DBRS Morningstar Upgrades Five Ratings and Confirms Two Ratings on Prime Structured Mortgage (PriSM) Trust, Series 2020-1

DBRS Limited (DBRS Morningstar) upgraded its ratings on the following Mortgage-Backed Certificates, Series 2020-1 issued by Prime Structured Mortgage (PriSM) Trust:

-- Mortgage-Backed Certificates, Series 2020-1, Class B (the Class B Certificates) to AAA (sf) from AA (sf)
-- Mortgage-Backed Certificates, Series 2020-1, Class C (the Class C Certificates) to AA (high) (sf) from AA (low) (sf)
-- Mortgage-Backed Certificates, Series 2020-1, Class D (the Class D Certificates) to AA (low) (sf) from A (high) (sf)
-- Mortgage-Backed Certificates, Series 2020-1, Class E (the Class E Certificates) to A (high) (sf) from BBB (high) (sf)
-- Mortgage-Backed Certificates, Series 2020-1, Class F (the Class F Certificates; together with the Class B Certificates, the Class C Certificates, the Class D Certificates, and the Class E Certificates, the Upgraded Certificates) to BBB (sf) from BB (low) (sf)

In addition, DBRS Morningstar confirmed its ratings on the following certificates:

-- Mortgage-Backed Certificates, Series 2020-1, Class VFC (the Class VFC Certificates) at AAA (sf)
-- Mortgage-Backed Certificates, Series 2020-1, Class IO (the Class IO Certificates; together with the Upgraded Certificates, the Rated Certificates) at AAA (sf)

The ratings on the Class VFC Certificates (the Senior Principal Certificate), the Class B Certificates, the Class C Certificates, the Class D Certificates, the Class E Certificates, and the Class F Certificates represent the timely payment of interest to the holders thereof and the ultimate payment of principal by the Rated Final Distribution Date under the respective rating stress. The rating on the Class IO Certificates is an opinion that addresses the likelihood of the Notional Amount of the Class IO Certificates’ applicable reference certificates (i.e., the Senior Principal Certificates) being adversely affected by credit losses.

The Mortgage-Backed Certificates, Series 2020-1, Class G (the Class G Certificates) and Mortgage-Backed Certificates, Series 2020-1, Class R (collectively with the Class G Certificates and the Rated Certificates, the Certificates) are not rated by DBRS Morningstar.

The rating confirmations are based on the following factors:

(1) The collateral comprises a pool of first-lien fixed-rate, B-20 compliant uninsured Canadian residential mortgages with a maximum loan-to-value (LTV) ratio of 80% at origination. The total outstanding note balance was $353.8 million as of March 2023.

(2) Credit enhancement provided by subordination has built up since issuance, providing protection to the Certificates.

(3) Credit performance since inception has been stable with no reported losses. The transaction benefits from strong asset quality consisting of prime conventional mortgages with high credit scores and low LTV ratios. Losses are allocated to the lowest-ranking Principal Certificates outstanding.

(4) TD Securities Inc., a wholly owned subsidiary of The Toronto-Dominion Bank (rated AA (high) with a Stable trend by DBRS Morningstar), is the Seller and Master Servicer and provides representations and warranties and is ultimately responsible for all the servicing obligations of the mortgages. Both First National Financial LP (rated BBB with a Stable trend by DBRS Morningstar) and CMLS Financial Ltd., acting as Sub-Servicers, have extensive servicing experience in the Canadian residential mortgage market.

DBRS Morningstar monitors the performance of the transaction to identify any deviation from DBRS Morningstar’s expectations at issuance and to ensure the ratings remain appropriate. The review is predicated upon the timely receipt of performance information from the related providers. The performance and characteristics of the pool and the Certificates are available and updated each month in the Monthly Canadian ABS Report.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
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 https://www.dbrsmorningstar.com/research/396929 (May 17, 2022).

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

The principal methodology applicable to the ratings is Master Canadian Structured Finance Surveillance Methodology (December 13, 2022; https://www.dbrsmorningstar.com/research/407359).

Other methodologies referenced in this transaction are listed at the end of this press release.

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 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.

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: https://www.dbrsmorningstar.com/about/methodologies.

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