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RBC Covered Bond Programme Monthly Investor Report
Calculation Date: 4/29/2016
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/f
ixed_income/covered
-bonds-terms.html
In this report,
currency amounts
are stated in
Canadian dollars
("$"), unless
otherwise
specified.
Programme
Information
Outstanding
Covered
Bonds
Initial C$ Final
Series Principal Amount Translation Equivalent Maturity Interest
Rate
Rate Date(1) Basis
Type
CB2 € 1,250,000,000 1.5070000 $1,883,750,000 1/22/2018 4.625%
Fixed
C$/€
CB6 $1,100,000,000 N/A $1,100,000,000 3/30/2018 3.770%
Fixed
CB7 CHF 500,000,000 1.1149700 $557,485,000 4/21/2021 2.250%
Fixed
C$/CHF
CB8 US$2,500,000,000 0.9762000 $2,440,500,000 9/19/2017 1.200%
Fixed
C$/US$
CB10 US$1,750,000,000 1.0368000 $1,814,400,000 7/22/2016 1.125%
Fixed
C$/US$
CB11 € 2,000,000,000 1.3650000 $2,730,000,000 8/4/2020 1.625%
Fixed
C$/€
CB12 AU$1,250,000,000 0.9334000 $1,166,750,000 8/9/2016 3 month
Floating
C$/AU$ BBSW
+0.53%
CB13 US$2,000,000,000 1.0300000 $2,060,000,000 10/1/2018 2.000%
Fixed
C$/US$
CB14 € 1,500,000,000 1.4175000 $2,126,250,000 10/29/201 1.250%
Fixed
C$/€
8
CB15 € 1,000,000,000 1.4694000 $1,469,400,000 6/19/2019 0.750%
Fixed
C$/€
CB16 AU$750,000,000 1.0024000 $751,800,000 9/23/2019 3 month
Floating
C$/AU$ BBSW
+0.57%
CB17 US$1,750,000,000 1.0972000 $1,920,100,000 9/23/2019 2.200%
Fixed
C$/US$
CB18 US$2,000,000,000 1.2520000 $2,504,000,000 2/5/2020 1.875%
Fixed
C$/US$
CB19 $1,500,000,000 N/A $1,500,000,000 3/23/2020 3 month
Floating
BA
+0.36%
CB20 $700,000,000 N/A $700,000,000 3/23/2020 1.590%
Fixed
CB21 € 1,000,000,000 1.3870000 $1,387,000,000 6/17/2022 0.875%
Fixed
C$/€
CB22 € 279,500,000 1.4017000 $391,775,150 7/21/2031 1.652%
Fixed
C$/€
CB23 £400,000,000 1.9872000 $794,880,000 7/20/2018 3 month
Floating
C$/£ £
Libor
+0.28%
CB24 US$500,000,000 1.2986000 $649,300,000 7/23/2018 3 month
Floating
C$/US$ USD
LIBOR
+0.30%
CB25 € 1,250,000,000 1.4899000 $1,862,375,000 12/16/202 0.500%
Fixed
C$/€
0
CB26 US$1,750,000,000 1.3027000 $2,279,725,000 10/14/202 2.100%
Fixed
C$/US$
0
CB27 € 410,500,000 1.4525000 $596,234,800 12/15/203 1.616%
Fixed
C$/€
4
CB28 € 100,000,000 1.5370000 $153,700,000 1/14/2036 1.625%
Fixed
C$/€
CB29 £350,000,000 1.8915000 $662,025,000 3/11/2019 3 month
Floating
C$/£ £
Libor
+0.50%
CB30 € 1,500,000,000 1.4808000 $2,221,200,000 3/11/2021 0.125%
Fixed
C$/€
CB31 US$1,750,000,000 1.3266000 $2,321,550,000 3/22/2021 2.300%
Fixed
C$/US$
CB32 $2,000,000,000 N/A $2,000,000,000 4/26/2019 1.400%
Fixed
Total $40,044,199,950
OSFI $44,733,539,040
Covered
Bond Limit
Weighted 44.64
average
maturity of
Outstanding
Covered
Bonds
(months)
Weighted 28.25
average
remaining
term of
Loans in
Cover Pool
(months)
Series Moody's DBRS Fitch
Ratings
CB2 Aaa AAA AAA
CB6 Aaa AAA AAA
CB7 Aaa AAA AAA
CB8 Aaa AAA AAA
CB10 Aaa AAA AAA
CB11 Aaa AAA AAA
CB12 Aaa AAA AAA
CB13 Aaa AAA AAA
CB14 Aaa AAA AAA
CB15 Aaa AAA AAA
CB16 Aaa AAA AAA
CB17 Aaa AAA AAA
CB18 Aaa AAA AAA
CB19 Aaa AAA AAA
CB20 Aaa AAA AAA
CB21 Aaa AAA AAA
CB22 Aaa AAA AAA
CB23 Aaa AAA AAA
CB24 Aaa AAA AAA
CB25 Aaa AAA AAA
CB26 Aaa AAA AAA
CB27 Aaa AAA AAA
CB28 Aaa AAA AAA
CB29 Aaa AAA AAA
CB30 Aaa AAA AAA
CB31 Aaa AAA AAA
CB32 Aaa AAA AAA
(1) An
Extended
Due for
Payment
Date twelve
-months
after the
Final
Maturity
Date has
been
specified
in the
Final Terms
of each
Series. The
Interest
Basis
specified
in this
report in
respect of
each Series
applies
until the
Final
Maturity
Date for
the
relevant
Series
following
which the
floating
rate of
interest
specified
in the
Final Terms
of each
Series is
payable
monthly in
arrears
from the
Final
Maturity
Date to but
excluding
the
Extended
Due for
Payment
Date.
RBC Covered Monthly Investor Report - April 29, 2016 Page 1 of 21
Bond
Programme
Investor Report
| Source: Royal Bank of Canada
Pièces jointes
