KEY RATING DRIVERS: BMO's STRUCTURED MORTGAGE COVERED BONDS
The 'AAA' rating of BMO's structured mortgage covered bonds is based on the issuer's Long-term Issuer Default Rating (IDR) of 'AA-', Fitch's Discontinuity Cap (D-Cap) of 3 (moderate high risk) and the program's contractual asset percentage (AP) of 95%, which is equal to the 'AAA' breakeven AP supporting Fitch's rating. The current contractual AP supports the rating on an 'AAA' probability of default (PD) basis.
KEY RATING DRIVERS:
The 'AAA' rating of
RATING SENSITIVITIES: BMO's and
BMO's structured covered bonds' rating would be vulnerable to a downgrade if any of the following occurred: (i) the IDR was downgraded by three notches to 'A-', (ii) the D-Cap fell to 0 (full discontinuity), or (iii) the AP that Fitch takes into account in its analysis exceeded 95%.
For BMO's and
Fitch's breakeven AP for a given covered bond's ratings will be affected by, among other factors, the profile of the cover assets relative to outstanding covered bonds, which can change over time, even in the absence of new issuances. Therefore it cannot be assumed to remain stable over time.
Additional information is available at 'www.fitchratings.com'.
Covered Bonds Rating Criteria (
Counterparty Criteria for Structured Finance and Covered Bonds (
Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (
Covered Bonds Rating Criteria
Counterparty Criteria for Structured Finance and Covered Bonds
Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds
Source: Fitch Ratings
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