DBRS Confirms Master Asset Vehicle III Class 5A Notes at AAA (sf)

DBRS has today confirmed the AAA (sf) rating of the Class 5A 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 E ABCP issued by Comet Trust.

Since closing on January 21, 2009, the enhancement provided to the Notes by the subordinated Class 5B Notes has increased from 8.0% to 76.0% as of July 27, 2010. However, the Notes were issued in both Canadian- and U.S.-dollar denominations and the remaining Collateral is completely Canadian-dollar denominated. Any depreciation of the Canadian dollar will reduce the enhancement available to the Notes. DBRS views the current subordination from the Class 5B Notes as sufficient to mitigate this risk.

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.