Investor Report

To view this report in PDF, please click on the following link:

http://www.rns-pdf.londonstockexchange.com/rns/9149X_-2017-11-29.pdf 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
This report contains information regarding assets pledged as security (the Cover Pool) in respect of the obligations under the Covered Bonds issued under RBC's Global Covered Bond Programme as of the indicated Calculation Date.  The composition of the Cover Pool will change as Loans are added and removed from the Cover Pool from time to time and, accordingly, the characteristics and performance of the Loans in the Cover Pool will vary over time.  Certain of the information set forth in this report, including credit bureau scores, current ratings and "The Teranet-National Bank House Price Index™" Methodology has been obtained from and is based upon sources believed by RBC and the Guarantor LP to be accurate, however, neither RBC nor the Guarantor LP makes any representation or warranty, express or implied, in relation to the accuracy, completeness or reliability of such information or assumes any liability for any errors or any reliance you place on such information.  Past performance should not be taken as an indication or guarantee of future performance, and no representation or warranty, express or implied, is made regarding future performance.  The information contained in this report does not constitute an invitation or recommendation to invest or otherwise deal in, or an offer to sell or the solicitation of an offer to buy or subscribe for, any security, which will be made only by a prospectus or otherwise in accordance with applicable securities laws.  Reliance should not be placed on the information herein when making any decision to buy, hold or sell any security or for any other purpose.
THESE COVERED BONDS HAVE NOT BEEN APPROVED OR DISAPPROVED BY CANADA MORTGAGE HOUSING CORPORATION (CMHC) NOR HAS CMHC PASSED UPON THE ACCURACY OR ADEQUACY OF THIS REPORT. THE COVERED BONDS ARE NOT INSURED OR GUARANTEED BY CMHC OR THE GOVERNMENT OF CANADA OR ANY OTHER AGENCY THEREOF.
The Cover Pool is owned by RBC Covered Bond Guarantor Limited Partnership (Guarantor LP), which has no liabilities or claims outstanding against it other than those relating to the RBC Covered Bond Programme. Please click on the link below for additional information about the RBC Covered Bond Programme and the information contained herein. For the meaning of capitalized terms used and not otherwise defined in this report, click the following link
and go to the Glossary tab in the Monthly Investor Report section:           http://www.rbc.com/investorrelations/fixed_income/covered-bonds-terms.html
In this report, currency amounts are stated in Canadian dollars ("$"), unless otherwise specified.
Programme Information
Outstanding Covered Bonds
Initial C$ Final
Series Principal Amount Translation Rate Equivalent Maturity Date(1) Interest Basis Rate Type
CB2 € 1,250,000,000 1.5070000 C$/€ $1,883,750,000 1/22/2018 4.625% Fixed
CB6 $1,100,000,000 N/A $1,100,000,000 3/30/2018 3.770% Fixed
CB7 CHF 500,000,000 1.1149700 C$/CHF $557,485,000 4/21/2021 2.250% Fixed
CB11 € 2,000,000,000 1.3650000 C$/€ $2,730,000,000 8/4/2020 1.625% Fixed
CB13 US$2,000,000,000 1.0300000 C$/US$ $2,060,000,000 10/1/2018 2.000% Fixed
CB14 € 1,500,000,000 1.4175000 C$/€ $2,126,250,000 10/29/2018 1.250% Fixed
CB15 € 1,000,000,000 1.4694000 C$/€ $1,469,400,000 6/19/2019 0.750% Fixed
CB16 AU$750,000,000 1.0024000 C$/AU$ $751,800,000 9/23/2019 3 month BBSW +0.57% Floating
CB17 US$1,750,000,000 1.0972000 C$/US$ $1,920,100,000 9/23/2019 2.200% Fixed
CB18 US$2,000,000,000 1.2520000 C$/US$ $2,504,000,000 2/5/2020 1.875% Fixed
CB19 $1,500,000,000 N/A $1,500,000,000 3/23/2020 3 month BA +0.36% Floating
CB20 $700,000,000 N/A $700,000,000 3/23/2020 1.590% Fixed
CB21 € 1,000,000,000 1.3870000 C$/€ $1,387,000,000 6/17/2022 0.875% Fixed
CB22 € 279,500,000 1.4017000 C$/€ $391,775,150 7/21/2031 1.652% Fixed
CB23 £400,000,000 1.9872000 C$/£ $794,880,000 7/20/2018 3 month £ Libor +0.28% Floating
CB24 US$500,000,000 1.2986000 C$/US$ $649,300,000 7/23/2018 3 month USD LIBOR +0.30% Floating
CB25 € 1,250,000,000 1.4899000 C$/€ $1,862,375,000 12/16/2020 0.500% Fixed
CB26 US$1,750,000,000 1.3027000 C$/US$ $2,279,725,000 10/14/2020 2.100% Fixed
CB27 € 410,500,000 1.4525000 C$/€ $596,234,800 12/15/2034 1.616% Fixed
CB28 € 100,000,000 1.5370000 C$/€ $153,700,000 1/14/2036 1.625% Fixed
CB29 £350,000,000 1.8915000 C$/£ $662,025,000 3/11/2019 3 month £ Libor +0.50% Floating
CB30 € 1,500,000,000 1.4808000 C$/€ $2,221,200,000 3/11/2021 0.125% Fixed
CB31 US$1,750,000,000 1.3266000 C$/US$ $2,321,550,000 3/22/2021 2.300% Fixed
CB32 $2,000,000,000 N/A $2,000,000,000 4/26/2019 1.400% Fixed
CB33 £100,000,000 1.7199000 C$/£ $171,990,000 9/14/2021 3 month £ ICE Libor +0.40% Floating
CB34 £500,000,000 1.6401000 C$/£ $820,050,000 12/22/2021 1.125% Fixed
Total $35,614,589,950
OSFI Covered Bond Limit $45,271,803,240
Weighted average maturity of Outstanding Covered Bonds (months) 32.74
Weighted average remaining term of Loans in Cover Pool (months) 25.25
Series Ratings Moody's DBRS Fitch
CB2 Aaa AAA AAA
CB6 Aaa AAA AAA
CB7 Aaa AAA AAA
CB11 Aaa AAA AAA
CB13 Aaa AAA AAA
CB14 Aaa AAA AAA
CB15 Aaa AAA AAA
CB16 Aaa AAA AAA
CB17 Aaa AAA AAA
CB18 Aaa AAA AAA
CB19 Aaa AAA AAA
CB20 Aaa AAA AAA
CB21 Aaa AAA AAA
CB22 Aaa AAA AAA
CB23 Aaa AAA AAA
CB24 Aaa AAA AAA
CB25 Aaa AAA AAA
CB26 Aaa AAA AAA
CB27 Aaa AAA AAA
CB28 Aaa AAA AAA
CB29 Aaa AAA AAA
CB30 Aaa AAA AAA
CB31 Aaa AAA AAA
CB32 Aaa AAA AAA
CB33 Aaa AAA AAA
CB34 Aaa AAA AAA
(1) An Extended Due for Payment Date twelve-months after the Final Maturity Date has been specified in the Final Terms of each Series. The Interest Basis specified in this report in respect of each Series applies until the Final Maturity Date for the relevant Series following which the floating rate of interest specified in the Final Terms of each Series is payable monthly in arrears from the Final Maturity Date to but excluding the Extended Due for Payment Date.
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 1 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Supplementary Information
Parties to RBC Global Covered Bond Programme
Issuer Royal Bank of Canada
Guarantor entity RBC Covered Bond Guarantor Limited Partnership
Servicer & Cash Manager Royal Bank of Canada
Swap Providers Royal Bank of Canada
Covered Bond Trustee & Custodian Computershare Trust Company of Canada
Asset Monitor PricewaterhouseCoopers LLP
Account Bank & GDA Provider Royal Bank of Canada
Standby Account Bank & GDA Provider Bank of Montreal
Paying Agent(1) The Bank of New York Mellon
(1) The Paying Agent in respect of Series CB7 is Credit Suisse AG.  The Paying Agent in respect of Series CB6, Series CB19, Series CB20 and Series CB32 is Royal Bank of Canada.
Royal Bank of Canada's Ratings(1)
Moody's DBRS Fitch
Senior Debt / Long-Term Issuer Default Rating (Fitch) A1 AA AA
Short-Term Debt / Short-Term Issuer Default Rating (Fitch) P-1 R-1 (high) F1+
Deposit Rating ("dr") (Short-Term/Long-Term) P-1 (dr) / A1 (dr) n/a *
Counterparty Risk Assessment (Short-Term/Long-Term) P-1 (cr) / Aa3 (cr) n/a n/a
Derivative Counterparty Rating (Short-Term/Long-Term) n/a n/a *
Rating Outlook Negative Stable Stable
Applicable Ratings of Standby Account Bank & Standby GDA Provider(1)
Moody's DBRS Fitch
Senior Debt / Long-Term Issuer Default Rating (Fitch) A1 AA AA-
Short-Term Debt / Short-Term Issuer Default Rating (Fitch) P-1 R-1 (high) F1+
Deposit Rating (Short-Term/Long-Term) P-1 (dr) / A1 (dr) n/a *
Description of Ratings Triggers(2) (3)
A. Party Replacement
If the rating(s) of the Party falls below the level stipulated below, such party is required to be replaced or in the case of the Swap Providers (i) transfer credit support and (ii) replace itself or obtain a guarantee for its obligations.
Role (Current Party) Moody's DBRS Fitch
Account Bank/GDA Provider (RBC) P-1 (dr) & A2 (dr) R-1 (low) & A F1 & A-(4)
Standby Account Bank/GDA Provider (BMO) P-1 (dr) & A2 (dr) R-1 (low) & A F1 & A-(4)
Cash Manager (RBC) P-2 (cr) BBB (low) (long) F2 & BBB+(5)
Servicer (RBC) Baa3 (cr) BBB (low) (long) F2 & BBB+(5)
Interest Rate Swap Provider (RBC) P-2 (cr) & A3 (cr) R-2 (middle) & BBB F2 & BBB+(5)
Covered Bond Swap Provider (RBC) P-2 (cr) & A3 (cr) R-2 (middle) & BBB F2 & BBB+(5)
B. Specified Rating Related Action
i. The following actions are required if the rating of the Cash Manager (RBC) falls below the stipulated rating
Moody's DBRS Fitch
(a) Asset Monitor is required to verify the Cash Manager's calculations of the Asset Coverage/Amortization test on each Calculation Date Baa3 (cr) n/a BBB (long)(5)
(b) Amounts received by the Cash Manager are required to be deposited directly into the Transaction Account P-1 (dr) BBB (low) F1 & A-(4)
(c) Amounts received by the Servicer are to be deposited directly to the GIC Account and not provided to the Cash Manager P-1 (dr) BBB (low) F1 & A-(4)
ii. The following actions are required if the rating of the Servicer (RBC) falls below the stipulated rating
Moody's DBRS Fitch
a) Servicer is required to hold amounts received in a separate account and transfer them to the Cash Manager or GIC Account, as applicable, within 2  business days P-1 (dr) BBB (low) F1 & A-(4)
iii. The following actions are required if the rating of the Issuer (RBC) falls below the stipulated rating
Moody's DBRS Fitch
(a) Establishment of the Reserve Fund P-1(cr) R-1 (mid) & A (low) F1 & A-(4)
iv. The following actions are required if the rating of the Issuer (RBC) falls below the stipulated rating
Moody's DBRS Fitch
(a) Cash flows will be exchanged under the Covered Bond Swap Agreement (to the extent not already occurring) except as otherwise provided in the Covered Bond Swap Agreement Baa1 (long)(6) BBB (high) (long) BBB+ (long)(6)
v. Each Swap Provider is required to replace itself, transfer credit support or obtain a guarantee of its obligations if the rating of such Swap Provider falls below the specified rating
Moody's DBRS Fitch
(a) Interest Rate Swap Provider P-1 (cr) & A2 (cr) R-1 (low) & A F1 & A-(5)
(b) Covered Bond Swap Provider P-1 (cr) & A2 (cr) R-1 (low) & A F1 & A-(5)
Events of Default & Triggers
Asset Coverage Test (C$ Equivalent of Outstanding Covered Bonds < Adjusted Aggregate Asset Amount) Pass
Issuer Event of Default No
Guarantor LP Event of Default No
(1) "*" indicates that Fitch has not yet assigned the relevant rating or assessement.
(2) Where one rating or assessment is expressed, unless otherwise specified, such rating or assessment is short-term. Where two ratings or assessments are expressed, the first is short-term and the second is long-term. Unless otherwise specified, ratings or assessments are in respect of Senior Debt (or the Long-Term Issuer Default Rating in the case of Fitch) and Short-Term Debt (or the Short-Term Issuer Default Rating in the case of Fitch). Where two ratings or assessments are listed in respect of a relevant action, the action is required to be taken where the rating or assessment of the relvevant party falls below both such ratings or assessments.
(3) The discretion of the Guarantor LP to waive a required action upon a Rating Trigger may be limited by the terms of the Transaction Documents.
(4) These ratings will be in respect of deposit ratings from Fitch following Fitch having assigned deposit ratings to the relevant party.
(5) These ratings will be in respect of Derivative Counterparty Ratings from Fitch and include the (dcr) reference following Fitch having assigned Derivative Counterparty Ratings to the relevant party.
(6) Following the date the final Government of Canada regulations of the Covered Bond Swap Provider's bank recapitalization or "bail-in" regime" come into force, the Moody's assessment will be Baa1(cr) and, if at such time, Fitch has assigned Derivative Counterparty Ratings to the Covered Bond Swap Provider, the Fitch rating will be BBB+(dcr).
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 2 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Asset Coverage Test
C$ Equivalent of Outstanding Covered Bonds $35,614,589,950
A = lower of (i) LTV Adjusted True Balance, and $48,829,744,433 A (i)                                           52,505,083,026.78
(ii) Asset Percentage Adjusted True Balance, as adjusted A (ii)                                           48,829,744,432.91
B = Principal Receipts - Asset Percentage: 93.00%
C = Cash Capital Contributions - Maximum Asset Percentage: 93.00%
D = Substitute Assets -
E = Reserve Fund balance -
F = Negative Carry Factor calculation $507,367,698
Adjusted Aggregate Asset Amount (Total: A + B + C + D + E - F) $48,322,376,735
Valuation Calculation
Trading Value of Covered Bonds $37,115,503,343
A = LTV Adjusted Present Value $52,113,224,825 Weighted Average Effective Yield
of Performing Eligible Loans: 3.25%
B = Principal Receipts -
C = Cash Capital Contributions
D = Trading Value of Substitute Assets -
E = Reserve Fund Balance -
F = Trading Value of Swap Collateral -
Present Value Adjusted Aggregate Asset Amount (Total: A + B + C + D + E + F) $52,113,224,825
Intercompany Loan Balance
Guarantee Loan $38,495,758,639
Demand Loan $13,991,390,201
Total $52,487,148,841
Cover Pool Losses
                    
Period End Write-off Amounts Loss Percentage (Annualized)
October 31, 2017 $995,650 0.02%
Cover Pool Flow of Funds
31-Oct-2017 29-Sep-2017
Cash Inflows
Principal Receipts $969,775,080 $1,055,939,074
Proceeds for sale of Loans $0    $0   
Draw on Intercompany Loan $0 $0
Revenue Receipts $125,032,310 $122,014,088
Swap receipts $114,188,309 (1)  $110,893,181 (2) 
Cash Outflows
Swap payment ($125,032,310) (1)  ($122,014,088) (2) 
Swap Breakage Fee $0    $0   
Intercompany Loan interest ($113,959,932) (1)  ($110,671,395) (2) 
Intercompany Loan principal ($969,775,080) (1)  ($1,055,939,074) (2) 
Purchase of Loans $0    $0   
Net inflows/(outflows) $228,377 $221,786
(1) Cash settlement to occur on November 17, 2017
(2) Cash settlement occurred on October 17, 2017
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 3 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Cover Pool Summary Statistics
Previous Month Ending Balance $53,487,386,158
Current Month Ending Balance $52,516,615,427
Number of Mortgages in Pool 338,828
Average Mortgage Size $154,995
Ten Largest Mortgages as a % of Current Month Ending Balance 0.05%
Number of Properties 260,973
Number of Borrowers 253,738
Original (1)  Indexed(2)
Weighted Average LTV - Authorized 70.49% 51.61%
Weighted Average LTV - Drawn 60.76% 44.73%
Weighted Average LTV - Original Authorized 72.83%
Weighted Average Mortgage Rate 2.73%
Weighted Average Seasoning (Months) 27.26
Weighted Average Original Term (Months) 52.51
Weighted Average Remaining Term (Months) 25.25
(1) Value as most recently determined or assessed in accordance with the underwriting policies (whether upon origination or renewal of the Eligible Loan or subsequently thereto).
(2) Value as determined by adjusting, not less than quarterly, the Original Market Value for each Property subject to the Related Security in respect of a Loan utilizing the Housing Price Index Methodology for subsequent price developments. See Appendix under "Housing Price Index Methodology" for details.
Disclaimer: Due to rounding, numbers presented in the following distribution tables may not add up precisely to the totals provided and percentages may not precisely reflect the absolute figures.
Cover Pool Delinquency Distribution
Aging Summary Number of Loans Percentage Principal Balance Percentage
Current and less than 30 days past due 338,145 99.80 $52,407,257,836 99.79
30 to 59 days past due 262 0.08 $43,455,778 0.08
60 to 89 days past due 104 0.03 $15,721,649 0.03
90 or more days past due 317 0.09 $50,180,164 0.10
Total 338,828 100.00 $52,516,615,427 100.00
Cover Pool Provincial Distribution
Province Number of Loans Percentage Principal Balance Percentage
Alberta 40,983 12.10 $7,088,742,326 13.50
British Columbia 61,671 18.20 $12,068,101,392 22.98
Manitoba 13,565 4.00 $1,522,693,133 2.90
New Brunswick 6,346 1.87 $526,772,114 1.00
Newfoundland and Labrador 4,064 1.20 $482,405,300 0.92
Northwest Territories 33 0.01 $4,352,895 0.01
Nova Scotia 10,065 2.97 $985,888,845 1.88
Nunavut 2 0.00 $50,414 0.00
Ontario 137,488 40.58 $22,587,000,584 43.01
Prince Edward Island 1,240 0.37 $109,506,971 0.21
Quebec 51,329 15.15 $5,589,702,651 10.64
Saskatchewan 11,894 3.51 $1,525,907,187 2.91
Yukon 148 0.04 $25,491,615 0.05
Total 338,828 100.00 $52,516,615,427 100.00
Cover Pool Credit Bureau Score Distribution
Credit Bureau Score Number of Loans Percentage Principal Balance Percentage
Score Unavailable 196 0.06 $25,571,339 0.05
499 and below 976 0.29 $138,024,371 0.26
500 - 539 834 0.25 $125,205,527 0.24
540 - 559 651 0.19 $95,177,721 0.18
560 - 579 896 0.26 $139,434,589 0.27
580 - 599 1,394 0.41 $222,199,755 0.42
600 - 619 2,297 0.68 $363,099,824 0.69
620 - 639 3,607 1.06 $601,317,469 1.15
640 - 659 5,810 1.71 $965,112,563 1.84
660 - 679 9,159 2.70 $1,499,144,069 2.85
680 - 699 12,891 3.80 $2,124,572,366 4.05
700 - 719 16,972 5.01 $2,794,691,984 5.32
720 - 739 19,262 5.68 $3,161,492,946 6.02
740 - 759 21,211 6.26 $3,435,889,001 6.54
760 - 779 23,858 7.04 $3,993,584,595 7.60
780 - 799 28,005 8.27 $4,626,686,470 8.81
800 and above 190,809 56.31 $28,205,410,841 53.71
Total 338,828 100.00 $52,516,615,427 100.00
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 4 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Cover Pool Rate Type Distribution
Rate Type Number of Loans Percentage Principal Balance Percentage
Fixed 248,375 73.30 $36,967,463,704 70.39
Variable 90,453 26.70 $15,549,151,723 29.61
Total 338,828 100.00 $52,516,615,427 100.00
Mortgage Asset Type Distribution
Number of Loans Percentage Principal Balance Percentage
Conventional Mortgage 54,334 16.04 $10,222,848,332 19.47
Homeline Mortgage Segment 284,494 83.96 $42,293,767,096 80.53
Total 338,828 100.00 $52,516,615,427 100.00
Cover Pool Occupancy Type Distribution
Occupancy Type Number of Loans Percentage Principal Balance Percentage
Not Owner Occupied 28,866 8.52 $4,557,208,310 8.68
Owner Occupied 309,962 91.48 $47,959,407,118 91.32
Total 338,828 100.00 $52,516,615,427 100.00
Cover Pool Mortgage Rate Distribution
Mortgage Rate (%) Number of Loans Percentage Principal Balance Percentage
1.9999% and below 945 0.28 $184,022,715 0.35
2.0000% - 2.4999% 66,045 19.49 $10,931,988,980 20.82
2.5000% - 2.9999% 221,744 65.44 $35,596,579,326 67.78
3.0000% - 3.4999% 31,682 9.35 $3,755,452,676 7.15
3.5000% - 3.9999% 10,591 3.13 $1,185,587,521 2.26
4.0000% - 4.4999% 3,712 1.10 $418,071,184 0.80
4.5000% - 4.9999% 2,313 0.68 $267,312,143 0.51
5.0000% - 5.4999% 195 0.06 $18,886,412 0.04
5.5000% - 5.9999% 60 0.02 $5,556,145 0.01
6.0000% - 6.4999% 30 0.01 $3,254,544 0.01
6.5000% - 6.9999% 15 0.00 $1,638,726 0.00
7.0000% and above 1,496 0.44 $148,265,056 0.28
Total 338,828 100.00 $52,516,615,427 100.00
Cover Pool Remaining Term Distribution
Remaining Term (Months) Number of Loans Percentage Principal Balance Percentage
Less than 12.00 85,942 25.36 $12,900,017,388 24.56
12.00 - 23.99 81,627 24.09 $12,271,821,950 23.37
24.00 - 35.99 86,679 25.58 $13,595,197,427 25.89
36.00 - 47.99 56,156 16.57 $9,162,693,828 17.45
48.00 - 59.99 26,254 7.75 $4,258,303,909 8.11
60.00 - 71.99 1,668 0.49 $253,448,788 0.48
72.00 - 83.99 221 0.07 $31,035,838 0.06
84.00 - 119.99 278 0.08 $43,598,863 0.08
120.00 and above 3 0.00 $497,437 0.00
Total 338,828 100.00 $52,516,615,427 100.00
Cover Pool Loan Seasoning
Loan Seasoning (Months) Number of Loans Percentage Principal Balance Percentage
Less than 12.00 57,818 17.06 $8,961,868,216 17.06
12.00 - 23.99 91,555 27.02 $14,557,136,476 27.72
24.00 - 35.99 82,812 24.44 $12,918,249,712 24.60
36.00 - 59.99 102,101 30.13 $15,608,239,950 29.72
60.00 and above 4,542 1.34 $471,121,073 0.90
Total 338,828 100.00 $52,516,615,427 100.00
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 5 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Cover Pool Range of Remaining Principal Balance
Range of Remaining Principal Balance Number of Loans Percentage Principal Balance Percentage
99,999 and below 146,791 43.32 $7,526,267,239 14.33
100,000 - 149,999 58,688 17.32 $7,275,045,555 13.85
150,000 - 199,999 44,578 13.16 $7,742,797,782 14.74
200,000 - 249,999 30,334 8.95 $6,779,859,039 12.91
250,000 - 299,999 20,061 5.92 $5,482,057,440 10.44
300,000 - 349,999 12,408 3.66 $4,009,620,757 7.63
350,000 - 399,999 8,069 2.38 $3,010,013,425 5.73
400,000 - 449,999 5,190 1.53 $2,197,680,278 4.18
450,000 - 499,999 3,379 1.00 $1,598,821,070 3.04
500,000 - 549,999 2,234 0.66 $1,168,955,097 2.23
550,000 - 599,999 1,561 0.46 $894,741,719 1.70
600,000 - 649,999 1,147 0.34 $715,694,596 1.36
650,000 - 699,999 817 0.24 $550,952,431 1.05
700,000 - 749,999 632 0.19 $457,952,078 0.87
750,000 - 799,999 495 0.15 $382,710,295 0.73
800,000 - 849,999 399 0.12 $328,753,405 0.63
850,000 - 899,999 353 0.10 $308,237,595 0.59
900,000 - 949,999 300 0.09 $277,321,846 0.53
950,000 - 999,999 220 0.06 $214,604,958 0.41
1,000,000 and above 1,172 0.35 $1,594,528,822 3.04
Total 338,828 100.00 $52,516,615,427 100.00
Cover Pool Property Type Distribution
Property Type Number of Loans Percentage Principal Balance Percentage
Apartment (Condominium) 30,259 8.93 $4,459,816,520 8.49
Detached 274,874 81.12 $42,703,900,207 81.32
Duplex 4,324 1.28 $610,966,407 1.16
Fourplex 1,069 0.32 $190,341,334 0.36
Other 837 0.25 $124,147,841 0.24
Row (Townhouse) 14,381 4.24 $2,299,936,249 4.38
Semi-detached 12,005 3.54 $1,958,781,270 3.73
Triplex 1,079 0.32 $168,725,600 0.32
Total 338,828 100.00 $52,516,615,427 100.00
Cover Pool Indexed LTV - Authorized Distribution
Indexed LTV (%) Number of Properties Percentage Principal Balance Percentage
20.00 and below 15,053 5.77 $1,046,283,658 1.99
20.01 - 25.00 6,502 2.49 $859,256,355 1.64
25.01 - 30.00 9,852 3.78 $1,559,257,282 2.97
30.01 - 35.00 16,198 6.21 $2,914,769,087 5.55
35.01 - 40.00 22,967 8.80 $4,588,477,914 8.74
40.01 - 45.00 27,700 10.61 $6,323,615,133 12.04
45.01 - 50.00 36,501 13.99 $7,834,027,102 14.92
50.01 - 55.00 31,729 12.16 $6,929,641,956 13.20
55.01 - 60.00 27,056 10.37 $5,735,155,593 10.92
60.01 - 65.00 19,609 7.51 $4,086,779,527 7.78
65.01 - 70.00 14,282 5.47 $3,134,331,256 5.97
70.01 - 75.00 18,573 7.12 $4,059,567,455 7.73
75.01 - 80.00 11,926 4.57 $2,748,211,633 5.23
 > 80.00 3,025 1.16 $697,241,477 1.33
Total 260,973 100.00 $52,516,615,427 100.00
Cover Pool Indexed LTV - Drawn Distribution
Indexed LTV (%) Number of Properties Percentage Principal Balance Percentage
20.00 and below 44,207 16.94 $3,649,886,240 6.95
20.01 - 25.00 16,784 6.43 $2,523,106,878 4.80
25.01 - 30.00 19,126 7.33 $3,480,243,119 6.63
30.01 - 35.00 22,355 8.57 $4,701,543,032 8.95
35.01 - 40.00 24,552 9.41 $5,733,389,911 10.92
40.01 - 45.00 26,580 10.18 $6,483,642,732 12.35
45.01 - 50.00 27,197 10.42 $6,585,484,164 12.54
50.01 - 55.00 22,975 8.80 $5,489,530,394 10.45
55.01 - 60.00 18,519 7.10 $4,359,534,393 8.30
60.01 - 65.00 12,655 4.85 $3,067,178,639 5.84
65.01 - 70.00 11,435 4.38 $2,828,974,332 5.39
70.01 - 75.00 9,945 3.81 $2,440,595,913 4.65
75.01 - 80.00 4,103 1.57 $1,040,980,980 1.98
 > 80.00 540 0.21 $132,524,701 0.25
Total 260,973 100.00 $52,516,615,427 100.00
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 6 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Provincial Distribution by Indexed LTV - Drawn and Aging Summary
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Alberta 20.00 and below $238,453,816 $0 $354,294 $61,805 $238,869,914
20.01 - 25.00 $159,227,425 $121,299 $94,871 $296,807 $159,740,403
25.01 - 30.00 $220,045,606 $0 $141,831 $225,420 $220,412,857
30.01 - 35.00 $286,419,320 $0 $0 $962,686 $287,382,006
35.01 - 40.00 $376,511,862 $956,459 $0 $618,259 $378,086,581
40.01 - 45.00 $460,293,882 $404,034 $47,976 $4,371,622 $465,117,514
45.01 - 50.00 $611,729,769 $1,432,290 $481,132 $1,336,841 $614,980,031
50.01 - 55.00 $708,937,979 $704,522 $917,598 $414,081 $710,974,180
55.01 - 60.00 $812,096,291 $2,333,859 $374,413 $1,693,259 $816,497,822
60.01 - 65.00 $836,935,169 $1,239,682 $1,134,330 $3,438,329 $842,747,510
65.01 - 70.00 $864,619,937 $731,593 $190,351 $1,448,186 $866,990,066
70.01 - 75.00 $866,170,081 $450,599 $1,139,088 $2,573,125 $870,332,894
75.01 - 80.00 $547,552,773 $582,656 $825,033 $1,430,500 $550,390,962
 > 80.00 $66,098,476 $0 $121,110 $0 $66,219,585
Total Alberta $7,055,092,386 $8,956,992 $5,822,026 $18,870,922 $7,088,742,326
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
British Columbia 20.00 and below $1,236,296,095 $915,079 $0 $57,037 $1,237,268,211
20.01 - 25.00 $822,969,339 $303,520 $142,796 $98,958 $823,514,613
25.01 - 30.00 $1,117,072,312 $824,826 $0 $471,251 $1,118,368,389
30.01 - 35.00 $1,503,466,654 $435,115 $661,961 $1,922,112 $1,506,485,841
35.01 - 40.00 $1,845,870,770 $2,018,073 $308,329 $199,670 $1,848,396,842
40.01 - 45.00 $1,871,777,168 $1,635,143 $368,153 $2,911,601 $1,876,692,065
45.01 - 50.00 $1,584,624,700 $977,655 $0 $1,293,540 $1,586,895,895
50.01 - 55.00 $1,014,359,827 $392,997 $0 $765,525 $1,015,518,349
55.01 - 60.00 $560,428,312 $224,732 $0 $84,833 $560,737,876
60.01 - 65.00 $259,788,957 $0 $0 $0 $259,788,957
65.01 - 70.00 $171,111,985 $0 $0 $0 $171,111,985
70.01 - 75.00 $53,169,516 $0 $0 $0 $53,169,516
75.01 - 80.00 $8,015,028 $0 $0 $0 $8,015,028
 > 80.00 $2,137,825 $0 $0 $0 $2,137,825
Total British Columbia $12,051,088,487 $7,727,138 $1,481,239 $7,804,527 $12,068,101,392
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Manitoba 20.00 and below $51,425,628 $61,344 $0 $0 $51,486,972
20.01 - 25.00 $34,202,539 $0 $0 $0 $34,202,539
25.01 - 30.00 $48,761,735 $106,634 $0 $0 $48,868,369
30.01 - 35.00 $60,549,181 $46,470 $0 $49,967 $60,645,617
35.01 - 40.00 $83,470,663 $0 $0 $0 $83,470,663
40.01 - 45.00 $106,917,019 $263,938 $0 $246,362 $107,427,319
45.01 - 50.00 $143,857,005 $76,863 $124,074 $320,972 $144,378,914
50.01 - 55.00 $176,267,303 $193,611 $0 $265,493 $176,726,407
55.01 - 60.00 $171,565,546 $0 $0 $397,936 $171,963,482
60.01 - 65.00 $168,876,989 $0 $181,022 $706,906 $169,764,917
65.01 - 70.00 $192,306,240 $0 $156,627 $362,676 $192,825,543
70.01 - 75.00 $195,562,014 $323,951 $0 $0 $195,885,965
75.01 - 80.00 $84,261,002 $135,463 $0 $0 $84,396,465
 > 80.00 $649,963 $0 $0 $0 $649,963
Total Manitoba $1,518,672,824 $1,208,274 $461,723 $2,350,312 $1,522,693,133
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 7 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Provincial Distribution by Indexed LTV - Drawn and Aging Summary (continued)
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
New Brunswick 20.00 and below $24,464,775 $0 $0 $36,256 $24,501,031
20.01 - 25.00 $15,447,398 $0 $0 $0 $15,447,398
25.01 - 30.00 $23,886,099 $0 $48,147 $14,443 $23,948,689
30.01 - 35.00 $32,318,134 $0 $131,414 $231,264 $32,680,813
35.01 - 40.00 $43,594,046 $127,696 $0 $19,439 $43,741,180
40.01 - 45.00 $67,285,317 $65,663 $165,991 $176,728 $67,693,699
45.01 - 50.00 $88,220,766 $224,319 $222,714 $318,293 $88,986,091
50.01 - 55.00 $92,486,875 $96,149 $0 $270,484 $92,853,508
55.01 - 60.00 $79,867,485 $113,512 $0 $68,233 $80,049,230
60.01 - 65.00 $38,379,743 $106,382 $72,642 $236,601 $38,795,367
65.01 - 70.00 $10,343,272 $0 $0 $0 $10,343,272
70.01 - 75.00 $6,465,506 $0 $0 $0 $6,465,506
75.01 - 80.00 $1,224,566 $0 $0 $0 $1,224,566
 > 80.00 $41,764 $0 $0 $0 $41,764
Total New Brunswick $524,025,745 $733,721 $640,908 $1,371,740 $526,772,114
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Newfoundland and 20.00 and below $19,585,419 $15,341 $0 $0 $19,600,760
Labrador 20.01 - 25.00 $13,860,992 $0 $0 $0 $13,860,992
25.01 - 30.00 $18,749,784 $44,058 $0 $0 $18,793,842
30.01 - 35.00 $30,864,765 $0 $0 $22,951 $30,887,716
35.01 - 40.00 $36,286,141 $0 $0 $0 $36,286,141
40.01 - 45.00 $54,318,689 $88,032 $0 $0 $54,406,721
45.01 - 50.00 $78,583,450 $136,986 $0 $389,447 $79,109,883
50.01 - 55.00 $97,470,015 $190,498 $0 $0 $97,660,512
55.01 - 60.00 $76,841,967 $0 $0 $331,663 $77,173,630
60.01 - 65.00 $34,865,351 $358,283 $0 $0 $35,223,633
65.01 - 70.00 $12,098,667 $0 $0 $0 $12,098,667
70.01 - 75.00 $6,264,159 $0 $0 $0 $6,264,159
75.01 - 80.00 $1,019,848 $0 $0 $0 $1,019,848
 > 80.00 $18,797 $0 $0 $0 $18,797
Total Newfoundland and Labrador $480,828,043 $833,197 $0 $744,061 $482,405,300
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Northwest 20.00 and below $680,198 $0 $0 $0 $680,198
Territories 20.01 - 25.00 $509,556 $0 $0 $0 $509,556
25.01 - 30.00 $496,852 $0 $0 $0 $496,852
30.01 - 35.00 $382,204 $0 $0 $0 $382,204
35.01 - 40.00 $198,800 $0 $0 $0 $198,800
40.01 - 45.00 $653,044 $0 $0 $224,726 $877,771
45.01 - 50.00 $423,676 $0 $0 $0 $423,676
50.01 - 55.00 $277,538 $0 $0 $0 $277,538
55.01 - 60.00 $506,301 $0 $0 $0 $506,301
60.01 - 65.00 $0 $0 $0 $0 $0
65.01 - 70.00 $0 $0 $0 $0 $0
70.01 - 75.00 $0 $0 $0 $0 $0
75.01 - 80.00 $0 $0 $0 $0 $0
 > 80.00 $0 $0 $0 $0 $0
Total Northwest Territories $4,128,168 $0 $0 $224,726 $4,352,895
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 8 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Provincial Distribution by Indexed LTV - Drawn and Aging Summary (continued)
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Nova Scotia 20.00 and below $33,671,031 $0 $0 $22,530 $33,693,561
20.01 - 25.00 $25,831,701 $0 $0 $0 $25,831,701
25.01 - 30.00 $30,521,399 $0 $0 $0 $30,521,399
30.01 - 35.00 $42,903,712 $0 $0 $186,614 $43,090,325
35.01 - 40.00 $54,909,673 $163,868 $0 $196,220 $55,269,762
40.01 - 45.00 $77,672,253 $291,776 $0 $127,174 $78,091,203
45.01 - 50.00 $98,925,805 $0 $60,157 $557,440 $99,543,402
50.01 - 55.00 $103,092,034 $112,983 $0 $404,459 $103,609,476
55.01 - 60.00 $107,704,288 $0 $0 $80,063 $107,784,350
60.01 - 65.00 $85,339,619 $0 $151,014 $64,478 $85,555,110
65.01 - 70.00 $95,107,105 $195,969 $0 $116,085 $95,419,159
70.01 - 75.00 $125,460,943 $207,343 $210,442 $0 $125,878,727
75.01 - 80.00 $91,783,206 $119,717 $0 $0 $91,902,923
 > 80.00 $9,697,746 $0 $0 $0 $9,697,746
Total Nova Scotia $982,620,514 $1,091,656 $421,613 $1,755,062 $985,888,845
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Nunavut 20.00 and below $0 $0 $0 $0 $0
20.01 - 25.00 $0 $0 $0 $0 $0
25.01 - 30.00 $0 $0 $0 $0 $0
30.01 - 35.00 $50,414 $0 $0 $0 $50,414
35.01 - 40.00 $0 $0 $0 $0 $0
40.01 - 45.00 $0 $0 $0 $0 $0
45.01 - 50.00 $0 $0 $0 $0 $0
50.01 - 55.00 $0 $0 $0 $0 $0
55.01 - 60.00 $0 $0 $0 $0 $0
60.01 - 65.00 $0 $0 $0 $0 $0
65.01 - 70.00 $0 $0 $0 $0 $0
70.01 - 75.00 $0 $0 $0 $0 $0
75.01 - 80.00 $0 $0 $0 $0 $0
 > 80.00 $0 $0 $0 $0 $0
Total Nunavut $50,414 $0 $0 $0 $50,414
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Ontario 20.00 and below $1,794,140,263 $576,235 $78,805 $0 $1,794,795,303
20.01 - 25.00 $1,266,327,471 $1,049,216 $0 $275,997 $1,267,652,684
25.01 - 30.00 $1,764,557,188 $2,030,244 $299,105 $547,593 $1,767,434,129
30.01 - 35.00 $2,405,232,093 $2,571,844 $623,627 $1,163,675 $2,409,591,239
35.01 - 40.00 $2,861,975,516 $4,748,775 $131,166 $209,348 $2,867,064,805
40.01 - 45.00 $3,251,988,852 $1,877,664 $327,280 $491,044 $3,254,684,841
45.01 - 50.00 $3,207,207,066 $2,442,371 $1,340,884 $973,899 $3,211,964,221
50.01 - 55.00 $2,419,638,087 $2,077,225 $177,093 $702,440 $2,422,594,845
55.01 - 60.00 $1,700,525,131 $900,573 $232,771 $0 $1,701,658,476
60.01 - 65.00 $915,201,519 $128,469 $0 $191,487 $915,521,474
65.01 - 70.00 $606,643,993 $355,477 $154,642 $477,259 $607,631,370
70.01 - 75.00 $317,836,620 $0 $0 $219,625 $318,056,245
75.01 - 80.00 $41,759,843 $0 $0 $0 $41,759,843
 > 80.00 $6,591,109 $0 $0 $0 $6,591,109
Total Ontario $22,559,624,750 $18,758,093 $3,365,372 $5,252,368 $22,587,000,584
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 9 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Provincial Distribution by Indexed LTV - Drawn and Aging Summary (continued)
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Prince Edward 20.00 and below $6,211,063 $0 $0 $0 $6,211,063
Island 20.01 - 25.00 $3,987,904 $0 $0 $0 $3,987,904
25.01 - 30.00 $5,173,342 $0 $0 $0 $5,173,342
30.01 - 35.00 $7,039,007 $0 $0 $0 $7,039,007
35.01 - 40.00 $9,856,565 $0 $0 $0 $9,856,565
40.01 - 45.00 $11,544,627 $0 $0 $63,823 $11,608,450
45.01 - 50.00 $19,330,214 $0 $33,991 $0 $19,364,205
50.01 - 55.00 $20,025,432 $0 $0 $0 $20,025,432
55.01 - 60.00 $13,775,049 $102,135 $0 $0 $13,877,184
60.01 - 65.00 $8,266,334 $226,463 $0 $0 $8,492,797
65.01 - 70.00 $1,444,240 $0 $0 $0 $1,444,240
70.01 - 75.00 $2,426,783 $0 $0 $0 $2,426,783
75.01 - 80.00 $0 $0 $0 $0 $0
 > 80.00 $0 $0 $0 $0 $0
Total Prince Edward Island $109,080,560 $328,598 $33,991 $63,823 $109,506,971
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Quebec 20.00 and below $177,888,492 $112,964 $67,026 $0 $178,068,482
20.01 - 25.00 $125,778,002 $164,732 $0 $0 $125,942,734
25.01 - 30.00 $175,155,423 $0 $0 $530,698 $175,686,121
30.01 - 35.00 $223,020,546 $287,467 $0 $58,029 $223,366,042
35.01 - 40.00 $280,463,981 $0 $90,869 $136,994 $280,691,843
40.01 - 45.00 $363,334,868 $0 $660,125 $0 $363,994,992
45.01 - 50.00 $439,934,470 $118,601 $182,776 $416,243 $440,652,090
50.01 - 55.00 $555,125,318 $203,310 $109,551 $880,214 $556,318,393
55.01 - 60.00 $621,048,331 $285,899 $178,216 $700,544 $622,212,990
60.01 - 65.00 $629,277,416 $69,524 $0 $624,586 $629,971,526
65.01 - 70.00 $841,275,939 $473,391 $329,475 $1,115,696 $843,194,502
70.01 - 75.00 $840,333,274 $886,532 $473,280 $1,230,226 $842,923,311
75.01 - 80.00 $258,955,351 $143,037 $161,300 $439,105 $259,698,793
 > 80.00 $46,681,023 $0 $55,115 $244,695 $46,980,833
Total Quebec $5,578,272,432 $2,745,457 $2,307,733 $6,377,028 $5,589,702,651
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Saskatchewan 20.00 and below $62,892,383 $66,522 $0 $31,781 $62,990,686
20.01 - 25.00 $50,647,900 $0 $0 $227,542 $50,875,441
25.01 - 30.00 $69,196,974 $68,460 $0 $20,185 $69,285,618
30.01 - 35.00 $98,324,323 $0 $48,905 $246,503 $98,619,730
35.01 - 40.00 $127,558,346 $0 $73,770 $278,687 $127,910,803
40.01 - 45.00 $195,260,103 $156,477 $535,326 $901,646 $196,853,551
45.01 - 50.00 $290,830,734 $531,741 $130,714 $1,562,499 $293,055,688
50.01 - 55.00 $288,971,088 $249,451 $111,640 $726,263 $290,058,442
55.01 - 60.00 $204,121,545 $0 $286,689 $1,126,748 $205,534,982
60.01 - 65.00 $80,743,594 $0 $0 $243,742 $80,987,336
65.01 - 70.00 $27,915,530 $0 $0 $0 $27,915,530
70.01 - 75.00 $19,059,748 $0 $0 $0 $19,059,748
75.01 - 80.00 $2,572,552 $0 $0 $0 $2,572,552
 > 80.00 $187,079 $0 $0 $0 $187,079
Total Saskatchewan $1,518,281,896 $1,072,651 $1,187,044 $5,365,595 $1,525,907,187
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 10 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Provincial Distribution by Indexed LTV - Drawn and Aging Summary (continued)
Aging Summary
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Yukon 20.00 and below $1,720,060 $0 $0 $0 $1,720,060
20.01 - 25.00 $1,540,913 $0 $0 $0 $1,540,913
25.01 - 30.00 $1,253,512 $0 $0 $0 $1,253,512
30.01 - 35.00 $1,322,079 $0 $0 $0 $1,322,079
35.01 - 40.00 $2,415,927 $0 $0 $0 $2,415,927
40.01 - 45.00 $6,194,606 $0 $0 $0 $6,194,606
45.01 - 50.00 $6,130,068 $0 $0 $0 $6,130,068
50.01 - 55.00 $2,913,313 $0 $0 $0 $2,913,313
55.01 - 60.00 $1,538,069 $0 $0 $0 $1,538,069
60.01 - 65.00 $330,011 $0 $0 $0 $330,011
65.01 - 70.00 $0 $0 $0 $0 $0
70.01 - 75.00 $133,057 $0 $0 $0 $133,057
75.01 - 80.00 $0 $0 $0 $0 $0
 > 80.00 $0 $0 $0 $0 $0
Total Yukon $25,491,615 $0 $0 $0 $25,491,615
Grand Total $52,407,257,836 $43,455,778 $15,721,649 $50,180,164 $52,516,615,427
Provincial Distribution by Indexed LTV - Drawn and Aging Summary
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Alberta 20.00 and below 0.45 0.00 0.00 0.00 0.45
20.01 - 25.00 0.30 0.00 0.00 0.00 0.30
25.01 - 30.00 0.42 0.00 0.00 0.00 0.42
30.01 - 35.00 0.55 0.00 0.00 0.00 0.55
35.01 - 40.00 0.72 0.00 0.00 0.00 0.72
40.01 - 45.00 0.88 0.00 0.00 0.01 0.89
45.01 - 50.00 1.16 0.00 0.00 0.00 1.17
50.01 - 55.00 1.35 0.00 0.00 0.00 1.35
55.01 - 60.00 1.55 0.00 0.00 0.00 1.55
60.01 - 65.00 1.59 0.00 0.00 0.01 1.60
65.01 - 70.00 1.65 0.00 0.00 0.00 1.65
70.01 - 75.00 1.65 0.00 0.00 0.00 1.66
75.01 - 80.00 1.04 0.00 0.00 0.00 1.05
 > 80.00 0.13 0.00 0.00 0.00 0.13
Total Alberta 13.43 0.02 0.01 0.04 13.50
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
British Columbia 20.00 and below 2.35 0.00 0.00 0.00 2.36
20.01 - 25.00 1.57 0.00 0.00 0.00 1.57
25.01 - 30.00 2.13 0.00 0.00 0.00 2.13
30.01 - 35.00 2.86 0.00 0.00 0.00 2.87
35.01 - 40.00 3.51 0.00 0.00 0.00 3.52
40.01 - 45.00 3.56 0.00 0.00 0.01 3.57
45.01 - 50.00 3.02 0.00 0.00 0.00 3.02
50.01 - 55.00 1.93 0.00 0.00 0.00 1.93
55.01 - 60.00 1.07 0.00 0.00 0.00 1.07
60.01 - 65.00 0.49 0.00 0.00 0.00 0.49
65.01 - 70.00 0.33 0.00 0.00 0.00 0.33
70.01 - 75.00 0.10 0.00 0.00 0.00 0.10
75.01 - 80.00 0.02 0.00 0.00 0.00 0.02
 > 80.00 0.00 0.00 0.00 0.00 0.00
Total British Columbia 22.95 0.01 0.00 0.01 22.98
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 11 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Provincial Distribution by Indexed LTV - Drawn and Aging Summary (continued)
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Manitoba 20.00 and below 0.10 0.00 0.00 0.00 0.10
20.01 - 25.00 0.07 0.00 0.00 0.00 0.07
25.01 - 30.00 0.09 0.00 0.00 0.00 0.09
30.01 - 35.00 0.12 0.00 0.00 0.00 0.12
35.01 - 40.00 0.16 0.00 0.00 0.00 0.16
40.01 - 45.00 0.20 0.00 0.00 0.00 0.20
45.01 - 50.00 0.27 0.00 0.00 0.00 0.27
50.01 - 55.00 0.34 0.00 0.00 0.00 0.34
55.01 - 60.00 0.33 0.00 0.00 0.00 0.33
60.01 - 65.00 0.32 0.00 0.00 0.00 0.32
65.01 - 70.00 0.37 0.00 0.00 0.00 0.37
70.01 - 75.00 0.37 0.00 0.00 0.00 0.37
75.01 - 80.00 0.16 0.00 0.00 0.00 0.16
 > 80.00 0.00 0.00 0.00 0.00 0.00
Total Manitoba 2.89 0.00 0.00 0.00 2.90
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
New Brunswick 20.00 and below 0.05 0.00 0.00 0.00 0.05
20.01 - 25.00 0.03 0.00 0.00 0.00 0.03
25.01 - 30.00 0.05 0.00 0.00 0.00 0.05
30.01 - 35.00 0.06 0.00 0.00 0.00 0.06
35.01 - 40.00 0.08 0.00 0.00 0.00 0.08
40.01 - 45.00 0.13 0.00 0.00 0.00 0.13
45.01 - 50.00 0.17 0.00 0.00 0.00 0.17
50.01 - 55.00 0.18 0.00 0.00 0.00 0.18
55.01 - 60.00 0.15 0.00 0.00 0.00 0.15
60.01 - 65.00 0.07 0.00 0.00 0.00 0.07
65.01 - 70.00 0.02 0.00 0.00 0.00 0.02
70.01 - 75.00 0.01 0.00 0.00 0.00 0.01
75.01 - 80.00 0.00 0.00 0.00 0.00 0.00
 > 80.00 0.00 0.00 0.00 0.00 0.00
Total New Brunswick 1.00 0.00 0.00 0.00 1.00
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Newfoundland and 20.00 and below 0.04 0.00 0.00 0.00 0.04
Labrador 20.01 - 25.00 0.03 0.00 0.00 0.00 0.03
25.01 - 30.00 0.04 0.00 0.00 0.00 0.04
30.01 - 35.00 0.06 0.00 0.00 0.00 0.06
35.01 - 40.00 0.07 0.00 0.00 0.00 0.07
40.01 - 45.00 0.10 0.00 0.00 0.00 0.10
45.01 - 50.00 0.15 0.00 0.00 0.00 0.15
50.01 - 55.00 0.19 0.00 0.00 0.00 0.19
55.01 - 60.00 0.15 0.00 0.00 0.00 0.15
60.01 - 65.00 0.07 0.00 0.00 0.00 0.07
65.01 - 70.00 0.02 0.00 0.00 0.00 0.02
70.01 - 75.00 0.01 0.00 0.00 0.00 0.01
75.01 - 80.00 0.00 0.00 0.00 0.00 0.00
 > 80.00 0.00 0.00 0.00 0.00 0.00
Total Newfoundland and Labrador 0.92 0.00 0.00 0.00 0.92
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 12 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Provincial Distribution by Indexed LTV - Drawn and Aging Summary (continued)
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Northwest 20.00 and below 0.00 0.00 0.00 0.00 0.00
Territories 20.01 - 25.00 0.00 0.00 0.00 0.00 0.00
25.01 - 30.00 0.00 0.00 0.00 0.00 0.00
30.01 - 35.00 0.00 0.00 0.00 0.00 0.00
35.01 - 40.00 0.00 0.00 0.00 0.00 0.00
40.01 - 45.00 0.00 0.00 0.00 0.00 0.00
45.01 - 50.00 0.00 0.00 0.00 0.00 0.00
50.01 - 55.00 0.00 0.00 0.00 0.00 0.00
55.01 - 60.00 0.00 0.00 0.00 0.00 0.00
60.01 - 65.00 0.00 0.00 0.00 0.00 0.00
65.01 - 70.00 0.00 0.00 0.00 0.00 0.00
70.01 - 75.00 0.00 0.00 0.00 0.00 0.00
75.01 - 80.00 0.00 0.00 0.00 0.00 0.00
 > 80.00 0.00 0.00 0.00 0.00 0.00
Total Northwest Territories 0.01 0.00 0.00 0.00 0.01
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Nova Scotia 20.00 and below 0.06 0.00 0.00 0.00 0.06
20.01 - 25.00 0.05 0.00 0.00 0.00 0.05
25.01 - 30.00 0.06 0.00 0.00 0.00 0.06
30.01 - 35.00 0.08 0.00 0.00 0.00 0.08
35.01 - 40.00 0.10 0.00 0.00 0.00 0.11
40.01 - 45.00 0.15 0.00 0.00 0.00 0.15
45.01 - 50.00 0.19 0.00 0.00 0.00 0.19
50.01 - 55.00 0.20 0.00 0.00 0.00 0.20
55.01 - 60.00 0.21 0.00 0.00 0.00 0.21
60.01 - 65.00 0.16 0.00 0.00 0.00 0.16
65.01 - 70.00 0.18 0.00 0.00 0.00 0.18
70.01 - 75.00 0.24 0.00 0.00 0.00 0.24
75.01 - 80.00 0.17 0.00 0.00 0.00 0.17
 > 80.00 0.02 0.00 0.00 0.00 0.02
Total Nova Scotia 1.87 0.00 0.00 0.00 1.88
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Nunavut 20.00 and below 0.00 0.00 0.00 0.00 0.00
20.01 - 25.00 0.00 0.00 0.00 0.00 0.00
25.01 - 30.00 0.00 0.00 0.00 0.00 0.00
30.01 - 35.00 0.00 0.00 0.00 0.00 0.00
35.01 - 40.00 0.00 0.00 0.00 0.00 0.00
40.01 - 45.00 0.00 0.00 0.00 0.00 0.00
45.01 - 50.00 0.00 0.00 0.00 0.00 0.00
50.01 - 55.00 0.00 0.00 0.00 0.00 0.00
55.01 - 60.00 0.00 0.00 0.00 0.00 0.00
60.01 - 65.00 0.00 0.00 0.00 0.00 0.00
65.01 - 70.00 0.00 0.00 0.00 0.00 0.00
70.01 - 75.00 0.00 0.00 0.00 0.00 0.00
75.01 - 80.00 0.00 0.00 0.00 0.00 0.00
 > 80.00 0.00 0.00 0.00 0.00 0.00
Total Nunavut 0.00 0.00 0.00 0.00 0.00
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 13 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Provincial Distribution by Indexed LTV - Drawn and Aging Summary (continued)
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Ontario 20.00 and below 3.42 0.00 0.00 0.00 3.42
20.01 - 25.00 2.41 0.00 0.00 0.00 2.41
25.01 - 30.00 3.36 0.00 0.00 0.00 3.37
30.01 - 35.00 4.58 0.00 0.00 0.00 4.59
35.01 - 40.00 5.45 0.01 0.00 0.00 5.46
40.01 - 45.00 6.19 0.00 0.00 0.00 6.20
45.01 - 50.00 6.11 0.00 0.00 0.00 6.12
50.01 - 55.00 4.61 0.00 0.00 0.00 4.61
55.01 - 60.00 3.24 0.00 0.00 0.00 3.24
60.01 - 65.00 1.74 0.00 0.00 0.00 1.74
65.01 - 70.00 1.16 0.00 0.00 0.00 1.16
70.01 - 75.00 0.61 0.00 0.00 0.00 0.61
75.01 - 80.00 0.08 0.00 0.00 0.00 0.08
 > 80.00 0.01 0.00 0.00 0.00 0.01
Total Ontario 42.96 0.04 0.01 0.01 43.01
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Prince Edward 20.00 and below 0.01 0.00 0.00 0.00 0.01
Island 20.01 - 25.00 0.01 0.00 0.00 0.00 0.01
25.01 - 30.00 0.01 0.00 0.00 0.00 0.01
30.01 - 35.00 0.01 0.00 0.00 0.00 0.01
35.01 - 40.00 0.02 0.00 0.00 0.00 0.02
40.01 - 45.00 0.02 0.00 0.00 0.00 0.02
45.01 - 50.00 0.04 0.00 0.00 0.00 0.04
50.01 - 55.00 0.04 0.00 0.00 0.00 0.04
55.01 - 60.00 0.03 0.00 0.00 0.00 0.03
60.01 - 65.00 0.02 0.00 0.00 0.00 0.02
65.01 - 70.00 0.00 0.00 0.00 0.00 0.00
70.01 - 75.00 0.00 0.00 0.00 0.00 0.00
75.01 - 80.00 0.00 0.00 0.00 0.00 0.00
 > 80.00 0.00 0.00 0.00 0.00 0.00
Total Prince Edward Island 0.21 0.00 0.00 0.00 0.21
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Quebec 20.00 and below 0.34 0.00 0.00 0.00 0.34
20.01 - 25.00 0.24 0.00 0.00 0.00 0.24
25.01 - 30.00 0.33 0.00 0.00 0.00 0.33
30.01 - 35.00 0.42 0.00 0.00 0.00 0.43
35.01 - 40.00 0.53 0.00 0.00 0.00 0.53
40.01 - 45.00 0.69 0.00 0.00 0.00 0.69
45.01 - 50.00 0.84 0.00 0.00 0.00 0.84
50.01 - 55.00 1.06 0.00 0.00 0.00 1.06
55.01 - 60.00 1.18 0.00 0.00 0.00 1.18
60.01 - 65.00 1.20 0.00 0.00 0.00 1.20
65.01 - 70.00 1.60 0.00 0.00 0.00 1.61
70.01 - 75.00 1.60 0.00 0.00 0.00 1.61
75.01 - 80.00 0.49 0.00 0.00 0.00 0.49
 > 80.00 0.09 0.00 0.00 0.00 0.09
Total Quebec 10.62 0.01 0.00 0.01 10.64
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 14 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Provincial Distribution by Indexed LTV - Drawn and Aging Summary (continued)
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Saskatchewan 20.00 and below 0.12 0.00 0.00 0.00 0.12
20.01 - 25.00 0.10 0.00 0.00 0.00 0.10
25.01 - 30.00 0.13 0.00 0.00 0.00 0.13
30.01 - 35.00 0.19 0.00 0.00 0.00 0.19
35.01 - 40.00 0.24 0.00 0.00 0.00 0.24
40.01 - 45.00 0.37 0.00 0.00 0.00 0.37
45.01 - 50.00 0.55 0.00 0.00 0.00 0.56
50.01 - 55.00 0.55 0.00 0.00 0.00 0.55
55.01 - 60.00 0.39 0.00 0.00 0.00 0.39
60.01 - 65.00 0.15 0.00 0.00 0.00 0.15
65.01 - 70.00 0.05 0.00 0.00 0.00 0.05
70.01 - 75.00 0.04 0.00 0.00 0.00 0.04
75.01 - 80.00 0.00 0.00 0.00 0.00 0.00
 > 80.00 0.00 0.00 0.00 0.00 0.00
Total Saskatchewan 2.89 0.00 0.00 0.01 2.91
Aging Summary (%)
Current and
less than 30 30 to 59 60 to 89 90 or more
Province Indexed LTV (%) days past due days past due days past due days past due Total
Yukon 20.00 and below 0.00 0.00 0.00 0.00 0.00
20.01 - 25.00 0.00 0.00 0.00 0.00 0.00
25.01 - 30.00 0.00 0.00 0.00 0.00 0.00
30.01 - 35.00 0.00 0.00 0.00 0.00 0.00
35.01 - 40.00 0.00 0.00 0.00 0.00 0.00
40.01 - 45.00 0.01 0.00 0.00 0.00 0.01
45.01 - 50.00 0.01 0.00 0.00 0.00 0.01
50.01 - 55.00 0.01 0.00 0.00 0.00 0.01
55.01 - 60.00 0.00 0.00 0.00 0.00 0.00
60.01 - 65.00 0.00 0.00 0.00 0.00 0.00
65.01 - 70.00 0.00 0.00 0.00 0.00 0.00
70.01 - 75.00 0.00 0.00 0.00 0.00 0.00
75.01 - 80.00 0.00 0.00 0.00 0.00 0.00
 > 80.00 0.00 0.00 0.00 0.00 0.00
Total Yukon 0.05 0.00 0.00 0.00 0.05
Grand Total 99.79 0.08 0.03 0.10 100.00
Cover Pool Indexed LTV - Drawn by Credit Bureau Score
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
20.00 and below Score Unavailable $5,423,175 0.01
499 and below $11,459,801 0.02
500 - 539 $2,351,231 0.00
540 - 559 $2,903,323 0.01
560 - 579 $2,729,333 0.01
580 - 599 $5,462,971 0.01
600 - 619 $8,468,540 0.02
620 - 639 $16,985,145 0.03
640 - 659 $19,362,931 0.04
660 - 679 $36,968,820 0.07
680 - 699 $62,498,590 0.12
700 - 719 $89,099,283 0.17
720 - 739 $104,008,858 0.20
740 - 759 $134,242,438 0.26
760 - 779 $172,122,514 0.33
780 - 799 $241,267,620 0.46
800 and above $2,734,531,667 5.21
Total $3,649,886,240 6.95
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 15 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Cover Pool Indexed LTV - Drawn by Credit Bureau Score (continued)
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
20.01 - 25.00 Score Unavailable $2,733,400 0.01
499 and below $7,048,797 0.01
500 - 539 $1,919,321 0.00
540 - 559 $1,491,774 0.00
560 - 579 $2,720,854 0.01
580 - 599 $5,979,839 0.01
600 - 619 $7,204,992 0.01
620 - 639 $14,949,473 0.03
640 - 659 $15,862,553 0.03
660 - 679 $31,895,018 0.06
680 - 699 $50,786,446 0.10
700 - 719 $67,812,759 0.13
720 - 739 $85,378,963 0.16
740 - 759 $115,031,566 0.22
760 - 779 $143,131,419 0.27
780 - 799 $202,292,061 0.39
800 and above $1,766,867,642 3.36
Total $2,523,106,878 4.80
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
25.01 - 30.00 Score Unavailable $2,370,105 0.00
499 and below $10,984,530 0.02
500 - 539 $5,403,443 0.01
540 - 559 $4,328,808 0.01
560 - 579 $6,915,992 0.01
580 - 599 $5,863,821 0.01
600 - 619 $15,708,612 0.03
620 - 639 $24,868,809 0.05
640 - 659 $32,504,433 0.06
660 - 679 $57,497,834 0.11
680 - 699 $79,485,319 0.15
700 - 719 $115,729,726 0.22
720 - 739 $141,759,215 0.27
740 - 759 $167,072,869 0.32
760 - 779 $216,695,079 0.41
780 - 799 $269,627,857 0.51
800 and above $2,323,426,669 4.42
Total $3,480,243,119 6.63
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
30.01 - 35.00 Score Unavailable $3,000,785 0.01
499 and below $15,760,209 0.03
500 - 539 $6,075,986 0.01
540 - 559 $4,872,029 0.01
560 - 579 $8,455,094 0.02
580 - 599 $12,994,897 0.02
600 - 619 $23,403,779 0.04
620 - 639 $32,249,743 0.06
640 - 659 $58,704,721 0.11
660 - 679 $81,265,930 0.15
680 - 699 $148,017,332 0.28
700 - 719 $205,484,931 0.39
720 - 739 $229,856,290 0.44
740 - 759 $253,270,640 0.48
760 - 779 $320,604,551 0.61
780 - 799 $387,611,348 0.74
800 and above $2,909,914,768 5.54
Total $4,701,543,032 8.95
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 16 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Cover Pool Indexed LTV - Drawn by Credit Bureau Score (continued)
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
35.01 - 40.00 Score Unavailable $3,778,961 0.01
499 and below $10,615,125 0.02
500 - 539 $9,874,904 0.02
540 - 559 $7,248,045 0.01
560 - 579 $14,853,745 0.03
580 - 599 $23,993,984 0.05
600 - 619 $34,861,042 0.07
620 - 639 $51,462,807 0.10
640 - 659 $83,943,451 0.16
660 - 679 $122,798,377 0.23
680 - 699 $190,676,469 0.36
700 - 719 $249,620,994 0.48
720 - 739 $304,301,723 0.58
740 - 759 $325,082,833 0.62
760 - 779 $420,920,391 0.80
780 - 799 $523,341,426 1.00
800 and above $3,356,015,631 6.39
Total $5,733,389,911 10.92
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
40.01 - 45.00 Score Unavailable $2,061,954 0.00
499 and below $16,014,390 0.03
500 - 539 $17,165,428 0.03
540 - 559 $11,313,850 0.02
560 - 579 $17,665,498 0.03
580 - 599 $28,361,646 0.05
600 - 619 $46,816,728 0.09
620 - 639 $74,765,618 0.14
640 - 659 $122,580,103 0.23
660 - 679 $168,506,819 0.32
680 - 699 $239,975,314 0.46
700 - 719 $316,908,759 0.60
720 - 739 $379,316,571 0.72
740 - 759 $427,265,660 0.81
760 - 779 $489,242,199 0.93
780 - 799 $575,206,712 1.10
800 and above $3,550,475,484 6.76
Total $6,483,642,732 12.35
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
45.01 - 50.00 Score Unavailable $1,096,720 0.00
499 and below $18,066,660 0.03
500 - 539 $19,385,613 0.04
540 - 559 $12,965,285 0.02
560 - 579 $20,637,614 0.04
580 - 599 $34,254,846 0.07
600 - 619 $51,101,152 0.10
620 - 639 $82,001,729 0.16
640 - 659 $136,630,712 0.26
660 - 679 $217,418,964 0.41
680 - 699 $281,404,564 0.54
700 - 719 $381,541,977 0.73
720 - 739 $421,854,229 0.80
740 - 759 $471,134,156 0.90
760 - 779 $563,991,725 1.07
780 - 799 $622,949,135 1.19
800 and above $3,249,049,083 6.19
Total $6,585,484,164 12.54
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 17 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Cover Pool Indexed LTV - Drawn by Credit Bureau Score (continued)
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
50.01 - 55.00 Score Unavailable $2,108,008 0.00
499 and below $14,279,743 0.03
500 - 539 $19,973,236 0.04
540 - 559 $11,164,354 0.02
560 - 579 $20,020,627 0.04
580 - 599 $25,952,095 0.05
600 - 619 $41,367,354 0.08
620 - 639 $78,944,476 0.15
640 - 659 $134,440,746 0.26
660 - 679 $195,798,430 0.37
680 - 699 $265,805,847 0.51
700 - 719 $356,116,702 0.68
720 - 739 $417,606,292 0.80
740 - 759 $405,972,528 0.77
760 - 779 $462,001,571 0.88
780 - 799 $517,695,815 0.99
800 and above $2,520,282,571 4.80
Total $5,489,530,394 10.45
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
55.01 - 60.00 Score Unavailable $1,090,982 0.00
499 and below $10,026,735 0.02
500 - 539 $12,105,705 0.02
540 - 559 $11,234,375 0.02
560 - 579 $12,372,890 0.02
580 - 599 $24,490,456 0.05
600 - 619 $35,711,938 0.07
620 - 639 $71,569,009 0.14
640 - 659 $118,058,658 0.22
660 - 679 $180,112,204 0.34
680 - 699 $241,882,453 0.46
700 - 719 $312,805,453 0.60
720 - 739 $322,002,345 0.61
740 - 759 $353,817,557 0.67
760 - 779 $375,852,034 0.72
780 - 799 $383,229,916 0.73
800 and above $1,893,171,684 3.60
Total $4,359,534,393 8.30
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
60.01 - 65.00 Score Unavailable $299,173 0.00
499 and below $8,452,085 0.02
500 - 539 $9,110,928 0.02
540 - 559 $7,035,729 0.01
560 - 579 $8,416,954 0.02
580 - 599 $17,924,730 0.03
600 - 619 $28,098,083 0.05
620 - 639 $46,653,490 0.09
640 - 659 $65,270,675 0.12
660 - 679 $109,401,759 0.21
680 - 699 $166,246,068 0.32
700 - 719 $210,812,846 0.40
720 - 739 $216,693,139 0.41
740 - 759 $226,860,335 0.43
760 - 779 $256,790,857 0.49
780 - 799 $300,202,353 0.57
800 and above $1,388,909,434 2.64
Total $3,067,178,639 5.84
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 18 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Cover Pool Indexed LTV - Drawn by Credit Bureau Score (continued)
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
65.01 - 70.00 Score Unavailable $1,523,922 0.00
499 and below $5,698,465 0.01
500 - 539 $9,068,454 0.02
540 - 559 $8,604,326 0.02
560 - 579 $7,949,757 0.02
580 - 599 $14,263,241 0.03
600 - 619 $29,979,231 0.06
620 - 639 $38,240,206 0.07
640 - 659 $60,341,312 0.11
660 - 679 $110,301,758 0.21
680 - 699 $138,550,987 0.26
700 - 719 $189,659,280 0.36
720 - 739 $191,286,208 0.36
740 - 759 $222,379,775 0.42
760 - 779 $243,429,565 0.46
780 - 799 $265,212,302 0.51
800 and above $1,292,485,544 2.46
Total $2,828,974,332 5.39
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
70.01 - 75.00 Score Unavailable $84,154 0.00
499 and below $7,038,954 0.01
500 - 539 $10,186,590 0.02
540 - 559 $8,112,894 0.02
560 - 579 $9,818,096 0.02
580 - 599 $15,753,846 0.03
600 - 619 $26,084,156 0.05
620 - 639 $46,130,442 0.09
640 - 659 $75,845,102 0.14
660 - 679 $114,304,381 0.22
680 - 699 $158,611,550 0.30
700 - 719 $193,090,069 0.37
720 - 739 $217,222,501 0.41
740 - 759 $223,443,247 0.43
760 - 779 $218,436,033 0.42
780 - 799 $232,245,571 0.44
800 and above $884,188,328 1.68
Total $2,440,595,913 4.65
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
75.01 - 80.00 Score Unavailable $0 0.00
499 and below $2,199,898 0.00
500 - 539 $2,408,651 0.00
540 - 559 $3,132,406 0.01
560 - 579 $6,092,819 0.01
580 - 599 $6,045,853 0.01
600 - 619 $12,314,904 0.02
620 - 639 $19,258,090 0.04
640 - 659 $36,437,324 0.07
660 - 679 $62,566,046 0.12
680 - 699 $85,611,308 0.16
700 - 719 $89,978,478 0.17
720 - 739 $111,166,582 0.21
740 - 759 $95,512,678 0.18
760 - 779 $101,163,003 0.19
780 - 799 $97,398,612 0.19
800 and above $309,694,327 0.59
Total $1,040,980,980 1.98
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 19 of 21

 

RBC Covered Bond Programme Monthly Investor Report Calculation Date:                                          10/31/2017
Cover Pool Indexed LTV - Drawn by Credit Bureau Score (continued)
Indexed LTV (%) Credit Bureau Score Principal Balance Percentage
 > 80.00 Score Unavailable $0 0.00
499 and below $378,979 0.00
500 - 539 $176,036 0.00
540 - 559 $770,524 0.00
560 - 579 $785,317 0.00
580 - 599 $857,530 0.00
600 - 619 $1,979,314 0.00
620 - 639 $3,238,432 0.01
640 - 659 $5,129,842 0.01
660 - 679 $10,307,729 0.02
680 - 699 $15,020,119 0.03
700 - 719 $16,030,724 0.03
720 - 739 $19,040,029 0.04
740 - 759 $14,802,720 0.03
760 - 779 $9,203,654 0.02
780 - 799 $8,405,743 0.02
800 and above $26,398,009 0.05
Total $132,524,701 0.25
Grand Total $52,516,615,427 100.00
RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 20 of 21

 

       RBC Covered Bond Programme Monthly Investor Report Appendix
Housing Price Index Methodology
Indexation Methodology
The Market Value of the Properties used in calculating the Asset Coverage Test, the Valuation Calculation and the Amortization Test (except in respect of Calculation Dates prior to June 30, 2014) and for other purposes required by the Guide is adjusted, at least quarterly, for subsequent price developments with respect to the Property subject to the Related Security in respect of each such Loan by adjusting the Latest Valuation for such Property by a rate of change determined by the Index (as described below).
The Teranet-National Bank House Price Index™ Composite 11 (the Index) is an independently developed representation of monthly average home price changes in the following eleven Canadian metropolitan areas: Victoria, Vancouver, Calgary, Edmonton, Winnipeg, Hamilton, Toronto, Ottawa, Montréal, Québec and Halifax. These metropolitan areas are combined to form the Index. The Index is the weighted average of these eleven metropolitan areas.
Further details on the Index including a description of the method used to calculate the Index is available at www.housepriceindex.ca.
A three-step process is used to determine the Market Value for each Property subject to the Related Security in respect of a Loan.  First, a code (the Forward Sortation Area (FSA)) which identifies the location of the Property is compared to corresponding codes maintained by Teranet Inc. to confirm whether the property is located within any of the 11 Canadian metropolitan areas covered by the Index. Second, to the extent an FSA match is not found, the name of the city in which such Property is located is used to confirm whether such city matches any of the Canadian metropolitan areas covered by the Index. The Market Value is then determined by adjusting the Latest Valuation for such Property, at least quarterly, by the rate of change for the corresponding Canadian metropolitan area, and where there is no corresponding Canadian metropolitan area, the rate of change indicated in the Index, from the date of the Latest Valuation to the date on which the Latest Valuation is being adjusted for purposes of determining the Market Value for such Property. Where the Latest Valuation in respect of such Property pre-dates the first available date for the relevant rate of change in the Index, the first available date for such rate of change is used to determine the rate of change to apply to adjust the Latest Valuation for purposes of determining the Market Value for such Property.  Such adjusted Market Value is the adjusted Original Market Value referred to in footnote 2 on page 4 of the Investor Report.
The Issuer and the Guarantor LP may from time to time determine to use a different index or indices or a different indexation methodology to adjust the Latest Valuation for subsequent price developments to determine Market Value for example, to obtain rates of changes in home prices for metropolitan or geographic areas not covered by the Index, to use an index or indices that the Issuer and Guarantor LP believe will produce better or more reliable results or that is more cost effective. Any such change in the Index or Index Methodology used to determine Market Value will be disclosed to Covered Bondholders and made in accordance with the definition of "Market Value" and "Index Methodology" in the Master Definition and Construction Agreement and be required to meet the requirements in the Guide, which include the requirement that any such change may only be made (i) upon notice to CMHC and satisfaction of any other conditions specified by CMHC in relation thereto, (ii) if such change constitutes a material change, subject to Rating Agency Confirmation, and (iii) if such change is materially prejudicial to the Covered Bondholders, subject to the consent of the Bond Trustee. In addition, the Issuer is required, pursuant to the Guide, to provide CMHC notice upon becoming aware of any change or proposed change in the method used to calculate the Index.
No website referred to herein forms part of the Investor Report, nor have the contents of any such website been approved by or submitted to CMHC or any other governmental, securities or other regulatory authority.
Risk Factors relating to the Indexation Methodology
The Issuer and the Guarantor LP believe that the following factors, although not exhaustive, could be material for the purpose of assessing risks associated with the use of the Index.
No recourse for errors in the data in the Index
The Issuer and the Guarantor LP have received written permission from the Index providers to use the Index. The data in the Index is provided on an "as is" basis and without any warranty as to the accuracy, completeness, non-infringement, originality, timeliness or any other characteristic of the data and the Index providers disclaim any and all liability with respect to such data. Neither the Issuer nor the Guarantor LP makes any representation or warranty, express or implied, in relation to the accuracy, completeness or reliability of such information or assumes any liability for any errors or reliance placed on such information.  As a result, there will not be any recourse for investors, the Issuer or the Guarantor LP for any errors in the data in the Index relied upon to determine the Market Value in respect of any Property subject to the Related Security in respect of a Loan.
The actual rate of change in the value of a Property may differ from the rate of change used to adjust the Latest Valuation for such Property in determining its Market Value
The Index does not include a representation of changes in average home prices outside of the Canadian metropolitan areas that it covers and was developed as a representation of monthly average home price changes in the Canadian metropolitan areas that it does cover. While the Index uses data from single family properties, including detached, semi-detached, townhouse/row homes and condominium properties, it is being used to determine the Market Value of all Properties included as Related Security for Loans in the Covered Bond Portfolio, which may not correspond in every case to the categories included in the Index.  The actual value of a Property subject to the Related Security in respect of each Loan may change at a rate that is greater than or less than the rate of change used to determine the Market Value for such Property.  This discrepancy may be magnified when the Index is used to determine the Market Value for a Property outside of the Canadian metropolitan areas covered by the Index given factors that affect housing prices may vary significantly regionally from a national average or where the Index is used to determine Market Value for a Property in a category not covered by the Index and whose value is affected by factors that are different from those that affect the value of properties in the categories used by the Index. In addition, the methodology applied to produce the Index makes certain fundamental assumptions that impose difficulties in selecting or filtering the properties that are used to produce the Index due to a lack of information about the properties, which may result in such properties being excluded and may impact the accuracy of the representation of the rate of change in the Index.
The Index may not always be available in its current form or a different Index may be used to determine Market Value for a Property subject to Related Security in respect of a Loan
The Index providers may make a change to the method used to calculate the Index, the frequency with which the Index is published may change (such that the Index no longer meets the requirements in the Guide), or the Index may cease to be available to the Issuer and the Guarantor LP for determining the the Market Value of the Property subject to Related Security in respect of a Loan.  In such circumstances, the Issuer and the Guarantor LP may or will need to select one or more new indices for determining Market Value of the Property subject to Related Security in respect of a Loan. The Issuer and the Guarantor LP may also determine at any time to use a different index or indices to adjust the Latest Valuation of the Property subject to Related Security in respect of a Loan for subsequent price developments to determine the Market Value of such Property, for example, to obtain rates of changes in home prices for metropolitan or geographic areas not covered by the Index, to use an index or indices that the Issuer and Guarantor LP believe will produce better or more reliable Market Value results or that is more cost effective. The use of any such new indices to adjust Latest Valuation could result in a significant change in the Market Value of the real property subject to the Related Security in respect of each Loan. See "Housing Price Index Methodology - Indexation Methodology".

 

RBC Covered Bond Programme Monthly Investor Report - October 31, 2017 Page 21 of 21

Subscribe

Documents & Links