DBRS Confirms 15 Classes of Merrill Lynch Financial Assets Inc., Series 2006-Canada 20

DBRS has today confirmed the ratings of all 15 classes of Merrill Lynch Financial Assets Inc., Series 2006-Canada 20 as follows:

• Class A-2 at AAA (sf)
• Class A-3 at AAA (sf)
• Class B at AA (sf)
• Class C at A (sf)
• Class D at BBB (sf)
• Class E at BBB (low) (sf)
• Class F at BB (high) (sf)
• Class G at BB (sf)
• Class H at BB (low) (sf)
• Class J at B (high) (sf)
• Class K at B (sf)
• Class L at B (low) (sf)
• Class XP-1 at AAA (sf)
• Class XP-2 at AAA (sf)
• Class XC at AAA (sf)

All classes were confirmed with a Stable trend.

These rating actions reflect the continued stable performance of the pool overall. As of the February 2012 remittance report, there were 49 of the original 66 loans in the pool remaining, with a collateral reduction of approximately 26.9% since issuance. With 77.8% of loans reporting updated financial information, the pool has a weighted-average DSCR of 1.7x, as compared to 1.4x at issuance. In addition, the current weighted-average debt yield is 13.2% and the weighted-average LTV is 63.5%, as compared to 10.4% and 69.5%, respectively, at issuance. The actual percentage of the pool reporting updated financial information is significantly higher than 77.8%, but because of reporting issues, DBRS was unable to include the complete list in these calculations. DBRS is working with the servicer to resolve the issues for future reports. There is one loan in special servicing, Prospectus ID #8 (Marriott Pooled Senior Loan), which comprises 5.7% of the outstanding pool balance. There are four loans on the servicer’s watchlist; those loans combine for 6.0% of the outstanding pool balance.

For a complete discussion of the DBRS viewpoint, including detailed information on the largest loans in the pool, the loans in special servicing and the loans on the servicer’s watchlist, please see the February 2012 Monthly Surveillance Report for this pool, which will publish shortly.

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

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