DBRS Morningstar Confirms Ratings of National Bank of Canada Legislative Global Registered Covered Bonds at AAA

DBRS Limited (DBRS Morningstar) confirmed the AAA ratings of the following outstanding series issued under the National 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 CBL6
-- Covered Bonds, Series CBL7
-- Covered Bonds, Series CBL8
-- Covered Bonds, Series CBL10
-- Covered Bonds, Series CBL15
-- Covered Bonds, Series CBL16
-- Covered Bonds, Series CBL17
-- Covered Bonds, Series CBL18
-- Covered Bonds, Series CBL19
-- Covered Bonds, Series CBL20
-- Covered Bonds, Series CBL21

The confirmations are based on the following analytical considerations:

-- A Covered Bond Attachment Point of AA, which is the Long-Term Senior Debt rating of the National Bank of Canada (NBC). NBC 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 AAA.
-- While not currently applicable, based on the recovery notching scale, up to two notches’ uplift from the LSF-L for high recovery prospect is possible.
-- A level of overcollateralization (OC) of 9.1% (based on the Asset Percentage of 91.7% as at February 28, 2023) to which DBRS Morningstar 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 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/396929 (May 17, 2022).

Notes:
The principal methodology applicable to the rating is Rating and Monitoring Covered Bonds (April 22, 2022; https://www.dbrsmorningstar.com/research/395642).

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

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 rating was initiated at the request of the rated entity. The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this rating action. This is a solicited credit rating.

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.

This rating is 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 ratings:

The last rating action on the Program took place on November 3, 2022, when DBRS Morningstar assigned a rating of AAA to the Covered Bonds, Series CBL21 issued under the Program.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. For further information on DBRS Morningstar 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, Canadian Structured Finance
Rating Committee Chair: Tim O’Neil, Managing Director, Head of Canadian Structured Finance
Initial Rating Date: December 9, 2013

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

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

Predictive model: Canadian RMBS Model (Version 5.0.0.3)
Link: https://www.dbrsmorningstar.com/models/

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