DBRS Places the AA (high) (sf) Rating of the MAVIII Class 12A Notes Under Review – Developing

DBRS has today placed the AA (high) (sf) rating of the Class 12A Notes (the Notes) issued by Master Asset Vehicle III (MAVIII) Under Review with Developing Implications.

MAVIII was created as part of the restructuring of certain Canadian third-party asset-backed commercial paper trusts under the Montréal Accord. The assets securing the Notes (the Collateral) previously secured the Series F floating-rate notes issued by Gemini Trust.

DBRS’s rating action today is based on several outstanding issues with QSPE-XCD Trust, one of the underlying transactions, that could negatively affect its credit quality. The issues include:

(1) Whether Xceed Mortgage Corporation made a material change to its credit and collections policies without consent of the appropriate parties.

(2) Whether an amortization event and/or suspension event under the transaction documents should have occurred in May 2008.

(3) Whether mortgages that were renewed met the eligibility criteria in the transaction documents.

(4) The possible reduction of the cash collateral account by $11 million.

Depending on the outcome of the aforementioned issues, the subordination provided by the Class 12B Notes, which has increased from 6.0% to 9.6% since January 21, 2009, may not be sufficient to maintain the AA (high) (sf) rating on the Notes.

DBRS will monitor the situation closely and will release more information as appropriate.

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

The applicable methodologies are Rating Canadian Structured Credit Transactions, Canadian Structured Credit Surveillance, CMBS Rating Methodology, CMBS Global Surveillance and Canadian RMBS Methodology, which can be found on our website under Methodologies.