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

DBRS Limited (DBRS Morningstar) confirmed the AAA 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

The confirmation is based on the following analytical considerations:

-- A Covered Bond Attachment Point of A (low), which is the Long-Term Senior Debt 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 AA (low).
-- 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.
-- Overcollateralization of 15.5% (based on the Asset Percentage of 86.6% as at February 28, 2022) to which DBRS Morningstar gives credit.

ESG CONSIDERATIONS
There was no environmental, social, or governance factors or consideration with a significant or relevant impact on the credit rating.

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/373262.

Notes:
The principal methodology is Rating and Monitoring Covered Bonds (June 10, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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@dbrsmorningstar.com.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the 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.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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