Morningstar DBRS Confirms Clarity Trust, Series A, Class A Notes at R-1 (high) (sf)

DBRS Limited (Morningstar DBRS) confirmed the credit rating of the Series A, Class A Notes (the Notes) issued by Clarity Trust (the Trust) at R-1 (high) (sf). The confirmation is part of Morningstar DBRS' continued effort to provide timely credit rating opinions and increased transparency to market participants.

The Trust is a multi-seller multi-asset securitization conduit administered by National Bank Financial (NBF) that engages in traditional asset transactions. Assets and/or interests acquired by the Trust from sellers (the Assets) are subject to eligibility criteria and/or confirmation from Morningstar DBRS. As of November 30, 2024, the assets backing the Series A, Class A Notes consisted of residential mortgages (100%).

CREDIT RATING RATIONALE/DESCRIPTION

The credit rating confirmation is based on the following considerations:

-- Credit enhancement levels are consistent with similarly rated programs in Canada. From inception, every transaction funded by the Notes has been independently structured to meet a AAA standard.

-- The Notes benefit from a subordinated note placed with a third-party investor.

-- In addition to the internal credit enhancement and the subordinated note, the Notes benefit from external series-wide credit enhancement (SWCE). The SWCE is in the form of a letter of guarantee from National Bank of Canada (rated AA with a Stable trend by Morningstar DBRS), which is available to be drawn in the event that collections are insufficient to satisfy the obligations of the Trust relating to the Notes.

-- The liquidity facility meets Morningstar DBRS' Global Liquidity Standard and is available to assist the Trust in the repayment of the Notes if the Trust is not able to issue new Notes to do so. The commitment amount equals at least 100% of the face value (including accrued interest) of all outstanding Notes.

-- Minimum credit ratings of "A" or R-1 (low) or their equivalent for liquidity providers, credit enhancers, and hedge counterparties are required unless the Rating Agency Condition is otherwise satisfied.

-- The Assets, through securitization agreements, are structured to be bankruptcy-remote from the sellers, and the bankruptcy remoteness is supported by legal opinions.

-- Morningstar DBRS reviews all transactions prior to initial funding by the Trust.

-- The performance of the underlying collateral across all asset classes is within Morningstar DBRS expectations.

-- NBF has significant experience in structuring, administering, and managing multi-asset and multi-seller securitization programs.

The performance characteristics of the conduits are available and updated each month in Morningstar DBRS' Monthly Canadian ABCP Report, which can be found on https://dbrs.morningstar.com.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) 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 Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

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

The principal methodology applicable to the credit rating is the Master Canadian Structured Finance Surveillance Methodology (August 06, 2024) https://dbrs.morningstar.com/research/437538.

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 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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at Info-DBRS@morningstar.com.

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
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.

Rating Canadian ABCP and Related Enhancement Features (February 24, 2025)
https://dbrs.morningstar.com/research/448506

Legal and Derivatives Criteria for Canadian Structured Finance (August 12, 2024)
https://dbrs.morningstar.com/research/437761

Operational Risk Assessments for Canadian Structured Finance (August 06, 2024)
https://dbrs.morningstar.com/research/437547

A description of how Morningstar DBRS analyses 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.