Jan 15 - Fitch Ratings has affirmed Taurus CMBS No.2 S.r.l. (Taurus 2) as
EUR19.2m class B (IT0003957013) affirmed at 'AAAsf'; Outlook Negative
EUR14.2m class C (IT0003957021) affirmed at 'AAsf'; Outlook Stable
EUR16.6m class D (IT0003957039) affirmed at 'Asf'; Outlook Stable
EUR14.2m class E (IT0003957047) affirmed at 'BBsf'; Outlook Negative
EUR9.5m class F (IT0003957054) affirmed at 'CCCsf'; Recovery Estimate RE100%
EUR14.1m class G (IT0003957062) affirmed at 'BBsf'; Outlook Stable
The affirmations reflect the overall stable performance of the one remaining loan (Berenice)
since Fitch's last rating action in February 2012. The reported loan-to-value (LTV) decreased to
52.9% from 59.2% 12 months ago (June 2012 valuation). The collateral consists of a portfolio of
29 properties, mainly offices located in northern Italy. 17 assets are currently fully let to
Telecom Italia ('BBB'/Negative). In the last 12 months, the borrower sold two major
properties (Via Tevere, 50 and Via Corso d'Italia, 41-43) in Rome and repaid EUR16.9m to the
notes (110% of the allocated loan amount). The borrower, an Italian closed-end listed real
estate investment fund managed by Idea Fimit, is currently divesting the portfolio.
The higher rating of the class G notes (compared to the class F notes) is due to the
available funds cap, which means that Fitch's analysis does not incorporate the likelihood of
interest being paid on this class following principal amortisation and related reduced
affordability. A recent step-up in the loan margin (by 15 basis points to 1.1% in July 2012) is
supportive of credit, and lessens the risk of imminent shortfalls of interest on the class F
notes. However, a combination of loan repayments and (volatile) issuer costs could encroach on
interest payments owed under this class and to a lesser extent also the class E notes. This
possibility explains the 'CCCsf' rating of the class F and the Negative Outlook maintained on
the class E notes.
At closing in December 2005, Taurus 2 was a securitisation of four commercial mortgage loans
originated in Italy. The Berenice loan was a one-third pari passu participation in a EUR490m
syndicated loan, granted to a closed-ended listed real estate investment fund. The loans,
originated by Merrill Lynch Capital Markets Bank Ltd, were secured by 83 predominantly office
properties. Following the prepayment of the Bentra, Little Domus and Leather loans, only the
Berenice loan remains outstanding.
Fitch will continue to monitor the performance of the transaction.