DBRS Assigns New Rating of A (low)(sf) to Apex Trust Series A-2013 Notes and BBB (sf) to Series A-2016 Notes

DBRS has today assigned a rating of A (low) (sf) to the payment of principal on Apex Trust
Series A-2013 Notes on the Expected Maturity Date and of BBB (sf) to Series A-2016 Notes on the Final Maturity Date.

Apex Trust is a bankruptcy-remote special purpose entity and was originally established in 1999. The Apex Notes that are being rated today were issued by Apex Trust on May 13, 2008, as part of a restructuring transaction and are backed by various structured synthetic investments (each, a leveraged super-senior credit default swap (LSS CDS)).

This rating is an opinion based primarily on the following factors: (1) the current credit rating of the credit intermediary facing Apex Trust under the LSS CDSs, (2) the credit quality of the portfolios of the remaining LSS CDSs, (3) the remoteness of the possibility of a margin call being made by the credit intermediary under the remaining LSS CDSs that would require Apex Trust to obtain funding in addition to the committed funding available to Apex Trust and (4) the current market conditions.

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.