DBRS Confirms 12 Ratings, Places Class N Under Review Developing in MACH ONE 2005-CDN1, ULC

DBRS today has confirmed Classes A through M of MACH ONE 2005-CDN1, ULC Commercial Mortgage-Backed Pass-Through Certificates (MACH ONE). Class N has also been placed on Under Review – Developing following a full review of all eleven underlying transactions with YE2009 financial data. Following the retirement of the MLFA 2003-Canada 9 securitization, MLML 2000-Canada 3 is now the only transaction currently experiencing principal repayment to the contributed classes. Of the original 732 loans in the underlying CMBS transactions, 439 remain in the pool as of July 2010.

The collateral consists of seasoned CMBS collateral; contributed classes consist of CMBS 2000 through 2005 vintages. The largest deal concentration is 16.0% of the pool (MLFA 2002-Canada 8); the largest three deals comprise 42.6% of the pool. On a weighted average basis, defeased loans have increased 9.4% since issuance and of the remaining loans, only three loans are in special servicing. Two of these loans are collateral in the MLFA 2002-Canada 7 transaction (4.5% of the pool) and the other loan is secured in the MLFA 2005-Canada 15 transaction (0.5% of the pool). While losses are expected to occur from Snowdon Professional Building (MLFA 2002-Canada 7) and Sussex Mall (MLFA 2005-Canada 15), DBRS does not expect these liquidations to affect the ratings of any contributing classes.

The positive credit migration within the underlying CMBS assets can be attributed to increased defeasance, amortization, and increased credit enhancement as a result of successful loan repayments at maturity and recoveries of liquidated loans. Since issuance of the MACH One transaction, DBRS has upgraded 30 of the remaining contributing classes and no classes have been downgraded.

DBRS will continue to monitor the MACH ONE transaction and the underlying CMBS transactions monthly.

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

This is a Structured Finance CMBS rating. This rating is based on public information.

The applicable methodologies are CMBS Rating Methodology and CMBS Surveillance, which can be found on our website under Methodologies.