DBRS Morningstar Confirms Ratings of NBC Legislative Global Covered Bonds at AAA

DBRS Limited (DBRS Morningstar) confirmed the AAA ratings of the following outstanding series issued under the National Bank of Canada (Legislative Global Covered Bond Programme) as part of its continued efforts to provide timely credit rating opinions and increased transparency to market participants:

-- Covered Bonds, Series CBL2
-- Covered Bonds, Series CBL3
-- Covered Bonds, Series CBL5
-- Covered Bonds, Series CBL6
-- Covered Bonds, Series CBL7
-- Covered Bonds, Series CBL8
-- Covered Bonds, Series CBL9
-- Covered Bonds, Series CBL10
-- Covered Bonds, Series CBL11
-- Covered Bonds, Series CBL12

The confirmations are based on the following analytical considerations:

-- A Covered Bond Attachment Point of AA (low), which is the DBRS Morningstar Long-Term Senior Debt rating of the National Bank of Canada (NBC). NBC is the Reference Entity for the Programme.
-- A Legal and Structuring Framework (LSF) assessment of Strong associated with the Programme.
-- A Cover Pool Credit Assessment of “A.”
-- An LSF-Implied Likelihood (LSF-L) of AA (high).
-- A one-notch uplift from the LSF-L for high recovery prospects to achieve the AAA ratings. Based on the recovery notching scale, an uplift of up to two notches from the LSF-L is possible.
-- A level of overcollateralization of 9.1% (based on the Asset Percentage of 91.7% as at February 29, 2020) to which DBRS Morningstar gives credit.

More details on the cover pool and the Programme are provided in the “Monthly Canadian Covered Bond Report,” which is available by clicking on the link under Related Documents or by contacting us at info@dbrsmorningstar.com.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
The principal methodology is Rating and Monitoring Covered Bonds (June 2019), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

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@dbrsmorningstar.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.

This rating is endorsed by DBRS Ratings Limited (DBRS Morningstar) for use in the European Union. The following additional regulatory disclosures apply to endorsed ratings:

The last rating action on this program took place on March 30, 2020, when DBRS Morningstar assigned a AAA rating to the Covered Bonds, Series CBL12.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Lead Analyst: Jiani Xi, Vice President, Canadian Structured Finance, Global Structured Finance
Rating Committee Chair: Tim O’Neil, Managing Director, Head of Canadian Structured Finance
Initial Rating Date: December 9, 2013

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

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

Principal methodology: Rating and Monitoring Covered Bonds (June 2019)
Link: https://www.dbrsmorningstar.com/research/347574/rating-and-monitoring-covered-bonds

Predictive model: Canadian RMBS Model (November 2019; Version 5.0.0.1)
Link: https://www.dbrsmorningstar.com/models/