OREANDA-NEWS. Fitch Ratings has upgraded Taurus CMBS UK 2014-1 Limited's class C notes and affirmed the class A and B notes due 2022 as follows:

EUR124.2m class A (XS1082235299) affirmed at 'Asf'; Outlook Stable

EUR45.4m class B (XS1082235612) affirmed at 'BBB-sf'; Outlook revised to Positive from Stable

EUR27.4m class C (XS1082235703) upgraded to 'BB+sf' from 'BBsf'; Outlook Positive

Taurus CMBS UK 2014-1 Limited is the securitisation of a 95% participation in an originally GBP222.7m commercial mortgage loan granted by Bank of America Merrill Lynch to finance the acquisition of properties out of various receiverships. The loan was secured on a portfolio of 132 retail, office, leisure and logistics properties throughout the UK, mainly secondary or tertiary in quality. The sponsor's business plan envisages asset liquidation, with any failure to meet quarterly amortisation targets leading to full cash sweep (applied sequentially).

KEY RATING DRIVERS

The positive rating actions reflect significant disposal activity undertaken since the last rating action (in May 2015), which has helped de-risk the sole securitised loan. Since then, 29 assets have been sold (39 since transaction closing), with little impact on the geographic diversification or the quality of the portfolio, in Fitch's view. The associated principal repayment of GBP80.5m since May 2015 is in line with the repayment target. As distributions are applied on a fully pro rata basis, the enhanced credit quality is more tangible for junior notes, as reflected by their upgrade. The class A notes are capped at the 'Asf' category.

The loan-to-value ratio (LTV) was 53.8% in May 2016, significantly reduced from 64.2% in May 2015 given release premiums on sold assets are between 10% and 20%, and the market value has ticked up to GBP249.8m (in September 2015) from GBP238.3m (in March 2014). The reported interest coverage ratio (ICR) of 2.74x is up from 2.5x in May 2015 (2.3x at closing). Income remains granular, with no tenant accounting for more than 3% of total income, while the top 10 assets by value account for less than 60%. The loan benefits from financial covenants of 1.8x ICR and 78.5% LTV.

The number of properties remaining in the portfolio makes liquidation by loan maturity in May 2017 unlikely. If the borrower does not refinance the portfolio, the recent fast pace of disposals suggests that the loan will meet the targets required for the first maturity extension to be approved.

RATING SENSITIVITIES

Continued de-risking based on disposals is likely to support further upgrades of the class B and C notes. However, a slowdown, particularly if this reflects weakening conditions for the UK retail sector, could result in negative revisions of the Outlooks.

Fitch estimates 'Bsf' portfolio market value of GBP194.2m.

DUE DILIGENCE USAGE

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

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION

The information below was used in the analysis.

- Issuer reports dated 03 May 2016 and provided by US Bank.

- Aggregate and loan level data dated 03 May 2016 and provided by CBRE

REPRESENTATIONS AND WARRANTIES

A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see Taurus CMBS UK 2014-1 Limited - Appendix, dated 22 July 2014 at www. fitchratings. com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 31 May 2016 available on the Fitch website.