Morningstar DBRS Confirms Credit Ratings of Equitable Bank Global Legislative Covered Bonds at AA

DBRS Limited (Morningstar DBRS) confirmed the AA rating of the following outstanding series issued under the Equitable Bank (Global Legislative 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 CBL2
-- Covered Bonds, Series CBL3
-- Covered Bonds, Series CBL4
-- Social Covered Bonds, Series CBL5

The confirmation is based on the following analytical considerations:

-- A Covered Bond Attachment Point of BBB (high), which is the Long-Term Senior Debt rating of Equitable Bank (EQB). EQB 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 A (high).
-- A two-notch uplift from the LSF-L for high recovery prospects to achieve the AA 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 10.0% (based on the Asset Percentage of 90.9% as at February 2025), to which Morningstar DBRS gives credit.

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.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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 Risk 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 ratings is

Global Methodology for Rating and Monitoring Covered Bonds (April 02, 2024) https://dbrs.morningstar.com/research/430636

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.

More details on the Cover Pool and the Program are provided in the Monthly Canadian Covered Bond Report, which is available on dbrs.morningstar.com or by contacting us at info-DBRS@morningstar.com.

These credit ratings are 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 credit ratings:

The last rating action on the Program took place on September 17, 2024, when Morningstar DBRS discontinued its credit rating on the Covered Bonds, Series CBL1 (the Series) issued under the Program, as the Series was fully repaid on its scheduled maturity date.

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

Lead Analyst: Clara Vargas, Senior Vice President, Sector Lead,
Rating Committee Chair: Tim O'Neil, Managing Director,
Initial Rating Date: August 30, 2021

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.

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

DBRS Canadian RMBS Model 5.0.1.1
https://dbrs.morningstar.com/models

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 dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.