DBRS Morningstar Updates Bay Street Funding Trust Transaction Summary 36 and King Street Funding Trust Transaction Summary 40

DBRS Limited (DBRS Morningstar) released an updated Transaction Summary report that provides details on Transaction 36 of Bay Street Funding Trust and Transaction 40 of King Street Funding Trust, which is secured by a portfolio of (1) conventional and insured residential mortgages originated by, and (2) National Housing Act Mortgage-Backed Securities issued by a large mortgage finance company operating in Canada. The update reflects an increase to the required cash reserve amount to address payment deferrals in light of the Coronavirus Disease (COVID-19) pandemic and provide additional support to the transaction.

DBRS Morningstar considered additional analyses and, where appropriate, additional adjustments to expected performance as a result of the global efforts to contain the spread of the coronavirus. The DBRS Morningstar sovereigns group initially published its outlook on the impact on key economic indicators for the 2020–22 time frame in April 2020. The scenarios were updated on July 22, 2020. For details, see “Global Macroeconomic Scenarios: July Update” at https://www.dbrsmorningstar.com/research/364318/global-macroeconomic-scenarios-july-update. DBRS Morningstar’s analysis considered impacts consistent with the moderate scenario in the referenced commentary.

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:
All figures are in Canadian dollars unless otherwise noted.

The principal methodologies are Rating Canadian Residential Mortgages, Home Equity Lines of Credit and Reverse Mortgages (November 6, 2019), and Rating Canadian ABCP and Related Enhancement Features (March 18, 2020), 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.

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

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