DBRS Upgrades Six Classes and Confirms Six Others of Merrill Lynch Financial Assets Inc., Series 2002-Canada 8

DBRS has today upgraded six classes of Merrill Lynch Financial Assets Inc., Series 2002-Canada 8 as follows:

Class E to AAA (sf) from AA (high) (sf)
Class F to AAA (sf) from AA (sf)
Class G to AA (sf) from A (high) (sf)
Class H to A (high) (sf) from A (sf)
Class J to BBB (high) (sf) from BBB (sf)
Class K to BB (high) (sf) from BB (sf)

In addition, DBRS has confirmed six classes as follows:

Class A-2 at AAA (sf)
Class B at AAA (sf)
Class C at AAA (sf)
Class D at AAA (sf)
Class X-1 at AAA (sf)
Class X-2 at AAA (sf)

DBRS does not rate the $8.2 million first loss piece, Class L. All trends are Stable

The rating upgrades reflect the strong performance the pool continues to exhibit, with 21 loans having been successfully repaid since issuance. As of the June 2012 remittance report, approximately 49% of the collateral has been reduced. Additionally, six loans, representing 14.5% of the pool balance, are defeased.

Approximately 82.5% of the pool balance will mature by YE2012, with the bulk of those maturities scheduled in Q3 and Q4 2012. DBRS calculated a weighted-average exit debt yield for those loans of 16.53%, based on the most recent NCF figures available, of which approximately 83% were from YE2011.

There are no loans in special servicing and 13 loans on the servicer’s watchlist, representing approximately 44% of the current pool balance.

As part of its review, DBRS analyzed the top 15 loans and the loans on the servicer’s watchlist, which comprise approximately 75.4% of the current pool balance.

DBRS has applied a NCF stress scenario across all the loans in the pool and the resulting DBRS required credit enhancement levels, when compared to the current credit enhancement levels to the bonds, warrant the ratings upgrades.

DBRS continues to monitor this transaction in its Monthly CMBS Surveillance Report to assess any material changes at the bond or collateral level that may impact ratings. The Monthly CMBS Surveillance Report also highlights any material updates in the loans on the servicer’s watchlist and any specially serviced loans.

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

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The applicable methodologies are CMBS Rating Methodology (January 2012) and CMBS North American Surveillance Methodology (May 2011), which can be found on our website under Methodologies.