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Royal Bank of Canada (88DB)

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Thursday 27 August, 2020

Royal Bank of Canada

Investor Report

RNS Number : 2619X
Royal Bank of Canada
26 August 2020
 

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

  http://www.rns-pdf.londonstockexchange.com/rns/2619X_1-2020-8-26.pdf

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation 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

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

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 (high)(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 - July 31, 2020

Page 2 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

Asset Coverage Test

 

 

 

 

 

 

 

 

 

C$ Equivalent of Outstanding Covered Bonds

$75,326,620,450

 

 

 

 

 

 

 

 

 

 

 

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

$104,202,141,293

 

A (i)

$112,031,998,373

(ii) Asset Percentage Adjusted True Balance, as adjusted

 

 

A (ii)

$104,202,141,293

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

$1,112,576,626

 

 

 

 

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

$103,089,564,668

 

 

 

 

 

Regulatory OC Minimum Calculation

 

 

 

 

 

 

 

A Lesser of (a) Cover Pool Collateral, and

$81,084,773,772

 

A(a)

 $112,004,352,140*

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

 

 

A(b)

$81,084,773,772

B (C$ Equivalent of Outstanding Covered Bonds)

$75,326,620,450

 

 

 

 

Level of Overcollateralization (A/B)

107.64%

 

 

 

 

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

$78,290,060,390

 

 

 

 

 

 

 

 

 

 

 

A = LTV Adjusted Present Value

$113,058,379,606

 

Weighted Average Effective Yield of Performing Eligible Loans:

2.30%

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)

$113,058,379,606

 

 

 

 

 

Intercompany Loan Balance

 

 

 

 

 

 

 

 

 

Guarantee Loan

$81,435,380,889

 

 

 

 

Demand Loan

$30,779,015,791

 

 

 

 

Total

 

$112,214,396,679

 

 

 

 

 

Cover Pool Losses

 

 

 

 

 

 

 

 

 

Period End

Write-off Amounts

Loss Percentage (Annualized)

 

 

July 31, 2020

$2,501,096 

0.03%

 

 

 

 

 

Cover Pool Flow of Funds

 

 

 

 

 

 

 

 

 

 

 

31-Jul-2020

 

30-Jun-2020

 

 

Cash Inflows

 

 

 

 

 

 

Principal Receipts

 

$2,014,695,339

(1)

$1,879,628,926

(1)

 

Proceeds for sale of Loans

 

-

 

-

 

 

Draw on Intercompany Loan

 

-

 

-

 

 

Revenue Receipts

 

$279,634,851

 

$278,425,169

 

 

Swap receipts

 

$167,864,232

(2)

$166,060,383

(3)

Swap Breakage Fee

 

-

 

-

 

 

Cash Outflows

 

 

 

 

 

 

Swap payment

 

($279,634,851)

(2)

($278,425,169)

(3)

Intercompany Loan interest

 

($167,528,504)

(2)

($165,728,262)

(3)

Intercompany Loan principal

 

($2,014,695,339)

(1)(2)

($1,879,628,926)

(1)(3)

Purchase of Loans

 

-

 

-

 

 

Net inflows/(outflows)

 

$335,728

 

$332,121

 

 

 

 

 

 

 

 

 

(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 August 17, 2020

 

 

 

 

(3) Cash settlement occured on July 17, 2020

 

 

 

 

 

RBC Covered Bond Programme

Monthly Investor Report - July 31, 2020

Page 3 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

Cover Pool Summary Statistics

 

 

 

 

 

 

 

Previous Month Ending Balance

$114,112,084,167

 

 

Current Month Ending Balance

$112,058,612,952

 

 

Number of Mortgages in Pool

508,635

 

 

Average Mortgage Size

$220,312

 

 

Ten Largest Mortgages as a % of Current Month Ending Balance

0.02%

 

 

Number of Properties

431,487

 

 

Number of Borrowers

404,219

 

 

 

 

 

Original (1)

 

Indexed (2)

Weighted Average LTV - Authorized

69.35%

 

58.49%

Weighted Average LTV - Drawn

61.75%

 

52.54%

Weighted Average LTV - Original Authorized

71.32%

 

 

Weighted Average Mortgage Rate

2.73%

 

 

Weighted Average Seasoning (Months)

22.09

 

 

Weighted Average Original Term (Months)

53.19

 

 

Weighted Average Remaining Term (Months)

30.61

 

 

 

 

 

 

 

 

(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

508,100

 

99.89

 

$111,963,203,695

 

99.91

30 to 59 days past due

161

 

0.03

 

$32,554,853

 

0.03

60 to 89 days past due

44

 

0.01

 

$8,593,592

 

0.01

90 or more days past due

330

 

0.06

 

$54,260,812

 

0.05

Total

508,635

 

100.00

 

$112,058,612,952

 

100.00

 

Cover Pool Provincial Distribution

 

 

 

 

 

 

 

 

Province

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Alberta

54,784

 

10.77

 

$11,120,969,636

 

9.92

British Columbia

91,982

 

18.08

 

$24,589,700,931

 

21.94

Manitoba

18,422

 

3.62

 

$2,584,094,818

 

2.31

New Brunswick

9,337

 

1.84

 

$925,047,739

 

0.83

Newfoundland and Labrador

6,296

 

1.24

 

$909,914,398

 

0.81

Northwest Territories

18

 

0.00

 

$1,842,428

 

0.00

Nova Scotia

13,784

 

2.71

 

$1,671,635,889

 

1.49

Nunavut

1

 

0.00

 

$37,881

 

0.00

Ontario

224,938

 

44.22

 

$57,102,128,795

 

50.96

Prince Edward Island

1,783

 

0.35

 

$214,009,709

 

0.19

Quebec

72,295

 

14.21

 

$10,716,813,269

 

9.56

Saskatchewan

14,905

 

2.93

 

$2,208,629,674

 

1.97

Yukon

90

 

0.02

 

$13,787,785

 

0.01

Total

508,635

 

100.00

 

$112,058,612,952

 

100.00

 

Cover Pool Credit Bureau Score Distribution

 

 

 

 

 

 

 

 

Credit Bureau Score

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Score Unavailable

1,458

 

0.29

 

$230,484,399

 

0.21

499 and below

488

 

0.10

 

$93,091,450

 

0.08

500 - 539

978

 

0.19

 

$204,591,248

 

0.18

540 - 559

808

 

0.16

 

$179,306,062

 

0.16

560 - 579

1,151

 

0.23

 

$258,813,294

 

0.23

580 - 599

1,683

 

0.33

 

$399,460,663

 

0.36

600 - 619

2,714

 

0.53

 

$645,206,734

 

0.58

620 - 639

4,822

 

0.95

 

$1,180,084,031

 

1.05

640 - 659

7,576

 

1.49

 

$1,889,082,165

 

1.69

660 - 679

11,919

 

2.34

 

$2,879,815,931

 

2.57

680 - 699

17,088

 

3.36

 

$4,153,194,299

 

3.71

700 - 719

22,848

 

4.49

 

$5,431,650,442

 

4.85

720 - 739

27,109

 

5.33

 

$6,443,615,546

 

5.75

740 - 759

30,181

 

5.93

 

$7,145,704,047

 

6.38

760 - 779

34,380

 

6.76

 

$8,242,987,578

 

7.36

780 - 799

40,538

 

7.97

 

$9,676,293,742

 

8.64

800 and above

302,894

 

59.55

 

$63,005,231,321

 

56.23

Total

508,635

 

100.00

 

$112,058,612,952

 

100.00

 

RBC Covered Bond Programme

Monthly Investor Report - July 31, 2020

Page 4 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

Cover Pool Rate Type Distribution

 

 

 

 

 

 

 

 

Rate Type

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Fixed

414,507

 

81.49

 

$88,925,706,619

 

79.36

Variable

94,128

 

18.51

 

$23,132,906,333

 

20.64

Total

508,635

 

100.00

 

$112,058,612,952

 

100.00

 

Mortgage Asset Type Distribution

 

 

 

 

 

 

 

 

Asset Type

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Conventional Mortgage

124,381

 

24.45

 

$36,257,357,924

 

32.36

Mortgage Segment of All-in-One Product

384,254

 

75.55

 

$75,801,255,029

 

67.64

Total

508,635

 

100.00

 

$112,058,612,952

 

100.00

 

Cover Pool Occupancy Type Distribution

 

 

 

 

 

 

 

 

Occupancy Type

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Owner Occupied

450,025

 

88.48

 

$98,256,033,223

 

87.68

Non-Owner Occupied

58,610

 

11.52

 

$13,802,579,729

 

12.32

Total

508,635

 

100.00

 

$112,058,612,952

 

100.00

 

Cover Pool Mortgage Rate Distribution

 

 

 

 

 

 

 

 

Mortgage Rate (%)

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

1.9999% and below

67,185

 

13.21

 

$17,147,819,565

 

15.30

2.0000% - 2.4999%

60,368

 

11.87

 

$14,019,609,766

 

12.51

2.5000% - 2.9999%

213,704

 

42.02

 

$47,320,653,423

 

42.23

3.0000% - 3.4999%

123,001

 

24.18

 

$25,902,673,677

 

23.12

3.5000% - 3.9999%

39,831

 

7.83

 

$7,078,778,679

 

6.32

4.0000% - 4.4999%

2,153

 

0.42

 

$260,701,967

 

0.23

4.5000% - 4.9999%

829

 

0.16

 

$140,269,476

 

0.13

5.0000% - 5.4999%

98

 

0.02

 

$8,969,729

 

0.01

5.5000% - 5.9999%

12

 

0.00

 

$708,663

 

0.00

6.0000% - 6.4999%

1

 

0.00

 

$84,810

 

0.00

6.5000% - 6.9999%

0

 

0.00

 

$0

 

0.00

7.0000% and above

1,453

 

0.29

 

$178,343,197

 

0.16

Total

508,635

 

100.00

 

$112,058,612,952

 

100.00

 

Cover Pool Remaining Term Distribution

 

 

 

 

 

 

 

 

Remaining Term (Months)

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Less than 12.00

94,615

 

18.60

 

$17,330,671,976

 

15.47

12.00 - 23.99

99,661

 

19.59

 

$20,894,741,145

 

18.65

24.00 - 35.99

127,032

 

24.98

 

$28,885,315,108

 

25.78

36.00 - 47.99

99,231

 

19.51

 

$23,416,492,093

 

20.90

48.00 - 59.99

82,655

 

16.25

 

$20,518,752,297

 

18.31

60.00 - 71.99

4,838

 

0.95

 

$915,557,592

 

0.82

72.00 - 83.99

329

 

0.06

 

$41,649,292

 

0.04

84.00 - 119.99

269

 

0.05

 

$54,933,239

 

0.05

120.00 and above

5

 

0.00

 

$500,210

 

0.00

Total

508,635

 

100.00

 

$112,058,612,952

 

100.00

 

Cover Pool Loan Seasoning

 

 

 

 

 

 

 

 

Loan Seasoning (Months)

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Less than 12.00

130,451

 

25.65

 

$30,051,660,955

 

26.82

12.00 - 23.99

147,455

 

28.99

 

$34,074,138,408

 

30.41

24.00 - 35.99

111,639

 

21.95

 

$24,846,242,689

 

22.17

36.00 - 59.99

116,678

 

22.94

 

$22,761,075,014

 

20.31

60.00 and above

2,412

 

0.47

 

$325,495,887

 

0.29

Total

508,635

 

100.00

 

$112,058,612,952

 

100.00

 

RBC Covered Bond Programme

Monthly Investor Report - July 31, 2020

Page 5 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

Cover Pool Range of Remaining Principal Balance

 

 

 

 

 

 

 

 

Range of Remaining Principal Balance

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

99,999 and below

152,496

 

29.98

 

$8,134,684,426

 

7.26

100,000 - 149,999

75,672

 

14.88

 

$9,452,185,843

 

8.44

150,000 - 199,999

66,055

 

12.99

 

$11,525,039,841

 

10.28

200,000 - 249,999

52,763

 

10.37

 

$11,835,377,947

 

10.56

250,000 - 299,999

40,992

 

8.06

 

$11,233,427,137

 

10.02

300,000 - 349,999

29,569

 

5.81

 

$9,576,811,835

 

8.55

350,000 - 399,999

21,884

 

4.30

 

$8,186,557,682

 

7.31

400,000 - 449,999

15,823

 

3.11

 

$6,710,968,314

 

5.99

450,000 - 499,999

12,465

 

2.45

 

$5,910,984,469

 

5.27

500,000 - 549,999

9,116

 

1.79

 

$4,778,695,479

 

4.26

550,000 - 599,999

7,259

 

1.43

 

$4,169,709,007

 

3.72

600,000 - 649,999

5,233

 

1.03

 

$3,267,809,862

 

2.92

650,000 - 699,999

3,995

 

0.79

 

$2,693,740,488

 

2.40

700,000 - 749,999

3,038

 

0.60

 

$2,200,049,776

 

1.96

750,000 - 799,999

2,430

 

0.48

 

$1,881,312,943

 

1.68

800,000 - 849,999

1,804

 

0.35

 

$1,486,657,505

 

1.33

850,000 - 899,999

1,527

 

0.30

 

$1,335,311,645

 

1.19

900,000 - 949,999

1,318

 

0.26

 

$1,219,590,996

 

1.09

950,000 - 999,999

988

 

0.19

 

$962,099,492

 

0.86

1,000,000 and above

4,208

 

0.83

 

$5,497,598,264

 

4.91

Total

508,635

 

100.00

 

$112,058,612,952

 

100.00

 

Cover Pool Property Type Distribution

 

 

 

 

 

 

 

 

Property Type

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

Apartment (Condominium)

67,625

 

13.30

 

$13,505,237,770

 

12.05

Detached

366,746

 

72.10

 

$81,969,976,217

 

73.15

Duplex

5,710

 

1.12

 

$848,427,848

 

0.76

Fourplex

1,356

 

0.27

 

$250,345,240

 

0.22

Other

547

 

0.11

 

$76,889,346

 

0.07

Row (Townhouse)

36,761

 

7.23

 

$8,594,098,539

 

7.67

Semi-detached

28,377

 

5.58

 

$6,540,945,224

 

5.84

Triplex

1,513

 

0.30

 

$272,692,768

 

0.24

Total

508,635

 

100.00

 

$112,058,612,952

 

100.00

 

Cover Pool Indexed LTV - Authorized Distribution

 

 

 

 

 

 

 

 

Indexed LTV (%)

Number of Properties

 

Percentage

 

Principal Balance

 

Percentage

20.00 and below

15,451

 

3.58

 

$1,193,378,824

 

1.07

20.01 - 25.00

8,706

 

2.02

 

$1,250,843,554

 

1.12

25.01 - 30.00

14,124

 

3.27

 

$2,416,603,383

 

2.16

30.01 - 35.00

21,135

 

4.90

 

$4,073,488,417

 

3.64

35.01 - 40.00

28,682

 

6.65

 

$6,334,624,421

 

5.65

40.01 - 45.00

38,364

 

8.89

 

$8,570,887,026

 

7.65

45.01 - 50.00

38,195

 

8.85

 

$9,109,288,861

 

8.13

50.01 - 55.00

42,502

 

9.85

 

$10,579,106,076

 

9.44

55.01 - 60.00

37,938

 

8.79

 

$11,365,363,249

 

10.14

60.01 - 65.00

41,202

 

9.55

 

$12,185,959,444

 

10.87

65.01 - 70.00

42,647

 

9.88

 

$13,321,373,117

 

11.89

70.01 - 75.00

50,492

 

11.70

 

$16,107,295,821

 

14.37

75.01 - 80.00

39,670

 

9.19

 

$11,735,198,888

 

10.47

> 80.00

12,379

 

2.87

 

$3,815,201,872

 

3.40

Total

431,487

 

100.00

 

$112,058,612,952

 

100.00

 

Cover Pool Indexed LTV - Drawn Distribution

 

 

 

 

 

 

 

 

Indexed LTV (%)

Number of Loans

 

Percentage

 

Principal Balance

 

Percentage

20.00 and below

54,840

 

12.71

 

$4,896,404,092

 

4.37

20.01 - 25.00

21,814

 

5.06

 

$3,600,539,584

 

3.21

25.01 - 30.00

25,555

 

5.92

 

$5,094,631,952

 

4.55

30.01 - 35.00

28,950

 

6.71

 

$6,611,285,501

 

5.90

35.01 - 40.00

32,694

 

7.58

 

$8,184,393,525

 

7.30

40.01 - 45.00

34,522

 

8.00

 

$8,973,979,669

 

8.01

45.01 - 50.00

34,174

 

7.92

 

$9,516,191,095

 

8.49

50.01 - 55.00

33,811

 

7.84

 

$10,166,910,428

 

9.07

55.01 - 60.00

34,725

 

8.05

 

$11,113,737,965

 

9.92

60.01 - 65.00

34,737

 

8.05

 

$11,213,808,042

 

10.01

65.01 - 70.00

36,133

 

8.37

 

$12,096,377,708

 

10.79

70.01 - 75.00

37,138

 

8.61

 

$12,814,475,098

 

11.44

75.01 - 80.00

18,789

 

4.35

 

$6,548,931,175

 

5.84

> 80.00

3,605

 

0.84

 

$1,226,947,119

 

1.09

Total

431,487

 

100.00

 

$112,058,612,952

 

100.00

 

RBC Covered Bond Programme

Monthly Investor Report - July 31, 2020

Page 6 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

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

 

$264,886,458

 

$63,660

 

$0

 

$264,875

 

$265,214,992

 

 

20.01 - 25.00

 

$202,370,737

 

$18,735

 

$0

 

$150,619

 

$202,540,091

 

 

25.01 - 30.00

 

$266,976,696

 

$90,069

 

$0

 

$279,277

 

$267,346,043

 

 

30.01 - 35.00

 

$377,041,927

 

$380,113

 

$0

 

$77,276

 

$377,499,316

 

 

35.01 - 40.00

 

$499,537,877

 

$212,943

 

$387,766

 

$1,171,163

 

$501,309,749

 

 

40.01 - 45.00

 

$609,977,284

 

$57,880

 

$0

 

$2,495,968

 

$612,531,132

 

 

45.01 - 50.00

 

$686,362,523

 

$0

 

$168,883

 

$2,257,719

 

$688,789,125

 

 

50.01 - 55.00

 

$763,473,926

 

$701,221

 

$0

 

$1,226,009

 

$765,401,155

 

 

55.01 - 60.00

 

$846,359,563

 

$187,729

 

$132,746

 

$1,975,413

 

$848,655,451

 

 

60.01 - 65.00

 

$1,028,943,059

 

$523,935

 

$0

 

$1,732,693

 

$1,031,199,686

 

 

65.01 - 70.00

 

$1,237,711,382

 

$902,092

 

$0

 

$2,598,600

 

$1,241,212,074

 

 

70.01 - 75.00

 

$1,582,717,529

 

$715,378

 

$0

 

$3,702,113

 

$1,587,135,020

 

 

75.01 - 80.00

 

$1,761,127,879

 

$406,849

 

$0

 

$1,660,871

 

$1,763,195,600

 

 

> 80.00

 

$967,495,585

 

$123,743

 

$0

 

$1,320,874

 

$968,940,202

Total Alberta

 

$11,094,982,426

 

$4,384,346

 

$689,395

 

$20,913,469

 

$11,120,969,636

 

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

 

$1,499,860,789

 

$584,807

 

$24,402

 

$333,771

 

$1,500,803,768

 

 

20.01 - 25.00

 

$1,039,021,637

 

$1,657,387

 

$0

 

$0

 

$1,040,679,025

 

 

25.01 - 30.00

 

$1,461,477,111

 

$1,613,818

 

$232,750

 

$1,710,893

 

$1,465,034,572

 

 

30.01 - 35.00

 

$1,831,552,795

 

$1,134,158

 

$0

 

$1,981,917

 

$1,834,668,869

 

 

35.01 - 40.00

 

$2,161,474,046

 

$2,057,784

 

$414,027

 

$1,325,918

 

$2,165,271,775

 

 

40.01 - 45.00

 

$2,192,914,195

 

$324,876

 

$201,733

 

$962,334

 

$2,194,403,138

 

 

45.01 - 50.00

 

$2,017,512,842

 

$1,138,883

 

$0

 

$69,840

 

$2,018,721,565

 

 

50.01 - 55.00

 

$2,044,166,264

 

$0

 

$1,469,971

 

$0

 

$2,045,636,235

 

 

55.01 - 60.00

 

$1,903,096,295

 

$0

 

$0

 

$120,328

 

$1,903,216,624

 

 

60.01 - 65.00

 

$2,330,312,381

 

$596,571

 

$0

 

$279,428

 

$2,331,188,380

 

 

65.01 - 70.00

 

$1,929,891,062

 

$66,132

 

$151,639

 

$1,343,311

 

$1,931,452,144

 

 

70.01 - 75.00

 

$1,958,179,654

 

$0

 

$0

 

$267,086

 

$1,958,446,740

 

 

75.01 - 80.00

 

$2,004,045,488

 

$214,817

 

$0

 

$0

 

$2,004,260,305

 

 

> 80.00

 

$195,917,791

 

$0

 

$0

 

$0

 

$195,917,791

Total British Columbia

 

$24,569,422,350

 

$9,389,234

 

$2,494,521

 

$8,394,826

 

$24,589,700,931

 

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

 

$62,389,865

 

$0

 

$0

 

$0

 

$62,389,865

 

 

20.01 - 25.00

 

$42,045,903

 

$75,573

 

$0

 

$48,832

 

$42,170,309

 

 

25.01 - 30.00

 

$63,085,430

 

$0

 

$0

 

$0

 

$63,085,430

 

 

30.01 - 35.00

 

$82,857,020

 

$0

 

$0

 

$42,900

 

$82,899,920

 

 

35.01 - 40.00

 

$118,221,001

 

$209,292

 

$0

 

$171,164

 

$118,601,458

 

 

40.01 - 45.00

 

$144,465,881

 

$0

 

$0

 

$0

 

$144,465,881

 

 

45.01 - 50.00

 

$183,126,573

 

$0

 

$0

 

$271,778

 

$183,398,351

 

 

50.01 - 55.00

 

$206,947,488

 

$0

 

$207,228

 

$0

 

$207,154,715

 

 

55.01 - 60.00

 

$231,246,409

 

$0

 

$317,705

 

$0

 

$231,564,114

 

 

60.01 - 65.00

 

$286,425,736

 

$0

 

$0

 

$331,424

 

$286,757,159

 

 

65.01 - 70.00

 

$373,664,062

 

$127,162

 

$0

 

$392,255

 

$374,183,478

 

 

70.01 - 75.00

 

$449,944,117

 

$0

 

$0

 

$732,161

 

$450,676,279

 

 

75.01 - 80.00

 

$323,757,241

 

$210,044

 

$0

 

$111,808

 

$324,079,093

 

 

> 80.00

 

$12,668,765

 

$0

 

$0

 

$0

 

$12,668,765

Total Manitoba

 

$2,580,845,492

 

$622,071

 

$524,933

 

$2,102,322

 

$2,584,094,818

 

RBC Covered Bond Programme

Monthly Investor Report - July 31, 2020

Page 7 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

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

 

$33,108,351

 

$37,334

 

$0

 

$0

 

$33,145,685

 

 

20.01 - 25.00

 

$21,918,332

 

$0

 

$0

 

$0

 

$21,918,332

 

 

25.01 - 30.00

 

$31,303,577

 

$0

 

$0

 

$108,043

 

$31,411,620

 

 

30.01 - 35.00

 

$50,925,149

 

$0

 

$0

 

$0

 

$50,925,149

 

 

35.01 - 40.00

 

$64,752,251

 

$0

 

$0

 

$73,031

 

$64,825,282

 

 

40.01 - 45.00

 

$84,254,086

 

$128,502

 

$100,165

 

$253,629

 

$84,736,383

 

 

45.01 - 50.00

 

$89,093,509

 

$0

 

$0

 

$227,720

 

$89,321,229

 

 

50.01 - 55.00

 

$84,569,746

 

$0

 

$0

 

$234,950

 

$84,804,697

 

 

55.01 - 60.00

 

$81,964,835

 

$105,876

 

$0

 

$133,143

 

$82,203,854

 

 

60.01 - 65.00

 

$90,035,713

 

$0

 

$0

 

$0

 

$90,035,713

 

 

65.01 - 70.00

 

$114,754,640

 

$0

 

$0

 

$243,479

 

$114,998,119

 

 

70.01 - 75.00

 

$121,124,240

 

$0

 

$0

 

$0

 

$121,124,240

 

 

75.01 - 80.00

 

$48,179,002

 

$0

 

$0

 

$0

 

$48,179,002

 

 

> 80.00

 

$7,418,434

 

$0

 

$0

 

$0

 

$7,418,434

Total New Brunswick

 

$923,401,865

 

$271,713

 

$100,165

 

$1,273,996

 

$925,047,739

 

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

 

$24,094,321

 

$5,481

 

$0

 

$39,760

 

$24,139,562

 

 

20.01 - 25.00

 

$21,302,843

 

$0

 

$0

 

$0

 

$21,302,843

 

 

25.01 - 30.00

 

$31,363,912

 

$111,704

 

$0

 

$35,335

 

$31,510,951

 

 

30.01 - 35.00

 

$44,467,336

 

$0

 

$0

 

$0

 

$44,467,336

 

 

35.01 - 40.00

 

$63,382,466

 

$160,978

 

$0

 

$0

 

$63,543,443

 

 

40.01 - 45.00

 

$93,226,106

 

$0

 

$0

 

$0

 

$93,226,106

 

 

45.01 - 50.00

 

$102,029,681

 

$86,134

 

$0

 

$212,682

 

$102,328,496

 

 

50.01 - 55.00

 

$97,883,674

 

$0

 

$0

 

$555,782

 

$98,439,456

 

 

55.01 - 60.00

 

$84,583,479

 

$132,145

 

$0

 

$0

 

$84,715,624

 

 

60.01 - 65.00

 

$90,369,161

 

$185,473

 

$0

 

$0

 

$90,554,634

 

 

65.01 - 70.00

 

$104,669,856

 

$0

 

$0

 

$0

 

$104,669,856

 

 

70.01 - 75.00

 

$111,516,491

 

$0

 

$0

 

$166,965

 

$111,683,456

 

 

75.01 - 80.00

 

$36,731,021

 

$0

 

$0

 

$0

 

$36,731,021

 

 

> 80.00

 

$2,601,614

 

$0

 

$0

 

$0

 

$2,601,614

Total Newfoundland and Labrador

 

$908,221,961

 

$681,914

 

$0

 

$1,010,523

 

$909,914,398

 

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

 

$513,774

 

$0

 

$0

 

$0

 

$513,774

 

 

20.01 - 25.00

 

$89,964

 

$0

 

$0

 

$0

 

$89,964

 

 

25.01 - 30.00

 

$119,291

 

$0

 

$0

 

$0

 

$119,291

 

 

30.01 - 35.00

 

$424,461

 

$0

 

$0

 

$0

 

$424,461

 

 

35.01 - 40.00

 

$356,790

 

$0

 

$0

 

$0

 

$356,790

 

 

40.01 - 45.00

 

$169,510

 

$0

 

$0

 

$0

 

$169,510

 

 

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

 

$168,639

 

$0

 

$0

 

$0

 

$168,639

Total Northwest Territories

 

$1,842,428

 

$0

 

$0

 

$0

 

$1,842,428

 

RBC Covered Bond Programme

Monthly Investor Report - July 31, 2020

Page 8 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

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

 

$55,647,675

 

$30,573

 

$0

 

$55

 

$55,678,304

 

 

20.01 - 25.00

 

$37,786,276

 

$1,887

 

$0

 

$0

 

$37,788,162

 

 

25.01 - 30.00

 

$49,807,736

 

$0

 

$0

 

$87,154

 

$49,894,890

 

 

30.01 - 35.00

 

$72,951,515

 

$0

 

$0

 

$90,602

 

$73,042,117

 

 

35.01 - 40.00

 

$91,844,628

 

$72,071

 

$0

 

$523,955

 

$92,440,654

 

 

40.01 - 45.00

 

$128,438,414

 

$141,336

 

$0

 

$474,374

 

$129,054,125

 

 

45.01 - 50.00

 

$150,607,869

 

$90,882

 

$0

 

$982,034

 

$151,680,786

 

 

50.01 - 55.00

 

$164,098,987

 

$0

 

$0

 

$77,731

 

$164,176,718

 

 

55.01 - 60.00

 

$176,960,658

 

$0

 

$0

 

$131,525

 

$177,092,184

 

 

60.01 - 65.00

 

$243,375,259

 

$0

 

$0

 

$252,108

 

$243,627,367

 

 

65.01 - 70.00

 

$266,207,440

 

$0

 

$0

 

$0

 

$266,207,440

 

 

70.01 - 75.00

 

$167,862,582

 

$0

 

$0

 

$132,097

 

$167,994,679

 

 

75.01 - 80.00

 

$58,783,726

 

$0

 

$0

 

$0

 

$58,783,726

 

 

> 80.00

 

$4,174,737

 

$0

 

$0

 

$0

 

$4,174,737

Total Nova Scotia

 

$1,668,547,503

 

$336,749

 

$0

 

$2,751,636

 

$1,671,635,889

 

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

 

$37,881

 

$0

 

$0

 

$0

 

$37,881

 

 

30.01 - 35.00

 

$0

 

$0

 

$0

 

$0

 

$0

 

 

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

 

$37,881

 

$0

 

$0

 

$0

 

$37,881

 

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

 

$2,527,541,079

 

$567,009

 

$94,781

 

$506,723

 

$2,528,709,592

 

 

20.01 - 25.00

 

$1,915,401,745

 

$24

 

$0

 

$401,782

 

$1,915,803,552

 

 

25.01 - 30.00

 

$2,749,028,295

 

$87,102

 

$420,270

 

$433,893

 

$2,749,969,560

 

 

30.01 - 35.00

 

$3,566,419,062

 

$1,561,916

 

$219,935

 

$515,015

 

$3,568,715,927

 

 

35.01 - 40.00

 

$4,384,585,310

 

$732,555

 

$303,751

 

$0

 

$4,385,621,616

 

 

40.01 - 45.00

 

$4,669,305,922

 

$1,728,225

 

$680,686

 

$764,290

 

$4,672,479,123

 

 

45.01 - 50.00

 

$5,016,124,499

 

$1,304,667

 

$235,530

 

$855,644

 

$5,018,520,340

 

 

50.01 - 55.00

 

$5,280,111,104

 

$1,519,481

 

$375,958

 

$2,483,785

 

$5,284,490,327

 

 

55.01 - 60.00

 

$6,116,483,776

 

$941,772

 

$893,806

 

$1,448,275

 

$6,119,767,630

 

 

60.01 - 65.00

 

$5,355,141,523

 

$261,347

 

$0

 

$0

 

$5,355,402,870

 

 

65.01 - 70.00

 

$6,585,426,637

 

$1,719,936

 

$0

 

$549,373

 

$6,587,695,946

 

 

70.01 - 75.00

 

$7,102,686,888

 

$3,657,990

 

$0

 

$1,022,251

 

$7,107,367,129

 

 

75.01 - 80.00

 

$1,792,493,885

 

$441,475

 

$0

 

$0

 

$1,792,935,360

 

 

> 80.00

 

$14,649,824

 

$0

 

$0

 

$0

 

$14,649,824

Total Ontario

 

$57,075,399,549

 

$14,523,499

 

$3,224,716

 

$8,981,031

 

$57,102,128,795

 

RBC Covered Bond Programme

Monthly Investor Report - July 31, 2020

Page 9 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

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

 

$5,813,875

 

$0

 

$25,395

 

$0

 

$5,839,271

 

 

20.01 - 25.00

 

$4,606,342

 

$0

 

$0

 

$0

 

$4,606,342

 

 

25.01 - 30.00

 

$7,817,393

 

$0

 

$0

 

$0

 

$7,817,393

 

 

30.01 - 35.00

 

$9,253,089

 

$0

 

$0

 

$0

 

$9,253,089

 

 

35.01 - 40.00

 

$12,989,067

 

$0

 

$0

 

$0

 

$12,989,067

 

 

40.01 - 45.00

 

$18,261,026

 

$0

 

$0

 

$0

 

$18,261,026

 

 

45.01 - 50.00

 

$16,159,806

 

$0

 

$0

 

$0

 

$16,159,806

 

 

50.01 - 55.00

 

$20,089,969

 

$0

 

$0

 

$0

 

$20,089,969

 

 

55.01 - 60.00

 

$28,745,914

 

$0

 

$0

 

$0

 

$28,745,914

 

 

60.01 - 65.00

 

$23,618,974

 

$0

 

$0

 

$0

 

$23,618,974

 

 

65.01 - 70.00

 

$22,057,595

 

$0

 

$0

 

$0

 

$22,057,595

 

 

70.01 - 75.00

 

$30,662,230

 

$0

 

$0

 

$0

 

$30,662,230

 

 

75.01 - 80.00

 

$12,065,556

 

$0

 

$0

 

$0

 

$12,065,556

 

 

> 80.00

 

$1,843,478

 

$0

 

$0

 

$0

 

$1,843,478

Total Prince Edward Island

 

$213,984,314

 

$0

 

$25,395

 

$0

 

$214,009,709

 

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

 

$337,739,968

 

$63,858

 

$0

 

$23,715

 

$337,827,541

 

 

20.01 - 25.00

 

$250,669,176

 

$0

 

$0

 

$82,656

 

$250,751,832

 

 

25.01 - 30.00

 

$332,363,736

 

$188,591

 

$114,275

 

$24,806

 

$332,691,409

 

 

30.01 - 35.00

 

$438,994,897

 

$79,432

 

$296,624

 

$0

 

$439,370,953

 

 

35.01 - 40.00

 

$596,957,587

 

$120,406

 

$0

 

$0

 

$597,077,993

 

 

40.01 - 45.00

 

$758,877,427

 

$68,200

 

$0

 

$134,729

 

$759,080,357

 

 

45.01 - 50.00

 

$981,285,225

 

$0

 

$491,031

 

$536,319

 

$982,312,575

 

 

50.01 - 55.00

 

$1,244,117,887

 

$333,658

 

$211,425

 

$1,135,629

 

$1,245,798,600

 

 

55.01 - 60.00

 

$1,440,551,509

 

$314,887

 

$0

 

$683,741

 

$1,441,550,138

 

 

60.01 - 65.00

 

$1,584,735,670

 

$131,352

 

$0

 

$429,140

 

$1,585,296,162

 

 

65.01 - 70.00

 

$1,246,013,609

 

$119,928

 

$0

 

$182,844

 

$1,246,316,381

 

 

70.01 - 75.00

 

$1,051,269,327

 

$179,771

 

$0

 

$265,184

 

$1,051,714,282

 

 

75.01 - 80.00

 

$434,901,164

 

$0

 

$0

 

$321,980

 

$435,223,144

 

 

> 80.00

 

$11,801,902

 

$0

 

$0

 

$0

 

$11,801,902

Total Quebec

 

$10,710,279,084

 

$1,600,084

 

$1,113,356

 

$3,820,745

 

$10,716,813,269

 

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

 

$82,354,704

 

$27,041

 

$0

 

$8,879

 

$82,390,624

 

 

20.01 - 25.00

 

$61,474,184

 

$0

 

$63,615

 

$241,384

 

$61,779,183

 

 

25.01 - 30.00

 

$94,590,980

 

$0

 

$0

 

$87,049

 

$94,678,030

 

 

30.01 - 35.00

 

$127,417,965

 

$0

 

$63,577

 

$348,446

 

$127,829,987

 

 

35.01 - 40.00

 

$179,700,727

 

$0

 

$0

 

$153,602

 

$179,854,328

 

 

40.01 - 45.00

 

$262,636,854

 

$0

 

$0

 

$1,031,629

 

$263,668,482

 

 

45.01 - 50.00

 

$261,563,669

 

$84,561

 

$0

 

$807,550

 

$262,455,781

 

 

50.01 - 55.00

 

$248,406,367

 

$228,883

 

$99,415

 

$1,427,579

 

$250,162,243

 

 

55.01 - 60.00

 

$194,980,948

 

$0

 

$0

 

$687,372

 

$195,668,320

 

 

60.01 - 65.00

 

$175,911,738

 

$34,869

 

$0

 

$0

 

$175,946,606

 

 

65.01 - 70.00

 

$207,072,905

 

$326,497

 

$36,093

 

$0

 

$207,435,495

 

 

70.01 - 75.00

 

$227,385,481

 

$43,392

 

$0

 

$0

 

$227,428,873

 

 

75.01 - 80.00

 

$73,478,369

 

$0

 

$0

 

$0

 

$73,478,369

 

 

> 80.00

 

$5,853,352

 

$0

 

$0

 

$0

 

$5,853,352

Total Saskatchewan

 

$2,202,828,243

 

$745,243

 

$262,699

 

$4,793,489

 

$2,208,629,674

 

RBC Covered Bond Programme

Monthly Investor Report - July 31, 2020

Page 10 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

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

 

$1,581,214

 

$0

 

$0

 

$0

 

$1,581,214

 

 

20.01 - 25.00

 

$918,043

 

$0

 

$0

 

$0

 

$918,043

 

 

25.01 - 30.00

 

$973,688

 

$0

 

$0

 

$0

 

$973,688

 

 

30.01 - 35.00

 

$1,944,167

 

$0

 

$0

 

$0

 

$1,944,167

 

 

35.01 - 40.00

 

$3,512,498

 

$0

 

$0

 

$218,774

 

$3,731,272

 

 

40.01 - 45.00

 

$1,645,353

 

$0

 

$0

 

$0

 

$1,645,353

 

 

45.01 - 50.00

 

$1,527,385

 

$0

 

$0

 

$0

 

$1,527,385

 

 

50.01 - 55.00

 

$1,240,463

 

$0

 

$158,412

 

$0

 

$1,398,875

 

 

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

 

$67,788

 

$0

 

$0

 

$0

 

$67,788

 

 

75.01 - 80.00

 

$0

 

$0

 

$0

 

$0

 

$0

 

 

> 80.00

 

$0

 

$0

 

$0

 

$0

 

$0

Total Yukon

 

$13,410,599

 

$0

 

$158,412

 

$218,774

 

$13,787,785

 

 

 

 

 

 

 

 

 

 

 

 

 

Grand Total

 

 

 

$111,963,203,695

 

$32,554,853

 

$8,593,592

 

$54,260,812

 

$112,058,612,952

 

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

 

0.24

 

0.00

 

0.00

 

0.00

 

0.24

 

 

20.01 - 25.00

 

0.18

 

0.00

 

0.00

 

0.00

 

0.18

 

 

25.01 - 30.00

 

0.24

 

0.00

 

0.00

 

0.00

 

0.24

 

 

30.01 - 35.00

 

0.34

 

0.00

 

0.00

 

0.00

 

0.34

 

 

35.01 - 40.00

 

0.45

 

0.00

 

0.00

 

0.00

 

0.45

 

 

40.01 - 45.00

 

0.54

 

0.00

 

0.00

 

0.00

 

0.55

 

 

45.01 - 50.00

 

0.61

 

0.00

 

0.00

 

0.00

 

0.61

 

 

50.01 - 55.00

 

0.68

 

0.00

 

0.00

 

0.00

 

0.68

 

 

55.01 - 60.00

 

0.76

 

0.00

 

0.00

 

0.00

 

0.76

 

 

60.01 - 65.00

 

0.92

 

0.00

 

0.00

 

0.00

 

0.92

 

 

65.01 - 70.00

 

1.10

 

0.00

 

0.00

 

0.00

 

1.11

 

 

70.01 - 75.00

 

1.41

 

0.00

 

0.00

 

0.00

 

1.42

 

 

75.01 - 80.00

 

1.57

 

0.00

 

0.00

 

0.00

 

1.57

 

 

> 80.00

 

0.86

 

0.00

 

0.00

 

0.00

 

0.86

Total Alberta

 

9.90

 

0.00

 

0.00

 

0.02

 

9.92

 

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

 

1.34

 

0.00

 

0.00

 

0.00

 

1.34

 

 

20.01 - 25.00

 

0.93

 

0.00

 

0.00

 

0.00

 

0.93

 

 

25.01 - 30.00

 

1.30

 

0.00

 

0.00

 

0.00

 

1.31

 

 

30.01 - 35.00

 

1.63

 

0.00

 

0.00

 

0.00

 

1.64

 

 

35.01 - 40.00

 

1.93

 

0.00

 

0.00

 

0.00

 

1.93

 

 

40.01 - 45.00

 

1.96

 

0.00

 

0.00

 

0.00

 

1.96

 

 

45.01 - 50.00

 

1.80

 

0.00

 

0.00

 

0.00

 

1.80

 

 

50.01 - 55.00

 

1.82

 

0.00

 

0.00

 

0.00

 

1.83

 

 

55.01 - 60.00

 

1.70

 

0.00

 

0.00

 

0.00

 

1.70

 

 

60.01 - 65.00

 

2.08

 

0.00

 

0.00

 

0.00

 

2.08

 

 

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

 

1.79

 

0.00

 

0.00

 

0.00

 

1.79

 

 

> 80.00

 

0.17

 

0.00

 

0.00

 

0.00

 

0.17

Total British Columbia

 

21.93

 

0.01

 

0.00

 

0.01

 

21.94

 

RBC Covered Bond Programme

Monthly Investor Report - July 31, 2020

Page 11 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

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

 

0.06

 

0.00

 

0.00

 

0.00

 

0.06

 

 

20.01 - 25.00

 

0.04

 

0.00

 

0.00

 

0.00

 

0.04

 

 

25.01 - 30.00

 

0.06

 

0.00

 

0.00

 

0.00

 

0.06

 

 

30.01 - 35.00

 

0.07

 

0.00

 

0.00

 

0.00

 

0.07

 

 

35.01 - 40.00

 

0.11

 

0.00

 

0.00

 

0.00

 

0.11

 

 

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

 

0.18

 

0.00

 

0.00

 

0.00

 

0.18

 

 

55.01 - 60.00

 

0.21

 

0.00

 

0.00

 

0.00

 

0.21

 

 

60.01 - 65.00

 

0.26

 

0.00

 

0.00

 

0.00

 

0.26

 

 

65.01 - 70.00

 

0.33

 

0.00

 

0.00

 

0.00

 

0.33

 

 

70.01 - 75.00

 

0.40

 

0.00

 

0.00

 

0.00

 

0.40

 

 

75.01 - 80.00

 

0.29

 

0.00

 

0.00

 

0.00

 

0.29

 

 

> 80.00

 

0.01

 

0.00

 

0.00

 

0.00

 

0.01

Total Manitoba

 

2.30

 

0.00

 

0.00

 

0.00

 

2.31

 

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

 

0.05

 

0.00

 

0.00

 

0.00

 

0.05

 

 

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

 

0.08

 

0.00

 

0.00

 

0.00

 

0.08

 

 

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

 

0.04

 

0.00

 

0.00

 

0.00

 

0.04

 

 

> 80.00

 

0.01

 

0.00

 

0.00

 

0.00

 

0.01

Total New Brunswick

 

0.82

 

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

 

0.06

 

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

 

0.09

 

0.00

 

0.00

 

0.00

 

0.09

 

 

50.01 - 55.00

 

0.09

 

0.00

 

0.00

 

0.00

 

0.09

 

 

55.01 - 60.00

 

0.08

 

0.00

 

0.00

 

0.00

 

0.08

 

 

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

 

0.10

 

0.00

 

0.00

 

0.00

 

0.10

 

 

75.01 - 80.00

 

0.03

 

0.00

 

0.00

 

0.00

 

0.03

 

 

> 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 - July 31, 2020

Page 12 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

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

 

0.07

 

0.00

 

0.00

 

0.00

 

0.07

 

 

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

 

0.12

 

 

45.01 - 50.00

 

0.13

 

0.00

 

0.00

 

0.00

 

0.14

 

 

50.01 - 55.00

 

0.15

 

0.00

 

0.00

 

0.00

 

0.15

 

 

55.01 - 60.00

 

0.16

 

0.00

 

0.00

 

0.00

 

0.16

 

 

60.01 - 65.00

 

0.22

 

0.00

 

0.00

 

0.00

 

0.22

 

 

65.01 - 70.00

 

0.24

 

0.00

 

0.00

 

0.00

 

0.24

 

 

70.01 - 75.00

 

0.15

 

0.00

 

0.00

 

0.00

 

0.15

 

 

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 Nova Scotia

 

1.49

 

0.00

 

0.00

 

0.00

 

1.49

 

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 - July 31, 2020

Page 13 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

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

 

2.26

 

0.00

 

0.00

 

0.00

 

2.26

 

 

20.01 - 25.00

 

1.71

 

0.00

 

0.00

 

0.00

 

1.71

 

 

25.01 - 30.00

 

2.45

 

0.00

 

0.00

 

0.00

 

2.45

 

 

30.01 - 35.00

 

3.18

 

0.00

 

0.00

 

0.00

 

3.18

 

 

35.01 - 40.00

 

3.91

 

0.00

 

0.00

 

0.00

 

3.91

 

 

40.01 - 45.00

 

4.17

 

0.00

 

0.00

 

0.00

 

4.17

 

 

45.01 - 50.00

 

4.48

 

0.00

 

0.00

 

0.00

 

4.48

 

 

50.01 - 55.00

 

4.71

 

0.00

 

0.00

 

0.00

 

4.72

 

 

55.01 - 60.00

 

5.46

 

0.00

 

0.00

 

0.00

 

5.46

 

 

60.01 - 65.00

 

4.78

 

0.00

 

0.00

 

0.00

 

4.78

 

 

65.01 - 70.00

 

5.88

 

0.00

 

0.00

 

0.00

 

5.88

 

 

70.01 - 75.00

 

6.34

 

0.00

 

0.00

 

0.00

 

6.34

 

 

75.01 - 80.00

 

1.60

 

0.00

 

0.00

 

0.00

 

1.60

 

 

> 80.00

 

0.01

 

0.00

 

0.00

 

0.00

 

0.01

Total Ontario

 

50.93

 

0.01

 

0.00

 

0.01

 

50.96

 

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

 

0.01

 

0.00

 

0.00

 

0.00

 

0.01

 

 

50.01 - 55.00

 

0.02

 

0.00

 

0.00

 

0.00

 

0.02

 

 

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

 

0.02

 

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

 

0.01

 

0.00

 

0.00

 

0.00

 

0.01

 

 

> 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

 

0.30

 

0.00

 

0.00

 

0.00

 

0.30

 

 

20.01 - 25.00

 

0.22

 

0.00

 

0.00

 

0.00

 

0.22

 

 

25.01 - 30.00

 

0.30

 

0.00

 

0.00

 

0.00

 

0.30

 

 

30.01 - 35.00

 

0.39

 

0.00

 

0.00

 

0.00

 

0.39

 

 

35.01 - 40.00

 

0.53

 

0.00

 

0.00

 

0.00

 

0.53

 

 

40.01 - 45.00

 

0.68

 

0.00

 

0.00

 

0.00

 

0.68

 

 

45.01 - 50.00

 

0.88

 

0.00

 

0.00

 

0.00

 

0.88

 

 

50.01 - 55.00

 

1.11

 

0.00

 

0.00

 

0.00

 

1.11

 

 

55.01 - 60.00

 

1.29

 

0.00

 

0.00

 

0.00

 

1.29

 

 

60.01 - 65.00

 

1.41

 

0.00

 

0.00

 

0.00

 

1.41

 

 

65.01 - 70.00

 

1.11

 

0.00

 

0.00

 

0.00

 

1.11

 

 

70.01 - 75.00

 

0.94

 

0.00

 

0.00

 

0.00

 

0.94

 

 

75.01 - 80.00

 

0.39

 

0.00

 

0.00

 

0.00

 

0.39

 

 

> 80.00

 

0.01

 

0.00

 

0.00

 

0.00

 

0.01

Total Quebec

 

9.56

 

0.00

 

0.00

 

0.00

 

9.56

 

RBC Covered Bond Programme

Monthly Investor Report - July 31, 2020

Page 14 of 20

 

 

 

 

 

 

 

 

RBC Covered Bond Programme Monthly Investor Report

Calculation Date:  7/31/2020 

 

 

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

 

0.06

 

 

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

 

0.16

 

0.00

 

0.00

 

0.00

 

0.16

 

 

40.01 - 45.00

 

0.23

 

0.00

 

0.00

 

0.00

 

0.24

 

 

45.01 - 50.00

 

0.23

 

0.00

 

0.00

 

0.00

 

0.23

 

 

50.01 - 55.00

 

0.22

 

0.00

 

0.00

 

0.00

 

0.22

 

 

55.01 - 60.00

 

0.17

 

0.00

 

0.00

 

0.00

 

0.17

 

 

60.01 - 65.00

 

0.16

 

0.00