DBRS Comments on MAVI and MAVII Interest Payments

DBRS has today commented on the notice delivered by BlackRock (Institutional) Canada Ltd. (the Administrator) regarding the first payment date for Master Asset Vehicle I and Master Asset Vehicle II (collectively, the MAVs).

The notice advised that insufficient proceeds would be available to pay accrued interest in its entirety on the Class A-1 Notes and Class A-2 Notes (collectively, the Class A Notes). The Administrator identified the following three factors that it believes contributed to the interest shortfall:

(1) The MAVs were required to pay certain expenses related to the closing of the transaction.

(2) There was an abbreviated first interest period and a mismatch in the payment dates for certain underlying assets.

(3) A fixed-floating interest rate mismatch exists between the margin funding facility fees and the return generated by the underlying assets.

As outlined in the MAV rating reports published on January 21, 2009, the rating of the Class A Notes addresses the payment of interest as set out in the terms of the transaction documents. According to their respective Trust Indentures, the MAVs have no legal obligation to pay interest before January 22, 2019. Therefore, no negative rating action will result from the failure to pay the full amount of accrued interest on the Class A Notes on any given payment date. However, if after reviewing the first payment date report, DBRS determines that expenses and/or proceeds from the underlying assets are materially different from what was originally modelled, negative rating action may be required.

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

Notes:
The applicable methodologies are Rating Canadian Structured Credit Transactions and Canadian Structured Credit Surveillance, which can be found on our website under Methodologies.

This is a Structured Finance rating.