OREANDA-NEWS. February 16, 2015. Fitch Ratings has assigned Taurus 2015-1 IT S.r.l. final ratings as follows:

EUR206m Class A due February 2027 (ISIN: IT0005085615): 'A+sf'; Outlook Stable
EUR Class X due February 2027 (ISIN: IT0005085706): not rated
EUR23m Class B due February 2027 (ISIN: IT0005085664): 'Asf'; Outlook Stable
EUR34.3m Class C due February 2027 (ISIN: IT0005085672): 'BBBsf'; Outlook Stable
EUR23.2m Class D due February 2027 (ISIN: IT0005085680): 'BBsf'; Outlook Stable

The transaction is a securitisation of three commercial real estate loans totalling EUR301.5m. The loans were granted by Bank of America N.A., Milan Branch (BANA) to three Italian limited liability companies and two Italian funds to finance the acquisition/refinance of certain Italian real estate assets: a portfolio of five office properties and four telecom exchanges (Calvino loan), two fashion outlet centres (Fashion District loan) and three retail galleries (Globe loan). The borrowers are sponsored by Cerberus (Calvino loan), Blackstone (Fashion District loan) and Orion (Globe loan).

KEY RATING DRIVERS
The ratings are based on Fitch's assessment of the underlying collateral, available credit enhancement and the transaction's sound legal structure.

Both the Globe and Fashion District properties benefit from income diversification, each with over 140 tenants. This mitigates the short (3.8 year) weighted average lease term-to-first break (WALTFB) for the Fashion District loan and Molfetta's (one of properties underlying the Fashion District loan) moderate vacancy. The Globe loan has strong occupancy (94%) on a 5.7 year WALTFB.

The Calvino loan has high tenant concentration, with seven of the nine buildings being exposed to single tenants. With the WALTFB at four years (8.4 years to lease expiry), securing renewals is likely to be instrumental to the fulfilment of the sponsor's disposal plan. Fitch has not given benefit to this plan in its analysis and assumes higher vacancy and lower rental values after lease break dates.

Based on the location and property specifications, most assets securing the loans are considered to be of average quality to occupiers. In particular, the Fashion District Mantova outlet, the Globe shopping centres and the Calvino Milan and Rome assets are expected to attract strong occupier demand. Some Calvino assets (Torino, Agrate and Assago) are perceived as less attractive and are more likely to experience higher vacancy.

Fitch's rating analysis also considered what effect the properties being held separately from the related licences might have on the recovery process. More information on this is available in the new issue report.

KEY PROPERTY ASSUMPTIONS (all by net rent)
'Bsf' weighted average (WA) capitalisation (cap) rate: 7.8%
'Bsf' WA structural vacancy: 16.4%
'Bsf' WA rental value decline: 2%

'BBsf' WA cap rate: 8.3%
'BBsf' WA structural vacancy: 18.6%
'BBsf' WA rental value decline: 4.3%

'Asf' WA cap rate: 9.5%
'Asf' WA structural vacancy: 23%
'Asf' WA rental value decline: 11%

Class A/B/C/D
Current Rating: 'A+sf)'/'Asf'/'BBBsf'/'BBsf'
Deterioration in all factors by 1.1x: 'Asf'/'BBB+sf'/'BB+(EXP)sf'/'BB-sf'
Deterioration in all factors by 1.2x: 'BBB+sf'/'BBB-sf'/'BB-sf'/'Bsf'