AA (sf) to the Mortgage-Backed Certificates, Class B (the Class
A (sf) to the Mortgage-Backed Certificates, Class C (the Class
BBB (sf) to the Mortgage-Backed Certificates, Class D (the Class
BB (sf) to the Mortgage-Backed Certificates, Class E (the Class
B (sf) to the Mortgage-Backed Certificates, Class F (the Class
The ratings assigned to the Class A Certificates, the Class VFC Certificates (together, the Senior Principal Certificates), the Class
The Mortgage-Backed Certificates, Series 2020-1, Class G (the Class
The ratings incorporate the following considerations:
(1) The level of credit enhancement provided by subordination is commensurate with the respective rating levels of each class of Rated Certificates.
(2) The collateral comprises a pool of approximately$688.3 million first-lien fixed-rate prime conventional Canadian residential mortgages underwritten to TheToronto-Dominion Bank's (TD Bank ; rated AA (high)/R-1 (high) with Stable trends by DBRS Morningstar) third party lender underwriting policies and compliant with the Office of the Superintendentof Financial Institutions' Guideline B-20 , with a weighted-average loan-to-value (LTV) ratio of 69.7% and a weighted-average credit score of 793, in each case, as of the Cut-Off Date.
(3)TD Securities Inc. (TDSI), a wholly owned subsidiary ofTD Bank , is the Seller and Master Servicer and provides representations and warranties and is ultimately responsible for all the servicing obligations of the mortgages. BothFirst National Financial LP andCMLS Financial Ltd. , acting as Sub-Servicers, have extensive servicing experience in the Canadian residential mortgage market.
(4) A bankruptcy-remote structure with swap arrangements to mitigate interest rate mismatch and negative carry risk and a highly-rated Class VFC Committed Purchaser to fully repay the Class A Certificates on the Targeted Final Distribution Date.
DBRS Morningstar uses the Canadian residential mortgage-backed securities (RMBS) model that calculates estimated default frequency (more than 90 days in arrears), loss severity and expected loss on a loan-level basis. The RMBS model output does not include the risk of mortgage default at maturity (i.e., balloon risk). DBRS Morningstar views balloon risk for prime mortgages to be small and the program documents incorporate renewal and extension features that reduce the balloon risk. If a Mortgage Loan is renewed by the Seller (or the related Originator), including loans that are renewed prior to their maturity date, the Seller is obligated to purchase (or cause the related Originator to purchase) such Mortgage Loan on its maturity date. If the Seller (or the related Originator) does not offer to renew a performing mortgage (at a rate consistent with Seller's or related Originator's then-prevailing posted mortgage rates) and the mortgage has not been renewed by any other lender prior to its maturity date, the Master Servicer (including a Replacement Master Servicer) will extend the maturity date up to five years (to no later than the Rated Final Distribution Date) at a rate equal to the greater of (1) the Master Servicer's then-prevailing posted rate and (2) the mortgage rate that was in effect prior to extension, in order to prevent the mortgage from becoming delinquent or defaulted at maturity. To assess balloon risk, DBRS Morningstar nevertheless considers the probability of no lender liquidity at the end of the loan tenure and a hypothetical percentage of loan defaults as a result of non-renewal. The balloon risk is in addition to the credit risk estimated by the RMBS model. When determining the loss severity of loans that default as a result of non-renewal, since such borrowers have been current on their mortgage payments and the timing of default is known, DBRS Morningstar considers scheduled mortgage payments and a certain level of house price appreciation during the mortgage term.
With the RMBS model results and adjustment for balloon risk, DBRS Morningstar runs a proprietary cash flow engine that incorporates the transaction structure and assumptions for timing of default, interest rates and prepayments. The result was that the Rated Certificates (excluding the Class
The Seller and Master Servicer, TDSI, is a wholly owned subsidiary of
The rating assigned to the Class
Notes:
All figures are in Canadian dollars unless otherwise noted.
The principal methodology is Rating Canadian Residential Mortgages, Home Equity Lines of Credit and Reverse Mortgages (
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.
Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.
The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.
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
11-Feb-20 Mortgage-Backed Certificates, Series 2020-1, Class A Provis.-NewAAA (sf) Stb CA
11-Feb-20 Mortgage-Backed Certificates, Series 2020-1, Class IO Provis.-NewAAA (sf) Stb CA
11-Feb-20 Mortgage-Backed Certificates, Series 2020-1, Class VFC Provis.-NewAAA (sf) Stb CA
11-Feb-20 Mortgage-Backed Certificates, Series 2020-1, Class B Provis.-New AA (sf) Stb CA
11-Feb-20 Mortgage-Backed Certificates, Series 2020-1, Class C Provis.-New A (sf) Stb CA
11-Feb-20 Mortgage-Backed Certificates, Series 2020-1, Class D Provis.-New BBB (sf) Stb CA
11-Feb-20 Mortgage-Backed Certificates, Series 2020-1, Class E Provis.-New BB (sf) Stb CA
11-Feb-20 Mortgage-Backed Certificates, Series 2020-1, Class F Provis.-New B (sf) Stb CA
ALL DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.
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