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

DBRS Limited (Morningstar DBRS) confirmed the AAA 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:

-- BMO Covered Bonds, Series CBL6
-- BMO Covered Bonds, Series CBL21
-- BMO Covered Bonds, Series CBL24
-- BMO Covered Bonds, Series CBL25
-- BMO Covered Bonds, Series CBL26
-- BMO Covered Bonds, Series CBL27
-- BMO Covered Bonds, Series CBL28
-- BMO Covered Bonds, Series CBL29
-- BMO Covered Bonds, Series CBL30
-- BMO Covered Bonds, Series CBL31
-- BMO Covered Bonds, Series CBL32
-- BMO Covered Bonds, Series CBL33
-- BMO Covered Bonds, Series CBL34
-- BMO Covered Bonds, Series CBL35
-- BMO Covered Bonds, Series CBL36
-- BMO 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 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 February 2025 to which Morningstar DBRS gives credit.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) 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 (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is
Global Methodology for Rating and Monitoring Covered Bonds (April 02, 2024) https://dbrs.morningstar.com/research/430636.

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

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 on dbrs.morningstar.com or by contacting us at info-DBRS@morningstar.com.

These credit ratings are 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 rating action on the Program took place on March 28, 2024, when Morningstar DBRS confirmed the AAA credit ratings of the covered bonds issued under the Program.

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: Clara Vargas, Senior Vice President, Sector Lead,
Rating Committee Chair: Tim O'Neil, Managing Director,
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.

Legal and Derivatives Criteria for Canadian Structured Finance (August 12, 2024)
https://dbrs.morningstar.com/research/437761

Operational Risk Assessments for Canadian Structured Finance (August 06, 2024)
https://dbrs.morningstar.com/research/437547

DBRS Canadian RMBS Model 5.0.1.1
https://dbrs.morningstar.com/models

A description of how Morningstar DBRS analyses 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 dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.