DBRS Confirms Ratings on Bicentennial Trust, Series 2017-1

DBRS Limited (DBRS) confirmed the ratings on the Mortgage Pass-Through Certificates, Series 2017-1 issued by Bicentennial Trust as follows:

-- Class A Certificates rated AAA (sf)
-- Class B Certificates rated AA (sf)
-- Class C Certificates rated A (sf)
-- Class D Certificates rated BBB (sf)
-- Class E Certificates rated BBB (low) (sf)
-- Class F Certificates rated BB (sf)
-- Class G Certificates rated B (sf) (collectively, the Rated Certificates)

The Class H Certificates and Class Z Certificates (collectively with the Rated Certificates, the Certificates) are not rated by DBRS.

The confirmation is part of DBRS’s continued effort to provide timely credit rating opinions and increased transparency to market participants and is based on the following factors:

(1) The portfolio is a diversified pool of first-lien, fixed-rate, conventional Canadian residential mortgages with a maximum loan-to-value of 80% originated by Bank of Montreal (BMO). As of March 2019, the pool balance amortized to approximately $1.03 billion. Current credit enhancement has been building since issuance and continues to provide sufficient protection to the Rated Certificates at their current rating levels. The portfolio has performed well since inception, and the pass-through structure of the Certificates has resulted in higher subordination across all rated notes.

(2) Performance has been stable since issuance and as of March 2019, cumulative losses have remained less than one basis point. Losses are allocated to the Notes in reverse order of their priority payment. Year-to-date losses have been absorbed by the non-rated Class Z Certificates.

(3) The performance history of the Seller and Administrator in the residential mortgage market. BMO is rated AA (R-1 (high) with Stable trends by DBRS as of June 22, 2018. BMO provides lifetime representations and warranties.

DBRS monitors the performance of each transaction to identify any deviation from DBRS’s expectation at issuance and to ensure the ratings remain appropriate. The review is predicated upon the timely receipt of performance information from the related providers.

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

The principal methodology is Master Canadian Structured Finance Surveillance Methodology (May 2018), 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 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.

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

DBRS Limited
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