DBRS Morningstar Upgrades and Confirms Provisional Ratings to Prime Structured Mortgage (PriSM) Trust, Series 2020-1

DBRS Limited (DBRS Morningstar) upgraded the provisional ratings of the Mortgage-Backed Certificates, Series 2020-1 (the Series 2020-1 Certificates) to be issued by Prime Structured Mortgage (PriSM) Trust (the Issuer) as follows:

-- Mortgage-Backed Certificates, Class C (the Class C Certificates) to AA (low) (sf) from A (sf)
-- Mortgage-Backed Certificates, Class D (the Class D Certificates) to A (high) (sf) from BBB (sf)
-- Mortgage-Backed Certificates, Class E (the Class E Certificates) to BBB (high) (sf) from BB (sf)
-- Mortgage-Backed Certificates, Class F (the Class F Certificates) to BB (low) (sf) from B (sf)

DBRS Morningstar also confirmed the provisional ratings of the Series 2020-1 Certificates to be issued by the Issuer as follows:

-- Mortgage-Backed Certificates, Class A (the Class A Certificates) at AAA (sf)
-- Mortgage-Backed Certificates, Class VFC (the Class VFC Certificates) at AAA (sf)
-- Mortgage-Backed Certificates, Class IO (the Class IO Certificates) at AAA (sf)
-- Mortgage-Backed Certificates, Class B (the Class B Certificates) at AA (sf) (together with the Class A Certificates, the Class VFC Certificates, the Class IO Certificates, the Class C Certificates, the Class D Certificates, the Class E Certificates, and the Class F Certificates, the Rated Certificates)

The rating actions follow a structural change proposed by the Issuer since the provisional ratings were assigned on February 11, 2020. The Certificate Rate on the Class IO Certificates was lowered, to a rate of not higher than 0.01%, and as a result, excess spread in respect of the Class A Certificates and the Class VFC Certificates became generally available to provide support in respect of losses. This provides additional credit enhancement for the non-IO Certificates and warrants the higher ratings of the four lowest-rated classes of Certificates.

The ratings assigned to the Class A Certificates, the Class VFC Certificates (together, the Senior Principal Certificates), the Class B Certificates, the Class C Certificates, the Class D Certificates, the Class E Certificates, and the Class F Certificates represent the timely payment of interest to the holders thereof and the ultimate payment of principal by the Rated Final Distribution Date under the respective rating stress. The rating assigned to the Class IO Certificates is an opinion that addresses the likelihood of the Notional Amount of the Class IO Certificates’ applicable reference certificates (i.e., the Senior Principal Certificates) being adversely affected by credit losses.

The Mortgage-Backed Certificates, Series 2020-1, Class G (the Class G Certificates) and Mortgage-Backed Certificates, Series 2020-1, Class R (collectively with the Class G Certificates and the Rated Certificates, the Certificates) are not rated by DBRS Morningstar.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The principal methodology is Rating Canadian Residential Mortgages, Home Equity Lines of Credit and Reverse Mortgages (November 2019), which can be found on dbrs.com under Methodologies & Criteria.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrs.com.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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