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

DBRS Limited (DBRS) has today confirmed the rating of the probability of a first margin call on the Series I Senior Medium Term Notes, Subclass 1 (MTNs) issued by Great North Trust (GNT). 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.

GNT is a bankruptcy-remote special-purpose entity and was originally established in 2006. The MTNs were issued by GNT 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 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 methodologies are Rating CLOs and CDOs of Large Corporate Credit, Canadian Surveillance Methodology for CDOs of Large Corporate Credit and Legal Criteria for Canadian Structured Finance, which can be found on our website under Methodologies.