DBRS Downgrades Five Classes and Withdraws Ratings on Two Classes of Taurus CMBS (Pan-Europe) 2007-1 Limited

DBRS, Inc. (DBRS) has today downgraded the ratings of five classes of Commercial Mortgage Backed Floating Rate Notes (the Notes) issued by Taurus CMBS (Pan-Europe) 2007-1 Limited (Taurus or the Trust), as follows:

-- Class A1 to B (sf) from BB (high) (sf)
-- Class A2 to B (low) (sf) from BB (low) (sf)
-- Class B to CCC (sf) from B (low) (sf)
-- Class X1 to B (sf) from BB (high) (sf)
-- Class X2 to B (sf) from BB (high) (sf)

In conjunction with this rating action, DBRS has today also withdrawn the ratings of Class X1 and Class X2 as well as confirmed the ratings of the remaining two classes of the transaction, as follows:

-- Class C at CCC (sf)
-- Class D at C (sf)

Classes A1, A2, B, C and D also have Interest in Arrears. The trends on Classes A1 and A2 are Negative. The other classes have ratings that carry no trends.

The rating downgrades reflect the decreasing credit characteristics of the remaining two loans within the transaction as well as accruing interest payments brought about to the bonds as a result of the largest loan being specially serviced and subject to an insolvency proceeding whereby all cash flow from the assets is frozen. The Fishman JEC Portfolio (Fishman) loan currently represents 83.4% of the current pool balance and is the larger of two loans remaining in the transaction. The Fishman loan is secured by 16 office and industrial properties located throughout France. The loan initially transferred to special servicing in May 2014 after the borrower triggered insolvency proceedings, ahead of the originally scheduled July 2014 maturity date. According to the most recent RIS notification, the borrower submitted a modified Safeguard plan on July 16, 2015, detailing specific terms and timelines regarding the resolution of the loan. Upon review of the plan, the special servicer determined that the modified proposal would be in accordance with the Servicing Standard and would ensure the maximum recovery of proceeds to the Noteholders. As a result of the special servicer’s findings, the Note Trustee agreed to accept the borrower’s modified plan. The Commercial Court of Paris is due to render its decision regarding the approval or disapproval of the modified Safeguard plan at month-end August 2015. If the court approves the plan, monies that have been frozen in a lender account by the Judicial Administrator during the Safeguard Proceedings process will be released, with a portion due to the Trust.

The Class A1 and Class A2 bonds have Negative trends due to the uncertainty of when individual assets from the JEC Portfolio will be sold. According to the December 2014 appraisal, the portfolio was valued at EUR 127.1 million, with six of the properties accounting for approximately 90% of the total value. The borrower believes these properties should not be marketed for sale until 2017 at the earliest, which would delay the potential repayment of principal and interest due to the bonds and expose the bonds to additional risks, including deterioration of the remaining collateral and changing macro-economic factors.

The ratings of Classes X1 and X2 have been withdrawn as because while the Notes reside in payment priority with Class A1, DBRS has determined that each class is no longer expected to receive payments of excess interest as the Trust collateral is no longer generating enough income to pay interest due to the senior bonds. Neither Class X1 or X2 have received any interest payments since the May 2014 remittance.

Notes:
All figures are in euros unless otherwise noted.

The applicable methodologies are European CMBS Rating Methodology, European CMBS Surveillance, Legal Criteria for European Structured Finance Transactions, Unified Interest Rate Model for European Securitisations and Derivative Criteria for European Structured Finance Transactions, which can be found on our website under Methodologies.

This rating is endorsed by DBRS Rating Limited for use in the European Union.

The sources of information used for this rating include Taurus CMBS (Pan-Europe) 2007-1 Limited and Capita Asset Services (London) Limited. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The last rating action on this transaction took place on May 29, 2015.

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 A1 Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class A at B (sf)
-- 20% decline in DBRS NCF, expected rating of Class A at B (low) (sf)

Class A2 Notes Risk Sensitivity:
-- 10% decline in DBRS NCF, expected rating of Class A at CCC (sf)
-- 20% decline in DBRS NCF, expected rating of Class A at CCC (sf)

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

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

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

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