Morningstar DBRS Confirms Credit Ratings of Fortified Trust

DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the outstanding Real Estate Secured Line of Credit-Backed notes (the Notes) issued by Fortified Trust as part of Morningstar DBRS's continued efforts to provide timely credit rating opinions and increased transparency to market participants. The confirmed credit ratings are as follows:

-- Class A Notes, Series 2021-1 at AAA (sf)
-- Class B Notes, Series 2021-1 at AA (high) (sf)
-- Class C Notes, Series 2021-1 at A (high) (sf)

-- Class A Notes, Series 2022-1 at AAA (sf)
-- Class B Notes, Series 2022-1 at AA (high) (sf)
-- Class C Notes, Series 2022-1 at A (high) (sf)

-- Class A Notes, Series 2023-1 at AAA (sf) (together with the Class A Notes, Series 2021-1 and the Class A Notes, Series 2022-1, the Class A Notes)
-- Class B Notes, Series 2023-1 at AA (high) (sf) (together the Class B Notes, Series 2021-1; and the Class B Notes, Series 2022-1, the Class B Notes)
-- Class C Notes, Series 2023-1 at A (high) (sf) (together with the Class C Notes, Series 2021-1; and the Class C Notes, Series 2022-1, the Class C Notes)

The credit rating actions are based on the following factors as of April 2025:

(1) The levels of credit enhancement provided by subordination (3.9% and 1.9% for the Class A Notes and Class B Notes, respectively), the Cash Reserve Account with a current balance of zero, and current excess spread of 1.34% for the Series 2021-1 Notes, 4.05% for the Series 2022-1 Notes and 1.36% for the Series 2023-1, annually. The Cash Reserve Account can build up to 1.35% minus the three-month excess spread if the three-month excess spread falls below 0.95%.

(2) Performance of the underlying collateral remains stable and within expectations, with the monthly payment rate standing at 3.8%. The three-month average net loss ratio was 1 bps as of April 2025.

(3) The Notes benefit from several structural elements typically found in securitizations in Canada that mitigate default risk and the risks related to the credit deterioration of associated counterparties.

(4) The assets in the pool comprise a well-diversified portfolio of home equity line of credit (HELOC) accounts with a minimum of 20% equity in each of the mortgaged properties, which secures the HELOC accounts.

The Bank of Montreal (BMO) is the servicer of the assets in the collateral pool. BMO is one of Canada's largest banks by assets and is currently rated AA/R-1 (high) by Morningstar DBRS.

The performance and characteristics of the collateral pool and the Notes are available and updated each month in the Monthly Canadian ABS Report available at http://dbrs.morningstar.com.

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 Factors in Credit Ratings (May 16, 2025) https://dbrs.morningstar.com/research/454196.

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

The principal methodology applicable to the credit ratings is Master Canadian Structured Finance Surveillance Methodology (June 09, 2025) https://dbrs.morningstar.com/research/455889.

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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 600
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

Rating Canadian Residential Mortgages, Home Equity Lines of Credit and Reverse Mortgages (October 29, 2024)
https://dbrs.morningstar.com/research/441940

Operational Risk Assessments for Canadian Structured Finance (March 28, 2025)
https://dbrs.morningstar.com/research/450831

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.