Morningstar DBRS Confirms Rating of Laurentian Bank of Canada Legislative Covered Bonds at AAA

DBRS Limited (Morningstar DBRS) confirmed the AAA credit rating of the following outstanding series issued under the Laurentian 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 CBL1
-- Covered Bonds, Series CBL2

The confirmation is based on the following analytical considerations:

-- A Covered Bond Attachment Point of BBB (high), which is the Long-Term Senior Debt credit rating of the Laurentian Bank of Canada (LBC). LBC 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 AAA.
-- An LSF-Implied Likelihood (LSF-L) of AA.
-- A two-notch uplift from the LSF-L for high recovery prospects to achieve the AAA rating. 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 22.0% (based on the Asset Percentage of 82.0% as at January 31, 2024) to which Morningstar DBRS gives credit.

ENVIRONMENTAL, SOCIAL, GOVERNANCE (ESG) CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/427029 (January 23, 2024).

Notes:
The principal methodology applicable to the credit rating is Global Methodology for Rating and Monitoring Covered Bonds (May 8, 2023; https://dbrs.morningstar.com/research/413651).

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

The Morningstar DBRS Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. Morningstar DBRS analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://dbrs.morningstar.com/research/425506.

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-DBRS@morningstar.com.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit 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 info@dbrsmorningstar.com.

DBRS Limited
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Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

Predictive model: DBRS Canadian RMBS Model 5.0.0.3
Link: https://dbrs.morningstar.com/models/

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/410863.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at Info-DBRS@morningstar.com.