DBRS Comments on MAVI and MAVII Collateral Calls

DBRS has today commented on the trigger event notices delivered by Canadian Imperial Bank of Commerce (CIBC) to Master Asset Vehicle I (MAVI) and Master Asset Vehicle II (MAVII; collectively, the MAVs) requesting additional collateral.

As noted in the DBRS press release dated March 12, 2009, the deadline for providing additional collateral was 5:00 p.m. on March 13, 2009. DBRS was advised that MAVII did not receive the funding of $19.3 million. Since no funding was advanced, CIBC had the option to terminate all or a portion of the leveraged credit default swap transactions collateralized by MAVII. The resulting reduction in collateral supporting the MAVII notes is capped at $107,742,597 (or approximately 1.1% of the assets of MAVII). DBRS was advised today that the entire notional amount of these credit default swap transactions was terminated.

As indicated in the DBRS press release dated March 6, 2009, confirming the ratings of the MAVI and MAVII Class A-1 and Class A-2 Notes (the Notes), the potential for transactions not subject to the 18-month moratorium to unwind was considered by DBRS when assigning the “A” rating to the Notes, and no rating action is warranted at this time.

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.