DBRS Upgrades Rating of Master Asset Vehicle I Class B Notes to A (sf) from BBB (low) (sf)

DBRS Limited (DBRS) has today upgraded the rating of the Class B Notes (the Class B Notes) issued by Master Asset Vehicle I (MAVI) to A (sf) from BBB (low) (sf) and removed the rating from Under Review with Positive Implications. The Class B Notes were issued by MAVI as part of the Montréal Accord restructured asset-backed commercial paper on January 21, 2009. The Class B Notes are backed by various types of assets, including structured synthetic investments (such as levered and fully funded collateralized debt obligations), as well as other non-levered, non-synthetic traditional structured finance assets.

DBRS currently rates the Class A-2 Notes issued by MAVI (together with the Class B Notes, the MAVI Notes) and has published detailed rating reports and press releases summarizing the rating rationale and rating considerations for the Class A-2 Notes. The MAVI rating reports and Class A-2 Notes press releases have been updated periodically since the Class A-2 Notes were issued, and are available at www.dbrs.com.

The rating on the Class B Notes has been assigned based generally on the same rating rationale and rating considerations as the Class A-2 Notes, other than the amount of subordination available to the Class B Notes. As indicated in the MAVI rating reports and press releases issued by DBRS to date, the ratings on the MAVI Notes are limited by certain legal and structural elements of the transaction.

As DBRS indicated in a press release on April 10, 2015, DBRS was recently advised that all leveraged super-senior collateralized debt obligations (LSS CDOs) with one of the remaining 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 and the Class B 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 respective 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 that the legal and structural constraints that have partially impacted the MAVI ratings to date, DBRS is of the view that the remaining enhancement available to the Class B Notes partially mitigates the legal and structural constraints sufficient to warrant an upgrade of the rating on the Class B Notes. As a result, DBRS has upgraded the MAVI Class B Notes to A (sf) from BBB (low) (sf) and removed the rating from Under Review with Positive Implications.

This rating has been assigned at the request of an investor.

Notes:
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 can be found on our website under Methodologies.

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