DBRS Releases MAVI and MAVII Performance Update Reports

DBRS has today released two reports detailing the performance of Master Asset Vehicle I (MAVI) and Master Asset Vehicle II (MAVII; collectively with MAVI, the MAVs). DBRS rates the Class A-1 Notes and Class A-2 Notes (collectively, the Notes) issued by each of the MAVs. As a normal part of its rating process, DBRS actively reviews the credit quality of all the securities it rates. Today’s reports are a product of the normal surveillance process for the MAVs.

After the expiry of the agreed-upon 18-month post-closing moratorium period on July 16, 2010, certain asset interests held by the MAVs will be exposed to spread-loss collateralization triggers. (For more information on spread-loss triggers and the moratorium period, please see the DBRS rating reports for MAVI and MAVII published January 21, 2009, and available at www.dbrs.com.) Today’s reports indicate that as of December 1, 2009, assuming no additional losses are experienced, all spreads to which the MAVs are exposed are within post-moratorium trigger levels, with the highest spread being less than 25% of its post-moratorium trigger. Today’s reports also list the 20 most-referenced names in collateralized debt obligation (CDO) transactions held by each of the MAVs and their rating as of December 1, 2009, and show the credit enhancement currently available to the Notes: MAVI Class A-1 Notes, greater than 50%; MAVI Class A-2 Notes, 10%; MAVII Class A-1 Notes, 47.5%; and MAVII Class A-2 Notes, 8.9%.

DBRS will continue to monitor the performance of the MAVs 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.

DBRS’s report providing additional analytical detail is available by clicking the link below or by contacting us at info@dbrs.com.