DBRS Morningstar Upgrades Six Ratings and Confirms One Rating of Bicentennial Trust, Series 2017-1

DBRS Limited (DBRS Morningstar) upgraded its ratings of the following Mortgage Pass-Through Certificates issued by Bicentennial Trust:

-- Mortgage Pass-Through Certificates, Series 2017-1, Class B to AAA (sf) from AA (sf)
-- Mortgage Pass-Through Certificates, Series 2017-1, Class C to AAA (sf) from A (sf)
-- Mortgage Pass-Through Certificates, Series 2017-1, Class D to AA (sf) from BBB (sf)
-- Mortgage Pass-Through Certificates, Series 2017-1, Class E to AA (sf) from BBB (low) (sf)
-- Mortgage Pass-Through Certificates, Series 2017-1, Class F to AA (low) (sf) from BB (sf)
-- Mortgage Pass-Through Certificates, Series 2017-1, Class G to BBB (high) (sf) from B (sf) (collectively, the Upgraded Certificates)

In addition, DBRS Morningstar confirmed its rating on the following Mortgage Pass-Through Certificate:

-- Mortgage Pass-Through Certificates, Series 2017-1, Class A at AAA (sf) (collectively with the Upgraded Certificates, the Rated Certificates)

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

DBRS Morningstar initially published its outlook on the Coronavirus Disease (COVID-19) pandemic’s impact on key economic indicators for the 2020–22 time frame in April 2020. DBRS Morningstar last updated the macroeconomic scenarios on March 17, 2021, in its “Global Macroeconomic Scenarios: March 2021 Update” at https://www.dbrsmorningstar.com/research/375376. For the Rated Certificates, DBRS Morningstar considered impacts consistent with the moderate scenario in the referenced commentary in its analysis. The rating actions are based on the following factors:

-- 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 2021, the pool balance amortized to approximately $238.6 million, reflecting a pool factor of approximately 12.2%. The current credit enhancement has been building since issuance and provides sufficient protection to the Rated Certificates.

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

-- 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 4, 2020.

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/373262.

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

The principal methodology is the Master Canadian Structured Finance Surveillance Methodology (August 31, 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 regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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 [email protected].

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 [email protected].

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