Press Release

DBRS Morningstar Confirms Ratings of Royal Bank of Canada Global Covered Bonds at AAA

Covered Bonds
April 05, 2023

DBRS Limited (DBRS Morningstar) confirmed the AAA ratings of the following outstanding series issued under the Royal Bank of Canada (Global Covered Bond Programme) (the Program) as part of its continued efforts to provide timely credit rating opinions and increased transparency to market participants:

-- Covered Bonds, Series CB22
-- Covered Bonds, Series CB27
-- Covered Bonds, Series CB28
-- Covered Bonds, Series CB37
-- Covered Bonds, Series CB38
-- Covered Bonds, Series CB40
-- Covered Bonds, Series CB41
-- Covered Bonds, Series CB42
-- Covered Bonds, Series CB45
-- Covered Bonds, Series CB46
-- Covered Bonds, Series CB47
-- Covered Bonds, Series CB48
-- Covered Bonds, Series CB49
-- Covered Bonds, Series CB50
-- Covered Bonds, Series CB52
-- Covered Bonds, Series CB56
-- Covered Bonds, Series CB57
-- Covered Bonds, Series CB60
-- Covered Bonds, Series CB61
-- Covered Bonds, Series CB62
-- Covered Bonds, Series CB63
-- Covered Bonds, Series CB64
-- Covered Bonds, Series CB65
-- Covered Bonds, Series CB66
-- Covered Bonds, Series CB67
-- Covered Bonds, Series CB68
-- Covered Bonds, Series CB69
-- Covered Bonds, Series CB70
-- Covered Bonds, Series CB71
-- Covered Bonds, Series CB72
-- Covered Bonds, Series CB73
-- Covered Bonds, Series CB74
-- Covered Bonds, Series CB75
-- Covered Bonds, Series CB76
-- Covered Bonds, Series CB77
-- Covered Bonds, Series CB78
-- Covered Bonds, Series CB79
-- Covered Bonds, Series CB80
-- Covered Bonds, Series CB81
-- Covered Bonds, Series CB82
-- Covered Bonds, Series CB83
-- Covered Bonds, Series CB84
-- Covered Bonds, Series CB85

The confirmations are based on the following analytical considerations:

-- A Covered Bond Attachment Point of AA (high), which is the Long-Term Senior Debt rating of the Royal Bank of Canada (RBC). RBC is the Reference Entity for the Program.
-- A Legal and Structuring Framework (LSF) assessment of Strong associated with the Program.
-- 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 prospect is possible.
-- A level of overcollateralization (OC) of 7.5% (based on the Asset Percentage of 93.0% as at February 28, 2023) to which DBRS Morningstar gives credit.

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at (May 17, 2022).

The principal methodology applicable to the rating is Rating and Monitoring Covered Bonds (April 22, 2022;

Other methodologies referenced in this transaction are listed at the end of this press release.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report:

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at

The rating was initiated at the request of the rated entity. The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this rating action. This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

More details on the Cover Pool and the Program are provided in the Monthly Canadian Covered Bond Report, which is available by clicking on the link under Related Documents or by contacting us at

This rating is endorsed by DBRS Ratings Limited for use in the United Kingdom, and by DBRS Ratings GmbH for use in the European Union, respectively. The following additional regulatory disclosures apply to endorsed ratings:

The last rating action on the Program took place on March 31,2023, when DBRS Morningstar assigned ratings of AAA to the Covered Bonds, Series CB86 issued under the Program.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see

Lead Analyst: Jiani Xi, Vice President, Canadian Structured Finance
Rating Committee Chair: Tim O’Neil, Managing Director, Head of Canadian Structured Finance
Initial Rating Date: October 8, 2007

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The rating methodologies used in the analysis of this transaction can be found at:

Predictive model: Canadian RMBS Model (Version

For more information on this credit or on this industry, visit or contact us at