Press Release

DBRS Morningstar Confirms Ratings of Bank of Nova Scotia Global Registered Covered Bonds at AAA

Covered Bonds
April 05, 2023

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

-- Covered Bonds, Series CBL10
-- Covered Bonds, Series CBL20
-- Covered Bonds, Series CBL22
-- Covered Bonds, Series CBL23
-- Covered Bonds, Series CBL24
-- Covered Bonds, Series CBL25
-- Covered Bonds, Series CBL26
-- Covered Bonds, Series CBL27
-- Covered Bonds, Series CBL33
-- Covered Bonds, Series CBL34
-- Covered Bonds, Series CBL35
-- Covered Bonds, Series CBL36
-- Covered Bonds, Series CBL37
-- Covered Bonds, Series CBL38
-- Covered Bonds, Series CBL39
-- Covered Bonds, Series CBL40
-- Covered Bonds, Series CBL41
-- Covered Bonds, Series CBL42
-- Covered Bonds, Series CBL43
-- Covered Bonds, Series CBL44
-- Covered Bonds, Series CBL45
-- Covered Bonds, Series CBL46
-- Covered Bonds, Series CBL47
-- Covered Bonds, Series CBL48
-- Covered Bonds, Series CBL49
-- Covered Bonds, Series CBL50
-- Covered Bonds, Series CBL51
-- Covered Bonds, Series CBL52
-- Covered Bonds, Series CBL53
-- Covered Bonds, Series CBL54

The confirmations are based on the following analytical considerations:

-- A Covered Bond Attachment Point of AA, which is the Long-Term Senior Debt rating of the Bank of Nova Scotia (BNS). BNS 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 (low).
-- 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.
-- A level of overcollateralization (OC) of 5.5% (based on the Asset Percentage of 94.8% as at February 28, 2023) to which DBRS Morningstar gives credit.

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 (May 17, 2022).

The principal methodology applicable to the rating is Rating and Monitoring Covered Bonds (April 22, 2022;

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:

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

The rating was initiated at the request of the rated entity. The rated entity or its related entities did participate in the rating process for this 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 rating action. This is a solicited credit rating.

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

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 3, 2023, when DBRS Morningstar discontinued its ratings on the Covered Bonds, Series CBL30 issued by the Program as the series was fully repaid.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see

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: March 25, 2014

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

The rating methodologies used in the analysis of this transaction can be found at:

Predictive model: DBRS Canadian RMBS Model (Version

A description of how DBRS Morningstar analyzes structured finance transactions and how the methodologies are collectively applied can be found at:

For more information on this credit or on this industry, visit or contact us at