DBRS Discontinues Rating on Master Asset Vehicle I Class A-1 Notes and Upgrades Rating on Class A-2 Notes to AA (low) (sf) from A (sf)

DBRS Limited (DBRS) has today discontinued the rating on the Master Asset Vehicle I (MAVI) Class A-1 Notes as the notes have been fully repaid. DBRS has also upgraded the rating on the MAVI Class A-2 Notes to AA (low) (sf) from A (sf) and has removed the rating from Under Review with Positive Implications, where it was placed on April 10, 2015.

As indicated in a DBRS press release on April 10, 2015, DBRS was recently advised that all leveraged super-senior collateralized debt obligations (LSS CDOs) with one of the counterparties that had a majority of the remaining LSS CDOs in MAVI were terminated (the Recently Terminated LSS CDOs). On May 15, 2015, the collateral relating to the Recently Terminated LSS CDOs was paid to the MAVI Class A-1 and Class A-2 Noteholders. As a result, the outstanding MAVI Class A-1 Notes were fully repaid and 26% of the outstanding MAVI Class A-2 Notes were paid off. Following that payment, the enhancement available to the MAVI Class A-2 Notes has significantly increased. In addition, only one remaining spread-loss trigger matrix (CDX IG7 10Y) is left in MAVI and the spread on the CDX IG7 10Y is now below 3% of its trigger level.

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.

Notwithstanding the legal and structural constraints that have partially affected the MAVI ratings to date, DBRS is of the view that the remaining enhancement available to the MAVI Class A-2 Notes partially mitigates the legal and structural constraints sufficient to warrant an upgrade of the rating on the MAVI Class A-2 Notes to a rating level equivalent to the rating on the MAVI Class A-1 Notes prior to their having been fully repaid. As a result, DBRS has discontinued the rating on the MAVI Class A-1 Notes and upgraded the rating on the MAVI Class A-2 Notes to AA (low) (sf) from A (sf).

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 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 or by contacting us at info@dbrs.com.

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