DBRS Commentary Addresses Credit Quality Concerns in MAVI and MAVII Underlying Asset Interests

According to a DBRS commentary released today, the performance of certain underlying asset interests in Master Asset Vehicle I (MAVI) and Master Asset Vehicle II (MAVII, and together with MAVI, the MAVs) is of concern and may jeopardize the current ratings assigned to the Class A-2 Notes (the Notes) issued by the MAVs.

Since final ratings were assigned to the Notes in January 2009, numerous reference entities have been downgraded (in some cases by more than ten notches), resulting in higher probabilities of default for the collateralized debt obligation (CDO) asset interests. In addition, an increasing number of credit events, coupled with historically low realized recoveries, have reduced enhancement levels available to the CDO transactions. These factors have resulted in a rapid deterioration in the credit quality of certain CDO asset interests. The commentary examines in detail the transactions that DBRS believes pose the most immediate credit risk to the Notes.