DBRS Morningstar Confirms Ratings of National Bank of Canada Legislative Global Registered Covered Bonds at AAA

DBRS Limited (DBRS Morningstar) confirmed the AAA ratings of the following outstanding series issued under the National Bank of Canada (Legislative Global Covered Bond Programme) (the Program) as part of its continued efforts to provide timely credit rating opinions and increased transparency to market participants:

-- Covered Bonds, Series CBL6
-- Covered Bonds, Series CBL7
-- Covered Bonds, Series CBL8
-- Covered Bonds, Series CBL10
-- Covered Bonds, Series CBL11
-- Covered Bonds, Series CBL12
-- Covered Bonds, Series CBL15
-- Covered Bonds, Series CBL16
-- Covered Bonds, Series CBL17

The confirmations are based on the following analytical considerations:

-- A Covered Bond Attachment Point of AA (low), which is the Long-Term Senior Debt rating of the National Bank of Canada (NBC). NBC is the Reference Entity for the Program.
-- A Legal and Structuring Framework (LSF) assessment of Strong associated with the Program.
-- A Cover Pool Credit Assessment of A (high).
-- An LSF-Implied Likelihood (LSF-L) of AA (high).
-- A one notch uplift from the LSF-L for high recovery prospects to achieve the AAA ratings. Based on the recovery notching scale, an uplift of up to two notches from the LSF-L is possible.
-- Overcollateralization of 9.1% (based on the Asset Percentage of 91.7% as at February 28, 2022) to which DBRS Morningstar gives credit.

ESG CONSIDERATIONS
There was no environmental, social, or governance factors or consideration with a significant or relevant impact on the credit rating.

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:
The principal methodology is Rating and Monitoring Covered Bonds (June 10, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

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 [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.

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 [email protected].

This rating is endorsed by DBRS Ratings Limited for use in the United Kingdom, and by DBRS Ratings GmbH for use in the European Union, respectively. The following additional regulatory disclosures apply to endorsed ratings:

The last rating action on the Program took place on April 7, 2022, when DBRS Morningstar assigned a rating of AAA to the Covered Bonds, Series CBL18 issued under the Program.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

Lead Analyst: Jiani Xi, Vice President, Canadian Structured Finance
Rating Committee Chair: Tim O’Neil, Managing Director, Head of Canadian Structured Finance
Initial Rating Date: December 9, 2013

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

Principal methodology: Rating and Monitoring Covered Bonds (June 10, 2021)
Link: https://www.dbrsmorningstar.com/research/379983/rating-and-monitoring-covered-bonds

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