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Royal Bank of Canada (88DB)

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Monday 13 July, 2020

Royal Bank of Canada

Investor Report

RNS Number : 7299S
Royal Bank of Canada
10 July 2020
 

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

  http://www.rns-pdf.londonstockexchange.com/rns/7299S_1-2020-7-10.pdf

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

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 (1)

Initial
Principal Amount

Translation Rate

C$
Equivalent

Final
Maturity Date (2)

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 (3)

$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 (3)

$5,000,000,000

N/A

$5,000,000,000

2021/09/27

3 month BA +0.200%

Floating

CB54 (3)

$5,000,000,000

N/A

$5,000,000,000

2022/09/27

3 month BA +0.450%

Floating

CB55 (3)

$5,000,000,000

N/A

$5,000,000,000

2023/03/27

3 month BA +0.500%

Floating

CB56 (3)

$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

Total

 

 

$65,326,620,450

 

 

 

OSFI Covered Bond Ratio:(4)(5)

2.91%

OSFI Covered Bond Ratio Limit:(4)

 5.50%

OSFI Covered Bond Ratio:(4)

4.20%

OSFI Temporary Covered Bond Ratio Limit: (4)

10.00%

 

Weighted average maturity of Outstanding Covered Bonds (months)

35.95

 

Weighted average remaining term of Loans in Cover Pool (months)

31.18

 

 

 

 

 

 

Series Ratings

Moody's

DBRS

Fitch

 

CB7

Aaa

AAA

AAA

 

CB11

Aaa

AAA

AAA

 

CB21

Aaa

AAA

AAA

 

CB22

Aa3

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

 

 

(1) Series CB58 C$ 5,000,000,000 3 month CDOR rate plus 0.45% per cent. Covered Bonds due December 1, 2023 closed on June 1, 2020 and Series CB59 C$ 5,000,000,000 3 month CDOR rate plus 0.45% per cent. Covered Bonds due March 1, 2024 closed on June 1, 2020 (after the Calculation Date) and accordingly have not been included in the Asset Coverage Test or other statistical information in this report.

(2) 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.

(3) Issued for purpose of accessing Bank of Canada facilities.

(4) 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%.

(5) 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 - May 29, 2020

Page 1 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

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 CB32, CB51, CB53 to CB56 is Royal Bank of Canada. The Paying Agent in respect of CB52 is UBS AG.

 

 

 

 

 

Royal Bank of Canada's Ratings

 

 

 

Moody's

DBRS

Fitch

Senior Debt (1)  / Long-Term Issuer Default Rating (Fitch)

Aa2

AA (high)

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) / Aa2 (dr)

n/a / AA (dr)

F1+/AA+

Counterparty Risk Assessment (Short-Term/Long-Term)

P-1 (cr) / Aa2 (cr)

n/a

n/a

Derivative Counterparty Rating (Short-Term/Long-Term)

n/a

n/a

AA+(dcr)

Rating Outlook

Stable

Stable

Negative

Applicable Ratings of Standby Account Bank & Standby GDA Provider

 

 

Moody's

DBRS

Fitch

Senior Debt (2) / Long-Term Issuer Default Rating (Fitch)

Aa2

AA

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) / Aa2 (dr)

n/a / AA (dr)

F1+ / AA-

Description of Ratings Triggers (3)(4)

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-(5)

Standby Account Bank/GDA Provider (BMO)

P-1 (dr) & A2 (dr)

R-1 (low) & A

F1 & A-(5)

Cash Manager (RBC)

P-2 (cr)

BBB (low) (long)

F2 & BBB+(6)

Servicer (RBC)

Baa3 (cr)

BBB (low) (long)

F2 & BBB+(6)

Interest Rate Swap Provider (RBC)

P-2 (cr) & A3 (cr)

R-2 (middle) & BBB

F2 & BBB+(6)

Covered Bond Swap Provider (RBC)

P-2 (cr) & A3 (cr)

R-2 (middle) & BBB

F2 & BBB+(6)

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

Baa3 (cr)

n/a

BBB (long)(6)

Coverage/Amortization test on each Calculation Date

 

 

 

(b) Amounts received by the Cash Manager are required to be deposited directly into

P-1 (dr)

BBB (low)

F1 & A-(5)

the Transaction Account

 

 

 

(c) Amounts received by the Servicer are to be deposited directly to the GIC

P-1 (dr)

BBB (low)

F1 & A-(5)

Account and not provided to the Cash Manager

 

 

 

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

P-1 (dr)

BBB (low)

F1 & A-(5)

them to the Cash Manager or GIC Account, as applicable, within 2  business days

 

 

 

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-(5)

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

Baa1 (cr)

BBB (high) (long)

BBB+ (dcr)

Swap Agreement 

 

 

 

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-(6)

(b) Covered Bond Swap Provider

P-1 (cr) & A2 (cr)

R-1 (low) & A

F1 & A-(6)

Events of Default & Triggers

 

 

Asset Coverage Test (C$ Equivalent of Outstanding

Pass

 

Covered Bonds < Adjusted Aggregate Asset Amount)

 

 

Issuer Event of Default

No

 

Guarantor LP Event of Default

No

 

 

(1) Includes: (a) senior debt issued prior to September 23, 2018; and (b) senior debt issued on or after September 23, 2018 which is excluded from the bank recapitalization "bail-in" regime. Senior debt subject to conversion under the bail-in regime is rated A2 by Moody's, AA by DBRS and AA by Fitch.

(2) Includes: (a) senior debt issued prior to September 23, 2018; and (b) senior debt issued on or after September 23, 2018 which is excluded from the bank recapitalization "bail-in" regime. Senior debt subject to conversion under the bail-in regime is rated A2 by Moody's, AA (low) by DBRS and AA- by Fitch.

(3) 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.

(4) 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.

(5) These ratings will be in respect of deposit ratings from Fitch following Fitch having assigned deposit ratings to the relevant party.

(6) 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.

 

RBC Covered Bond Programme

Monthly Investor Report - May 29, 2020

Page 2 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Asset Coverage Test

 

 

 

 

 

 

 

 

 

C$ Equivalent of Outstanding Covered Bonds

$65,326,620,450

 

 

 

 

 

 

 

 

 

 

 

A = lower of (i) LTV Adjusted True Balance, and

$107,892,074,872

 

A (i)

$115,996,808,040

(ii) Asset Percentage Adjusted True Balance, as adjusted

 

 

A (ii)

$107,892,074,872

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

$982,444,714

 

 

 

 

Adjusted Aggregate Asset Amount
(Total: A + B + C + D + E - F)

$106,909,630,157

 

 

 

 

 

 

 

 

 

 

 

Regulatory OC Minimum Calculation

 

 

 

 

 

 

 

A Lesser of (a) Cover Pool Collateral, and

$70,312,714,219

 

A(a)

$115,967,067,689*

(b) Cover Pool Collateral required to meet the Asset
Coverage Test

 

 

A(b)

$70,312,714,219

B (C$ Equivalent of Outstanding Covered Bonds)

$65,326,620,450

 

 

 

 

Level of Overcollateralization (A/B)

107.63%

 

 

 

 

Regulatory OC Minimum

103.00%

 

 

 

 

*Amount includes Voluntary Overcollateralization and does not include Accrued Interest, Arrears of Interest or any other amount which is due or accrued on the Loans amount which has not been paid or capitalized.

 

Valuation Calculation

 

 

 

 

 

 

 

 

 

Trading Value of Covered Bonds

$67,892,446,198

 

 

 

 

 

 

 

 

 

 

 

A = LTV Adjusted Present Value

$116,569,734,065

 

Weighted Average Effective Yield
of Performing Eligible Loans:

2.50%

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)

$116,569,734,065

 

 

 

 

 

Intercompany Loan Balance

 

 

 

 

 

 

 

 

 

Guarantee Loan

$70,750,134,453

 

 

 

 

Demand Loan

$45,358,586,491

 

 

 

 

Total

 

$116,108,720,944

 

 

 

 

 

Cover Pool Losses

 

 

 

 

 

 

 

 

 

Period End

Write-off Amounts

 Loss Percentage (Annualized)

 

 

May 29, 2020

$58,901

0.00%

 

 

 

 

 

Cover Pool Flow of Funds

 

 

 

 

 

 

 

 

 

 

 

29-May-2020

 

30-Apr-2020

 

 

Cash Inflows

 

 

 

 

 

Principal Receipts

$1,637,107,906

(1)

$1,293,308,930

(1)

 

Proceeds for sale of Loans

-

 

-

 

Draw on Intercompany Loan

-

 

$35,583,733,289

 

Revenue Receipts

$261,901,189

 

$173,384,533

 

Swap receipts

$174,490,114

(2)

$156,182,022

(3)

 

Swap Breakage Fee

-

 

$210,846,220

 

Cash Outflows

 

 

 

 

Swap payment

($261,901,189)

(2)

($173,384,533)

(3)

 

Intercompany Loan interest

($174,141,133)

(2)

($155,869,657)

(3)

 

Intercompany Loan principal

($1,637,107,906)

(1)(2)

($1,324,263,474)

(1)(3)

Purchase of Loans

-

 

($35,763,624,967)

 

 

Net inflows/(outflows)

$348,980

 

$312,364

 

 

 

(1) Includes Capitalized Interest on Loans. Amounts drawn by the Guarantor LP on the Intercompany Loan in respect of Capitalized Interest are included on a net basis in the Intercompany Loan principal.

(2) Cash settlement to occur on June 17, 2020

(3) Cash settlement occured on May 19, 2020

 

RBC Covered Bond Programme

Monthly Investor Report - May 29, 2020

Page 3 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Cover Pool Summary Statistics

 

 

 

 

 

 

 

Previous Month Ending Balance

$117,707,905,225

 

 

Current Month Ending Balance

$116,030,903,114

 

 

Number of Mortgages in Pool

525,709

 

 

Average Mortgage Size

$220,713

 

 

Ten Largest Mortgages as a % of Current Month Ending Balance

0.02%

 

 

Number of Properties

444,359

 

 

Number of Borrowers

415,994

 

 

 

 

 

Original(1)

 

Indexed (2)

Weighted Average LTV - Authorized

69.24%

 

59.18%

Weighted Average LTV - Drawn

61.74%

 

53.24%

Weighted Average LTV - Original Authorized

71.20%

 

 

Weighted Average Mortgage Rate

2.73%

 

 

Weighted Average Seasoning (Months)

21.28

 

 

Weighted Average Original Term (Months)

52.88

 

 

Weighted Average Remaining Term (Months)

31.18

 

 

 

(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

525,058

 

99.88

 

$115,906,897,242

 

99.89

30 to 59 days past due

188

 

0.04

 

$40,815,474

 

0.04

60 to 89 days past due

93

 

0.02

 

$19,354,973

 

0.02

90 or more days past due

370

 

0.07

 

$63,835,425

 

0.06

Total

525,709

 

100.00

 

$116,030,903,114

 

100.00

 

Cover Pool Provincial Distribution

 

 

 

 

 

 

 

 

Province

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Alberta

56,290

 

10.71

 

$11,467,293,532

 

9.88

British Columbia

94,659

 

18.01

 

$25,378,259,474

 

21.87

Manitoba

19,030

 

3.62

 

$2,687,491,255

 

2.32

New Brunswick

9,687

 

1.84

 

$967,985,073

 

0.83

Newfoundland and Labrador

6,455

 

1.23

 

$940,611,368

 

0.81

Northwest Territories

19

 

0.00

 

$1,909,858

 

0.00

Nova Scotia

14,238

 

2.71

 

$1,739,456,060

 

1.50

Nunavut

1

 

0.00

 

$38,250

 

0.00

Ontario

232,694

 

44.26

 

$59,105,750,578

 

50.94

Prince Edward Island

1,849

 

0.35

 

$223,394,013

 

0.19

Quebec

75,342

 

14.33

 

$11,215,438,921

 

9.67

Saskatchewan

15,352

 

2.92

 

$2,289,182,689

 

1.97

Yukon

93

 

0.02

 

$14,092,043

 

0.01

Total

525,709

 

100.00

 

$116,030,903,114

 

100.00

 

Cover Pool Credit Bureau Score Distribution

 

 

 

 

 

 

 

 

Credit Bureau Score

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Score Unavailable

1,512

 

0.29

 

$237,669,566

 

0.20

499 and below

511

 

0.10

 

$97,115,767

 

0.08

500 - 539

1,004

 

0.19

 

$206,453,095

 

0.18

540 - 559

831

 

0.16

 

$183,580,423

 

0.16

560 - 579

1,196

 

0.23

 

$271,133,489

 

0.23

580 - 599

1,742

 

0.33

 

$414,391,471

 

0.36

600 - 619

2,818

 

0.54

 

$669,682,787

 

0.58

620 - 639

5,000

 

0.95

 

$1,217,912,890

 

1.05

640 - 659

7,887

 

1.50

 

$1,966,671,912

 

1.70

660 - 679

12,411

 

2.36

 

$2,997,444,437

 

2.58

680 - 699

17,740

 

3.37

 

$4,315,840,879

 

3.72

700 - 719

23,709

 

4.51

 

$5,634,471,064

 

4.86

720 - 739

28,067

 

5.34

 

$6,659,057,994

 

5.74

740 - 759

31,204

 

5.94

 

$7,400,012,940

 

6.38

760 - 779

35,600

 

6.77

 

$8,535,448,453

 

7.36

780 - 799

41,965

 

7.98

 

$10,049,443,085

 

8.66

800 and above

312,512

 

59.45

 

$65,174,572,861

 

56.17

Total

525,709

 

100.00

 

$116,030,903,114

 

100.00

 

RBC Covered Bond Programme

Monthly Investor Report - May 29, 2020

Page 4 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Cover Pool Rate Type Distribution

 

 

 

 

 

 

 

 

Rate Type

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Fixed

427,571

 

81.33

 

$91,988,872,886

 

79.28

Variable

98,138

 

18.67

 

$24,042,030,227

 

20.72

Total

525,709

 

100.00

 

$116,030,903,114

 

100.00

 

Mortgage Asset Type Distribution

 

 

 

 

 

 

 

 

Asset Type

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Conventional Mortgage

127,693

 

24.29

 

$37,341,008,653

 

32.18

Mortgage Segment of All-in-One Product

398,016

 

75.71

 

$78,689,894,461

 

67.82

Total

525,709

 

100.00

 

$116,030,903,114

 

100.00

 

Cover Pool Occupancy Type Distribution

 

 

 

 

 

 

 

 

Occupancy Type

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Owner Occupied

465,756

 

88.60

 

$101,866,052,245

 

87.79

Non-Owner Occupied

59,953

 

11.40

 

$14,164,850,868

 

12.21

Total

525,709

 

100.00

 

$116,030,903,114

 

100.00

 

Cover Pool Mortgage Rate Distribution

 

 

 

 

 

 

 

 

Mortgage Rate (%)

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

1.9999% and below

72,887

 

13.86

 

$18,437,084,137

 

15.89

2.0000% - 2.4999%

54,013

 

10.27

 

$12,794,403,689

 

11.03

2.5000% - 2.9999%

222,607

 

42.34

 

$49,332,569,363

 

42.52

3.0000% - 3.4999%

130,414

 

24.81

 

$27,536,416,882

 

23.73

3.5000% - 3.9999%

41,139

 

7.83

 

$7,367,876,741

 

6.35

4.0000% - 4.4999%

2,472

 

0.47

 

$307,618,795

 

0.27

4.5000% - 4.9999%

536

 

0.10

 

$77,874,364

 

0.07

5.0000% - 5.4999%

104

 

0.02

 

$9,716,661

 

0.01

5.5000% - 5.9999%

12

 

0.00

 

$670,128

 

0.00

6.0000% - 6.4999%

1

 

0.00

 

$86,641

 

0.00

6.5000% - 6.9999%

0

 

0.00

 

$0

 

0.00

7.0000% and above

1,524

 

0.29

 

$166,585,711

 

0.14

Total

525,709

 

100.00

 

$116,030,903,114

 

100.00

 

Cover Pool Remaining Term Distribution

 

 

 

 

 

 

 

 

Remaining Term (Months)

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Less than 12.00

98,924

 

18.82

 

$17,843,385,650

 

15.38

12.00 - 23.99

95,769

 

18.22

 

$19,737,434,791

 

17.01

24.00 - 35.99

117,302

 

22.31

 

$26,418,090,810

 

22.77

36.00 - 47.99

119,515

 

22.73

 

$28,595,992,865

 

24.65

48.00 - 59.99

88,767

 

16.89

 

$22,499,364,235

 

19.39

60.00 - 71.99

4,722

 

0.90

 

$824,860,295

 

0.71

72.00 - 83.99

434

 

0.08

 

$53,661,918

 

0.05

84.00 - 119.99

275

 

0.05

 

$57,538,803

 

0.05

120.00 and above

1

 

0.00

 

$573,746

 

0.00

Total

525,709

 

100.00

 

$116,030,903,114

 

100.00

 

Cover Pool Loan Seasoning

 

 

 

 

 

 

 

 

Loan Seasoning (Months)

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Less than 12.00

158,286

 

30.11

 

$37,867,412,981

 

32.64

12.00 - 23.99

137,935

 

26.24

 

$31,415,617,544

 

27.08

24.00 - 35.99

122,497

 

23.30

 

$27,011,769,484

 

23.28

36.00 - 59.99

104,296

 

19.84

 

$19,379,245,191

 

16.70

60.00 and above

2,695

 

0.51

 

$356,857,913

 

0.31

Total

525,709

 

100.00

 

$116,030,903,114

 

100.00

 

RBC Covered Bond Programme

Monthly Investor Report - May 29, 2020

Page 5 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Cover Pool Range of Remaining Principal Balance

 

 

 

 

 

 

 

 

Range of Remaining Principal Balance

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

99,999 and below

156,996

 

29.86

 

$8,398,195,900

 

7.24

100,000 - 149,999

78,100

 

14.86

 

$9,759,534,474

 

8.41

150,000 - 199,999

68,427

 

13.02

 

$11,940,215,744

 

10.29

200,000 - 249,999

54,645

 

10.39

 

$12,260,191,346

 

10.57

250,000 - 299,999

42,612

 

8.11

 

$11,681,006,423

 

10.07

300,000 - 349,999

30,620

 

5.82

 

$9,917,547,017

 

8.55

350,000 - 399,999

22,692

 

4.32

 

$8,488,874,544

 

7.32

400,000 - 449,999

16,397

 

3.12

 

$6,953,615,414

 

5.99

450,000 - 499,999

12,935

 

2.46

 

$6,135,564,560

 

5.29

500,000 - 549,999

9,395

 

1.79

 

$4,926,258,406

 

4.25

550,000 - 599,999

7,546

 

1.44

 

$4,336,308,604

 

3.74

600,000 - 649,999

5,378

 

1.02

 

$3,358,219,496

 

2.89

650,000 - 699,999

4,126

 

0.78

 

$2,781,884,238

 

2.40

700,000 - 749,999

3,144

 

0.60

 

$2,276,977,815

 

1.96

750,000 - 799,999

2,501

 

0.48

 

$1,936,515,702

 

1.67

800,000 - 849,999

1,873

 

0.36

 

$1,544,065,412

 

1.33

850,000 - 899,999

1,564

 

0.30

 

$1,368,574,580

 

1.18

900,000 - 949,999

1,342

 

0.26

 

$1,241,425,703

 

1.07

950,000 - 999,999

1,051

 

0.20

 

$1,023,391,369

 

0.88

1,000,000 and above

4,365

 

0.83

 

$5,702,536,368

 

4.91

Total

525,709

 

100.00

 

$116,030,903,114

 

100.00

 

Cover Pool Property Type Distribution

 

 

 

 

 

 

 

 

Property Type

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Apartment (Condominium)

69,499

 

13.22

 

$13,931,071,146

 

12.01

Detached

379,542

 

72.20

 

$84,951,576,641

 

73.21

Duplex

5,910

 

1.12

 

$876,256,127

 

0.76

Fourplex

1,399

 

0.27

 

$260,231,905

 

0.22

Other

572

 

0.11

 

$80,644,498

 

0.07

Row (Townhouse)

37,947

 

7.22

 

$8,892,535,810

 

7.66

Semi-detached

29,277

 

5.57

 

$6,757,247,356

 

5.82

Triplex

1,563

 

0.30

 

$281,339,631

 

0.24

Total

525,709

 

100.00

 

$116,030,903,114

 

100.00

 

Cover Pool Indexed LTV - Authorized Distribution

 

 

 

 

 

 

 

 

Indexed LTV (%)

Number of Properties

 

Percentage

 

Principal Balance

 

Percentage

20.00 and below

15,401

 

3.47

 

$1,175,504,124

 

1.01

20.01 - 25.00

8,556

 

1.93

 

$1,207,670,378

 

1.04

25.01 - 30.00

13,786

 

3.10

 

$2,354,496,886

 

2.03

30.01 - 35.00

20,977

 

4.72

 

$4,010,552,527

 

3.46

35.01 - 40.00

28,581

 

6.43

 

$6,202,950,515

 

5.35

40.01 - 45.00

38,012

 

8.55

 

$8,701,905,247

 

7.50

45.01 - 50.00

39,489

 

8.89

 

$9,253,482,296

 

7.98

50.01 - 55.00

43,444

 

9.78

 

$10,723,407,042

 

9.24

55.01 - 60.00

38,304

 

8.62

 

$11,353,683,037

 

9.79

60.01 - 65.00

42,839

 

9.64

 

$12,807,478,538

 

11.04

65.01 - 70.00

41,289

 

9.29

 

$12,690,267,562

 

10.94

70.01 - 75.00

50,805

 

11.43

 

$16,426,248,285

 

14.16

75.01 - 80.00

49,200

 

11.07

 

$14,932,892,877

 

12.87

> 80.00

13,676

 

3.08

 

$4,190,363,799

 

3.61

Total

444,359

 

100.00

 

$116,030,903,114

 

100.00

 

Cover Pool Indexed LTV - Drawn Distribution

 

 

 

 

 

 

 

 

Indexed LTV (%)

Number of Properties

 

Percentage

 

Principal Balance

 

Percentage

20.00 and below

54,812

 

12.34

 

$4,869,334,792

 

4.20

20.01 - 25.00

21,759

 

4.90

 

$3,579,013,886

 

3.08

25.01 - 30.00

25,584

 

5.76

 

$5,068,164,345

 

4.37

30.01 - 35.00

28,917

 

6.51

 

$6,534,228,153

 

5.63

35.01 - 40.00

33,034

 

7.43

 

$8,260,485,663

 

7.12

40.01 - 45.00

35,247

 

7.93

 

$9,154,046,146

 

7.89

45.01 - 50.00

34,938

 

7.86

 

$9,689,676,699

 

8.35

50.01 - 55.00

34,470

 

7.76

 

$10,203,118,041

 

8.79

55.01 - 60.00

35,297

 

7.94

 

$11,378,040,849

 

9.81

60.01 - 65.00

36,272

 

8.16

 

$11,668,488,191

 

10.06

65.01 - 70.00

35,136

 

7.91

 

$11,637,935,703

 

10.03

70.01 - 75.00

39,176

 

8.82

 

$13,406,118,952

 

11.55

75.01 - 80.00

25,282

 

5.69

 

$9,099,943,067

 

7.84

> 80.00

4,435

 

1.00

 

$1,482,308,627

 

1.28

Total

444,359

 

100.00

 

$116,030,903,114

 

100.00

 

RBC Covered Bond Programme

Monthly Investor Report - May 29, 2020

Page 6 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Provincial Distribution by Indexed LTV- Drawn and Aging Summary

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Alberta

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

$263,661,803

 

$171,911

 

$155,445

 

$259,590

 

$264,248,749

 

 

20.01 - 25.00

 

$209,167,817

 

$19,812

 

$0

 

$148,946

 

$209,336,575

 

 

25.01 - 30.00

 

$266,818,987

 

$0

 

$0

 

$276,538

 

$267,095,525

 

 

30.01 - 35.00

 

$374,935,795

 

$211,544

 

$393,680

 

$377,846

 

$375,918,864

 

 

35.01 - 40.00

 

$500,064,515

 

$125,697

 

$279,750

 

$468,230

 

$500,938,192

 

 

40.01 - 45.00

 

$616,032,552

 

$90,025

 

$49,310

 

$3,032,848

 

$619,204,735

 

 

45.01 - 50.00

 

$709,246,917

 

$969,202

 

$450,105

 

$5,384,943

 

$716,051,167

 

 

50.01 - 55.00

 

$773,266,956

 

$588,398

 

$1,100,875

 

$1,200,298

 

$776,156,526

 

 

55.01 - 60.00

 

$870,845,062

 

$395,219

 

$866,795

 

$2,511,519

 

$874,618,596

 

 

60.01 - 65.00

 

$1,031,785,945

 

$102,581

 

$0

 

$1,793,717

 

$1,033,682,242

 

 

65.01 - 70.00

 

$1,244,573,357

 

$277,847

 

$0

 

$3,206,453

 

$1,248,057,657

 

 

70.01 - 75.00

 

$1,592,276,416

 

$1,052,727

 

$251,744

 

$3,248,591

 

$1,596,829,478

 

 

75.01 - 80.00

 

$1,804,507,660

 

$0

 

$1,082,305

 

$2,452,134

 

$1,808,042,099

 

 

> 80.00

 

$1,174,889,802

 

$0

 

$324,768

 

$1,898,555

 

$1,177,113,126

Total Alberta

 

$11,432,073,584

 

$4,004,962

 

$4,954,778

 

$26,260,208

 

$11,467,293,532

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

British Columbia

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

$1,521,553,966

 

$566,492

 

$346,992

 

$301,783

 

$1,522,769,233

 

 

20.01 - 25.00

 

$1,058,244,801

 

$170,397

 

$0

 

$0

 

$1,058,415,198

 

 

25.01 - 30.00

 

$1,498,427,008

 

$1,743,425

 

$165,432

 

$2,219,423

 

$1,502,555,287

 

 

30.01 - 35.00

 

$1,848,972,503

 

$216,362

 

$152,870

 

$1,698,100

 

$1,851,039,834

 

 

35.01 - 40.00

 

$2,254,481,636

 

$1,539,640

 

$660,667

 

$989,083

 

$2,257,671,026

 

 

40.01 - 45.00

 

$2,238,583,102

 

$48,633

 

$87,429

 

$823,509

 

$2,239,542,672

 

 

45.01 - 50.00

 

$2,096,616,749

 

$1,437,191

 

$0

 

$69,840

 

$2,098,123,780

 

 

50.01 - 55.00

 

$2,099,317,472

 

$383,632

 

$261,262

 

$0

 

$2,099,962,366

 

 

55.01 - 60.00

 

$1,916,439,934

 

$175,419

 

$645,837

 

$120,328

 

$1,917,381,518

 

 

60.01 - 65.00

 

$2,397,776,372

 

$0

 

$0

 

$279,428

 

$2,398,055,800

 

 

65.01 - 70.00

 

$1,991,806,735

 

$1,049,207

 

$152,337

 

$558,066

 

$1,993,566,345

 

 

70.01 - 75.00

 

$2,034,012,949

 

$1,254,087

 

$0

 

$267,086

 

$2,035,534,122

 

 

75.01 - 80.00

 

$2,182,778,549

 

$779,402

 

$421,616

 

$0

 

$2,183,979,567

 

 

> 80.00

 

$219,662,726

 

$0

 

$0

 

$0

 

$219,662,726

Total British Columbia

 

$25,358,674,501

 

$9,363,887

 

$2,894,442

 

$7,326,645

 

$25,378,259,474

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Manitoba

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

$62,083,366

 

$300

 

$0

 

$0

 

$62,083,666

 

 

20.01 - 25.00

 

$41,642,399

 

$0

 

$59,667

 

$48,832

 

$41,750,899

 

 

25.01 - 30.00

 

$62,125,104

 

$0

 

$0

 

$0

 

$62,125,104

 

 

30.01 - 35.00

 

$84,358,661

 

$0

 

$0

 

$42,900

 

$84,401,561

 

 

35.01 - 40.00

 

$116,935,748

 

$0

 

$0

 

$171,164

 

$117,106,912

 

 

40.01 - 45.00

 

$148,849,588

 

$102,156

 

$0

 

$0

 

$148,951,744

 

 

45.01 - 50.00

 

$186,057,784

 

$0

 

$0

 

$271,778

 

$186,329,562

 

 

50.01 - 55.00

 

$215,057,086

 

$0

 

$208,155

 

$0

 

$215,265,241

 

 

55.01 - 60.00

 

$229,631,780

 

$0

 

$93,370

 

$0

 

$229,725,150

 

 

60.01 - 65.00

 

$289,933,438

 

$224,422

 

$0

 

$331,424

 

$290,489,284

 

 

65.01 - 70.00

 

$361,950,119

 

$506,777

 

$0

 

$392,255

 

$362,849,151

 

 

70.01 - 75.00

 

$478,713,734

 

$484,265

 

$0

 

$732,161

 

$479,930,160

 

 

75.01 - 80.00

 

$377,225,121

 

$181,790

 

$0

 

$242,737

 

$377,649,648

 

 

> 80.00

 

$28,833,174

 

$0

 

$0

 

$0

 

$28,833,174

Total Manitoba

 

$2,683,397,101

 

$1,499,711

 

$361,193

 

$2,233,251

 

$2,687,491,255

 

RBC Covered Bond Programme

Monthly Investor Report - May 29, 2020

Page 7 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

New Brunswick

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

$31,344,915

 

$0

 

$37,868

 

$0

 

$31,382,784

 

 

20.01 - 25.00

 

$24,363,203

 

$0

 

$0

 

$0

 

$24,363,203

 

 

25.01 - 30.00

 

$30,681,272

 

$0

 

$0

 

$108,043

 

$30,789,316

 

 

30.01 - 35.00

 

$50,411,689

 

$0

 

$0

 

$0

 

$50,411,689

 

 

35.01 - 40.00

 

$66,158,807

 

$132,313

 

$84,008

 

$73,031

 

$66,448,158

 

 

40.01 - 45.00

 

$87,544,241

 

$72,242

 

$0

 

$358,476

 

$87,974,959

 

 

45.01 - 50.00

 

$85,932,373

 

$250,594

 

$0

 

$183,525

 

$86,366,493

 

 

50.01 - 55.00

 

$91,175,812

 

$81,583

 

$234,500

 

$0

 

$91,491,895

 

 

55.01 - 60.00

 

$84,774,220

 

$46,244

 

$0

 

$86,899

 

$84,907,363

 

 

60.01 - 65.00

 

$88,385,716

 

$0

 

$0

 

$224,810

 

$88,610,527

 

 

65.01 - 70.00

 

$115,281,185

 

$0

 

$55,394

 

$188,575

 

$115,525,154

 

 

70.01 - 75.00

 

$133,069,896

 

$0

 

$88,472

 

$0

 

$133,158,367

 

 

75.01 - 80.00

 

$69,185,229

 

$0

 

$0

 

$0

 

$69,185,229

 

 

> 80.00

 

$7,369,936

 

$0

 

$0

 

$0

 

$7,369,936

Total New Brunswick

 

$965,678,495

 

$582,977

 

$500,242

 

$1,223,359

 

$967,985,073

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Newfoundland and
Labrador

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

$24,974,156

 

$7,047

 

$0

 

$39,760

 

$25,020,962

 

 

20.01 - 25.00

 

$19,910,103

 

$0

 

$0

 

$0

 

$19,910,103

 

 

25.01 - 30.00

 

$30,429,358

 

$0

 

$34,817

 

$0

 

$30,464,175

 

 

30.01 - 35.00

 

$43,051,268

 

$0

 

$0

 

$0

 

$43,051,268

 

 

35.01 - 40.00

 

$61,431,676

 

$0

 

$0

 

$0

 

$61,431,676

 

 

40.01 - 45.00

 

$87,202,175

 

$0

 

$0

 

$95,932

 

$87,298,107

 

 

45.01 - 50.00

 

$110,793,586

 

$0

 

$0

 

$0

 

$110,793,586

 

 

50.01 - 55.00

 

$102,589,180

 

$0

 

$0

 

$768,464

 

$103,357,644

 

 

55.01 - 60.00

 

$83,256,292

 

$0

 

$0

 

$184,181

 

$83,440,473

 

 

60.01 - 65.00

 

$97,521,809

 

$193,965

 

$186,737

 

$0

 

$97,902,511

 

 

65.01 - 70.00

 

$99,238,571

 

$0

 

$0

 

$0

 

$99,238,571

 

 

70.01 - 75.00

 

$122,675,749

 

$0

 

$0

 

$166,965

 

$122,842,714

 

 

75.01 - 80.00

 

$53,184,356

 

$56,993

 

$0

 

$0

 

$53,241,349

 

 

> 80.00

 

$2,618,228

 

$0

 

$0

 

$0

 

$2,618,228

Total Newfoundland and Labrador

 

$938,876,507

 

$258,004

 

$221,554

 

$1,255,302

 

$940,611,368

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Northwest Territories

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

$553,506

 

$0

 

$0

 

$0

 

$553,506

 

 

20.01 - 25.00

 

$68,985

 

$0

 

$0

 

$0

 

$68,985

 

 

25.01 - 30.00

 

$153,009

 

$0

 

$0

 

$0

 

$153,009

 

 

30.01 - 35.00

 

$430,183

 

$0

 

$0

 

$0

 

$430,183

 

 

35.01 - 40.00

 

$439,167

 

$0

 

$0

 

$0

 

$439,167

 

 

40.01 - 45.00

 

$91,206

 

$0

 

$0

 

$0

 

$91,206

 

 

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

 

$173,802

 

$0

 

$0

 

$0

 

$173,802

Total Northwest Territories

 

$1,909,858

 

$0

 

$0

 

$0

 

$1,909,858

 

RBC Covered Bond Programme

Monthly Investor Report - May 29, 2020

Page 8 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Nova Scotia

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

$53,434,221

 

$389

 

$28,161

 

$0

 

$53,462,771

 

 

20.01 - 25.00

 

$37,082,851

 

$39,619

 

$0

 

$0

 

$37,122,470

 

 

25.01 - 30.00

 

$50,443,714

 

$89,830

 

$64,235

 

$86,614

 

$50,684,392

 

 

30.01 - 35.00

 

$68,375,205

 

$0

 

$0

 

$90,602

 

$68,465,807

 

 

35.01 - 40.00

 

$94,263,419

 

$95,420

 

$162,596

 

$428,796

 

$94,950,231

 

 

40.01 - 45.00

 

$127,478,397

 

$0

 

$0

 

$474,374

 

$127,952,772

 

 

45.01 - 50.00

 

$153,543,119

 

$0

 

$681,421

 

$300,614

 

$154,525,153

 

 

50.01 - 55.00

 

$156,734,110

 

$0

 

$0

 

$122,495

 

$156,856,605

 

 

55.01 - 60.00

 

$183,249,422

 

$0

 

$212,861

 

$131,525

 

$183,593,809

 

 

60.01 - 65.00

 

$240,128,265

 

$0

 

$0

 

$252,108

 

$240,380,373

 

 

65.01 - 70.00

 

$272,577,179

 

$0

 

$506

 

$0

 

$272,577,685

 

 

70.01 - 75.00

 

$200,182,743

 

$0

 

$132,097

 

$0

 

$200,314,840

 

 

75.01 - 80.00

 

$93,890,008

 

$0

 

$0

 

$0

 

$93,890,008

 

 

> 80.00

 

$4,679,145

 

$0

 

$0

 

$0

 

$4,679,145

Total Nova Scotia

 

$1,736,061,797

 

$225,258

 

$1,281,877

 

$1,887,129

 

$1,739,456,060

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
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

 

$38,250

 

$0

 

$0

 

$0

 

$38,250

 

 

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

 

$38,250

 

$0

 

$0

 

$0

 

$38,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Ontario

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

$2,480,587,243

 

$478,086

 

$315,411

 

$649,208

 

$2,482,029,947

 

 

20.01 - 25.00

 

$1,870,713,016

 

$1,547,834

 

$0

 

$404,273

 

$1,872,665,124

 

 

25.01 - 30.00

 

$2,687,223,159

 

$1,935,886

 

$633,463

 

$701,421

 

$2,690,493,930

 

 

30.01 - 35.00

 

$3,469,814,373

 

$622,341

 

$1,606,271

 

$287,982

 

$3,472,330,967

 

 

35.01 - 40.00

 

$4,375,871,222

 

$896,521

 

$347,388

 

$227,032

 

$4,377,342,162

 

 

40.01 - 45.00

 

$4,792,384,837

 

$3,016,245

 

$218,596

 

$1,411,881

 

$4,797,031,559

 

 

45.01 - 50.00

 

$5,048,809,672

 

$2,239,469

 

$534,964

 

$1,422,012

 

$5,053,006,117

 

 

50.01 - 55.00

 

$5,197,881,460

 

$1,470,976

 

$149,277

 

$2,819,864

 

$5,202,321,577

 

 

55.01 - 60.00

 

$6,298,275,441

 

$1,893,450

 

$380,276

 

$3,067,339

 

$6,303,616,505

 

 

60.01 - 65.00

 

$5,625,874,708

 

$1,459,724

 

$269,046

 

$0

 

$5,627,603,478

 

 

65.01 - 70.00

 

$5,991,439,347

 

$3,794,104

 

$670,325

 

$0

 

$5,995,903,776

 

 

70.01 - 75.00

 

$7,442,010,151

 

$1,218,853

 

$1,928,362

 

$1,197,093

 

$7,446,354,459

 

 

75.01 - 80.00

 

$3,770,278,345

 

$0

 

$0

 

$0

 

$3,770,278,345

 

 

> 80.00

 

$14,772,631

 

$0

 

$0

 

$0

 

$14,772,631

Total Ontario

 

$59,065,935,604

 

$20,573,488

 

$7,053,380

 

$12,188,106

 

$59,105,750,578

 

RBC Covered Bond Programme

Monthly Investor Report - May 29, 2020

Page 9 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Prince Edward Island

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

$6,109,056

 

$0

 

$0

 

$0

 

$6,109,056

 

 

20.01 - 25.00

 

$4,536,206

 

$0

 

$0

 

$0

 

$4,536,206

 

 

25.01 - 30.00

 

$7,559,342

 

$0

 

$0

 

$0

 

$7,559,342

 

 

30.01 - 35.00

 

$8,948,490

 

$0

 

$0

 

$0

 

$8,948,490

 

 

35.01 - 40.00

 

$12,403,746

 

$0

 

$0

 

$0

 

$12,403,746

 

 

40.01 - 45.00

 

$18,046,939

 

$0

 

$87,385

 

$0

 

$18,134,324

 

 

45.01 - 50.00

 

$18,234,029

 

$0

 

$0

 

$0

 

$18,234,029

 

 

50.01 - 55.00

 

$19,560,669

 

$0

 

$0

 

$0

 

$19,560,669

 

 

55.01 - 60.00

 

$28,701,139

 

$200,509

 

$0

 

$0

 

$28,901,648

 

 

60.01 - 65.00

 

$26,518,401

 

$0

 

$0

 

$0

 

$26,518,401

 

 

65.01 - 70.00

 

$21,657,693

 

$0

 

$0

 

$0

 

$21,657,693

 

 

70.01 - 75.00

 

$31,283,720

 

$0

 

$0

 

$0

 

$31,283,720

 

 

75.01 - 80.00

 

$17,750,206

 

$0

 

$0

 

$0

 

$17,750,206

 

 

> 80.00

 

$1,796,483

 

$0

 

$0

 

$0

 

$1,796,483

Total Prince Edward Island

 

$223,106,119

 

$200,509

 

$87,385

 

$0

 

$223,394,013

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Quebec

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

$341,834,480

 

$59,866

 

$50,364

 

$45,224

 

$341,989,934

 

 

20.01 - 25.00

 

$248,865,103

 

$67,117

 

$0

 

$299,014

 

$249,231,233

 

 

25.01 - 30.00

 

$334,129,429

 

$167,943

 

$0

 

$0

 

$334,297,372

 

 

30.01 - 35.00

 

$445,811,376

 

$113,684

 

$0

 

$157,695

 

$446,082,755

 

 

35.01 - 40.00

 

$591,233,169

 

$54,650

 

$64,211

 

$0

 

$591,352,030

 

 

40.01 - 45.00

 

$761,655,392

 

$594,182

 

$0

 

$249,637

 

$762,499,211

 

 

45.01 - 50.00

 

$995,074,333

 

$113,153

 

$420,631

 

$782,082

 

$996,390,200

 

 

50.01 - 55.00

 

$1,271,144,967

 

$116,456

 

$101,613

 

$1,296,922

 

$1,272,659,958

 

 

55.01 - 60.00

 

$1,465,989,253

 

$317,322

 

$346,952

 

$907,230

 

$1,467,560,757

 

 

60.01 - 65.00

 

$1,673,930,309

 

$1,216,257

 

$279,843

 

$566,055

 

$1,675,992,464

 

 

65.01 - 70.00

 

$1,336,080,027

 

$620,735

 

$225,082

 

$0

 

$1,336,925,844

 

 

70.01 - 75.00

 

$1,109,515,721

 

$86,066

 

$0

 

$447,537

 

$1,110,049,325

 

 

75.01 - 80.00

 

$612,053,911

 

$0

 

$0

 

$321,980

 

$612,375,891

 

 

> 80.00

 

$18,031,946

 

$0

 

$0

 

$0

 

$18,031,946

Total Quebec

 

$11,205,349,416

 

$3,527,433

 

$1,488,696

 

$5,073,376

 

$11,215,438,921

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Saskatchewan

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

$80,743,583

 

$0

 

$28,119

 

$19,607

 

$80,791,309

 

 

20.01 - 25.00

 

$60,806,623

 

$63,615

 

$63,737

 

$177,647

 

$61,111,621

 

 

25.01 - 30.00

 

$92,027,244

 

$0

 

$86,477

 

$165,936

 

$92,279,657

 

 

30.01 - 35.00

 

$129,168,255

 

$0

 

$172,085

 

$295,392

 

$129,635,732

 

 

35.01 - 40.00

 

$175,853,804

 

$0

 

$0

 

$208,483

 

$176,062,287

 

 

40.01 - 45.00

 

$262,421,047

 

$0

 

$0

 

$1,031,056

 

$263,452,104

 

 

45.01 - 50.00

 

$266,413,381

 

$515,632

 

$96,137

 

$2,110,857

 

$269,136,006

 

 

50.01 - 55.00

 

$263,138,912

 

$0

 

$64,872

 

$994,313

 

$264,198,097

 

 

55.01 - 60.00

 

$203,250,144

 

$0

 

$0

 

$1,116,084

 

$204,366,228

 

 

60.01 - 65.00

 

$189,242,297

 

$0

 

$0

 

$49,900

 

$189,292,196

 

 

65.01 - 70.00

 

$190,553,271

 

$0

 

$0

 

$0

 

$190,553,271

 

 

70.01 - 75.00

 

$248,438,099

 

$0

 

$0

 

$0

 

$248,438,099

 

 

75.01 - 80.00

 

$113,982,537

 

$0

 

$0

 

$0

 

$113,982,537

 

 

> 80.00

 

$5,883,544

 

$0

 

$0

 

$0

 

$5,883,544

Total Saskatchewan

 

$2,281,922,741

 

$579,246

 

$511,427

 

$6,169,275

 

$2,289,182,689

 

RBC Covered Bond Programme

Monthly Investor Report - May 29, 2020

Page 10 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Yukon

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

$1,354,969

 

$0

 

$0

 

$0

 

$1,354,969

 

 

20.01 - 25.00

 

$1,017,492

 

$0

 

$0

 

$0

 

$1,017,492

 

 

25.01 - 30.00

 

$1,236,131

 

$0

 

$0

 

$0

 

$1,236,131

 

 

30.01 - 35.00

 

$1,231,670

 

$0

 

$0

 

$0

 

$1,231,670

 

 

35.01 - 40.00

 

$4,282,633

 

$0

 

$0

 

$218,774

 

$4,501,408

 

 

40.01 - 45.00

 

$1,973,904

 

$0

 

$0

 

$0

 

$1,973,904

 

 

45.01 - 50.00

 

$871,014

 

$0

 

$0

 

$0

 

$871,014

 

 

50.01 - 55.00

 

$1,674,658

 

$0

 

$0

 

$0

 

$1,674,658

 

 

55.01 - 60.00

 

$230,798

 

$0

 

$0

 

$0

 

$230,798

 

 

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 Yukon

 

$13,873,269

 

$0

 

$0

 

$218,774

 

$14,092,043

 

 

 

 

 

 

 

 

 

 

 

 

 

Grand Total

 

 

 

$115,906,897,242

 

$40,815,474

 

$19,354,973

 

$63,835,425

 

$116,030,903,114

 

Provincial Distribution by Indexed LTV - Drawn and Aging Summary (%)

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Alberta

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

0.23

 

0.00

 

0.00

 

0.00

 

0.23

 

 

20.01 - 25.00

 

0.18

 

0.00

 

0.00

 

0.00

 

0.18

 

 

25.01 - 30.00

 

0.23

 

0.00

 

0.00

 

0.00

 

0.23

 

 

30.01 - 35.00

 

0.32

 

0.00

 

0.00

 

0.00

 

0.32

 

 

35.01 - 40.00

 

0.43

 

0.00

 

0.00

 

0.00

 

0.43

 

 

40.01 - 45.00

 

0.53

 

0.00

 

0.00

 

0.00

 

0.53

 

 

45.01 - 50.00

 

0.61

 

0.00

 

0.00

 

0.00

 

0.62

 

 

50.01 - 55.00

 

0.67

 

0.00

 

0.00

 

0.00

 

0.67

 

 

55.01 - 60.00

 

0.75

 

0.00

 

0.00

 

0.00

 

0.75

 

 

60.01 - 65.00

 

0.89

 

0.00

 

0.00

 

0.00

 

0.89

 

 

65.01 - 70.00

 

1.07

 

0.00

 

0.00

 

0.00

 

1.08

 

 

70.01 - 75.00

 

1.37

 

0.00

 

0.00

 

0.00

 

1.38

 

 

75.01 - 80.00

 

1.56

 

0.00

 

0.00

 

0.00

 

1.56

 

 

> 80.00

 

1.01

 

0.00

 

0.00

 

0.00

 

1.01

Total Alberta

 

9.85

 

0.00

 

0.00

 

0.02

 

9.88

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

British Columbia

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

1.31

 

0.00

 

0.00

 

0.00

 

1.31

 

 

20.01 - 25.00

 

0.91

 

0.00

 

0.00

 

0.00

 

0.91

 

 

25.01 - 30.00

 

1.29

 

0.00

 

0.00

 

0.00

 

1.29

 

 

30.01 - 35.00

 

1.59

 

0.00

 

0.00

 

0.00

 

1.60

 

 

35.01 - 40.00

 

1.94

 

0.00

 

0.00

 

0.00

 

1.95

 

 

40.01 - 45.00

 

1.93

 

0.00

 

0.00

 

0.00

 

1.93

 

 

45.01 - 50.00

 

1.81

 

0.00

 

0.00

 

0.00

 

1.81

 

 

50.01 - 55.00

 

1.81

 

0.00

 

0.00

 

0.00

 

1.81

 

 

55.01 - 60.00

 

1.65

 

0.00

 

0.00

 

0.00

 

1.65

 

 

60.01 - 65.00

 

2.07

 

0.00

 

0.00

 

0.00

 

2.07

 

 

65.01 - 70.00

 

1.72

 

0.00

 

0.00

 

0.00

 

1.72

 

 

70.01 - 75.00

 

1.75

 

0.00

 

0.00

 

0.00

 

1.75

 

 

75.01 - 80.00

 

1.88

 

0.00

 

0.00

 

0.00

 

1.88

 

 

> 80.00

 

0.19

 

0.00

 

0.00

 

0.00

 

0.19

Total British Columbia

 

21.86

 

0.01

 

0.00

 

0.01

 

21.87

 

RBC Covered Bond Programme

Monthly Investor Report - May 29, 2020

Page 11 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Manitoba

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

0.05

 

0.00

 

0.00

 

0.00

 

0.05

 

 

20.01 - 25.00

 

0.04

 

0.00

 

0.00

 

0.00

 

0.04

 

 

25.01 - 30.00

 

0.05

 

0.00

 

0.00

 

0.00

 

0.05

 

 

30.01 - 35.00

 

0.07

 

0.00

 

0.00

 

0.00

 

0.07

 

 

35.01 - 40.00

 

0.10

 

0.00

 

0.00

 

0.00

 

0.10

 

 

40.01 - 45.00

 

0.13

 

0.00

 

0.00

 

0.00

 

0.13

 

 

45.01 - 50.00

 

0.16

 

0.00

 

0.00

 

0.00

 

0.16

 

 

50.01 - 55.00

 

0.19

 

0.00

 

0.00

 

0.00

 

0.19

 

 

55.01 - 60.00

 

0.20

 

0.00

 

0.00

 

0.00

 

0.20

 

 

60.01 - 65.00

 

0.25

 

0.00

 

0.00

 

0.00

 

0.25

 

 

65.01 - 70.00

 

0.31

 

0.00

 

0.00

 

0.00

 

0.31

 

 

70.01 - 75.00

 

0.41

 

0.00

 

0.00

 

0.00

 

0.41

 

 

75.01 - 80.00

 

0.33

 

0.00

 

0.00

 

0.00

 

0.33

 

 

> 80.00

 

0.02

 

0.00

 

0.00

 

0.00

 

0.02

Total Manitoba

 

2.31

 

0.00

 

0.00

 

0.00

 

2.32

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

New Brunswick

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

0.03

 

0.00

 

0.00

 

0.00

 

0.03

 

 

20.01 - 25.00

 

0.02

 

0.00

 

0.00

 

0.00

 

0.02

 

 

25.01 - 30.00

 

0.03

 

0.00

 

0.00

 

0.00

 

0.03

 

 

30.01 - 35.00

 

0.04

 

0.00

 

0.00

 

0.00

 

0.04

 

 

35.01 - 40.00

 

0.06

 

0.00

 

0.00

 

0.00

 

0.06

 

 

40.01 - 45.00

 

0.08

 

0.00

 

0.00

 

0.00

 

0.08

 

 

45.01 - 50.00

 

0.07

 

0.00

 

0.00

 

0.00

 

0.07

 

 

50.01 - 55.00

 

0.08

 

0.00

 

0.00

 

0.00

 

0.08

 

 

55.01 - 60.00

 

0.07

 

0.00

 

0.00

 

0.00

 

0.07

 

 

60.01 - 65.00

 

0.08

 

0.00

 

0.00

 

0.00

 

0.08

 

 

65.01 - 70.00

 

0.10

 

0.00

 

0.00

 

0.00

 

0.10

 

 

70.01 - 75.00

 

0.11

 

0.00

 

0.00

 

0.00

 

0.11

 

 

75.01 - 80.00

 

0.06

 

0.00

 

0.00

 

0.00

 

0.06

 

 

> 80.00

 

0.01

 

0.00

 

0.00

 

0.00

 

0.01

Total New Brunswick

 

0.83

 

0.00

 

0.00

 

0.00

 

0.83

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Newfoundland and
Labrador

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

0.02

 

0.00

 

0.00

 

0.00

 

0.02

 

 

20.01 - 25.00

 

0.02

 

0.00

 

0.00

 

0.00

 

0.02

 

 

25.01 - 30.00

 

0.03

 

0.00

 

0.00

 

0.00

 

0.03

 

 

30.01 - 35.00

 

0.04

 

0.00

 

0.00

 

0.00

 

0.04

 

 

35.01 - 40.00

 

0.05

 

0.00

 

0.00

 

0.00

 

0.05

 

 

40.01 - 45.00

 

0.08

 

0.00

 

0.00

 

0.00

 

0.08

 

 

45.01 - 50.00

 

0.10

 

0.00

 

0.00

 

0.00

 

0.10

 

 

50.01 - 55.00

 

0.09

 

0.00

 

0.00

 

0.00

 

0.09

 

 

55.01 - 60.00

 

0.07

 

0.00

 

0.00

 

0.00

 

0.07

 

 

60.01 - 65.00

 

0.08

 

0.00

 

0.00

 

0.00

 

0.08

 

 

65.01 - 70.00

 

0.09

 

0.00

 

0.00

 

0.00

 

0.09

 

 

70.01 - 75.00

 

0.11

 

0.00

 

0.00

 

0.00

 

0.11

 

 

75.01 - 80.00

 

0.05

 

0.00

 

0.00

 

0.00

 

0.05

 

 

> 80.00

 

0.00

 

0.00

 

0.00

 

0.00

 

0.00

Total Newfoundland and Labrador

 

0.81

 

0.00

 

0.00

 

0.00

 

0.81

 

RBC Covered Bond Programme

Monthly Investor Report - May 29, 2020

Page 12 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Northwest Territories

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 Northwest Territories

 

0.00

 

0.00

 

0.00

 

0.00

 

0.00

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Nova Scotia

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.04

 

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

 

0.08

 

0.00

 

0.00

 

0.00

 

0.08

 

 

40.01 - 45.00

 

0.11

 

0.00

 

0.00

 

0.00

 

0.11

 

 

45.01 - 50.00

 

0.13

 

0.00

 

0.00

 

0.00

 

0.13

 

 

50.01 - 55.00

 

0.14

 

0.00

 

0.00

 

0.00

 

0.14

 

 

55.01 - 60.00

 

0.16

 

0.00

 

0.00

 

0.00

 

0.16

 

 

60.01 - 65.00

 

0.21

 

0.00

 

0.00

 

0.00

 

0.21

 

 

65.01 - 70.00

 

0.23

 

0.00

 

0.00

 

0.00

 

0.23

 

 

70.01 - 75.00

 

0.17

 

0.00

 

0.00

 

0.00

 

0.17

 

 

75.01 - 80.00

 

0.08

 

0.00

 

0.00

 

0.00

 

0.08

 

 

> 80.00

 

0.00

 

0.00

 

0.00

 

0.00

 

0.00

Total Nova Scotia

 

1.50

 

0.00

 

0.00

 

0.00

 

1.50

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
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 - May 29, 2020

Page 13 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Ontario

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

2.14

 

0.00

 

0.00

 

0.00

 

2.14

 

 

20.01 - 25.00

 

1.61

 

0.00

 

0.00

 

0.00

 

1.61

 

 

25.01 - 30.00

 

2.32

 

0.00

 

0.00

 

0.00

 

2.32

 

 

30.01 - 35.00

 

2.99

 

0.00

 

0.00

 

0.00

 

2.99

 

 

35.01 - 40.00

 

3.77

 

0.00

 

0.00

 

0.00

 

3.77

 

 

40.01 - 45.00

 

4.13

 

0.00

 

0.00

 

0.00

 

4.13

 

 

45.01 - 50.00

 

4.35

 

0.00

 

0.00

 

0.00

 

4.35

 

 

50.01 - 55.00

 

4.48

 

0.00

 

0.00

 

0.00

 

4.48

 

 

55.01 - 60.00

 

5.43

 

0.00

 

0.00

 

0.00

 

5.43

 

 

60.01 - 65.00

 

4.85

 

0.00

 

0.00

 

0.00

 

4.85

 

 

65.01 - 70.00

 

5.16

 

0.00

 

0.00

 

0.00

 

5.17

 

 

70.01 - 75.00

 

6.41

 

0.00

 

0.00

 

0.00

 

6.42

 

 

75.01 - 80.00

 

3.25

 

0.00

 

0.00

 

0.00

 

3.25

 

 

> 80.00

 

0.01

 

0.00

 

0.00

 

0.00

 

0.01

Total Ontario

 

50.91

 

0.02

 

0.01

 

0.01

 

50.94

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Prince Edward Island

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

0.01

 

0.00

 

0.00

 

0.00

 

0.01

 

 

20.01 - 25.00

 

0.00

 

0.00

 

0.00

 

0.00

 

0.00

 

 

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

 

0.01

 

0.00

 

0.00

 

0.00

 

0.01

 

 

40.01 - 45.00

 

0.02

 

0.00

 

0.00

 

0.00

 

0.02

 

 

45.01 - 50.00

 

0.02

 

0.00

 

0.00

 

0.00

 

0.02

 

 

50.01 - 55.00

 

0.02

 

0.00

 

0.00

 

0.00

 

0.02

 

 

55.01 - 60.00

 

0.02

 

0.00

 

0.00

 

0.00

 

0.02

 

 

60.01 - 65.00

 

0.02

 

0.00

 

0.00

 

0.00

 

0.02

 

 

65.01 - 70.00

 

0.02

 

0.00

 

0.00

 

0.00

 

0.02

 

 

70.01 - 75.00

 

0.03

 

0.00

 

0.00

 

0.00

 

0.03

 

 

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 Prince Edward Island

 

0.19

 

0.00

 

0.00

 

0.00

 

0.19

 

 

 

 

 

 

 

 

 

 

 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Quebec

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

0.29

 

0.00

 

0.00

 

0.00

 

0.29

 

 

20.01 - 25.00

 

0.21

 

0.00

 

0.00

 

0.00

 

0.21

 

 

25.01 - 30.00

 

0.29

 

0.00

 

0.00

 

0.00

 

0.29

 

 

30.01 - 35.00

 

0.38

 

0.00

 

0.00

 

0.00

 

0.38

 

 

35.01 - 40.00

 

0.51

 

0.00

 

0.00

 

0.00

 

0.51

 

 

40.01 - 45.00

 

0.66

 

0.00

 

0.00

 

0.00

 

0.66

 

 

45.01 - 50.00

 

0.86

 

0.00

 

0.00

 

0.00

 

0.86

 

 

50.01 - 55.00

 

1.10

 

0.00

 

0.00

 

0.00

 

1.10

 

 

55.01 - 60.00

 

1.26

 

0.00

 

0.00

 

0.00

 

1.26

 

 

60.01 - 65.00

 

1.44

 

0.00

 

0.00

 

0.00

 

1.44

 

 

65.01 - 70.00

 

1.15

 

0.00

 

0.00

 

0.00

 

1.15

 

 

70.01 - 75.00

 

0.96

 

0.00

 

0.00

 

0.00

 

0.96

 

 

75.01 - 80.00

 

0.53

 

0.00

 

0.00

 

0.00

 

0.53

 

 

> 80.00

 

0.02

 

0.00

 

0.00

 

0.00

 

0.02

Total Quebec

 

9.66

 

0.00

 

0.00

 

0.00

 

9.67

 

RBC Covered Bond Programme

Monthly Investor Report - May 29, 2020

Page 14 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  5/29/2020 

 

 

Province

 

Indexed LTV (%)

 

Current and
less than 30
days past due

 

30 to 59
days past due

 

60 to 89
days past due

 

90 or more
days past due

 

Total

Saskatchewan

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20.00 and below

 

0.07

 

0.00

 

0.00

 

0.00

 

0.07

 

 

20.01 - 25.00

 

0.05

 

0.00

 

0.00

 

0.00

 

0.05

 

 

25.01 - 30.00

 

0.08

 

0.00

 

0.00

 

0.00

 

0.08

 

 

30.01 - 35.00

 

0.11

 

0.00

 

0.00

 

0.00

 

0.11

 

 

35.01 - 40.00

 

0.15

 

0.00

 

0.00

 

0.00

 

0.15

 

 

40.01 - 45.00

 

0.23

 

0.00

 

0.00

 

0.00

 

0.23

 

 

45.01 - 50.00

 

0.23

 

0.00

 

0.00

 

0.00

 

0.23

 

 

50.01 - 55.00

 

0.23

 

0.00

 

0.00

 

0.00

 

0.23

 

 

55.01 - 60.00

 

0.18

 

0.00

 

0.00

 

0.00

 

0.18

 

 

60.01 - 65.00

 

0.16

 

0.00

 

0.00

 

0.00

 

0.16