...Rating Rationale: The `AAA' rating on Bank of Montreal's (BMO) registered mortgage covered bonds is based on BMO's long-term issuer default rating (IDR) of `AA¡', the unchanged discontinuity cap (D-Cap) of 3 (moderate-high risk) and the program's contractual asset percentage (AP) of 93.5%, which is in line with Fitch Ratings' 93.5% `AAA' break-even AP. Systemic Alternative Management Drives D-Cap: The D-Cap of 3 (moderate-high risk) is driven by Fitch's assessment of systemic alternative management. The systemic management D-Cap reflects the significant roles being performed post-issuer default by the trustee, acting on behalf of the guarantor, which would likely seek bondholder approval for major decisions. Systemic alternative management is the weakest among the D-Cap components. No IDR Uplift: Since bail-in is not an explicit provision under the current Canadian framework, in Fitch's view, the IDR remains a satisfactory indicator of the likelihood that the recourse against the cover...
