DBRS Assigns Final Ratings to Master Asset Vehicle I Class A-1 and Class A-2 and Master Asset Vehicle II Class A-1 and Class A-2

DBRS has today assigned a final rating of “A” to the Master Asset Vehicle I (MAVI) Class A-1 Notes and Class A-2 Notes (the MAVI Notes) and to the Master Asset Vehicle II (MAVII) Class A-1 Notes and Class A-2 Notes (collectively, with the MAVI Notes, the Notes).

MAVI and MAVII have been created in accordance with the restructuring plan filed in the Ontario Superior Court on March 17, 2008, with regard to the Affected Trusts under the Montréal Accord. The Notes are a product of a restructuring first announced on August 16, 2007, undertaken by the Pan-Canadian Investors Committee with regard to Canadian third-party asset-backed commercial paper (ABCP). For more information on the Montréal Accord and developments in the Canadian ABCP market since August 2007, please see www.dbrs.com.

The ratings for the Notes are based on the following considerations:

(1) Many individual transactions underlying the Notes display stability cushions in excess of minimum AAA required subordination levels.

(2) The Notes benefit from 10% subordination provided by the MAVI Class B Notes and Class C Notes and the MAVII Class B Notes and Class C Notes (not rated by DBRS).

(3) For assets of MAVI and MAVII that are leveraged super-senior (LSS) collateralized debt obligation (CDO) transactions, the use of spread-loss collateral call triggers increases the transparency of triggers and establishes triggers at more remote levels.

(4) Even though some of the assets consist of highly levered structured synthetic investments, a margin funding facility will be in place to support collateral calls from the buyers of credit protection that are swap counterparties to MAVI and MAVII.

(5) All but one swap counterparty to MAVI and MAVII have agreed to an 18-month post-closing moratorium period during which MAVI and MAVII will not be subject to collateral calls.

(6) In addition to the margin funding facility in place, the governments of Canada, Ontario, Alberta and Québec and the Caisse de dépôt et placement du Québec have agreed to provide a senior funding facility for a 19-month period after closing.

(7) In the event that two spread-loss collateral call triggers are breached, LSS transactions will revert to a mark-to-market collateral call regime. Deterioration in mark-to-market valuations could lead to significant losses under this scenario.

(8) The asset administrator retains the discretion to sell any asset or eligible investment of MAVI or MAVII at or below par and to waive any defaults on assets. As such, the ability of the Notes to pay principal and interest depends to a large degree on the ability of the asset administrator to exercise its discretion in a manner that achieves positive results for noteholders.

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.