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.

On September 7, 2010, DBRS confirmed the A (low) (sf) rating of the Notes, primarily based on the increase of the credit enhancement provided by the subordinated Class 16B Notes. Concerns arose regarding the insufficient interest proceeds from the Collateral to make payments in full with respect to the related hedging agreement. In DBRS’s view, the subordination from the Class 16B Notes was sufficient to mitigate the interest shortfall risk and interest proceeds from the Collateral were expected to increase over time.

Since the rating confirmation in September 2010, the enhancement provided to the Notes by the subordinated Class 16B Notes has increased further, from 12.5% to 18.3% as of July 27, 2011. As a result, the current subordination is sufficient to maintain the A (low) (sf) rating on the Notes.

Note:
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.