DBRS Assigns Provisional Rating of “A” to Master Asset Vehicle I and Master Asset Vehicle II

DBRS has today assigned provisional ratings of “A” to the Master Asset Vehicle I Class A-1 Notes and Class A-2 Notes (the MAV I Notes) and the Master Asset Vehicle II Class A-1 Notes and Class A-2 Notes (the MAV II Notes; collectively, with the MAV I Notes, the Notes).

On December 11, 2008, the Pan-Canadian Investors Committee, the group spearheading the restructuring of Canadian third-party asset-backed commercial paper (ABCP), announced that an agreement in principle had been reached among various key participants in the ABCP restructuring to make a number of significant changes to the restructuring plan. These changes include the following:

(1) The provision of an additional margin funding facility to rank senior to all other previously agreed margin funding facilities.

(2) An initial moratorium period during which the ability to make margin calls on Master Asset Vehicle I or Master Asset Vehicle II will be limited.

(3) A widening of spread loss triggers that will become relevant upon the expiry of the moratorium period, rendering the triggering of margin calls more remote.

On December 19, 2008, the Department of Finance Canada announced that the federal government, along with the governments of Québec, Ontario and Alberta (collectively, the Governments), would participate in providing an additional margin funding facility that would rank senior to other margin funding facilities in the structure.

On December 24, 2008, the Pan-Canadian Investors Committee announced that the Governments, together with certain participants in the restructuring, will provide, in the aggregate, $4.45 billion of additional margin facilities to support the proposed restructuring plan. The margin facilities and equivalents now total $17.82 billion, of which $3.45 billion of the backstop facility ranks senior to all other margin facilities.

The provisional ratings assigned today by DBRS reflect these developments and are based on information provided to DBRS to date. Failure of the final transaction documentation to reflect the above elements would likely result in withdrawal of the provisional ratings.

On April 24, 2008, DBRS assigned provisional ratings of AA to the Notes. While structural elements, including the moratorium, senior funding facility and the widening of spread loss triggers, in aggregate provide greater protection to noteholders, a number of challenges have arisen with respect to the transaction. These include considerable widening in credit spreads in relation to market levels as of April 2008 and downward ratings migration of a number of assets held by the Master Asset Vehicle I and Master Asset Vehicle II as a result of credit events experienced by underlying reference obligations.

Provisional ratings are indicative credit opinions based on information received by DBRS at a point in time and may change when ratings are finalized or be withdrawn at any time.

DBRS intends to provide final ratings in accordance with its ratings methodologies and as requested by the Pan-Canadian Investors Committee.

For more information on developments in the Canadian ABCP market since August 2007, please see www.dbrs.com.

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

The applicable methodology is Rating Canadian Structured Credit Transactions, which can be found on our website under Methodologies.

This is a Structured Finance rating.

For media enquiries, please contact

Caroline Creighton
Senior Vice President, Communications & Chief Editor
+1 416 597 7317
ccreighton@dbrs.com