OREANDA-NEWS. Fitch Ratings has affirmed the ratings of 67 and upgraded 13 classes of notes from eight Taberna Preferred Funding U. S. collateralized debt obligations (CDOs) with exposure to trust preferred securities (TruPS), senior and subordinated debt issued by real estate investment trusts (REITs), tranches of structured finance (SF) CDOs, homebuilders and specialty finance companies, as well as commercial mortgage backed securities (CMBS).

KEY RATING DRIVERS

In Taberna Preferred Funding IX, Ltd., the upgrade of the class A-1LAD notes follows the resumption of interest payments to the class after the trustee was seeking to confirm the correct interpretation of the payment provision of the indenture. Following the acceleration on Nov. 30, 2015, the trustee held in escrow the A-1LAD due interest for the February 2016 payment date. Upon the resolution of this matter, the class A-1LAD has been receiving interest pari passu with the class A-1LA notes including the interest held in escrow for the February 2016 payment date. Both the A-1LA and A-1LAD classes' current credit enhancement exceeds the losses projected at the 'CCCsf' rating stress under Fitch's Structured Finance Portfolio Credit Model (SF PCM) analysis. However, the notes' rating is capped at 'Csf' due to interest shortfall risk caused by an out-of-the-money outsized hedge set to expire after the May 2017 payment date.

The upgrades of the class A-1LA and A-1LAD notes in Taberna Preferred Funding V, Ltd./Inc., to 'CCsf' from 'Dsf' reflect Fitch's expectation that the notes will be receiving timely interest in the near term future following the expiration of the interest rate hedge.

The ratings of the senior notes in Taberna Preferred Funding II, Ltd./Inc., Taberna Preferred Funding III, Ltd./Inc., and Taberna Preferred Funding IV, Ltd./Inc., were capped by the outcome of the two additional sensitivity scenarios. In the first, the SF CDO and CMBS assets' weighted average lives were extended to half of their term to legal maturities. In the second, the ratings of obligors which made up greater than 5% of the performing portfolio were lowered by one rating category to account for potential performance volatility in concentrated portfolios.

The individual rating actions are detailed in the rating action report 'Fitch Takes Various Actions on Eight Taberna Preferred Funding U. S. REIT TruPS CDOs'.

RATING SENSITIVITIES

Significant paydowns combined with stable or improving credit migration, can lead to limited upgrades for senior notes in some transactions. Conversely, negative migration, defaults beyond those projected and collateral redemptions from stronger credits causing adverse selection in underlying portfolios, will lead to downgrades.

This review was conducted under the framework described in the reports 'Global Surveillance Criteria for Structured Finance CDOs' and 'Global Rating Criteria for CLOs and Corporate CDOs'.

DUE DILIGENCE USAGE

No third party due diligence was reviewed in relation to this rating action.