DBRS Morningstar Confirms Ratings on Certain Tranches and Algonquin Series 2019-1 Notes Issued by
The provisional ratings on the Tranche Amounts address the likelihood of a reduction to the respective Tranche Amounts caused by a Tranche Loss Balance on each respective tranche resulting from defaults and losses within the guaranteed portfolio during the period from the Effective Date until the Scheduled Termination Date (as defined in the Financial Guarantees).
DBRS Morningstar's ratings are expected to remain provisional until the underlying agreements are executed. BMO may have no intention of executing the Financial Guarantees. DBRS Morningstar will maintain and monitor the provisional ratings throughout the life of the transaction or while it continues to receive performance information.
DBRS Morningstar also confirmed its ratings on the Algonquin Series 2019-1 Class B Guarantee Linked Notes at AA (sf) (the Class
The ratings on the Notes address the timely payment of interest and ultimate payment of principal on or before the Scheduled Termination Date (as defined in the Financial Guarantee referenced above). The payment of the interest due to the Notes is subject to the Beneficiary's ability to pay the Guarantee Fee Amount (as defined in the Financial Guarantee referenced above).
To assess portfolio credit quality, DBRS Morningstar may provide a credit estimate, internal assessment, or ratings mapping of the Beneficiary's internal ratings model for each corporate obligor in the portfolio. Credit estimates, internal assessments, and ratings mappings are not 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 rating to a facility sufficient to assess portfolio credit quality.
As the Coronavirus Disease (COVID-19) spread around the world, certain countries imposed quarantines and lockdowns, including
In conjunction with DBRS Morningstar's commentary, 'Global Macroeconomic Scenarios: Implications for Credit Ratings,' published on
DBRS Morningstar ran an additional higher default adjustment on the WA DBRS
For more information regarding DBRS Morningstar's simplified set of macroeconomic scenarios for select economies related to the coronavirus, please see please see its
For more information regarding DBRS Morningstar's additional adjustment for select industries related to the coronavirus, please see its
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.
Notes:
All figures are in
The principal methodologies are Rating CLOs and CDOs of Large Corporate Credit (
For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.
For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.
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.
This rating is endorsed by
Each of the principal asset class methodologies employed in the analysis addressed one or more particular risks or aspects of the rating and were factored into the rating decision; specifically, for the recovery rate, DBRS Morningstar applied the senior secured and senior unsecured recovery rates defined in its 'Rating CLOs and CDOs of Large Corporate Credit' methodology. DBRS Morningstar applies different recovery rates depending on the recovery tier and seniority.
DBRS Morningstar used its CLO Asset Model to determine expected default rates for the portfolio at each rating level. To determine the credit risk of each underlying reference obligation, DBRS Morningstar relied on either public ratings or a ratings mapping to DBRS Morningstar ratings of the
The last rating action on this transaction took place on
For further information on DBRS Morningstar historical default rates published by the
Lead Analyst:
Rating Committee Chair:
Initial Rating Date:
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
Tel. +1 212 806-3277
Rating CLOs and CDOs of Large Corporate Credit and CLO Asset Model Version 2.2.3 (
https://www.dbrsmorningstar.com/research/364310/rating-clos-and-cdos-of-large-corporate-credit
Cash Flow Assumptions for Corporate Credit Securitizations (
https://www.dbrsmorningstar.com/research/364311/cash-flow-assumptions-for-corporate-credit-securitizations
Mapping Financial Institution Internal Ratings to DBRS Morningstar Ratings for Global Structured Credit Transactions (
https://www.dbrsmorningstar.com/research/357853/mapping-financial-institution-internal-ratings-to-dbrs-morningstar-ratings-for-global-structured-credit-transactions
Legal Criteria for
https://www.dbrsmorningstar.com/research/355719/legal-criteria-for-us-structured-finance
Ratings
Date Issued Debt Rated Action Rating Trend Issued
i
US =
CA = Canada Issued, NRSRO
EU = EU Issued, NRSRO
E = EU endorsed
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-Participating
28-Jul-20 Tranche A Amount Provis.-ConfirmedAAA (sf) -- USE
28-Jul-20 Algonquin Series 2019-1 Class B Guarantee Linked Notes Confirmed AA (sf) -- USE
28-Jul-20 Tranche B Amount Provis.-Confirmed AA (sf) -- USE
28-Jul-20 Algonquin Series 2019-1 ClassC Guarantee Linked Notes Confirmed A (sf) -- USE
28-Jul-20 Tranche C Amount Provis.-Confirmed A (sf) -- USE
28-Jul-20 Algonquin Series 2019-1 Class D Guarantee Linked Notes Confirmed BBB (low) (sf) -- USE
28-Jul-20 Tranche D Amount Provis.-Confirmed BBB (low) (sf) -- USE
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