DBRS Confirms Master Asset Vehicle III Class 16A Notes at A (low) (sf

DBRS has today confirmed the A (low) (sf) rating of the Class 16A Notes (the Notes) issued by Master Asset Vehicle III (MAVIII).

MAVIII was created as part of the restructuring of certain Canadian third-party asset-backed commercial paper (ABCP) trusts under the Montréal Accord. The assets securing the Notes (the Collateral) previously secured the Series A and Series 2001-1 ABCP issued by Newshore Canadian Trust.

Since closing on January 21, 2009, the enhancement provided to the Notes by the subordinated Class 16B Notes has increased from 6.0% to 12.5% as of July 27, 2010. However, interest proceeds from the Collateral have been insufficient to make payments in full with respect to the related hedging agreements. As a result, as of July 27, 2010, $7,929,720 of principal proceeds have been required to cover the shortfall. While DBRS views the current subordination from the Class 16B Notes as sufficient to mitigate this risk and expects interest proceeds from the Collateral to increase over time, negative rating action may be warranted should further principal proceeds be required to make payments under the related hedging agreements.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The applicable methodologies are Rating Canadian Structured Credit Transactions, Canadian Structured Credit Surveillance and Canadian Structured Finance Flow-Through Ratings, which can be found on our website under Methodologies.