DBRS Morningstar Assigns AAA Rating to BMO Global Registered Covered Bonds Series CBL25.
ENPNewswire-September 16, 2021--DBRS Morningstar Assigns AAA Rating to BMO Global Registered Covered Bonds Series CBL25
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Release date- 15092021 - DBRS Limited (DBRS Morningstar) assigned a rating of AAA to the Covered Bonds, Series CBL25 (Series CBL25) issued under the Bank of Montreal (Global Registered Covered Bond Program) (the Program).
The Series CBL25 (GBP 1.5 billion) covered bonds have a coupon rate of Compounded Daily SONIA (Sterling Overnight Index Average) + 1.00% and a maturity date of September 15, 2026. All covered bonds issued under the Program (the Covered Bonds) rank pari passu with each other and are currently rated AAA by DBRS Morningstar.
The AAA ratings 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 (low).
An LSF-Implied Likelihood (LSF-L) of AA (high).
A one-notch uplift from the LSF-L for high recovery prospects to achieve the AAA ratings.
A level of overcollateralization (OC) of 7.0% (based on the Asset Percentage of 93.5% as at July 31, 2021) to which DBRS Morningstar gives credit.
DBRS Morningstar considered the following factors in its analysis described above, each of which include additional analysis and, where appropriate, adjustments to expected performance assumptions as a result of the global efforts to contain the spread of the Coronavirus Disease (COVID-19). For the ratings assigned, DBRS Morningstar's analysis considered the baseline macroeconomic scenarios for rated sovereign economies, available in its commentary 'Baseline Macroeconomic Scenarios For Rated Sovereigns,' published on September 8, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect DBRS Morningstar's view that, although the coronavirus remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded. Current median forecasts considered in the baseline macroeconomic scenarios incorporate some risks associated with further outbreaks, but they remain fairly positive on recovery prospects given...
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