DBRS Limited (DBRS Morningstar) confirmed its rating on the Preferred Shares issued by S Split Corp. (the Company) at Pfd-3.

The Company invests in a portfolio of The Bank of Nova Scotia's common shares (the BNS Shares), the dividends from which are used to pay a fixed cumulative monthly dividend to the holders of the Preferred Shares equal to 5.25% per annum (p.a.). The Company aims to provide the holders of the Class A Shares with regular monthly cash distributions of a targeted 6% p.a. of the net asset value (NAV) of the Class A Shares. No distributions will be paid to the Class A Shares if the asset coverage available to the Preferred Shares falls below 1.65 times (x). Furthermore, no special distributions will be paid to the Class A Shares if such payments reduce the Company's NAV to less than $25; however, special distributions may be made to mitigate any potential tax liabilities to the Company.

The Company employs the Strathbridge Selective Overwriting proprietary options strategy to supplement the dividend income earned on the BNS Shares. The Company may also write cash-covered put options on the BNS Shares to generate additional returns. In addition, the Company may invest up to 10% of its net assets to purchase call options in respect of securities in which the Company is permitted to invest.

As of November 14, 2019, the amount of downside protection available to the Preferred Shares was approximately 41.2%. The dividend coverage was approximately 0.40x. The expected average annual grind on the NAV is approximately 2.5% in the next two years. The redemption date for both classes of shares is November 30, 2021. On the redemption date, the holders of the Preferred Shares will have priority over the holders of the Class A Shares with respect to the return of capital and distributions. After the holders of the Preferred Shares are fully paid, the holders of the Class A Shares will receive the remaining value of the Company.

The primary constraints on the rating are the Company's dependence on the value of the BNS Shares, the price volatility and concentration of the entire portfolio in the BNS Shares and the potential impact of changes in The Bank of Nova Scotia's dividend policy on the common shares. Based on these considerations, the amount of downside protection available, the dividend coverage and potential grind on the portfolio, DBRS Morningstar confirmed its rating on the Company's Preferred Shares at Pfd-3.

Notes:

All figures are in Canadian dollars unless otherwise noted.

The principal methodology is Rating Canadian Split Share Companies and Trusts, which can be found on dbrs.com under Methodologies & Criteria.

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.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.

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

DBRS Limited

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Toronto, ON M5H 3M7 Canada

Ratings

Date Issued	Debt Rated	Action	Rating	Trend	Issued

i

US = USA Issued, NRSRO

CA = Canada Issued, NRSRO

EU = EU Issued, NRSRO

E = EU endorsed

Unsolicited Participating With Access

Unsolicited Participating Without Access

Unsolicited Non-Participating

27-Nov-19	Preferred Shares	Confirmed	Pfd-3	--	CA

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