS Morningstar performs quarterly analytics, surveying the performance of the collateral portfolio based on occupancy shifts, leasing activity, expense management and overall cash flow Page 33 of 34 volatility. Additionally, DBRS Morningstar will publish performance update reports summarising any

Page 33 of 34 credit issues that may have an impact on the ratings of this transaction.

Methodology

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

• Legal Criteria for European Structured Finance Transactions (6 April 2021), https://www.dbrsmorningstar.com/research/376314/legal-criteria-for-european-structured-finance- transactions. • Derivative Criteria for European Structured Finance Transactions (24 September 2020), https://www.dbrsmorningstar.com/research/367092/derivative-criteria-for-european-structured- finance-transactions. • Interest Rate Stresses for European Structured Finance (28 September 2020), https://www.dbrsmorningstar.com/research/367292/interest-rate-stresses-for-european-structured- finance-transactions. • European CMBS Rating and Surveillance Methodology (26 February 2021), https://www.dbrsmorningstar.com/research/374399/european-cmbs-rating-and-surveillance- methodology. • DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (3 February 2021), https://www.dbrsmorningstar.com/research/373262/dbrs-morningstar-criteria-approach-to- environmental-social-and-governance-risk-factors-in-credit-ratings.

Page 34 of 34 Bruegel 2021 DAC | June 2021

Page 34 of 34

About DBRS Morningstar Page 34 of 34 DBRS Morningstar is a full-service global credit ratings business with approximately 700 employees around the world. We’re a market leader in Canada, and in multiple asset classes across the U.S. and Europe.

Page 34 of 34 We rate more than 3,000 issuers and nearly 60,000 securities worldwide, providing independent credit ratings for financial institutions, corporate and sovereign entities, and structured finance products and instruments. Market innovators choose to work with us because of our Page 34 of 34 agility, transparency, and tech-forward approach.

Page 34 of 34 DBRS Morningstar is empowering investor success as the go-to source for independent credit ratings. And we are bringing transparency, responsiveness, and leading-edge technology to the industry.

That’s why DBRS Morningstar is the next generation of credit ratings.

Learn more at dbrsmorningstar.com.

The DBRS Morningstar group of companies consists of DBRS, Inc. (Delaware, U.S.)(NRSRO, DRO affiliate); DBRS Limited (Ontario, Canada)(DRO, NRSRO affiliate); DBRS Ratings GmbH (Frankfurt, Germany)(EU CRA, NRSRO affiliate, DRO affiliate); and DBRS Ratings Limited (England and Wales)(UK CRA, NRSRO affiliate, DRO affiliate). For more information on regulatory registrations, recognitions and approvals of the DBRS Morningstar group of companies, please see: https://www.dbrsmorningstar.com/research/225752/highlights.pdf.

The DBRS Morningstar group of companies are wholly-owned subsidiaries of Morningstar, Inc.

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