DBRS Assigns New Ratings to Great North Trust Series I, Class E Notes

Dominion Bond Rating Service (DBRS) has today assigned ratings to the Series I, Class E Notes (the Extendible Notes) of Great North Trust (the Trust) at R-1 (high). The Trust is a vehicle that will purchase, otherwise acquire, originate and enter into structured credit investments (collectively, the Structured Financial Assets). Since the Trust will focus on underlying instruments that are structured credit investments, the Trust will likely be exposed to more credit volatility than a trust that is focused on investing in traditional financial assets. The ratings for the Notes are based on the following factors:

(1) Credit enhancement levels will be consistent with similarly rated programs in Canada.

(2) Structured Financial Assets will be of high credit quality commensurate with the R-1 (high) ratings for the Notes. Canadian Imperial Bank of Commerce, its affiliates, and subsidiaries (the Financial Services Agent) intends to mitigate credit volatility through the choice of underlying exposure types, priority of tranches and transactional features for the purchase, other acquisition, creation and entering into of Structured Financial Assets. While the intent of the Financial Services Agent is to mitigate volatility, DBRS will not be able to require the Financial Services Agent to choose among particular investments, based on relative levels of credit volatility or migration risk. In addition, there is a potential conflict of interest as the Trust will only purchase, otherwise acquire or enter into Structured Financial Assets originated by the Financial Services Agent.

(3) The Financial Services Agent will maintain a reserve account and require that each purchased asset have a safety margin advance facility to cover (in certain circumstances) unanticipated expenses associated with credit migration in the Structured Financial Assets, increased funding costs or other operational costs.

(4) The availability of an operating line of credit, which can be used by the Trust at any time for general operating purposes.

(5) The ability to extend the Series I, Class E Notes if they cannot be otherwise rolled at 100 basis points over the Banker’s Acceptance (BA) rate, provided the existing rating of the Series I, Class E Notes is confirmed by DBRS.

(6) A required minimum credit rating of R-1 (middle) for liquidity lenders and credit enhancers, unless otherwise approved by DBRS.

(7) All transactions are reviewed by DBRS prior to admittance to the program.

(8) The significant experience of the Financial Services Agent in the management and structuring of vehicles of this type.

Note:
Series I, Class E Notes does not take any extension risk beyond the original term into account.