DBRS Assigns Rating of BBB (low) (sf) to Master Asset Vehicle I Class C Notes

DBRS Limited (DBRS) has today assigned a rating of BBB (low) (sf) to the Class C Notes issued by Master Asset Vehicle I (MAV I). The Class C Notes were issued by MAV I as part of the Montreal Accord restructured asset-backed commercial paper on January 21, 2009. The Class C 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 and Class B Notes issued by MAV I (together with the Class C 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 and the Class B Notes (collectively, the Senior MAVI Notes). The MAV I rating reports and MAVI Notes press releases have been updated periodically since the Senior MAVI Notes were issued and are available at www.dbrs.com.

The rating on the Class C Notes has been assigned based generally on the same rating rationale and rating considerations as the Senior MAVI Notes, other than the amount of subordination available to the Class C Notes. 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 Class C Notes are the most subordinate rated MAVI Notes, they will be exposed to more risk relating to each of these three aspects than the Senior MAVI Notes.

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

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.

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