DBRS Releases Performance Update on Merrill Lynch Financial Assets Inc., Series 2005-Canada 16

DBRS has today released a performance update on the Merrill Lynch Financial Assets Inc., Series 2005-Canada 16 transaction. The ratings of the transaction remain unchanged since the last performance update in July 2006. The trend of Class B remains Positive due to the defeasance of the Cityplace loan, the second largest loan in the pool, which represents 7.8% of the current pool balance. The trends for all other classes remain Stable.

The pool has exhibited stable financial performance since Issuance with weighted-average net cash flow (NCF) debt service coverage ratio (DSCR) currently 1.85x (compared to 1.53x at issuance). The pool is concentrated, with 63% of the current loan balance in the top ten loans; however, four of these loans (29.8% of the pool) are shadow-rated investment grade by DBRS. Moreover, the second largest loan, Cityplace (7.8% of the pool), has defeased. DBRS shadow rates two additional loans (4.4% of the pool) investment grade. The weighted-average loan-to-value ratio of the pool is currently 61.5%. Twenty-five loans (48% of the pool) have full or partial recourse to the borrower. There is one loan on the DBRS HotList, Brant Street Retail (Prospectus ID# 8), due to the upcoming store closure of the largest tenant, Linens ‘N Things.

The largest loan in the pool, EPR Pooled Senior Interest ($45 million, 10% of the pool), represents a 50% pari passu interest in four retail/entertainment properties, each anchored by 24- or 16-screen AMC theatres. The controlling companion loan is part of the Merrill Lynch 2005-Canada 15 transaction. Additionally, the loan has a subordinate B-Note in place with a current balance of $27 million that is held outside of the trust. The four properties have exhibited stable financial performance since Issuance with a year-end 2007 A-note DSCR of 2.61x and the whole loan DSCR of 1.98x. The property benefits from a staggered rollover schedule with major tenants on long-term leases that extend beyond the loan term and no significant tenant lease expiration until 2011. As a result of a strong DSCR, a low LTV, strong theatre sales and an experienced sponsor, DBRS shadow-rates the A-note trust asset at AAA.

The full report providing additional analytical detail is available by clicking on the link below or by contacting us at info@dbrs.com.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The applicable methodology is CMBS Rating Methodology which can be found on our website under Methodologies.

This is a Structured Finance rating.