DBRS Confirms All Classes of Taurus CMBS UK 2014-1 Ltd.

DBRS Ratings Limited (DBRS) has today confirmed all classes of Commercial Mortgage-Backed Floating-Rate Notes Due May 2022 issued by Taurus CMBS UK 2014-1 Limited, as follows:

-- Class A at A (sf)
-- Class B at BBB (sf)
-- Class C at BB (sf)

All trends are Stable.

The rating confirmations reflect the performance of the transaction since issuance in July 2014. The transaction originally consisted of one-floating rate loan secured by 132 commercial properties throughout the United Kingdom, with the most predominant property type being retail with mixed uses. Other property types include office and industrial. The sponsor is an affiliate of Apollo Global Management, which purchased the portfolio through various loan foreclosures. The sponsor’s goal is to strategically liquidate assets from the trust throughout the fully extended five-year life of the loan. As of the May 2015 remittance report, 13 properties have been sold, resulting in collateral reduction of 6.9%. To reduce the risk of adverse selection, a 20% or 10% premium is collected for each property release based on the individual property’s UPB and its designation as a Tier 1 or Tier 2 asset, respectively. As of May 2015, 65% of the portfolio loan was secured by Tier 1 assets and 35% of the portfolio loan was secured by Tier 2 assets.

The pool is concentrated as the ten largest assets account for approximately 54.0% of the portfolio’s GBP 322.9 million value. Two of three largest properties are secured by retail centres that DBRS identified at issuance to be of minor concern as both centres are dated and in need of renovations. To mitigate this risk, the sponsor has covenanted to spend GBP 9.3 million in capex improvements across the portfolio through the fully extended loan term. To date, GBP 3.9 million has been spent on renovations. According to the servicer, the portfolio has an annualized April 2015 net operating income of GBP 26.0 million, equating to a debt service coverage ratio (DSCR) of 2.51 times (x), which is greater than the issuance DSCR of 2.30x.

The transaction is not structured with a Liquidity Facility. This structural feature will likely cap future ratings improvements at the top of the capital stack even if performance remains stable.

Notes:
All figures are in GBP unless otherwise noted.

The principle methodology is European CMBS Surveillance Methodology.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

Other methodologies referenced in this transaction are listed at the end of this press release and may be found at http://www.dbrs.com/about/methodologies.

The sources of information used for this rating include Taurus CMBS UK 2014-1 Limited and CBRE Limited.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; however, Agreed-Upon Procedures (AUP) are included in the requested documentation.

DBRS was not supplied with AUP documents. Data checks were performed, and DBRS did apply additional cash flow stresses in its scenarios.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

A decrease of 10% and 20% in the DBRS NCF, derived by looking at comparable properties, market rents, market occupancies in addition to expenses ratios, capital expenditures and re-tenanting costs, would lead to the following ratings in the transaction, as noted below for each class respectively:

Class A Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class A at A (sf)
-- 20% decline in DBRS NCF, expected rating of Class A at A (sf)

Class B Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class A at BB (high) (sf)
-- 20% decline in DBRS NCF, expected rating of Class A at B (high) (sf)

Class C Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class B at B (high) (sf)
-- 20% decline in DBRS NCF, expected rating of Class B at B (low) (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration (ESMA) in a central repository, see
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: Scott Goedken, Senior Vice President, EU CMBS
Initial Rating Date: 3 July 2014
Initial Rating Committee Chair: Erin Stafford, Managing Director, Global CMBS

The last rating action on this transaction took place on 3 July 2014.

DBRS Ratings Limited
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London EC3R 7AA
United Kingdom
Registered in England and Wales: No. 7139960

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

-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Unified Interest Rate Model for European Securitisations
-- European CMBS Rating Methodology
-- European CMBS Surveillance Methodology

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.