DBRS Assigns Rating of BBB (sf) to the Probability of a Margin Call on Great North Trust Series I Senior Medium Term Notes, Subclass 1

DBRS has today assigned a rating of BBB (sf) to the probability of a first margin call on Great North Trust Series I Senior Medium Term Notes, Subclass 1 (MTNs) after the assignment of this rating. In this circumstance, DBRS has applied its Long-Term Obligations rating scale to address the probability of a margin call being made on the MTNs after the date hereof.

Great North Trust is a bankruptcy-remote special purpose entity and was originally established in 2006. The MTNs that are being rated today were issued by Great North Trust on February 1, 2008, as part of a restructuring transaction and are backed by a single structured synthetic investment (a leveraged super-senior credit default swap (LSS CDS)).

This rating is an opinion based primarily on the following factors: (1) the credit quality of the underlying LSS CDS, (2) the remoteness of the possibility of a margin call being made under the LSS CDS by the swap counterparty, (3) the credit quality of the collateral currently posted in pursuant to the terms of the LSS CDS, (4) the current market conditions and (5) the legal and structural elements of this transaction, GNT and other material parties.

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

Notes:
The applicable principal methodology is Rating Methodology for CLOs and CDOs of Large Corporate Credit, which can be found on our website under Methodologies.