Investor Report
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| RBC Covered Bond Programme Monthly Investor ReportCalculation Date: 7/31/2020 |
| 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. |
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| 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 ("$"), unless otherwise specified. | |
| Programme Information | ||||||
| Outstanding Covered Bonds | ||||||
| Series | Initial Principal Amount |
Translation Rate | C$ Equivalent |
Final Maturity Date(1) |
Interest Basis | Rate Type |
| CB7 | CHF500,000,000 | 1.1149700 C$/CHF | $557,485,000 | 2021/04/21 | 2.250% | Fixed |
| CB11 | €2,000,000,000 | 1.3650000 C$/€ | $2,730,000,000 | 2020/08/04 | 1.625% | Fixed |
| CB21 | €1,000,000,000 | 1.3870000 C$/€ | $1,387,000,000 | 2022/06/17 | 0.875% | Fixed |
| CB22 | €279,500,000 | 1.4017000 C$/€ | $391,775,150 | 2031/07/21 | 1.652% | Fixed |
| CB25 | €1,250,000,000 | 1.4899000 C$/€ | $1,862,375,000 | 2020/12/16 | 0.500% | Fixed |
| CB26 | USD$1,750,000,000 | 1.3027000 C$/US$ | $2,279,725,000 | 2020/10/14 | 2.100% | Fixed |
| CB27 | €410,500,000 | 1.4524599 C$/€ | $596,234,800 | 2034/12/15 | 1.616% | Fixed |
| CB28 | €100,000,000 | 1.5370000 C$/€ | $153,700,000 | 2036/01/14 | 1.625% | Fixed |
| CB30 | €1,500,000,000 | 1.4808000 C$/€ | $2,221,200,000 | 2021/03/11 | 0.125% | Fixed |
| CB31 | USD$1,750,000,000 | 1.3266000 C$/US$ | $2,321,550,000 | 2021/03/22 | 2.300% | Fixed |
| CB33 | £100,000,000 | 1.7199000 C$/£ | $171,990,000 | 2021/09/14 | 3 month £ ICE LIBOR +0.400% | Floating |
| CB34 | £500,000,000 | 1.6401000 C$/£ | $820,050,000 | 2021/12/22 | 1.125% | Fixed |
| CB35 | £650,000,000 | 1.7114000 C$/£ | $1,112,410,000 | 2022/12/08 | 3 month £ LIBOR +0.230% | Floating |
| CB36 | £750,000,000 | 1.7220000 C$/£ | $1,291,500,000 | 2021/06/08 | 3 month £ LIBOR +0.270% | Floating |
| CB37 | €1,500,000,000 | 1.5417000 C$/€ | $2,312,550,000 | 2023/06/28 | 0.250% | Fixed |
| CB38 | €1,500,000,000 | 1.5148000 C$/€ | $2,272,200,000 | 2025/09/10 | 0.625% | Fixed |
| CB39 | USD$1,700,000,000 | 1.2990000 C$/US$ | $2,208,300,000 | 2021/10/22 | 3.350% | Fixed |
| CB40 | €1,750,000,000 | 1.5160000 C$/€ | $2,653,000,000 | 2024/01/29 | 0.250% | Fixed |
| CB41 | €100,000,000 | 1.5110000 C$/€ | $151,100,000 | 2039/03/14 | 1.384% | Fixed |
| CB42 | €1,250,000,000 | 1.5040000 C$/€ | $1,880,000,000 | 2026/06/19 | 0.050% | Fixed |
| CB43 | $1,250,000,000 | N/A | $1,250,000,000 | 2022/06/27 | 3 month BA +0.140% | Floating |
| CB44 | USD$1,500,000,000 | 1.3244000 C$/US$ | $1,986,600,000 | 2022/09/23 | 1.900% | Fixed |
| CB45 | £1,000,000,000 | 1.6354000 C$/£ | $1,635,400,000 | 2024/10/03 | SONIA +0.580% | Floating |
| CB46 | €150,000,000 | 1.4687000 C$/€ | $220,305,000 | 2039/12/30 | 0.652% | Fixed |
| CB47 | €1,500,000,000 | 1.4505000 C$/€ | $2,175,750,000 | 2027/01/21 | 0.010% | Fixed |
| CB48 | €120,000,000 | 1.4529000 C$/€ | $174,348,000 | 2040/01/24 | 0.667% | Fixed |
| CB49 | £1,250,000,000 | 1.7234000 C$/£ | $2,154,250,000 | 2025/01/30 | SONIA +0.470% | Floating |
| CB50 | €1,000,000,000 | 1.5600000 C$/€ | $1,560,000,000 | 2025/03/25 | 0.125% | Fixed |
| CB51(2) | $2,500,000,000 | N/A | $2,500,000,000 | 2021/04/24 | 3 month BA +0.100% | Floating |
| CB52 | CHF200,000,000 | 1.4557000 C$/CHF | $291,140,000 | 2027/04/06 | 0.155% | Fixed |
| CB53(2) | $5,000,000,000 | N/A | $5,000,000,000 | 2021/09/27 | 3 month BA +0.200% | Floating |
| CB54(2) | $5,000,000,000 | N/A | $5,000,000,000 | 2022/09/27 | 3 month BA +0.450% | Floating |
| CB55(2) | $5,000,000,000 | N/A | $5,000,000,000 | 2023/03/27 | 3 month BA +0.500% | Floating |
| CB56(2) | $5,000,000,000 | N/A | $5,000,000,000 | 2023/09/27 | 3 month BA +0.600% | Floating |
| CB57 | AUD$2,250,000,000 | 0.8909700 C$/AU$ | $2,004,682,500 | 2023/04/24 | 3 month AUD BBSW +1.000% | Floating |
| CB58(2) | $5,000,000,000 | N/A | $5,000,000,000 | 2023/12/01 | 3 month BA +0.450% | Floating |
| CB59(2) | $5,000,000,000 | N/A | $5,000,000,000 | 2024/03/01 | 3 month BA +0.450% | Floating |
| Total | $75,326,620,450 | |||||
| OSFI Covered Bond Ratio:(3)(4) | 2.75% | OSFI Covered Bond Ratio Limit:(3) | 5.50% | |||
| OSFI Covered Bond Ratio:(3) | 4.84% | OSFI Temporary Covered Bond Ratio Limit: (3) | 10.00% | |||
| Weighted average maturity of Outstanding Covered Bonds (months) | 35.32 | |||||
| Weighted average remaining term of Loans in Cover Pool (months) | 30.61 | |||||
| Series Ratings | Moody's | DBRS | Fitch | |
| CB7 | Aaa | AAA | AAA | |
| CB11 | Aaa | AAA | AAA | |
| CB21 | Aaa | AAA | AAA | |
| CB22 | Aaa | AAA | AAA | |
| CB25 | Aaa | AAA | AAA | |
| CB26 | Aaa | AAA | AAA | |
| CB27 | Aaa | AAA | AAA | |
| CB28 | Aaa | AAA | AAA | |
| CB30 | Aaa | AAA | AAA | |
| CB31 | Aaa | AAA | AAA | |
| CB33 | Aaa | AAA | AAA | |
| CB34 | Aaa | AAA | AAA | |
| CB35 | Aaa | AAA | AAA | |
| CB36 | Aaa | AAA | AAA | |
| CB37 | Aaa | AAA | AAA | |
| CB38 | Aaa | AAA | AAA | |
| CB39 | Aaa | AAA | AAA | |
| CB40 | Aaa | AAA | AAA | |
| CB41 | Aaa | AAA | AAA | |
| CB42 | Aaa | AAA | AAA | |
| CB43 | Aaa | AAA | AAA | |
| CB44 | Aaa | AAA | AAA | |
| CB45 | Aaa | AAA | AAA | |
| CB46 | Aaa | AAA | AAA | |
| CB47 | Aaa | AAA | AAA | |
| CB48 | Aaa | AAA | AAA | |
| CB49 | Aaa | AAA | AAA | |
| CB50 | Aaa | AAA | AAA | |
| CB51 | Aaa | AAA | AAA | |
| CB52 | Aaa | AAA | AAA | |
| CB53 | Aaa | AAA | AAA | |
| CB54 | Aaa | AAA | AAA | |
| CB55 | Aaa | AAA | AAA | |
| CB56 | Aaa | AAA | AAA | |
| CB57 | Aaa | AAA | AAA | |
| CB58 | Aaa | AAA | AAA | |
| CB59 | 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. (2) Issued for purpose of accessing Bank of Canada facilities. (3) Per OSFI's letter dated March 27, 2020, OSFI has provided temporary relief to allow Canadian federal deposit taking institutions to pledge covered bonds as collateral to the Bank of Canada by providing that assets pledged for covered bonds relative to total on-balance sheet assets not exceed 10.00% including instruments issued to the market and those pledged to Bank of Canada; provided that the maximum amount of pool assets relating to market instruments remains limited to 5.50%. (4) Does not include assets pledged for covered bonds issued for the purpose of accessing Bank of Canada facilities. |
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| RBC Covered Bond Programme | Monthly Investor Report - July 31, 2020 | Page 1 of 20 |
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