DBRS Morningstar Confirms Ratings on Bicentennial Trust, Series 2017-1

DBRS Limited (DBRS Morningstar) 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 Morningstar.

The rating confirmations are based on the following factors, each of which include additional analysis and, where appropriate, additional stresses to expected performance as a result of the global efforts to contain the spread of the Coronavirus Disease (COVID-19). On April 16, 2020, the DBRS Morningstar Sovereigns group published its outlook on the impact on key economic indicators for the 2020–22 time frame. For details see https://www.dbrsmorningstar.com/research/359679. For the confirmation of the ratings, DBRS Morningstar’s analysis considered impacts consistent with the moderate scenario in the referenced commentary.

-- 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 2020, the pool balance amortized to approximately $724.4 million, reflecting a pool factor of approximately 37.0%. The current credit enhancement has been building since issuance and continues to provide sufficient protection to the Rated Certificates at their current rating.

-- The portfolio has performed well since inception and the pass-through structure of the Certificates has resulted in higher subordination across all rated notes.

-- The experience of BMO as the Seller and Administrator in the residential mortgage market with strong performance history and servicing capability. BMO provides lifetime representations and warranties. BMO is rated AA/R-1 (high) with Stable trends by DBRS Morningstar as of June 19, 2019.

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.

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 methodology is the Master Canadian Structured Finance Surveillance Methodology, 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.

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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