Press Release

Morningstar DBRS Confirms Ratings of Bank of Montreal Global Registered Covered Bonds at AAA

Covered Bonds
March 28, 2024

DBRS Limited (Morningstar DBRS) confirmed the AAA credit ratings of the following outstanding series issued under the Bank of Montreal (Global Registered Covered Bond Program) (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 CBL21
-- Covered Bonds, Series CBL24
-- Covered Bonds, Series CBL25
-- Covered Bonds, Series CBL26
-- Covered Bonds, Series CBL27
-- Covered Bonds, Series CBL28
-- Covered Bonds, Series CBL29
-- Covered Bonds, Series CBL30
-- Covered Bonds, Series CBL31
-- Covered Bonds, Series CBL32
-- Covered Bonds, Series CBL33
-- Covered Bonds, Series CBL34
-- Covered Bonds, Series CBL35
-- Covered Bonds, Series CBL36
-- Covered Bonds, Series CBL37

The confirmations are based on the following analytical considerations:

-- A Covered Bond Attachment Point of AA, which is the Long-Term Senior Debt credit rating of the Bank of Montreal (BMO). BMO 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.
-- 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 7.0% (based on the Asset Percentage of 93.5% as at January 31, 2024) to which Morningstar DBRS 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 Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/427030 (January 23, 2024).

Notes:
The principal methodology applicable to the credit rating is Global Methodology for Rating and Monitoring Covered Bonds (May 8, 2023; https://dbrs.morningstar.com/research/413651).

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

The Morningstar DBRS Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. Morningstar DBRS analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://dbrs.morningstar.com/research/425506.

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@morningstar.com.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit 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-DBRS@morningstar.com.

This credit 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 credit ratings:

The last credit rating action on the Program took place on January 16, 2024, when Morningstar DBRS discontinued its credit rating on the Covered Bonds, Series CBL16 issued under the Program as the series was fully repaid.

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication/. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

Lead Analyst: Jiani Xi, Vice President, Canadian Structured Finance
Rating Committee Chair: Tim O’Neil, Managing Director, Head of Canadian Structured Finance
Initial Rating Date: April 28, 2014

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

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

Predictive model: DBRS Canadian RMBS Model 5.0.0.3
Link: https://dbrs.morningstar.com/models

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/410863.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at Info-DBRS@morningstar.com.

Ratings

  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.