DBRS Maintains MAVI and MAVII Class A-2 Notes Under Review with Negative Implications and Confirms MAVI and MAVII Class A-1 Notes

DBRS has today maintained the rating of the Class A-2 Notes (the Notes) issued by Master Asset Vehicle I (MAVI) and Master Asset Vehicle II (MAVII; collectively with MAVI, the MAVs) Under Review with Negative Implications. The ratings assigned to the MAVI and MAVII Class A-1 Notes are not affected by this action and have been confirmed at “A.”.

On August 11, 2009, DBRS placed the Notes Under Review with Negative Implications. DBRS noted in the associated press release and commentary (see the links below) that negative rating migration in the underlying asset interests held by the MAVs, particularly in collateralized debt obligation (CDO) transactions with relatively low levels of credit enhancement, had increased the required enhancement for the Notes. DBRS stated that if the credit quality of certain underlying asset interests continued to deteriorate, negative rating action would likely be warranted.

In the period since August 11, 2009, credit conditions have been relatively stable, with fewer credit events affecting the MAVs. This period has been beneficial to the credit quality of the Notes. However, the MAVs continue to be exposed to numerous underlying assets with volatile credit characteristics, including monoline insurers and non-investment-grade names. Today’s decision to maintain the Under Review with Negative Implications status of the Notes is indicative of the volatility of these exposures.

On October 26, 2009, DBRS issued a press release to maintain the MAVI Class A-2 Notes Under Review with Negative Implications. DBRS had been informed of ongoing discussions among relevant transaction parties to restructure certain asset interests held by MAVI in order to improve the credit quality of the Notes.

DBRS will continue to monitor the situation closely and will release more information 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.