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

DBRS Limited (Morningstar DBRS) 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 CB38
-- Covered Bonds, Series CB41
-- Covered Bonds, Series CB42
-- Covered Bonds, Series CB46
-- Covered Bonds, Series CB47
-- Covered Bonds, Series CB48
-- Covered Bonds, Series CB50
-- Covered Bonds, Series CB52
-- 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
-- Covered Bonds, Series CB86
-- Covered Bonds, Series CB87
-- Covered Bonds, Series CB88
-- Covered Bonds, Series CB89
-- Covered Bonds, Series CB90
-- Covered Bonds, Series CB91
-- Covered Bonds, Series CB92
-- Covered Bonds, Series CB93
-- Covered Bonds, Series CB94
-- Covered Bonds, Series CB95
-- Covered Bonds, Series CB96
-- Covered Bonds, Series CB97
-- Covered Bonds, Series CB98

The confirmations are based on the following analytical considerations:

-- A Covered Bond Attachment Point (CBAP) of AA (high), which is the Long-Term Senior Debt rating of the Royal Bank of Canada (RBC or the Bank). 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 2025) to which Morningstar DBRS gives credit.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
ESG Considerations had a relevant effect on the credit analysis.

Governance (G) Factors

The following Governance factor(s) had a relevant effect on the credit analysis:
Passed-through Governance credit considerations had a relevant effect on the credit analysis. The corporate/transaction governance factor is relevant to the credit rating of RBC but does not change the assigned credit ratings or trends on the Bank, and therefore it does not change the credit ratings assigned to the covered bonds issued under the Program. On January 31, 2024, the Office of the Comptroller of the Currency imposed a U.S. $65 million fine against City National Bank (CNB), a wholly owned U.S. banking subsidiary, along with a cease-and-desist order, related to "systemic deficiencies in operational risk management and internal control". CNB is actively working on corrective actions to improve its strategic plan, operational risk management, compliance risk management, and investment management practices. This was preceded by an administrative fine of $7.475 million on November 3, 2023, from the Financial Transactions and Reports Analysis Centre of Canada related to noncompliance with anti-money laundering and terrorist financing measures following a compliance examination in 2022. As a result, this factor is incorporated into RBC's Risk Profile grid grades.

There were no Environmental/Social factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is

Global Methodology for Rating and Monitoring Covered Bonds (April 02, 2024); https://dbrs.morningstar.com/research/430636

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

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 info-DBRS@morningstar.com.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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

More details on the Cover Pool and the Program are provided in the Monthly Canadian Covered Bond Report, which is available on dbrs.morningstar.com or by contacting us at info-DBRS@morningstar.com.

These credit ratings are 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 credit ratings:

The last rating action on the Program took place on February 4, 2025, when Morningstar DBRS assigned a credit rating of AAA to the Covered Bonds, Series CB98, issued under the Program.
For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

Lead Analyst: Clara Vargas, Senior Vice President, Sector Lead,
Rating Committee Chair: Tim O'Neil, Managing Director,
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 credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

Legal and Derivatives Criteria for Canadian Structured Finance (August 12, 2024)
https://dbrs.morningstar.com/research/437761

Operational Risk Assessments for Canadian Structured Finance (August 06, 2024)
https://dbrs.morningstar.com/research/437547

DBRS Canadian RMBS Model 5.0.1.1
https://dbrs.morningstar.com/models

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/410863.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.