DBRS Morningstar Assigns AAA Rating to RBC Global Covered Bonds, Series CB63.
ENPNewswire-September 15, 2021--DBRS Morningstar Assigns AAA Rating to RBC Global Covered Bonds, Series CB63
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Release date- 14092021 - DBRS Limited (DBRS Morningstar) assigned a rating of AAA to the Covered Bonds, Series CB63 (Series CB63) issued under the Royal Bank of Canada (RBC) Global Covered Bond Programme (the Programme).
Series CB63 (USD 2.5 billion) has a coupon rate of 1.05% and a maturity date of September 14, 2026. All covered bonds issued under the Programme (the Covered Bonds) rank pari passu with each other and are currently rated AAA by DBRS Morningstar.
The AAA ratings are based on the following analytical considerations:
A Covered Bond Attachment Point of AA (high), which is the DBRS Morningstar Long-Term Senior Debt rating of RBC. RBC is the Reference Entity for the Programme.
A Legal and Structuring Framework (LSF) assessment of Strong associated with the Programme.
A Cover Pool Credit Assessment of 'A'.
An LSF-Implied Likelihood (LSF-L) of AAA.
While not currently applicable, based on the recovery notching scale, up to two notches' uplift from the LSF-L for high recovery prospects is possible.
A level of overcollateralization (OC) of 7.5% (based on the Asset Percentage of 93.0% as at July 30, 2021) to which DBRS Morningstar gives credit.
DBRS Morningstar considered the following factors in its analysis described above, each of which include additional analysis and, where appropriate, adjustments to expected performance assumptions as a result of the global efforts to contain the spread of the Coronavirus Disease (COVID-19). For the ratings assigned, DBRS Morningstar's analysis considered the baseline macroeconomic scenarios for rated sovereign economies, available in its commentary 'Baseline Macroeconomic Scenarios For Rated Sovereigns,' published on September 8, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect DBRS Morningstar's view that, although the coronavirus remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded. Current median forecasts considered in the baseline macroeconomic scenarios incorporate some risks associated with further outbreaks, but they remain fairly positive on recovery prospects given DBRS Morningstar expects continued fiscal...
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