DBRS Confirms Rating of Great North Trust at R-1 (high)

DBRS has today confirmed the rating of the Series I, Class E Senior Short Term Notes (the Series I Class E Notes) of Great North Trust (the Trust) at R-1 (high). DBRS has assigned the rating of AAA to the Trust’s Series I, Senior Medium Term Notes (the Series I MTNs).

DBRS has also assigned (a) the rating of R-1 (high) to the Series II, Class A Senior Short Term Global Style Liquidity Backed Notes (the Series II Class A Notes); (b) the rating of R-1 (high) to the Series II, Class E Senior Short Term Global Style Liquidity Backed Notes (the Series II Class E Notes); and (c) the rating of AAA to the Series II, Senior Medium Term Global Style Liquidity Backed Notes (the Series II MTNs and, together with the Series II Class A Notes and the Class II Class E Notes, the Series II Senior Notes).

The Trust is a multi-seller, multi-asset conduit that will use the proceeds from the issuance of its notes to purchase a variety of assets or structured securities from sellers that have been pre-approved by DBRS. CIBC is the Financial Services Agent to the Trust.

The ratings for the Series I Class E Notes, Series I MTNs, Series II Class A Note, Series II Class E Notes and Series II MTNs are based on the following factors:

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

(2) 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 Asset Interests, increased funding costs or other operational costs;

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

(4) The availability of the global style liquidity lines for the Series II Senior Notes is not restricted to the occurrence of a market disruption event. The liquidity lines are sized to fully back all interest and principal payments of the Series II Senior Notes and any collateral call on the related asset interests held by the Trust;

(5) The ability to extend the Series I Class E Notes if they cannot be otherwise refinanced 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. The Series II Class E Notes may be extended so long as their rating is at least R-1 (low);

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

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

(8) The significant experience of the Financial Services Agent and its principals in the management and structuring of securitization vehicles.