DBRS Confirms Master Asset Vehicle I and Master Asset Vehicle II Class A-1 and A-2 Notes at “A”

DBRS has today confirmed the ratings of Master Asset Vehicle I (MAVI) and Master Asset Vehicle II (MAVII) (collectively, the MAVs) Class A-1 and A-2 Notes (collectively, the MAV Notes) at “A.”

As noted in the DBRS Canadian Structured Finance Newsletter of March 3, 2009 (see the link below), Canadian Imperial Bank of Commerce (CIBC) is the swap counterparty for four leveraged credit default swap (CDS) transactions collateralized by the MAVs that are not subject to the 18-month moratorium applicable to all other CDS transactions entered into by the MAVs. CIBC delivered trigger event notices with respect to these transactions to the MAVs on March 3, 2009. The delivery of these notices and the failure to post the requested additional collateral by close of business on March 10, 2009, will result in a partial unwind of the applicable transactions.

DBRS finalized its rating of “A” on the MAV Notes on January 21, 2009. When conducting its analysis for the assignment of the “A” rating in January 2009, DBRS considered the impact of the MAVs facing a collateral call from CIBC and the potential for the CIBC transactions with the MAVs to unwind. Therefore, no negative rating action is warranted at this time as these events are already reflected in the rating of the MAV Notes.

DBRS will continue to monitor the situation closely and will provide further information and commentary as appropriate.

If you would like to be added to the distribution list for the Canadian Structured Finance Newsletter, please contact Nickey Edwards at nedwards@dbrs.com.

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

This is a Structured Finance rating.