DBRS Morningstar Places Credit Ratings of Laurentian Bank of Canada Legislative Covered Bonds Under Review With Negative Implications

DBRS Limited (DBRS Morningstar) placed the AAA credit rating of the following outstanding series issued under the Laurentian Bank of Canada (Legislative Covered Bond Programme) (the Program) Under Review with Negative Implications (UR-Neg.):

-- Covered Bonds, Series CBL1
-- Covered Bonds, Series CBL2

KEY CREDIT RATING CONSIDERATIONS
The UR-Neg. designation follows the recent placement of Laurentian Bank of Canada’s (LBC) Long-Term Senior Debt rating of A (low) UR-Neg. by DBRS Morningstar on November 3, 2023. The Long-Term Senior Debt rating of LBC is the basis for the Covered Bond Attachment Point (CBAP).

-- A CBAP reflects the credit strength of the Reference Entity (RE) as the source of payment for the Program. The CBAP is currently at A (low), which is the Long-Term Senior Debt rating of LBC. LBC is the RE for the Program.
-- A Legal and Structuring Framework (LSF) assessment of Strong associated with the Program.
-- A Cover Pool Credit Assessment (CPCA) of AA (low).
-- An LSF-Implied Likelihood (LSF-L) of AA.
-- A two-notch uplift from the LSF-L for high recovery prospects to achieve the AAA rating. Based on the recovery notching scale, an uplift of up to two notches from the LSF-L is possible.
-- A level of overcollateralization (OC) of 15.0% (based on the Asset Percentage of 87.0% as at October 31, 2023) to which DBRS Morningstar gives credit.

CREDIT RATING DRIVERS
DBRS Morningstar would confirm the credit ratings if the UR-Neg. status on the Long-Term Senior Debt rating of LBC is resolved with a confirmation of the credit rating at A (low) or if the UR-Neg. status on the Long-Term Senior Debt rating of LBC is resolved with a downgrade of the credit rating by one notch to BBB (high) and the covered bond Program OC is increased to a level where the CPCA is AAA.

DBRS Morningstar would downgrade the credit ratings if the UR-Neg. status on the Long-Term Senior Debt rating of LBC is resolved with a downgrade of the credit rating by one notch to BBB (high) and the covered bond Program OC is not increased to a level where the CPCA is AAA or if the UR-Neg. status on the Long-Term Senior Debt rating of LBC is resolved with a downgrade of the rating by two notches or more.

ENVIRONMENTAL, SOCIAL, GOVERNANCE (ESG) CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/416784 (July 4, 2023).

Notes:
The principal methodology applicable to the credit ratings is Global Methodology for Rating and Monitoring Covered Bonds (May 8, 2023; https://www.dbrsmorningstar.com/research/413651).

Other methodologies referenced in this transaction are listed at the end of this press release.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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 credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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

More details on the Cover Pool and the Program 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.

DBRS Limited
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Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Predictive model: Canadian RMBS Model (November 2021; Version 5.0.0.3)
Link: https://www.dbrsmorningstar.com/models/

A description of how DBRS Morningstar analyzes structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/410863.

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