Morningstar DBRS Confirms Provisional Credit Ratings on the Tranche Amounts of Granville USD Ltd.

DBRS, Inc. (Morningstar DBRS) confirmed its following provisional credit ratings on the Tranche A1, the Tranche A2, the Tranche B1, the Tranche B2, the Tranche C1, and the Tranche C2 (collectively the Tranche Amounts) of Granville USD Ltd., pursuant to Schedule 2 of the Financial Guarantee, dated as of July 25, 2023, entered into between Granville USD Ltd., as Guarantor, and the Bank of Nova Scotia (rated AA with a stable trend by Morningstar DBRS), as Beneficiary, with respect to certain issued credit-linked notes (the Notes) referencing a portfolio of primarily U.S. and Canadian senior unsecured and senior secured loans originated or managed by The Bank of Nova Scotia:

-- Tranche A1 at (P) AAA (sf)
-- Tranche A2 at (P) AAA (sf)
-- Tranche B1 at (P) AA (high) (sf)
-- Tranche B2 at (P) AA (low) (sf)
-- Tranche C1 at (P) A (high) (sf)
-- Tranche C2 at (P) A (low) (sf)

The provisional credit ratings on the Tranche Amounts address the likelihood of a reduction to the respective Tranche Amounts resulting from obligor defaults within the guaranteed portfolio during the period from the Effective Date until the Scheduled Termination Date (as defined in the Financial Guarantee). For obligors within the guaranteed portfolio, default events are limited to payment default, insolvency, and restructuring events.

The provisional credit ratings take into consideration only the creditworthiness of the reference portfolio. The ratings do not address counterparty risk nor the likelihood of any event of default or termination events under the agreement occurring.

The Bank of Nova Scotia entered into the Financial Guarantee in respect of certain issued Notes. The Bank of Nova Scotia did not request Morningstar DBRS assign credit ratings to the Notes. The payment of principal and interest (the Financial Guarantee Fee Amount, as defined in the Financial Guarantee) on the Notes is subject to additional counterparty credit risk associated with the Beneficiary's ability to pay such amounts. As a result, if Morningstar DBRS were to rate such Notes, even if they are pari passu with a related Tranche Amount, Morningstar DBRS' credit ratings on the Notes may be different than the credit ratings assigned to the related Tranche Amounts.

Morningstar DBRS expects its credit ratings on the Tranche Amounts to remain provisional until there is an executed Financial Guarantee agreement covering the payment obligations and exchange of risk in respect of such Tranche Amounts. The Bank of Nova Scotia may have no intention of executing such a Financial Guarantee. Morningstar DBRS will maintain and monitor the provisional credit ratings throughout the life of the transaction or while it continues to receive performance information.

To assess portfolio credit quality, Morningstar DBRS may provide a credit estimate, internal assessment, or ratings mapping of The Bank of Nova Scotia's internal ratings model. Credit estimates, internal assessments, and ratings mappings are not credit ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a credit rating to a facility sufficient to assess portfolio credit quality.

CREDIT RATING RATIONALE/DESCRIPTION
The credit rating actions are a result of Morningstar DBRS' annual review of the transaction performance and application of the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; November 19, 2024). Granville USD Ltd. is a synthetic risk transfer transaction with The Bank of Nova Scotia as the Beneficiary. The Scheduled Termination Date is July 31, 2031. The Replenishment Cut-Off Date is July 31, 2026.

The credit ratings reflect the following considerations:

(1) The Financial Guarantee.
(2) The integrity of the transaction structure.
(3) Morningstar DBRS' assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral loss rates.

Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The transaction is performing according to the parameters set in the Financial Guarantee. As of February 4, 2025, all of the transaction's Replenishment Criteria were met, which supports the confirmations of the provisional credit ratings. The reference portfolio consists of well-diversified senior unsecured and senior secured corporate loans across various industries and credit rating levels.

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. 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 US dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is the Global Methodology for Rating CLOs and Corporate CDOs, including its Appendix II: Mapping Financial Institution Internal Ratings to Morningstar DBRS Credit Ratings for Global Structured Credit Transactions (November 19, 2024) https://dbrs.morningstar.com/research/443207.

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

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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to our Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of our website.

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

Operational Risk Assessment for Collateralized Loan Obligations (CLOs) and Corporate Collateralized Debt Obligations (CDOs) (August 23, 2024)
https://dbrs.morningstar.com/research/438315

Legal Criteria for U.S. Structured Finance (December 3, 2024)
https://dbrs.morningstar.com/research/444064

Interest Rate Stresses for U.S. Structured Finance Transactions (March 27, 2025)
https://dbrs.morningstar.com/research/450750

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