DBRS Places Rating of Master Asset Vehicle I Class B Notes Under Review with Positive Implications

DBRS Limited (DBRS) has today placed the rating of the Class B Notes (the Class B Notes) issued by Master Asset Vehicle I (MAVI) 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-1 and Class A-2 Notes issued by MAVI (collectively, the Class A Notes, and 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 Notes. The MAVI rating reports and Class A Notes press releases have been updated periodically since the Class A 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 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.

Since the last rating confirmation of the Class B Notes, 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 B Notes Under Review with Positive Implications.

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

Notes:
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.