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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.
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.

 

RBC Covered Bond Programme Monthly Investor Report - July 31, 2020 Page 1 of 20

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