DBRS Places MAVI Class A-1 Notes and Class A-2 Notes Under Review with Positive Implications

DBRS Limited (DBRS) has today placed the Master Asset Vehicle I (MAVI) Class A-1 Notes and Class A-2 Notes (the MAVI Notes) Under Review with Positive Implications.

In the rating report issued by DBRS on January 21, 2009, when the MAVI Notes were originally issued, DBRS stated that three aspects of the transaction were the focus of its rating analysis: (1) legal and structural elements of the transaction; (2) the probability of the structure facing a margin call that could not be satisfied by available collateral and/or available margin funding facilities; and (3) the credit quality of the underlying asset interests held by the MAVI.

Since the last rating confirmation of the MAVI Notes in June 2014, two credit events have occurred in the pool of entities referenced by the collateralized debt obligations (CDOs) to which the MAVI is exposed (Caesar's Entertainment Operating Company on January 15, 2015 and RadioShack Corp. on February 6, 2015). Neither of the two aforementioned credit events resulted in any material impact to the credit quality of the MAVI Notes. Since both of them are referenced in the two spread-loss indices (CDX IG5 10Y and CDX IG7 10Y), the spreads on the two indices have dropped to record lows after the two credit events occurred. Spreads on the remaining three spread-loss indices are now all below 3% of their respective trigger levels.

DBRS was recently advised that all remaining leveraged super senior (LSS) CDO transactions were terminated for one of the three remaining counterparties in MAVI that had a majority of the remaining LSS CDOs in MAVI. As a result, DBRS has placed the MAVI Class A-1 Notes and Class A-2 Notes Under Review with Positive Implications.

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

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

The applicable methodologies are Rating Methodology for CLOs and CDOs of Large Corporate Credit (April 2015), Canadian Surveillance Methodology for CDOs of Large Corporate Credit (July 2014) and Legal Criteria for Canadian Structured Finance (August 2014), which are available on our website under Methodologies.

For more information on this credit or this industry, visit www.dbrs.com or contact us at info@dbrs.com.