DBRS Confirms Ratings of Canada Mortgage Acceptance Corporation, Series 2006-C5

DBRS has today confirmed the ratings of the outstanding Mortgage Pass-Through Certificates, Series 2006 – C5 (the Certificates) issued by Canada Mortgage Acceptance Corporation as follows:

– AAA (sf) for the Mortgage Pass-Through Certificates, Series 2006 - C5, Class IO-C
– BB (sf) for the Mortgage Pass-Through Certificates, Series 2006 - C5, Class E
– B (sf) for the Mortgage Pass-Through Certificates, Series 2006 - C5, Class F

The confirmations are part of DBRS’s continued effort to provide timely credit rating opinions and increased transparency to market participants.

The ratings are based on the following factors:

(1) For all the Certificates, except for the Class IO-C, the subordination level increases over time as the Certificates are paid down sequentially. The lower-rated Certificates will not receive any principal repayment until the higher-rated Certificates have been fully repaid. The level of enhancement for the Class E and Class F Certificates has increased from 1.8% and 1.4% at closing, respectively, to 75.7% and 31.0% as of December 31, 2011, respectively.

(2) Cumulative losses as of December 31, 2011, are $5.8 million, or 1.12% of the initial pool balance. When a loss occurs, it is absorbed in a reverse sequential order and begins with the lowest-ranked, unrated Class G Certificates. The Class G Certificates have absorbed all the cumulative losses so far, and their balance has been reduced from $7.28 million at closing to $1.44 million as of December 31, 2011. The lowest-rated Class F Certificates will not be fully repaid if the loss on the remaining pool of mortgages is greater than the current balance of the Class G Certificate.

DBRS notes that as of December 31, 2011, all mortgage loans in the collateral pool have matured. Cash flows going forward will come from the liquidation of properties on defaulted mortgages. Given the level of credit enhancement available to the rated notes, combined with the recent loss severity on defaulted loans, DBRS does not expect the cumulative loss over the remaining life of the transaction to be detrimental to the ratings of the Certificates.

DBRS monitors the performance of the transaction to identify any deviation from DBRS’s expectation at issuance and to ensure that the ratings remain appropriate. The review is predicated on the timely receipt of performance information from the related providers. The performance and characteristics of the custodial pool and the Certificates are available and updated each month in the Monthly Canadian ABS Report (see Related Research to the right).

For more detailed information on the transaction structure, please refer to the rating reports of Canada Mortgage Acceptance Corporation, Series 2006-C5 at www.dbrs.com.

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

The applicable methodologies are Rating Canadian Residential Mortgage-Backed Securities (RMBS) Transactions and Legal Criteria for Canadian Structured Finance, which are available on our website under Methodologies.