Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-181552
Prospectus Supplement to the Prospectus dated July 10, 2013
Royal Bank of Canada
U.S.$2,000,000,000 1.875% Covered Bonds Due 2020
unconditionally and irrevocably guaranteed as to payments by
RBC Covered Bond Guarantor Limited Partnership
We will pay interest on the 1.875% covered bonds due February 5, 2020, semi-annually on August 5 and February 5 of each year. We will make the first interest payment on the covered bonds on August 5, 2015. The covered bonds will mature on February 5, 2020. The covered bonds will be our unsecured obligations and will rank equally with our other unsecured and unsubordinated indebtedness from time to time outstanding. The covered bonds are unconditionally and irrevocably guaranteed as to payments by RBC Covered Bond Guarantor Limited Partnership as described in the prospectus. We will issue each covered bond in minimum denominations of U.S.$1,000 and integral multiples of U.S.$1,000.
Other than as set forth under “Terms and Conditions of the Covered Bonds – Early Redemption for Taxation Reasons” in the prospectus, we may not redeem the covered bonds prior to their maturity. There is no sinking fund for the covered bonds.
We are a registered issuer and this Programme is a registered program under Part I.1 of the National Housing Act (Canada) and the Canadian Registered Covered Bond Programs Guide as amended, restated or replaced from time to time (the “Guide”) published by Canada Mortgage and Housing Corporation (“CMHC”), the administrator of the Canadian covered bond legal framework under Part I.1 of the National Housing Act (Canada). The covered bonds will be registered covered bonds under Part I.1 of the National Housing Act (Canada) and the Guide.
THESE COVERED BONDS HAVE NOT BEEN APPROVED OR DISAPPROVED BY CMHC NOR HAS CMHC PASSED UPON THE ACCURACY OR ADEQUACY OF THIS PROSPECTUS SUPPLEMENT. THESE COVERED BONDS ARE NOT INSURED OR GUARANTEED BY CMHC OR THE GOVERNMENT OF CANADA OR ANY OTHER AGENCY THEREOF.
Investing in the covered bonds involves a number of risks. See “Risk Factors” beginning on page 14 of the accompanying prospectus dated July 10, 2013, “Additional Risk Factors” beginning on page S-6 of this prospectus supplement and “Housing Price Index Methodology” on page 21 of the December 2014 monthly Investor Report filed under Form 10-D on January 15, 2015.
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NONE OF THE SECURITIES AND EXCHANGE COMMISSION, ANY STATE SECURITIES COMMISSION OR ANY OTHER REGULATORY BODY HAS APPROVED OR DISAPPROVED OF THE COVERED BONDS OR PASSED UPON THE ACCURACY OF THIS PROSPECTUS SUPPLEMENT. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
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Per Covered Bond
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Total
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Public offering price (1)
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U.S.$999.86
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U.S.$1,999,720,000
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Underwriting commissions
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U.S.$2.50
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U.S.$5,000,000
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Proceeds, before expenses, to Royal Bank of Canada
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U.S.$997.36
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U.S.$1,994,720,000
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(1) The price to the public also will include interest accrued on the covered bonds after February 5, 2015, if any.
This prospectus supplement may be used by certain of our affiliates in connection with offers and sales of the covered bonds in market-making transactions.
We will deliver the covered bonds in book-entry form through the facilities of The Depository Trust Company (including through its indirect participants CDS Clearing and Depository Services Inc., Euroclear and Clearstream, Luxembourg) on or about February 5, 2015 against payment in immediately available funds.
The covered bonds will not constitute deposits that are insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or any other Canadian or U.S. governmental agency or instrumentality.
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Programme Arranger
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RBC Capital Markets
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Joint Book-Running Managers
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RBC Capital Markets
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Goldman, Sachs & Co.
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UBS Investment Bank
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Co-Managers
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ANZ Securities
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Credit Agricole CIB
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ING
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Nataxis
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nabSecurities, LLC
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National Bank of Canada Financial
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Santander
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SOCIETE GENERALE
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Standard Chartered Bank
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Wells Fargo Securities
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Prospectus Supplement dated January 29, 2015.
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SUMMARY
This section is meant as a summary and should be read in conjunction with the accompanying prospectus to help you understand the covered bonds. This prospectus supplement, together with the accompanying prospectus, contains the terms of the covered bonds and supersedes all prior or contemporaneous oral statements as well as any other written materials relating to the covered bonds, including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials. In the event of any inconsistency or conflict between the terms set forth in this prospectus supplement and the accompanying prospectus, the terms contained in this prospectus supplement will control.
An investment in the covered bonds entails significant risks relating to the covered bonds that are not associated with similar investments in a conventional debt security, including those described below. You should carefully consider, among other things, the matters set forth under the heading “Risk Factors” beginning on page 14 of the accompanying prospectus, “Additional Risk Factors” beginning on page S-6 of this prospectus supplement and “Housing Price Index Methodology” on page 21 of the December 2014 monthly Investor Report filed under Form 10-D on January 15, 2015. Before investing in the covered bonds, we urge you to consult your investment, legal, tax, accounting and other advisors.
In this prospectus supplement, unless the context otherwise indicates, the “Bank” means Royal Bank of Canada and “Guarantor LP” means RBC Covered Bond Guarantor Limited Partnership, and “we”, “us” or “our” means the Bank and Guarantor LP collectively. In this prospectus supplement, currency amounts are stated in Canadian dollars (“$”), unless specified otherwise. Capitalized terms used in this prospectus supplement and not otherwise defined herein have the meanings given to such terms in the accompanying prospectus.
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Issuer:
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Royal Bank of Canada
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Guarantor LP:
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RBC Covered Bond Guarantor Limited Partnership
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U.S. Registrar, Paying Agent, Transfer Agent
and Exchange Agent:
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The Bank of New York Mellon acting through its offices located at 101 Barclay Street, 4th Floor, New York, NY 10286, USA
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Specified Currency:
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U.S. dollars (“U.S.$”)
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(Condition 1.10)
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Aggregate Principal Amount:
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U.S.$2,000,000,000
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Series:
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CB18
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Issue Price:
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99.986 percent of the Aggregate Principal Amount
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Specified Denominations:
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U.S.$1,000
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(Condition 1.08 or 1.09)
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Calculation Amount:
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U.S.$1,000
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Issue Date:
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February 5, 2015
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Interest Commencement Date
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February 5, 2015
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Final Maturity Date:
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February 5, 2020
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Extended Due for Payment Date of Guaranteed
Amounts corresponding to the Final
Redemption Amount under the covered bond
Guarantee:
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February 5, 2021
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Interest Rate Basis:
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1.875% Fixed Rate payable semi-annually in arrears from and including the Interest Commencement Date to but excluding the Final Maturity Date
1 month USD LIBOR +56.25 bps per annum Floating Rate payable monthly in arrears and subject to adjustment from and including the Final Maturity Date to but excluding the Extended Due for Payment Date
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Redemption/Payment Basis:
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Redemption at par
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Outstanding Series of Covered Bonds:
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Series
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Principal
Amount
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Maturity
Date
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Coupon
Rate
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CB2
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€ 1,250,000,000
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01/22/2018
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4.625%
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CB4
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$850,000,000
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03/16/2015
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3.180%
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CB5
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U.S.$1,500,000,000
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04/14/2015
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3.125%
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CB6
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$1,100,000,000
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03/30/2018
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3.770%
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CB7
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CHF 500,000,000
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04/21/2021
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2.250%
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CB8
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U.S.$2,500,000,000
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09/19/2017
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1.200%
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CB9
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U.S.$1,500,000,000
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12/04/2015
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0.625%
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CB10
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U.S.$1,750,000,000
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07/22/2016
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1.125%
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CB11
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€ 2,000,000,000
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08/04/2020
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1.625%
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CB12
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AU$1,250,000,000
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08/09/2016
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3 month BBSW +0.53%
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CB13
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U.S.$2,000,000,000
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10/01/2018
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2.00%
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CB14
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€ 1,500,000,000
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10/29/2018
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1.250%
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CB15
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€ 1,000,000,000
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06/19/2019
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0.750%
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CB16
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AU$750,000,000
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09/23/2019
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3 month BBSW +0.57%
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CB17
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US$1,750,000,000
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09/23/2019
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2.200%
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The Cover Pool:
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The Covered Bond Portfolio consists of CDN$37,087,557,744 of Loans on properties located in Canada as of December 31, 2014. See “Summary of Principal Documents – Mortgage Sale Agreement” in the prospectus and Annex A and Annex B of this prospectus supplement.
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Status of the Covered Bonds:
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Senior
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Status of the Guarantee:
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Senior secured with recourse limited to the assets of Guarantor LP
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PROVISIONS RELATING TO INTEREST (IF ANY) PAYABLE
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Fixed Rate Covered Bond Provisions
(Condition 5.12)
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Applicable
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Rate of Interest:
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1.875 percent per annum payable semi-annually in arrears
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Interest Payment Date:
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August 5 and February 5 in each year up to and including the Final Maturity Date or Extended Due for Payment Date
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Fixed Coupon Amount:
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U.S.$9.375 per Calculation Amount
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30/360
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Other terms relating to the method of
calculating interest for Fixed Rate
covered bonds:
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Not Applicable
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PROVISIONS RELATING TO EXTENDED DUE FOR PAYMENT DATE
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Floating Rate Covered Bond Provisions
(Condition 5.12)
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If applicable, from and including the Final Maturity Date to but excluding the Extended Due for Payment Date
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Interest Period(s):
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The period from and including each Specified Interest Payment Date, to but excluding the following Specified Interest Payment Date with the first such period being the period from and including the Final Maturity Date to but excluding the first Specified Interest Payment Date
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Specified Interest Payment Dates:
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The 5th of each month from but excluding the Final Maturity Date to and including the Extended Due for Payment Date
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Calculation Agent:
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The Bank, acting through its offices located at Riverbank House, 2 Swan Lane, London EC4R 3BF
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Business Day Convention:
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Modified Following Business Day Convention
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Business Day(s):
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New York and Toronto
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Manner in which the Rate of Interest
is to be determined:
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Screen Rate Determination
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Reference Rate:
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1 month USD LIBOR
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Interest Determination Date(s):
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Second London Business Day prior to the start of each Interest Period
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Relevant Screen Page:
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Reuters Screen Page LIBOR01
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Relevant Time:
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11:00 A.M. (London time)
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Reference Banks:
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Has the meaning given in the ISDA Definitions
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Day Count Basis:
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Actual/360
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Margin(s):
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+56.25 bps per annum
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PROVISIONS RELATING TO REDEMPTION
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Early Redemption Amount
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U.S.$1,000 per Calculation Amount
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GENERAL PROVISIONS APPLICABLE TO THE COVERED BONDS
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Covered Bond Swap Rate:
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1-month CAD-BA-CDOR plus 0.56 per cent
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DISTRIBUTION
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Dealers:
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RBC Capital Markets, LLC, Goldman, Sachs & Co., UBS Securities LLC, ANZ Securities, Inc., Credit Agricole Securities (USA) Inc., ING Financial Markets LLC, Natixis Securities Americas LLC, nabSecurities, LLC, National Bank of Canada Financial Inc., Santander Investment Securities, Inc., SG Americas Securities, LLC, Standard Chartered Bank and Wells Fargo Securities, LLC
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Additional selling restrictions:
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See under “Supplemental Plan of Distribution” in this prospectus supplement.
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CUSIP:
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780082AA1
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ISIN:
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US780082AA14
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Common Code:
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118414101
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Listing:
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The covered bonds will not be listed on any securities exchange.
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The aggregate principal amount of covered
bonds being issued, based on an exchange rate
of €1 = US$1.1288, is:
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€1,771,793,054.57
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ADDITIONAL RISK FACTORS
Investment in the covered bonds is subject to various risks including those risks inherent in investing in an issuer involved in conducting the business of a diversified financial institution. Before deciding whether to invest in the covered bonds, you should consider carefully the risks described below and the risks discussed under the heading “Risk Factors” beginning on page 14 of the accompanying prospectus and “Housing Price Index Methodology” on page 21 of the December 2014 monthly Investor Report filed under Form 10-D on January 15, 2015.
Factors which are material for the purpose of assessing risks relating to the covered bonds
Canadian regulatory guidelines on residential mortgage underwriting practices and procedures could adversely affect the value of the Covered Bond Portfolio
OSFI Guideline B-20—Residential Mortgage Underwriting Practices and Procedures (“Guideline B-20”), sets out OSFI’s expectations for prudent residential mortgage underwriting by federally-regulated financial institutions. Guideline B-20 applies to the Bank in respect of Loans originated and acquired by it, and it establishes principles with respect to implementing and maintaining a Residential Mortgage Underwriting Policy, borrower due diligence, collateral management and appraisal processes and credit and counterparty risk management practices and procedures.
The Bank instituted a Residential Mortgage Underwriting Policy in compliance with Guideline B-20 prior to the end of its fiscal 2013 and as part of complying with Guideline B-20, implemented a document retention policy on October 1, 2012 requiring retention of all income verification documentation for all Loans. For residential mortgage loans originated prior to the implementation of such policy, outside the Mobile Mortgage Specialists channel, there was no requirement to retain such documentation. As a majority of the Loans in the Covered Bond Portfolio were originated prior to the implementation of the documentation retention policy for income verification, the Asset Monitor may not be able to conduct the income verification procedure in connection with the procedures undertaken in performing its responsibilities under Section 7.3.1 of the Guide with respect to such Loans to the extent such Loans were originated outside of the Mobile Mortgage Specialists channel prior to the implementation of such policy.
Guideline B-20 also provides that where a federally-regulated financial institution acquires a residential mortgage loan that has been originated by a third party, such federally regulated financial institution should ensure that the underwriting standards of that third party are consistent with those set out in the Residential Mortgage Underwriting Policy of the federally-regulated financial institution and compliant with Guideline B-20. To the extent that the Bond Trustee realizes upon the security it has on the Loans and Related Security, the Bond Trustee may be limited in its ability to sell such assets to a federally-regulated financial institution if such purchaser determines that such security would not be consistent with its own Residential Mortgage Underwriting Policy, or that it would not be in compliance with Guideline B-20.
DESCRIPTION OF THE COVERED BONDS
In addition to the terms described in the “Summary” section above, the following general terms will apply to the covered bonds.
General
The covered bonds constitute deposit liabilities of the Bank for purposes of the Bank Act (Canada), however the covered bonds will not be insured under the Canada Deposit Insurance Act (Canada). The covered bonds will rank equally with other deposit liabilities of the Bank and all other unsubordinated and unsecured obligations of the Bank (except as otherwise prescribed by law).
The Bank is a registered issuer and this Programme is a registered program under Part I.1 of the National Housing Act (Canada) and the Guide published by CMHC, the administrator of the Canadian covered bond legal framework under Part I.1 of the of the National Housing Act (Canada). The covered bonds will be registered covered bonds under Part I.1 of the National Housing Act (Canada) and the Guide.
The aggregate principal amount of the covered bonds offered is U.S.$2,000,000,000. The covered bonds are issued in denominations of U.S.$1,000, and integral multiples of U.S.$1,000 in excess thereof. The covered bonds may only be transferred in amounts of U.S.$1,000 and increments of U.S.$1,000 thereafter.
We will pay interest on the covered bonds semi-annually on August 5 and February 5 of each year. We will make the first interest payment on the covered bonds on August 5, 2015.
Guarantee
The covered bonds are unconditionally and irrevocably guaranteed as to payments by the Guarantor LP when such payments are due as described in the accompanying prospectus. The obligation of the Guarantor LP has been secured by a pledge by the Guarantor LP of the Covered Bond Portfolio in favor of the Bond Trustee pursuant to the terms of the Security Agreement.
Currency
The covered bonds are denominated, and amounts due on the covered bonds will be paid, in U.S. dollars (“U.S.$”).
Form of the Covered Bonds
The covered bonds will be issued only in the form of a global covered bond held by The Depository Trust Company. See “Ownership and Book-Entry Issuance” in the accompanying prospectus.
No Listing
The covered bonds will not be listed on any securities exchange.
Please note that the information about the issuance, Issue Date, Issue Price, commissions and net proceeds to Royal Bank of Canada relates only to the initial issuance and sale of your covered bonds. If you have purchased your covered bonds in a market-making transaction after the initial issuance and sale, any such relevant information about the sale to you will be provided in a separate confirmation of sale.
The Final Maturity Date is February 5, 2020. The Final Maturity Date may be postponed under the Extended Due for Payment Date as further described in Condition 6 – Redemption and Purchase under “Description of the Covered Bonds – Terms and Conditions” in the accompanying prospectus.
Manner of Payment and Delivery
Any payment on the covered bonds at maturity or otherwise will be made to accounts designated by you and approved by us, or at the office of the Bond Trustee. We also may make any payment or delivery in accordance with the applicable procedures of the depositary.
Terms Incorporated in the Global Covered Bond
All of the terms appearing above under “Summary” in this prospectus supplement, together with the Terms and Conditions of the Covered Bonds attached as Schedule 1 of the Trust Deed will be endorsed on the global covered bond that represent the covered bonds and is held by The Depository Trust Company. See “Description of the Covered Bonds – Terms and Conditions” in the accompanying prospectus. A number of non-material amendments were made to Schedule 1 of the Trust Deed, which was amended and restated on August 1, 2014 and filed with the Commission under Form 6-K on August 29, 2014.
One of the amendments was the addition of the following new Condition, which was added as Condition 5.06:
“Linear Interpolation
5.06 Where “Linear Interpolation” is specified as applicable in respect of an Interest Period in the applicable Final Terms, the Rate of Interest for such Interest Period shall be calculated by the Issuing and Paying Agent by straight line linear interpolation by reference to two rates based on the relevant Reference Rate (where Screen Rate Determination is specified as applicable in the applicable Final Terms) or the relevant Floating Rate Option (where ISDA Determination is specified as applicable in the applicable Final Terms), one of which shall be determined as if the Designated Maturity were the period of time for which rates are available next shorter than the length of the relevant Interest Period and the other of which shall be determined as if the Designated Maturity were the period of time for which rates are available next longer than the length of the relevant Interest Period provided however that if there is no rate available for a period of time next shorter or, as the case may be, next longer, then the Issuing and Paying Agent shall determine such rate at such time and by reference to such sources as it determines appropriate.
“Designated Maturity” means, in relation to Screen Rate Determination, the period of time designated in the Reference Rate.”
As a result of this amendment, Conditions 5.06 through 5.12 in the accompanying prospectus under the heading “Terms and Conditions of the Covered Bonds” have been renumbered as Conditions 5.07 through 5.13 in Schedule 1 of the Trust Deed.
DESCRIPTION OF THE COVERED BOND GUARANTEE
As described in the accompanying prospectus at pages 106 - 107, the Covered Bond Guarantee is secured by the pledge of the assets in the Covered Bond Portfolio to the Bond Trustee under the Security Agreement. Statistical information about the Covered Bond Portfolio is set forth in Annex A. Historical performance about the Covered Bond Portfolio is set forth in Annex B.
LOAN ORIGINATION AND LENDING CRITERIA
The following sections replace in their entirety the corresponding sections under the heading “Loan Origination and Lending Criteria” in the accompanying prospectus (which corresponding section in the case of “Valuations, Appraisals, Assessments and Credit Strategy” below is the section titled “Valuations, Appraisals and Credit Strategy” in the accompanying prospectus and in the case of “Property Insurance” below is the section titled “Building Insurance” in the accompanying prospectus).
Valuations, Appraisals, Assessments and Credit Strategy
The Bank Act (Canada) currently requires that all residential mortgage loans that have a LTV greater than 80 percent at origination be default insured by a mortgage insurer. As discussed above, these loans are referred to in this prospectus as “insured mortgage loans” or “insured Loans.” Mortgage loans that do not have an LTV in excess of 80 percent are referred to as “conventional mortgage loans” or “conventional Loans.” The LTV ratio for prospective loans cannot exceed 95 percent. Prior to April 2007, the threshold for requiring default insurance was 75 percent. The new threshold of 80 percent is reflected in the Bank’s current mortgage portfolio. The LTV is calculated based on the outstanding amount of all loans under the same loan agreement (see “Covered Bond Portfolio – Characteristics of the Loans” in the accompanying prospectus) and the property valuation or risk assessment (as discussed below) at the time of origination or refinance (when new funds are advanced) of the mortgage loan. For internal analysis, the LTV may be updated based on a more recent property valuation, risk assessment or house price index (which is not required to be the same as the Index).
For all residential mortgage loans that have a LTV ratio of 80 percent or less, the Bank’s mortgage approval policy requires one of the following methods as an acceptable property valuation type:
• Low ratio property risk assessment – a third-party automated risk assessment system to assess whether the stated value meets the Bank’s predetermined risk parameters;
• Automated property risk assessment models – third-party computer generated property risk assessment models which are used to assess whether the stated value meets the Bank’s predetermined risk parameters, typically based on land title/sales histories, and municipally-assessed information;
• Desktop appraisals – a Bank approved appraiser’s opinion of the property without an actual site inspection of the property;
• Drive-by appraisals – a Bank approved appraiser’s opinion of the property based on an exterior inspection of the property; or
• Full appraisal – a Bank approved appraiser’s opinion of the property based on an exterior and interior inspection of the property.
The type of property valuation or property risk assessment used may depend on any combination of the following loan characteristics at the time of the application: the location of the property, property value, mortgage loan amount, borrower risk profile, specialty product programs, and the LTV ratio.
The Bank utilizes two credit scoring models: one is based on the Bureau Score, and the second is a proprietary model that evaluates existing Bank clients’ historical loan, credit and deposit performance. Both models are monitored on a quarterly basis to ensure their continuing functionality and market relevance.
Assessment of Client Capacity
Based on the data provided in the prospective borrower’s application and certain verifications, if required, the Bank determines whether in its view, the applicant’s income will be sufficient to enable such applicant to meet the obligations under the proposed mortgage loan and to pay the other expenses relating to the mortgaged property, including taxes, insurance costs and other fixed obligations. In general, the Bank requires that the scheduled payments that would be due during the first year of the term of a mortgage loan, plus all taxes due in respect of the mortgaged property during such period and all other scheduled payments due under the borrower’s other debt obligations during such period, must not exceed a specified percentage of the applicant’s gross employment or stated income. To comply with OSFI Guideline B-20, the Bank implemented a document retention policy on October 1, 2012 requiring retention of all income verification documentation for all Loans. For residential mortgage loans originated prior to the implementation of such policy, outside the Mobile Mortgage Specialists channel, there was no requirement to retain such documentation. As a majority of the Loans in the Covered Bond Portfolio were originated prior to the implementation of the documentation retention policy for income verification, the Asset Monitor may not be able to conduct the income verification procedure in connection with the procedures undertaken in performing its responsibilities under Section 7.3.1 of the Guide with respect to such Loans to the extent such Loans were originated outside of the Mobile Mortgage Specialists channel prior to the implementation of such policy.
Credit Adjudication and the Risk Management Group
The Bank’s credit adjudication centers process any mortgage loan application where: (i) the principal amount to be borrowed is over the approval authority for branch personnel with lending responsibilities approval authorities; or (ii) there are evident credit issues with the application (e.g. unsatisfactory scoring results from the Bank’s valuation models or total debt servicing ratios that trigger further review in accordance with the Bank’s credit risk policies or non-alignment with product policies). The credit adjudication centers also review all mortgage loan applications originating from Mobile Mortgage Specialists. Credit adjudication centers review more than 70% of the Bank’s mortgage applications.
Large mortgage applications are sent to a specialized adjudication team for credit adjudication.
Suspicious or potentially fraudulent activity is monitored throughout the process. Fraud detection systems are designed to look for inconsistencies in applications and suspicious facts.
Property Insurance
Each Loan contains a requirement that the mortgaged property be covered by property insurance maintained by the Borrower or in the case of a leasehold property under a policy arranged by a relevant landlord or property management company with the Servicer being noted as a loss payee/mortgagee. The Bank does not require evidence of such insurance to be retained on file, and in the event that the Borrower does not obtain or maintain such insurance, the Bank does not independently maintain separate property insurance for such mortgaged property.
SWAP PROVIDERS
Interest Rate Swap Provider
The Bank, subject to replacement in accordance with the terms of the Interest Rate Swap Agreement.
Covered Bond Swap Provider
The Bank, subject to replacement in accordance with the terms of the Covered Bond Swap Agreement.
SUPPLEMENTAL PLAN OF DISTRIBUTION
Royal Bank of Canada has agreed to sell to the Dealers, and the Dealers have severally agreed to purchase from Royal Bank of Canada, the principal amount of the covered bonds specified below, at the price specified, on the cover page of this prospectus supplement. The Dealers intend to resell each covered bond they purchase at the price to the public set forth on the cover page of this prospectus supplement. In the future, the Dealers or one of their affiliates, may repurchase and resell the covered bonds in market-making transactions, with resales being made at prices related to prevailing market prices at the time of resale or at negotiated prices. For more information about the plan of distribution, the Underwriting Agreement and possible market-making activities, see “Plan of Distribution” in the accompanying prospectus.
Dealers Principal Amount
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RBC Capital Markets, LLC
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U.S.$600,000,000
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Goldman, Sachs & Co.
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U.S.$600,000,000
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UBS Securities LLC
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U.S.$600,000,000
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ANZ Securities, Inc.
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U.S.$20,000,000
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Credit Agricole Securities (USA) Inc.
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U.S.$20,000,000
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ING Financial Markets LLC
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U.S.$20,000,000
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Natixis Securities Americas LLC
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U.S.$20,000,000
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nabSecurities, LLC
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U.S.$20,000,000
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National Bank of Canada Financial Inc.
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U.S.$20,000,000
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Santander Investment Securities, Inc.
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U.S.$20,000,000
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SG Americas Securities, LLC
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U.S.$20,000,000
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Standard Chartered Bank
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U.S.$20,000,000
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Wells Fargo Securities, LLC
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U.S.$20,000,000
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Total
|
U.S.$20,000,000
|
The Dealers have advised the Issuer that the Dealers propose initially to offer the covered bonds to the public at the public offering price on the cover page of this prospectus supplement, and to certain dealers at that public offering price less a commission not in excess of 0.15% of the principal amount of the covered bonds. The Dealers may allow, and those dealers may reallow to other dealers, a commission not in excess of 0.10% of the principal amount.
After the initial public offering of the covered bonds is completed, the public offering price and commissions may be changed by the Dealers.
In connection with the sale of the covered bonds, the Dealers may engage in:
• over-allotments, in which Dealers selling the covered bonds sell more covered bonds than the Issuer actually sold to the Dealers, creating a Dealer short position;
• stabilizing transactions, in which purchases and sales of the covered bonds may be made by the Dealers at prices that do not exceed a specified maximum in accordance with Rule 104 of Regulation M under the Securities Exchange Act of 1934; and
• Dealer covering transactions, in which Dealers purchase the covered bonds in the open market after the distribution has been completed in order to cover Dealer short positions.
These stabilizing transactions and Dealer covering transactions may cause the price of the covered bonds to be higher than it would otherwise be. These transactions, if commenced, may be discontinued at any time.
The Dealers and their affiliates are full service financial institutions engaged in various activities, which may include securities trading, commercial and investment banking, financial advisory, investment management, investment research, principal investment, hedging, financing and brokerage activities. In the ordinary course of their respective businesses, the Dealers and/or their affiliates have engaged, and may in the future engage, in commercial banking, investment banking, trust or investment management transactions with us and our affiliates for which they have received, and will in the future receive, customary compensation.
We will deliver the covered bonds against payment therefor in New York, New York on February 5, 2015, which is the fifth scheduled business day after the trade date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade covered bonds on any date prior to three business days before delivery will be required, by virtue of the fact that the covered bonds will initially settle in five business days (T + 5), to specify alternative settlement arrangements to prevent a failed settlement.
Standard Chartered Bank will not effect any offers or sales of any covered bonds in the United States unless it is through one or more U.S. registered broker-dealers as permitted by the regulations of the Financial Industry Regulatory Authority, Inc.
Selling Restrictions
General
Other than in the United States, no action has been or will be taken in any country or jurisdiction by the Issuer, the Guarantor LP, the Dealers or the Bond Trustee that would permit a public offering of the covered bonds, or possession or distribution of any offering material in relation thereto, in such country or jurisdiction where action for that purpose is required and such action has not been taken. The Underwriting Agreement provides that each Dealer will (to the best of its knowledge and belief) comply with all applicable securities laws and regulations in each jurisdiction in which it purchases, offers, sells or delivers the covered bonds or has in its possession or distributes offering material, in all cases at their own expense.
Public Offer Selling Restriction under the Prospectus Directive
In relation to each Member State of the European Economic Area which has implemented the Prospectus Directive (each, a “Relevant Member State”), each Dealer has represented and agreed that with effect from and including the date on which the Prospectus Directive is implemented in that Relevant Member State (the “Relevant Implementation Date”) it has not made and will not make an offer of the covered bonds to the public in that Relevant Member State except that it may, with effect from and including the Relevant Implementation Date, make an offer of the covered bonds to the public in that Relevant Member State:
| |
(a)
|
at any time to any legal entity which is a qualified investor as defined in the Prospectus Directive;
|
|
|
(b)
|
at any time to fewer than 150 natural or legal persons (other than qualified investors, as defined in the Prospectus Directive), subject to obtaining the prior consent of the relevant Dealer(s) nominated by the Issuer for any such offer;
|
|
|
(c)
|
at any time if the denomination per covered bond being offered amounts to at least €100,000; or
|
|
|
(d)
|
at any time in any other circumstances falling within Article 3(2) of the Prospectus Directive;
|
provided that no such offer of the covered bonds referred to in (a) to (d) above shall require the publication by the Issuer or any Dealer(s) of a prospectus pursuant to Article 3 of the Prospectus Directive or supplementary prospectus pursuant to Article 16 of the Prospectus Directive.
For the purposes of this provision, the expression an “offer of the covered bonds to the public” in relation to any covered bonds in any Relevant Member State means the communication in any form and by any means of sufficient information on the terms of the offer and the covered bonds to be offered so as to enable an investor to decide to purchase or subscribe the covered bonds, as the same may be varied in that Member State by any measure implementing the Prospectus Directive in that Member State, the expression “Prospectus Directive” means Directive 2003/71/EC (and amendments thereto, including the 2010 PD Amending Directive, to the extent implemented in the Relevant Member State), and includes any relevant implementing measure in the Relevant Member State and the expression “2010 PD Amending Directive” means Directive 2010/73/EU.
All references in this document to the “European Economic Union” or “EEA” are to the Member States of the European Union together with Iceland, Norway and Liechtenstein.
Selling Restrictions addressing additional United Kingdom Securities Laws
Each Dealer has represented, warranted and agreed that:
|
|
(a)
|
it has only communicated or caused to be communicated and will only communicate or cause to be communicated an invitation or inducement to engage in investment activity (within the meaning of Section 21 of the FSMA) received by it in connection with the issue or sale of the covered bonds in circumstances in which Section 21(1) of the FSMA does not apply to the Guarantor LP or, in the case of the Issuer, would not, if the Issuer was not an authorized person, apply to the Issuer; and
|
|
|
(b)
|
it has complied and will comply with all applicable provisions of the FSMA with respect to anything done by it in relation to the covered bonds in, from or otherwise involving the United Kingdom.
|
Republic of France: Each Dealer has represented and agreed that it has not offered or sold and will not offer or sell, directly or indirectly, covered bonds to the public in France, and has not distributed or caused to be distributed and will not distribute or cause to be distributed to the public in France, the prospectus or this prospectus supplement or any other offering material relating to the covered bonds and that such offers, sales and distributions have been and will be made in France only to (i) providers of investment services relating to portfolio management for the account of third parties and/or (ii) qualified investors (investisseurs qualifiés), other than individuals, all as defined in, and in accordance with, articles L 411-1, L.411-2 and D.411-1of the French Code monétaire et financier.
The prospectus has not been submitted for clearance to the Autorité des Marchés Financiers in France.
Republic of Italy: The offering of the covered bonds has not been registered pursuant to Italian securities legislation and, accordingly, each Dealer has represented and agreed that no covered bonds may be offered, sold or delivered, nor may copies of the prospectus or any other document relating to the covered bonds be distributed in the Republic of Italy, except:
|
|
i.
|
to qualified investors (investitori qualificati), as defined pursuant to Article 100 of Legislative Decree No. 58 of 24 February 1998, as amended (the “Financial Services Act”) and Article 34-ter, first paragraph, letter b) of CONSOB Regulation No. 11971 of 14 May 1999, as amended from time to time (“Regulation No. 11971”); or
|
|
|
ii.
|
in other circumstances which are exempted from the rules on public offerings pursuant to Article 100 of the Financial Services Act and Article 34-ter of Regulation No. 11971.
|
Any offer, sale or delivery of any covered bonds or distribution of copies of the prospectus or any other document relating to any covered bonds in Italy under (i) or (ii) above must be:
|
|
(a)
|
made by an investment firm, bank or financial intermediary permitted to conduct such activities in the Republic of Italy in accordance with the Financial Services Act, CONSOB Regulation No. 16190 of 29 October 2007 (as amended from time to time) and Legislative Decree No. 385 of 1 September 1993, as amended (the “Banking Act”); and
|
|
|
(b)
|
in compliance with Article 129 of the Banking Act, as amended, and the implementing guidelines of the Bank of Italy, as amended from time to time, pursuant to which the Bank of Italy may request information on the issue or the offer of securities in the Republic of Italy; and
|
|
|
(c)
|
in compliance with any other applicable laws and regulations or requirement imposed by CONSOB or other Italian authority.
|
Provisions relating to the secondary market in Italy
Please note that in accordance with Article 100-bis of the Financial Services Act, where no exemption from the rules on public offerings applies under (i) and (ii) above, the subsequent distribution of the covered bonds on the secondary market in Italy must be made in compliance with the public offer and the prospectus requirement rules provided under the Financial Services Act and Regulation No. 11971. Failure to comply with such rules may result in the sale of such covered bonds being declared null and void and in the liability of the intermediary transferring the financial instruments for any damages suffered by the investors.
The Netherlands: Each Dealer has represented and agreed that, any covered bonds will only be offered in The Netherlands to Qualified Investors (as defined in the Prospectus Directive), unless such offer is made in accordance with the Dutch Financial Supervision Act (Wet op het financieel toezicht).
Hong Kong: Each Dealer has represented and agreed that:
(a) it has not offered or sold and will not offer or sell in the Hong Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”), by means of any document, any covered bonds other than (i) to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “SFO”) and any rules made under the SFO; or (ii) in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance (Cap. 32) of Hong Kong (the “CO”) or which do not constitute an offer to the public within the meaning of the CO; and
(b) it has not issued or had in its possession for the purposes of issue and will not issue or have in its possession for the purpose of issue, whether in Hong Kong or elsewhere, any advertisement, invitation or document relating to the covered bonds which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except if permitted to do so under the securities laws of Hong Kong) other than with respect to covered bonds which are or are intended to be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the SFO and any rules made under the SFO.
Singapore: Each Dealer has represented and agreed that this prospectus supplement and the accompanying prospectus has not been registered as a prospectus with the Monetary Authority of Singapore (the “MAS”). Accordingly, each Dealer has represented, warranted and agreed that it has not offered or sold any covered bonds or caused the covered bonds to be made the subject of an invitation for subscription or purchase and will not offer or sell any covered bonds or cause the covered bonds to be made the subject of an invitation for subscription or purchase, and has not circulated or distributed, nor will it circulate or distribute, the prospectus, this prospectus supplement or any other document or material in connection with the offer or sale, or invitation for subscription or purchase, of the covered bonds, whether directly or indirectly, to persons in Singapore other than (i) to an institutional investor under Section 274 of the Securities and Futures Act, Chapter 289 of Singapore (the “SFA”), (ii) to a relevant person (as defined in Section 275(2) of the SFA) pursuant to Section 275(1) of the SFA, or any person pursuant to Section 275(1A) of the SFA, and in accordance with the conditions specified in Section 275 of the SFA, or (iii) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the SFA.
Where the covered bonds are subscribed or purchased under Section 275 of the SFA by a relevant person which is:
(a) a corporation (which is not an accredited investor (as defined in Section 4A of the SFA)) the sole business of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited investor; or
(b) a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary of the trust is an individual who is an accredited investor,
securities (as defined in Section 239(1) of the SFA) of that corporation or the beneficiaries’ rights and interest (howsoever described) in that trust shall not be transferred within six months after that corporation or that trust has acquired the covered bonds pursuant to an offer made under Section 275 of the SFA except:
(i) to an institutional investor or to a relevant person defined in Section 275(2) of the SFA, or to any person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the SFA;
(ii) where no consideration is or will be given for the transfer;
(iii) where the transfer is by operation of law;
(iv) as specified in Section 276(7) of the SFA; or
(v) as specified in Regulation 32 of the Securities and Futures (Offer of Investments) (Shares and Debentures) Regulations 2005 of Singapore.
NOTICE REGARDING OFFERS IN THE EEA
If and to the extent that this prospectus supplement is communicated in, or the offer of the covered bonds to which it relates is made in, any EEA Member State that has implemented the Prospectus Directive as defined below (a “Relevant Member State”), this prospectus supplement and the offer are only addressed to and directed at persons in that Relevant Member State who are qualified investors within the meaning of the Prospectus Directive (or who are other persons to whom the offer may lawfully be addressed) and must not be acted upon by other persons in that Relevant Member State.
This prospectus supplement is not a prospectus approved under the Prospectus Directive. A prospectus is not required under the Prospectus Directive as this prospectus supplement has been prepared on the basis that any offers of covered bonds in any Relevant Member State will be made pursuant to an exemption under the Prospectus Directive, as implemented in that Relevant Member State, from the requirement to publish a prospectus for offers of the covered bonds. Accordingly, any person making or intending to make any offer in that Relevant Member State of the covered bonds which are the subject of the placement referred to in this prospectus supplement must only do so in circumstances in which no obligation arises for us or the Dealers to publish a prospectus pursuant to Article 3 of the Prospectus Directive or supplement a prospectus pursuant to Article 16 of the Prospectus Directive, in each case, in relation to such offer. Neither we nor the Dealers have authorized, nor do we or they authorize, the making of any offer of the covered bonds in circumstances in which an obligation arises for us or the Dealers to publish a prospectus supplement or prospectus for such offer.
In this prospectus supplement, the expression “Prospectus Directive” means Directive 2003/71/EC (and amendments thereto, including the 2010 PD Amending Directive to the extent implemented in the Relevant Member State) and includes any relevant implementing measures in the Relevant Member State and the expression “2010 PD Amending Directive” means Directive 2010/73/EU.
This prospectus supplement is only being distributed to and is only directed at (i) persons who are outside the United Kingdom or (ii) to investment professionals falling within Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, as amended (the “Order”) or (iii) high net worth entities, and other persons to whom it may lawfully be communicated, falling within Article 49(2)(a) to (d) of the Order (all such persons together being referred to as “relevant persons”). The covered bonds are only available to, and any invitation, offer or agreement to subscribe, purchase or otherwise acquire such covered bonds will be engaged in only with, relevant persons. Any person who is not a relevant person should not act or rely on this document or any of its contents.
Annex A
COVERED BOND PORTFOLIO
The statistical and other information contained herein under the heading “Overall Pool Statistics” has been compiled by reference to the Loans in the Covered Bond Portfolio securing the covered bonds as of December 31, 2014 (the “cut-off date”). The exchange rate of Canadian dollars into U.S. dollars on the cut-off date used in this prospectus supplement was CDN$1 = US$1.1601. Columns stating percentage amounts may not add to 100% due to rounding. The Loans in the Covered Bond Portfolio are selected on the basis of the seller's Eligibility Criteria set forth in the Mortgage Sale Agreement. The material aspects of such Eligibility Criteria are described under “Summary of Principal Documents – Mortgage Sale Agreement – Eligibility Criteria” in the accompanying prospectus. One significant indicator of Borrower credit quality is arrears and losses. The information presented below under “Loss Information” reflects the arrears and losses experience of the Covered Bond Portfolio as at the dates indicated. Any material change to the Eligibility Criteria, which could lead to arrears and losses deviating from the historical experience presented in the table under “Loss Information”, will be reported by the Guarantor LP on periodic reports filed with the SEC on Form 10-D. It is not expected that the characteristics of the Covered Bond Portfolio as of the closing date will differ materially from the characteristics of the Covered Bond Portfolio as of the cut-off date.
The Covered Bond Portfolio as at the cut-off date comprised 243,191 Loans having an aggregate current balance of $37,087,557,744. The Bank originated the Loans in the Covered Bond Portfolio between March 1, 1991 and December 31, 2014.
163,691 Loans in the cut-off date Covered Bond Portfolio (or 63.77% of the aggregate current balance of the Loans as of the cut-off date) were fixed rate Loans. The remaining 79,500 Loans in the cut-off date Covered Bond Portfolio (or 36.23% of the aggregate current balance of the Loans as of the cut-off date) were standard variable rate Loans and discounted variable rate Loans, as described below.
In the prior three years, there have been no repurchases or replacements of Loans in the Covered Bond Portfolio as a result of breaches of representations or warranties and no demands for repurchase or replacement of any Loan.
No Loan in the Covered Bond Portfolio failed to meet the Bank’s Lending Criteria.
The Bank most recently filed a Form ABS-15G on February 10, 2014.
As of the cut-off date, the Bank's posted rate for a five year variable rate for existing and new borrowers was 3.85% (rate for “open,” or prepayable loans) or 2.85% (rate for “closed,” or non-prepayable loans) per annum.
After issuance of the covered bonds, the Asset Coverage Test will continue to be satisfied.
Review of Covered Bond Portfolio
The Bank has performed a review of the Loans in the Covered Bond Portfolio and a review of the disclosure regarding the Loans in this prospectus supplement and the accompanying prospectus as required by Item 1111 of Regulation AB (such disclosure, the “Rule 193 Information”). This review was designed and effected to provide the Bank with reasonable assurance that the Rule 193 Information is accurate in all material respects.
One aspect of the review consisted of a comparison of the statistical information contained in Annex A and Annex B hereto to statistical information relating to the Loans contained in the Bank’s data files. The data files are electronic records maintained by the Bank. For this comparison, the data files from the Bank’s loan servicing system, including relevant data elements, were extracted from the Bank’s information repository system. No material exceptions were found between the statistical information contained in Annex A and Annex B and the data files extracted from the Bank’s system.
A second aspect of the review consisted of a sampling of physical loan files. In accordance with CMHC requirements, in July 2014 a third party at the request of the Bank completed a comparison of certain Loan characteristics as required by the CMHC Guide, such as amount financed, current balance, location of the property and property valuation, in a sampling of 60 randomly selected Loan files, to the applicable information in the data files. No material exceptions were found between the Loan files and the data extracted from the Bank’s system. Subsequently, approximately $4.46 billion of Loans were sold by the Guarantor in July and October 2014 because they ceased being Eligible Loans and approximately $12.52 billion of additional Eligible Loans were added to the Covered Bond Portfolio in October 2014. That addition of new Loans is reflected in the Monthly Investor Reports beginning with the period ended October 31, 2014. The next pool audit required by the CMHC Guide is scheduled to be performed prior to July 23, 2015. No separate sample of Loan files for the additional Loans added to the Covered Bond Portfolio in October 2014 has been conducted to date.
A third aspect of the review of the Rule 193 Information related to descriptions of the transaction documents in this prospectus supplement and the accompanying prospectus. For this part of the review, the Bank and its legal counsel reviewed the Rule 193 Information consisting of descriptions of portions of the transaction documents and compared that Rule 193 Information to the related transaction documents. The Bank and its legal counsel also reviewed the Rule 193 Information consisting of descriptions of legal and regulatory provisions that may materially affect the performance of the Loans or payments on the covered bonds.
In addition to the elements of the review of the Rule 193 Information that were specifically conducted for purposes of this transaction as described above, with respect to Rule 193 Information relating to credit approvals and exceptions to credit policies, the Bank has observed the regular, ongoing application of its internal control procedures. These include quality assurance audits and portfolio level analyses on origination to ensure that Loans comply with the Bank’s underwriting policies. These audits and portfolio level analyses are reviewed by the Policy Review Committee as well as Group Risk Management and other partners on a quarterly basis.
All Rule 193 Information consisting of textual disclosures of factual information and not otherwise described above was reviewed and approved by the Bank.
After undertaking the elements of the review described above, the Bank has found and concluded that it has reasonable assurance that the Rule 193 Information in this prospectus supplement and the accompanying prospectus is accurate in all material respects.
The review of disclosure relating to the description of the transaction documents and legal and regulatory matters and the reviews of statistical information and certain Loans characteristics were performed with the assistance of third parties engaged by the Bank. The Bank determined the nature, extent and timing of the review and the level of assistance provided by the third parties and by the Bank. The Bank has ultimate authority and control over, and assumes all responsibility for, the review and the findings and conclusions of the review. The Bank attributes all findings and conclusions of the review to itself.
Overall Pool Statistics (Data as at December 31, 2014)
|
Cover Pool Delinquency Distribution
|
|
|
|
|
| |
|
|
|
|
|
Aging Summary
|
Number of Loans
|
Percentage
|
Principal Balance
|
Percentage
|
|
Current and less than 30 days past due
|
242,748
|
99.82
|
$37,009,064,822
|
99.79
|
|
30 to 59 days past due
|
211
|
0.09
|
$38,739,808
|
0.10
|
|
60 to 89 days past due
|
71
|
0.03
|
$12,747,510
|
0.03
|
|
90 or more days past due
|
161
|
0.07
|
$27,005,605
|
0.07
|
|
Total
|
243,191
|
100.00
|
$37,087,557,744
|
100.00
|
|
Cover Pool Provincial Distribution
|
|
|
|
|
| |
|
|
|
|
|
Province
|
Number of Loans
|
Percentage
|
Principal Balance
|
Percentage
|
|
Alberta
|
34,018
|
13.99
|
$5,959,898,446
|
16.07
|
|
British Columbia
|
54,148
|
22.27
|
$10,912,533,859
|
29.42
|
|
Manitoba
|
10,390
|
4.27
|
$1,162,316,587
|
3.13
|
|
New Brunswick
|
3,656
|
1.50
|
$284,735,522
|
0.77
|
|
Newfoundland and Labrador
|
2,539
|
1.04
|
$259,821,852
|
0.70
|
|
Northwest Territories
|
63
|
0.03
|
$9,016,948
|
0.02
|
|
Nova Scotia
|
6,710
|
2.76
|
$612,502,317
|
1.65
|
|
Nunavut
|
2
|
0.00
|
$84,984
|
0.00
|
|
Ontario
|
93,388
|
38.40
|
$14,071,919,259
|
37.94
|
|
Prince Edward Island
|
769
|
0.32
|
$63,516,404
|
0.17
|
|
Quebec
|
28,196
|
11.59
|
$2,520,022,022
|
6.79
|
|
Saskatchewan
|
9,053
|
3.72
|
$1,185,138,533
|
3.20
|
|
Yukon
|
259
|
0.11
|
$46,051,011
|
0.12
|
| Total |
243,191
|
100.00
|
$37,087,557,744
|
100.00
|
|
Cover Pool Credit Bureau Score Distribution
|
|
|
|
| |
|
|
|
|
|
Credit Bureau Score
|
Number of Loans
|
Percentage
|
Principal Balance
|
Percentage
|
|
Score Unavailable
|
116
|
0.05
|
$14,592,675
|
0.04
|
|
499 and below
|
593
|
0.24
|
$84,646,128
|
0.23
|
|
500 - 539
|
498
|
0.20
|
$79,192,973
|
0.21
|
|
540 - 559
|
406
|
0.17
|
$57,936,297
|
0.16
|
|
560 - 579
|
625
|
0.26
|
$96,932,240
|
0.26
|
|
580 - 599
|
1,068
|
0.44
|
$169,150,829
|
0.46
|
|
600 - 619
|
1,757
|
0.72
|
$280,345,198
|
0.76
|
|
620 - 639
|
3,088
|
1.27
|
$508,545,098
|
1.37
|
|
640 - 659
|
5,298
|
2.18
|
$860,888,631
|
2.32
|
|
660 - 679
|
7,904
|
3.25
|
$1,294,085,946
|
3.49
|
|
680 - 699
|
11,112
|
4.57
|
$1,802,888,033
|
4.86
|
|
700 - 719
|
13,695
|
5.63
|
$2,214,243,751
|
5.97
|
|
720 - 739
|
15,400
|
6.33
|
$2,511,575,219
|
6.77
|
|
740 - 759
|
16,780
|
6.90
|
$2,685,874,225
|
7.24
|
|
760 - 779
|
18,014
|
7.41
|
$2,904,553,737
|
7.83
|
|
780 - 799
|
20,386
|
8.38
|
$3,294,891,686
|
8.88
|
|
800 and above
|
126,451
|
52.00
|
$18,227,215,076
|
49.15
|
|
Total
|
243,191
|
100.00
|
$37,087,557,744
|
100.00
|
|
Cover Pool Rate Type Distribution
|
|
|
|
|
| |
|
|
|
|
|
Rate Type
|
Number of Loans
|
Percentage
|
Principal Balance
|
Percentage
|
|
Fixed
|
163,691
|
67.31
|
$23,651,679,096
|
63.77
|
|
Variable
|
79,500
|
32.69
|
$13,435,878,648
|
36.23
|
|
Total
|
243,191
|
100.00
|
$37,087,557,744
|
100.00
|
|
Mortgage Asset Type Distribution
|
|
|
|
|
| |
|
|
|
|
| |
Number of Loans
|
Percentage
|
Principal Balance
|
Percentage
|
|
Conventional Mortgage
|
53,982
|
22.20
|
$9,136,013,886
|
24.63
|
|
Homeline Mortgage Segment
|
189,209
|
77.80
|
$27,951,543,859
|
75.37
|
|
Total
|
243,191
|
100.00
|
$37,087,557,744
|
100.00
|
|
Cover Pool Occupancy Type Distribution
|
|
|
|
| |
|
|
|
|
|
Occupancy Type
|
Number of Loans
|
Percentage
|
Principal Balance
|
Percentage
|
|
Not Owner Occupied
|
23,649
|
9.72
|
$3,800,418,800
|
10.25
|
|
Owner Occupied
|
219,542
|
90.28
|
$33,287,138,944
|
89.75
|
|
Total
|
243,191
|
100.00
|
$37,087,557,744
|
100.00
|
|
Cover Pool Mortgage Rate Distribution
|
|
|
|
|
| |
|
|
|
|
|
Mortgage Rate (%)
|
Number of Loans
|
Percentage
|
Principal Balance
|
Percentage
|
|
1.9999% and below
|
64
|
0.03
|
$13,993,640
|
0.04
|
|
2.0000% - 2.4999%
|
40,474
|
16.64
|
$7,395,438,819
|
19.94
|
|
2.5000% - 2.9999%
|
104,993
|
43.17
|
$17,024,136,501
|
45.90
|
|
3.0000% - 3.4999%
|
47,364
|
19.48
|
$6,420,240,785
|
17.31
|
|
3.5000% - 3.9999%
|
35,818
|
14.73
|
$4,677,735,643
|
12.61
|
|
4.0000% - 4.4999%
|
11,159
|
4.59
|
$1,237,226,981
|
3.34
|
|
4.5000% - 4.9999%
|
1,329
|
0.55
|
$127,285,975
|
0.34
|
|
5.0000% - 5.4999%
|
595
|
0.24
|
$60,600,256
|
0.16
|
|
5.5000% - 5.9999%
|
639
|
0.26
|
$53,396,112
|
0.14
|
|
6.0000% - 6.4999%
|
740
|
0.30
|
$76,159,539
|
0.21
|
|
6.5000% - 6.9999%
|
12
|
0.00
|
$1,098,409
|
0.00
|
|
7.0000% and above
|
4
|
0.00
|
$245,086
|
0.00
|
|
Total
|
243,191
|
100.00
|
$37,087,557,744
|
100.00
|
|
Cover Pool Remaining Term Distribution
|
|
|
|
| |
|
|
|
|
|
Remaining Term (Months)
|
Number of Loans
|
Percentage
|
Principal Balance
|
Percentage
|
|
Less than 12.00
|
59,119
|
24.31
|
$8,677,541,106
|
23.40
|
|
12.00 - 23.99
|
85,503
|
35.16
|
$12,716,414,988
|
34.29
|
|
24.00 - 35.99
|
37,419
|
15.39
|
$5,580,174,002
|
15.05
|
|
36.00 - 47.99
|
35,335
|
14.53
|
$5,901,421,280
|
15.91
|
|
48.00 - 59.99
|
23,303
|
9.58
|
$3,846,987,597
|
10.37
|
|
60.00 - 71.99
|
1,863
|
0.77
|
$260,997,536
|
0.70
|
|
72.00 - 83.99
|
245
|
0.10
|
$28,996,961
|
0.08
|
|
84.00 and above
|
404
|
0.17
|
$75,024,275
|
0.20
|
|
Total
|
243,191
|
100.00
|
$37,087,557,744
|
100.00
|
|
Cover Pool Range of Remaining Principal Balance
|
|
|
|
| |
|
|
|
|
|
Range of Remaining Principal Balance
|
Number of Loans
|
Percentage
|
Principal Balance
|
Percentage
|
|
99,999 and below
|
106,273
|
43.70
|
$5,507,005,500
|
14.85
|
|
100,000 - 149,999
|
43,302
|
17.81
|
$5,375,431,911
|
14.49
|
|
150,000 - 199,999
|
31,643
|
13.01
|
$5,494,311,452
|
14.81
|
|
200,000 - 249,999
|
21,384
|
8.79
|
$4,779,961,170
|
12.89
|
|
250,000 - 299,999
|
14,230
|
5.85
|
$3,886,382,376
|
10.48
|
|
300,000 - 349,999
|
8,817
|
3.63
|
$2,851,070,585
|
7.69
|
|
350,000 - 399,999
|
5,526
|
2.27
|
$2,062,662,626
|
5.56
|
|
400,000 - 449,999
|
3,445
|
1.42
|
$1,458,302,480
|
3.93
|
|
450,000 - 499,999
|
2,424
|
1.00
|
$1,147,005,449
|
3.09
|
|
500,000 - 549,999
|
1,560
|
0.64
|
$816,214,803
|
2.20
|
|
550,000 - 599,999
|
1,054
|
0.43
|
$604,035,325
|
1.63
|
|
600,000 - 649,999
|
738
|
0.30
|
$460,634,152
|
1.24
|
|
650,000 - 699,999
|
553
|
0.23
|
$372,298,313
|
1.00
|
|
700,000 - 749,999
|
367
|
0.15
|
$265,769,910
|
0.72
|
|
750,000 - 799,999
|
270
|
0.11
|
$209,212,764
|
0.56
|
|
800,000 - 849,999
|
259
|
0.11
|
$213,485,405
|
0.58
|
|
850,000 - 899,999
|
214
|
0.09
|
$187,426,427
|
0.51
|
|
900,000 - 949,999
|
221
|
0.09
|
$204,674,539
|
0.55
|
|
950,000 - 999,999
|
138
|
0.06
|
$134,054,623
|
0.36
|
|
1,000,000 and above
|
773
|
0.32
|
$1,057,617,932
|
2.85
|
|
Total
|
243,191
|
100
|
$37,087,557,744
|
100
|
|
Cover Pool Property Type Distribution
|
|
|
|
|
| |
|
|
|
|
|
Property Type
|
Number of Loans
|
Percentage
|
Principal Balance
|
Percentage
|
|
Apartment (Condominium)
|
25,392
|
10.44
|
$3,822,331,545
|
10.31
|
|
Detached
|
189,359
|
77.86
|
$28,941,203,939
|
78.03
|
|
Duplex
|
4,321
|
1.78
|
$641,541,213
|
1.73
|
|
Fourplex
|
981
|
0.40
|
$172,882,577
|
0.47
|
|
Other
|
881
|
0.36
|
$127,725,298
|
0.34
|
|
Row (Townhouse)
|
12,029
|
4.95
|
$1,866,835,462
|
5.03
|
|
Semi-detached
|
9,344
|
3.84
|
$1,385,949,579
|
3.74
|
|
Triplex
|
884
|
0.36
|
$129,088,131
|
0.35
|
|
Total
|
243,191
|
100.00
|
$37,087,557,744
|
100.00
|
|
Cover Pool Indexed LTV - Authorized Distribution
|
|
|
|
| |
|
|
|
|
|
Indexed LTV (%)
|
Number of
Properties
|
Percentage
|
Principal Balance
|
Percentage
|
|
20.00 and below
|
13,299
|
6.97
|
$643,159,402
|
1.73
|
|
20.01 - 25.00
|
4,017
|
2.11
|
$395,996,950
|
1.07
|
|
25.01 - 30.00
|
4,627
|
2.43
|
$542,148,419
|
1.46
|
|
30.01 - 35.00
|
5,669
|
2.97
|
$774,429,079
|
2.09
|
|
35.01 - 40.00
|
6,461
|
3.39
|
$991,967,543
|
2.67
|
|
40.01 - 45.00
|
8,879
|
4.65
|
$1,455,122,930
|
3.92
|
|
45.01 - 50.00
|
13,617
|
7.14
|
$2,367,424,521
|
6.38
|
|
50.01 - 55.00
|
18,168
|
9.52
|
$3,420,221,571
|
9.22
|
|
55.01 - 60.00
|
20,975
|
10.99
|
$4,560,145,819
|
12.30
|
|
60.01 - 65.00
|
28,876
|
15.14
|
$6,253,453,671
|
16.86
|
|
65.01 - 70.00
|
26,602
|
13.94
|
$6,227,254,010
|
16.79
|
|
70.01 - 75.00
|
26,217
|
13.74
|
$6,330,596,698
|
17.07
|
|
75.01 - 80.00
|
12,387
|
6.49
|
$2,869,324,135
|
7.74
|
|
> 80.00
|
975
|
0.51
|
$256,312,997
|
0.69
|
|
Total
|
190,769
|
100.00
|
$37,087,557,744
|
100.00
|
|
Cover Pool Indexed LTV - Drawn Distribution
|
|
|
|
|
| |
|
|
|
|
|
Indexed LTV (%)
|
Number of
Properties
|
Percentage
|
Principal Balance
|
Percentage
|
|
20.00 and below
|
24,320
|
12.75
|
$1,450,748,440
|
3.91
|
|
20.01 - 25.00
|
9,274
|
4.86
|
$1,013,310,470
|
2.73
|
|
25.01 - 30.00
|
10,243
|
5.37
|
$1,345,036,190
|
3.63
|
|
30.01 - 35.00
|
11,594
|
6.08
|
$1,783,396,366
|
4.81
|
|
35.01 - 40.00
|
12,416
|
6.51
|
$2,143,109,103
|
5.78
|
|
40.01 - 45.00
|
13,881
|
7.28
|
$2,686,749,564
|
7.24
|
|
45.01 - 50.00
|
15,703
|
8.23
|
$3,302,980,166
|
8.91
|
|
50.01 - 55.00
|
17,717
|
9.29
|
$4,133,228,355
|
11.14
|
|
55.01 - 60.00
|
20,036
|
10.50
|
$4,932,303,239
|
13.30
|
|
60.01 - 65.00
|
20,303
|
10.64
|
$5,114,390,702
|
13.79
|
|
65.01 - 70.00
|
18,022
|
9.45
|
$4,717,821,418
|
12.72
|
|
70.01 - 75.00
|
12,827
|
6.72
|
$3,336,310,464
|
9.00
|
|
75.01 - 80.00
|
4,199
|
2.20
|
$1,060,001,365
|
2.86
|
|
> 80.00
|
234
|
0.12
|
$68,171,903
|
0.18
|
|
Total
|
190,769
|
100.00
|
$37,087,557,744
|
100.00
|
Overall Pool Performance
For collection purposes, a Loan is considered delinquent when a scheduled payment is 30 days or more past due. In the tables below, a Loan for which a scheduled payment is less than 30 days past due is categorized as “Current.”
|
Pool Performance – Overall
|
|
|
| |
|
|
|
Delinquency Status – Current Balance of Loans in Arrears ($)
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Current Balance of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
|
Current
|
<30 Days
|
19,101,324,912
|
99.56%
|
14,703,953,023
|
99.29%
|
18,327,461,406
|
99.51%
|
21,563,346,396
|
99.63%
|
35,544,152,723
|
99.85%
|
38,261,578,059
|
99.86%
|
|
1-2 Months
|
≥30 and <60 Days
|
39,388,540
|
0.21%
|
32,080,486
|
0.22%
|
27,963,061
|
0.15%
|
29,968,622
|
0.14%
|
29,388,809
|
0.09%
|
22,267,088
|
0.06%
|
|
2-3 Months
|
≥60 and <90 Days
|
9,978,169
|
0.05%
|
19,738,200
|
0.13%
|
18,338,508
|
0.10%
|
14,109,927
|
0.07%
|
11,916,916
|
0.04%
|
10,653,692
|
0.03%
|
|
3-4 Months
|
≥90 and <120 Days
|
5,750,980
|
0.03%
|
10,874,053
|
0.07%
|
7,132,480
|
0.04%
|
7,073,989
|
0.03%
|
6,154,804
|
0.02%
|
5,359,947
|
0.01%
|
|
4-5 Months
|
≥120 and <150 Days
|
5,499,167
|
0.03%
|
5,332,319
|
0.04%
|
5,217,854
|
0.03%
|
3,934,310
|
0.02%
|
1,599,156
|
0.00%
|
3,874,529
|
0.01%
|
|
5-6 Months
|
≥150 and <180 Days
|
4,294,117
|
0.02%
|
3,911,238
|
0.03%
|
5,097,330
|
0.03%
|
2,266,124
|
0.01%
|
1,193,809
|
0.00%
|
1,846,356
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
4,161,055
|
0.02%
|
5,111,156
|
0.03%
|
2,135,950
|
0.01%
|
1,354,471
|
0.01%
|
806,088
|
0.00%
|
2,508,475
|
0.01%
|
|
7-8 Months
|
≥210 and <240 Days
|
1,822,214
|
0.01%
|
5,341,169
|
0.04%
|
2,642,789
|
0.01%
|
436,519
|
0.00%
|
263,331
|
0.00%
|
3,002,598
|
0.01%
|
|
8-9 Months
|
≥240 and <270 Days
|
1,684,793
|
0.01%
|
4,440,469
|
0.03%
|
1,128,868
|
0.01%
|
253,018
|
0.00%
|
710,635
|
0.00%
|
1,809,868
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
1,413,505
|
0.01%
|
2,672,376
|
0.02%
|
1,188,446
|
0.01%
|
2,003,198
|
0.01%
|
883,314
|
0.00%
|
1,718,279
|
0.00%
|
|
10-11 Months
|
≥300 and <330 Days
|
1,073,718
|
0.01%
|
1,446,544
|
0.01%
|
1,123,269
|
0.01%
|
1,857,377
|
0.01%
|
167,157
|
0.00%
|
1,024,107
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
1,634,336
|
0.01%
|
792,469
|
0.01%
|
885,232
|
0.00%
|
1,977,107
|
0.01%
|
0
|
0.00%
|
943,299
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
2,281,040
|
0.01%
|
1,906,733
|
0.01%
|
680,666
|
0.00%
|
456,805
|
0.00%
|
16,609
|
0.00%
|
1,956,777
|
0.01%
|
|
13-14 Months
|
≥390 and <420 Days
|
349,772
|
0.00%
|
554,549
|
0.00%
|
1,265,467
|
0.01%
|
2,439,039
|
0.01%
|
73,036
|
0.00%
|
295,555
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
1,486,697
|
0.01%
|
1,410,980
|
0.01%
|
2,135,341
|
0.01%
|
2,585,069
|
0.01%
|
0
|
0.00%
|
382,908
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
316,289
|
0.00%
|
178,225
|
0.00%
|
1,202,497
|
0.01%
|
475,882
|
0.00%
|
206,028
|
0.00%
|
308,331
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
516,035
|
0.00%
|
442,625
|
0.00%
|
1,525,974
|
0.01%
|
1,205,833
|
0.01%
|
0
|
0.00%
|
159,037
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
963,939
|
0.00%
|
2,247,581
|
0.02%
|
890,369
|
0.00%
|
894,067
|
0.00%
|
0
|
0.00%
|
597,130
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
1,313,482
|
0.01%
|
6,666,540
|
0.04%
|
9,824,457
|
0.05%
|
6,815,411
|
0.03%
|
1,542,933
|
0.00%
|
544,040
|
0.00%
|
|
Total
|
|
19,185,252,760
|
100.00%
|
14,809,100,735
|
100.00%
|
18,417,839,964
|
100.00%
|
21,643,453,164
|
100.00%
|
35,599,075,348
|
100.00%
|
38,320,830,075
|
100.00%
|
|
Delinquency Status - Number of Loans in Arrears
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Total Number of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
|
Current
|
<30 Days
|
151,211
|
99.69%
|
123,524
|
99.49%
|
139,428
|
99.61%
|
145,622
|
99.69%
|
235,454
|
99.87%
|
249,149
|
99.86%
|
|
1-2 Months
|
≥30 and <60 Days
|
224
|
0.15%
|
207
|
0.17%
|
168
|
0.12%
|
168
|
0.12%
|
159
|
0.07%
|
134
|
0.06%
|
|
2-3 Months
|
≥60 and <90 Days
|
53
|
0.03%
|
112
|
0.09%
|
113
|
0.08%
|
82
|
0.06%
|
68
|
0.03%
|
60
|
0.02%
|
|
3-4 Months
|
≥90 and <120 Days
|
36
|
0.02%
|
65
|
0.05%
|
45
|
0.03%
|
41
|
0.03%
|
40
|
0.02%
|
28
|
0.01%
|
|
4-5 Months
|
≥120 and <150 Days
|
29
|
0.02%
|
42
|
0.03%
|
35
|
0.03%
|
20
|
0.01%
|
14
|
0.01%
|
24
|
0.01%
|
|
5-6 Months
|
≥150 and <180 Days
|
21
|
0.01%
|
21
|
0.02%
|
33
|
0.02%
|
16
|
0.01%
|
11
|
0.00%
|
15
|
0.01%
|
|
6-7 Months
|
≥180 and <210 Days
|
20
|
0.01%
|
22
|
0.02%
|
14
|
0.01%
|
13
|
0.01%
|
5
|
0.00%
|
15
|
0.01%
|
|
7-8 Months
|
≥210 and <240 Days
|
15
|
0.01%
|
29
|
0.02%
|
16
|
0.01%
|
6
|
0.00%
|
2
|
0.00%
|
12
|
0.00%
|
|
8-9 Months
|
≥240 and <270 Days
|
11
|
0.01%
|
21
|
0.02%
|
7
|
0.00%
|
5
|
0.00%
|
7
|
0.00%
|
16
|
0.01%
|
|
9-10 Months
|
≥270 and <300 Days
|
9
|
0.01%
|
19
|
0.01%
|
10
|
0.01%
|
8
|
0.01%
|
2
|
0.00%
|
14
|
0.01%
|
|
10-11 Months
|
≥300 and <330 Days
|
7
|
0.00%
|
9
|
0.01%
|
10
|
0.01%
|
11
|
0.01%
|
2
|
0.00%
|
5
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
10
|
0.01%
|
8
|
0.01%
|
9
|
0.01%
|
9
|
0.01%
|
0
|
0.00%
|
7
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
10
|
0.01%
|
14
|
0.01%
|
5
|
0.00%
|
3
|
0.00%
|
2
|
0.00%
|
10
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
4
|
0.00%
|
6
|
0.00%
|
5
|
0.00%
|
9
|
0.01%
|
1
|
0.00%
|
2
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
9
|
0.01%
|
8
|
0.01%
|
14
|
0.01%
|
11
|
0.01%
|
0
|
0.00%
|
5
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
3
|
0.00%
|
3
|
0.00%
|
10
|
0.01%
|
5
|
0.00%
|
1
|
0.00%
|
3
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
4
|
0.00%
|
3
|
0.00%
|
9
|
0.01%
|
6
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
3
|
0.00%
|
11
|
0.01%
|
4
|
0.00%
|
7
|
0.00%
|
0
|
0.00%
|
4
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
8
|
0.01%
|
36
|
0.03%
|
41
|
0.03%
|
35
|
0.02%
|
10
|
0.00%
|
4
|
0.00%
|
|
Total
|
|
151,687
|
100.00%
|
124,160
|
100.00%
|
139,976
|
100.00%
|
146,077
|
100.00%
|
235,778
|
100.00%
|
249,508
|
100.00%
|
| |
|
|
|
Loss Information
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
| |
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
Number of loans that have experienced a loss for the period /
year ended
|
0
|
0.00%
|
18
|
0.01%
|
87
|
0.06%
|
73
|
0.05%
|
20
|
0.01%
|
16
|
0.01%
|
|
Net loss amount for the period / year ended ($)
|
0
|
0.00%
|
559,031
|
0.00%
|
3,335,919
|
0.02%
|
3,815,933
|
0.02%
|
1,358,128
|
0.00%
|
698,751
|
0.00%
|
|
Cumulative number of loans that have experienced a loss
|
0
|
0.00%
|
18
|
0.01%
|
105
|
0.08%
|
178
|
0.12%
|
198
|
0.08%
|
214
|
0.09%
|
|
Cumulative net loss amount ($)
|
0
|
0.00%
|
559,031
|
0.00%
|
3,894,950
|
0.02%
|
7,710,883
|
0.04%
|
9,069,012
|
0.03%
|
9,767,763
|
0.03%
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
Annex B
HISTORICAL POOL DATA
Historical pool information regarding the performance of the Loans in the Covered Bond Portfolio is contained in this Annex. Historical pool information contained in this Annex that relates to the performance of the Loans for periods commencing prior to January 2008 does not form a part of this prospectus supplement, the accompanying prospectus or the registration statement relating to the covered bonds. Historical pool information about the Loans in the Covered Bond Portfolio for periods prior to January 2008 is not provided as such information is not available for such years and cannot be obtained without unreasonable effort and expense.
The following vintage tables present historical pool information about the Loans in the Covered Bond Portfolio in respect of arrears and cumulative losses as at the dates specified in respect of Loans originated in specific years. “Vintage 2004”, for example, indicates all Loans in the Covered Bond Portfolio originated in the calendar year 2004. All of the Loans originated by the Bank are secured by a mortgage with first ranking priority on residential property in Canada. All such Loans are originated in accordance with the Bank's lending criteria at the time of offer of the Loan. Notwithstanding any change to the lending criteria or other terms applicable to new Loans, new Loans and their related security may only be assigned to the Covered Bond Portfolio if those new Loans comply with the Seller's representations and warranties set out in the Mortgage Sale Agreement, including a representation that those new Loans were originated in accordance with the Seller's lending criteria applicable at the time of their origination. The Seller is obliged to repurchase Loans that are in breach of these representations and warranties. See “Summary of Principal Documents – Mortgage Sale Agreement — Repurchase of Loans” in the accompanying prospectus.
Historical pool information on prepayments on the Loans is not being provided because prepayment and repayment rates should not affect the maturities of the covered bonds. The single pool of Loans held by the Guarantor LP supports an ongoing issuance of covered bonds by the Bank. As Loans repay or prepay, reducing the size of the cover pool, the Seller is required to add Loans to the cover pool in order to maintain compliance with the Asset Coverage Test. See “Summary of Principal Documents – Guarantor LP Agreement — Asset Coverage Test” in the accompanying prospectus. Any new Loans may only be assigned to the Covered Bond Portfolio if those new Loans comply with the Seller's lending criteria, the material aspects of which are described under “Loan Origination and Lending Criteria” in the accompanying prospectus.
For collection purposes, a Loan is considered delinquent when a scheduled payment is 30 days or more past due. In the tables below, a Loan for which a scheduled payment is less than 30 days past due is categorized as “Current.”
Pre-2004 Vintage
|
Pool Performance – Pre-2004 Vintage
|
| |
|
Delinquency Status – Current Balance of Loans in Arrears ($)
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Current Balance of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
|
Current
|
<30 Days
|
2,274,654,785
|
99.71%
|
1,656,488,842
|
99.61%
|
1,386,563,704
|
99.60%
|
1,129,487,897
|
99.77%
|
1,258,081,915
|
99.84%
|
1,030,500,355
|
99.67%
|
|
1-2 Months
|
≥30 and <60 Days
|
3,774,394
|
0.17%
|
2,503,052
|
0.15%
|
2,079,870
|
0.15%
|
1,352,930
|
0.12%
|
1,244,755
|
0.10%
|
1,565,356
|
0.15%
|
|
2-3 Months
|
≥60 and <90 Days
|
565,817
|
0.03%
|
689,393
|
0.04%
|
735,142
|
0.05%
|
607,461
|
0.05%
|
496,230
|
0.04%
|
558,116
|
0.05%
|
|
3-4 Months
|
≥90 and <120 Days
|
239,341
|
0.01%
|
646,422
|
0.04%
|
1,091,881
|
0.08%
|
93,896
|
0.01%
|
203,591
|
0.02%
|
286,348
|
0.03%
|
|
4-5 Months
|
≥120 and <150 Days
|
524,678
|
0.02%
|
674,394
|
0.04%
|
273,062
|
0.02%
|
68,685
|
0.01%
|
0
|
0.00%
|
220,716
|
0.02%
|
|
5-6 Months
|
≥150 and <180 Days
|
331,300
|
0.02%
|
37,478
|
0.00%
|
686,395
|
0.05%
|
57,893
|
0.01%
|
39,581
|
0.00%
|
87,890
|
0.01%
|
|
6-7 Months
|
≥180 and <210 Days
|
292,739
|
0.01%
|
50,748
|
0.00%
|
73,313
|
0.01%
|
18,836
|
0.00%
|
0
|
0.00%
|
352,936
|
0.03%
|
|
7-8 Months
|
≥210 and <240 Days
|
77,001
|
0.00%
|
76,491
|
0.01%
|
190,949
|
0.01%
|
42,974
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
642,578
|
0.04%
|
0
|
0.00%
|
16,987
|
0.00%
|
0
|
0.00%
|
158,485
|
0.02%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
317,054
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
57,840
|
0.01%
|
|
10-11 Months
|
≥300 and <330 Days
|
7,460
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
188,001
|
0.02%
|
0
|
0.00%
|
79,122
|
0.01%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
232,475
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
321,745
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
73,288
|
0.00%
|
0
|
0.00%
|
130,744
|
0.01%
|
32,271
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
259,884
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
47,422
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
349,135
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
308,203
|
0.01%
|
211,017
|
0.01%
|
43,449
|
0.00%
|
170,249
|
0.01%
|
25,505
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
2,281,198,141
|
100.00%
|
1,662,891,689
|
100.00%
|
1,392,128,393
|
100.00%
|
1,132,138,080
|
100.00%
|
1,260,091,577
|
100.00%
|
1,033,914,586
|
100.00%
|
| |
|
|
|
Delinquency Status - Number of Loans in Arrears
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Total Number of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
|
Current
|
<30 Days
|
29,490
|
99.79%
|
22,960
|
99.71%
|
19,250
|
99.70%
|
16,263
|
99.76%
|
20,359
|
99.87%
|
16,846
|
99.72%
|
|
1-2 Months
|
≥30 and <60 Days
|
37
|
0.13%
|
26
|
0.11%
|
21
|
0.11%
|
16
|
0.10%
|
17
|
0.09%
|
15
|
0.09%
|
|
2-3 Months
|
≥60 and <90 Days
|
9
|
0.03%
|
11
|
0.05%
|
10
|
0.05%
|
8
|
0.05%
|
4
|
0.02%
|
8
|
0.05%
|
|
3-4 Months
|
≥90 and <120 Days
|
1
|
0.00%
|
8
|
0.04%
|
7
|
0.04%
|
2
|
0.01%
|
3
|
0.01%
|
4
|
0.02%
|
|
4-5 Months
|
≥120 and <150 Days
|
1
|
0.00%
|
7
|
0.03%
|
5
|
0.03%
|
2
|
0.01%
|
0
|
0.00%
|
4
|
0.02%
|
|
5-6 Months
|
≥150 and <180 Days
|
2
|
0.01%
|
1
|
0.00%
|
4
|
0.02%
|
2
|
0.01%
|
2
|
0.01%
|
2
|
0.01%
|
|
6-7 Months
|
≥180 and <210 Days
|
5
|
0.02%
|
2
|
0.01%
|
1
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
4
|
0.02%
|
|
7-8 Months
|
≥210 and <240 Days
|
1
|
0.00%
|
3
|
0.01%
|
3
|
0.02%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
1
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
1
|
0.00%
|
3
|
0.02%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
4
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
2
|
0.01%
|
|
10-11 Months
|
≥300 and <330 Days
|
1
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
2
|
0.01%
|
0
|
0.00%
|
1
|
0.01%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
2
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
0
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
1
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
1
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
2
|
0.01%
|
0
|
0.00%
|
1
|
0.01%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
4
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
|
16-17 Months
|
≥480 and <510 Days
|
2
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
|
18 Months and
more
|
≥540 Days
|
2
|
0.01%
|
2
|
0.01%
|
1
|
0.01%
|
2
|
0.01%
|
1
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
29,552
|
100.00%
|
23,028
|
100.00%
|
19,307
|
100.00%
|
16,302
|
100.00%
|
20,388
|
100.00%
|
16,892
|
100.00%
|
| |
|
|
|
Loss Information
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
| |
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
Number of loans that have experienced a
loss for the period / year ended
|
0
|
0.00%
|
1
|
0.00%
|
6
|
0.03%
|
6
|
0.04%
|
1
|
0.00%
|
2
|
0.01%
|
|
Net loss amount for the period / year
ended ($)
|
0
|
0.00%
|
32,485
|
0.00%
|
230,665
|
0.02%
|
158,374
|
0.01%
|
13,420
|
0.00%
|
83,536
|
0.01%
|
|
Cumulative number of loans that have
experienced a loss
|
0
|
0.00%
|
1
|
0.00%
|
7
|
0.04%
|
13
|
0.08%
|
14
|
0.07%
|
16
|
0.09%
|
|
Cumulative net loss amount ($)
|
0
|
0.00%
|
32,485
|
0.00%
|
263,150
|
0.02%
|
421,524
|
0.04%
|
434,944
|
0.03%
|
518,480
|
0.05%
|
2005 Vintage
|
Pool Performance – 2005 Vintage
|
|
|
| |
|
|
|
Delinquency Status – Current Balance of Loans in Arrears ($)
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Current Balance of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
|
Current
|
<30 Days
|
1,286,094,513
|
99.52%
|
876,877,794
|
99.08%
|
843,682,162
|
99.40%
|
769,556,549
|
99.40%
|
778,207,207
|
99.80%
|
685,627,465
|
99.73%
|
|
1-2 Months
|
≥30 and <60 Days
|
1,957,948
|
0.15%
|
1,905,988
|
0.22%
|
2,360,229
|
0.28%
|
1,934,355
|
0.25%
|
641,393
|
0.08%
|
696,377
|
0.10%
|
|
2-3 Months
|
≥60 and <90 Days
|
860,766
|
0.07%
|
2,461,349
|
0.28%
|
746,992
|
0.09%
|
1,463,672
|
0.19%
|
663,331
|
0.09%
|
149,728
|
0.02%
|
|
3-4 Months
|
≥90 and <120 Days
|
1,059,427
|
0.08%
|
569,198
|
0.06%
|
477,126
|
0.06%
|
662,089
|
0.08%
|
187,318
|
0.02%
|
675,811
|
0.10%
|
|
4-5 Months
|
≥120 and <150 Days
|
154,157
|
0.01%
|
171,543
|
0.02%
|
314,633
|
0.04%
|
87,956
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
5-6 Months
|
≥150 and <180 Days
|
1,524,519
|
0.12%
|
953,038
|
0.11%
|
118,943
|
0.01%
|
80,277
|
0.01%
|
0
|
0.00%
|
13,393
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
291,493
|
0.04%
|
0
|
0.00%
|
0
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
99,706
|
0.01%
|
0
|
0.00%
|
194,988
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
53,054
|
0.01%
|
|
8-9 Months
|
≥240 and <270 Days
|
150,771
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
85,918
|
0.01%
|
0
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
69,224
|
0.01%
|
129,048
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
241,788
|
0.04%
|
|
10-11 Months
|
≥300 and <330 Days
|
154,843
|
0.01%
|
552,493
|
0.06%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
77,666
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
45,619
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
48,014
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
4,423
|
0.00%
|
105,877
|
0.01%
|
79,043
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
59,293
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
1,331,596
|
0.15%
|
177,342
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
552,493
|
0.07%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
1,292,251,554
|
100.00%
|
885,002,089
|
100.00%
|
848,730,785
|
100.00%
|
774,214,727
|
100.00%
|
779,785,167
|
100.00%
|
687,457,616
|
100.00%
|
| |
|
|
|
Delinquency Status - Number of Loans in Arrears
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Total Number of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
|
Current
|
<30 Days
|
9,411
|
99.70%
|
6,978
|
99.36%
|
7,208
|
99.58%
|
7,308
|
99.58%
|
7,927
|
99.80%
|
7,229
|
99.81%
|
|
1-2 Months
|
≥30 and <60 Days
|
13
|
0.14%
|
17
|
0.25%
|
12
|
0.17%
|
12
|
0.17%
|
6
|
0.08%
|
6
|
0.09%
|
|
2-3 Months
|
≥60 and <90 Days
|
3
|
0.03%
|
10
|
0.15%
|
7
|
0.10%
|
7
|
0.10%
|
5
|
0.06%
|
2
|
0.03%
|
|
3-4 Months
|
≥90 and <120 Days
|
4
|
0.04%
|
6
|
0.09%
|
4
|
0.06%
|
5
|
0.07%
|
2
|
0.03%
|
3
|
0.04%
|
|
4-5 Months
|
≥120 and <150 Days
|
1
|
0.01%
|
1
|
0.01%
|
3
|
0.04%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
5-6 Months
|
≥150 and <180 Days
|
2
|
0.02%
|
6
|
0.09%
|
1
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
1
|
0.01%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
3
|
0.04%
|
0
|
0.00%
|
0
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
1
|
0.01%
|
0
|
0.00%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
|
8-9 Months
|
≥240 and <270 Days
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
2
|
0.03%
|
0
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
1
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
|
10-11 Months
|
≥300 and <330 Days
|
1
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
1
|
0.01%
|
1
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
1
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
9,440
|
100.00%
|
7,023
|
100.00%
|
7,239
|
100.00%
|
7,339
|
100.00%
|
7,942
|
100.00%
|
7,243
|
100.00%
|
| |
|
|
|
Loss Information
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
| |
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
Number of loans that have experienced a loss for the period /
year ended
|
0
|
0.00%
|
0
|
0.00%
|
6
|
0.08%
|
0
|
0.00%
|
1
|
0.01%
|
1
|
0.01%
|
|
Net loss amount for the period / year ended ($)
|
0
|
0.00%
|
0
|
0.00%
|
507,512
|
0.06%
|
0
|
0.00%
|
526
|
0.00%
|
9,399
|
0.00%
|
|
Cumulative number of loans that have experienced a loss
|
0
|
0.00%
|
0
|
0.00%
|
6
|
0.08%
|
6
|
0.08%
|
7
|
0.09%
|
8
|
0.11%
|
|
Cumulative net loss amount ($)
|
0
|
0.00%
|
0
|
0.00%
|
507,512
|
0.06%
|
507,512
|
0.07%
|
508,038
|
0.07%
|
517,436
|
0.08%
|
2006 Vintage
|
Pool Performance – 2006 Vintage
|
|
|
| |
|
|
|
Delinquency Status – Current Balance of Loans in Arrears ($)
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Current Balance of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
|
Current
|
<30 Days
|
4,289,734,329
|
99.49%
|
3,227,312,505
|
99.14%
|
2,276,917,335
|
99.20%
|
1,785,497,342
|
99.36%
|
1,677,798,073
|
99.76%
|
1,379,630,438
|
99.76%
|
|
1-2 Months
|
≥30 and <60 Days
|
12,047,482
|
0.28%
|
8,687,081
|
0.27%
|
4,380,403
|
0.19%
|
2,924,383
|
0.16%
|
1,512,044
|
0.09%
|
1,226,263
|
0.09%
|
|
2-3 Months
|
≥60 and <90 Days
|
2,136,162
|
0.05%
|
5,063,111
|
0.15%
|
2,087,563
|
0.09%
|
2,677,824
|
0.15%
|
904,665
|
0.05%
|
596,340
|
0.04%
|
|
3-4 Months
|
≥90 and <120 Days
|
1,386,561
|
0.03%
|
3,620,178
|
0.11%
|
1,475,972
|
0.07%
|
902,474
|
0.05%
|
659,325
|
0.04%
|
177,499
|
0.01%
|
|
4-5 Months
|
≥120 and <150 Days
|
1,344,977
|
0.03%
|
1,167,120
|
0.04%
|
1,223,814
|
0.05%
|
351,831
|
0.02%
|
88,151
|
0.01%
|
100,592
|
0.01%
|
|
5-6 Months
|
≥150 and <180 Days
|
608,278
|
0.02%
|
651,433
|
0.02%
|
2,098,492
|
0.09%
|
379,568
|
0.02%
|
151,613
|
0.01%
|
0
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
972,216
|
0.02%
|
3,285,276
|
0.10%
|
243,732
|
0.01%
|
90,087
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
477,112
|
0.01%
|
1,353,650
|
0.04%
|
307,061
|
0.01%
|
119,936
|
0.01%
|
0
|
0.00%
|
560,512
|
0.04%
|
|
8-9 Months
|
≥240 and <270 Days
|
703,781
|
0.02%
|
1,198,561
|
0.04%
|
544,913
|
0.03%
|
141,090
|
0.01%
|
30,932
|
0.00%
|
298,257
|
0.02%
|
|
9-10 Months
|
≥270 and <300 Days
|
76,749
|
0.00%
|
665,778
|
0.02%
|
318,309
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
551,679
|
0.03%
|
388,062
|
0.02%
|
25,287
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
339,851
|
0.01%
|
235,422
|
0.01%
|
221,441
|
0.01%
|
494,981
|
0.03%
|
0
|
0.00%
|
0
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
951,347
|
0.02%
|
52,932
|
0.00%
|
467,486
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
130,497
|
0.00%
|
34,269
|
0.00%
|
0
|
0.00%
|
55,575
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
105,176
|
0.00%
|
305,137
|
0.01%
|
0
|
0.00%
|
40,627
|
0.00%
|
0
|
0.00%
|
17,348
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
17,565
|
0.00%
|
0
|
0.00%
|
751,540
|
0.03%
|
95,822
|
0.01%
|
206,028
|
0.01%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
135,199
|
0.00%
|
471,806
|
0.02%
|
30,752
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
595,081
|
0.02%
|
386,513
|
0.01%
|
132,398
|
0.01%
|
453,821
|
0.03%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and
more
|
≥540 Days
|
143,107
|
0.00%
|
1,154,917
|
0.04%
|
3,005,707
|
0.13%
|
2,414,433
|
0.13%
|
447,069
|
0.03%
|
447,069
|
0.03%
|
|
Total
|
|
4,311,770,271
|
100.00%
|
3,255,309,082
|
100.00%
|
2,295,199,651
|
100.00%
|
1,797,058,608
|
100.00%
|
1,681,823,187
|
100.00%
|
1,383,054,318
|
100.00%
|
| |
|
|
|
Delinquency Status - Number of Loans in Arrears
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Total Number of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
|
Current
|
<30 Days
|
35,332
|
99.61%
|
28,292
|
99.36%
|
20,733
|
99.44%
|
16,916
|
99.48%
|
16,834
|
99.80%
|
14,330
|
99.81%
|
|
1-2 Months
|
≥30 and <60 Days
|
63
|
0.18%
|
60
|
0.21%
|
35
|
0.17%
|
28
|
0.17%
|
10
|
0.06%
|
11
|
0.08%
|
|
2-3 Months
|
≥60 and <90 Days
|
12
|
0.03%
|
26
|
0.09%
|
18
|
0.09%
|
16
|
0.09%
|
10
|
0.06%
|
4
|
0.03%
|
|
3-4 Months
|
≥90 and <120 Days
|
12
|
0.03%
|
23
|
0.08%
|
11
|
0.05%
|
8
|
0.05%
|
2
|
0.01%
|
3
|
0.02%
|
|
4-5 Months
|
≥120 and <150 Days
|
11
|
0.03%
|
12
|
0.04%
|
7
|
0.03%
|
4
|
0.02%
|
2
|
0.01%
|
1
|
0.01%
|
|
5-6 Months
|
≥150 and <180 Days
|
8
|
0.02%
|
5
|
0.02%
|
9
|
0.05%
|
4
|
0.02%
|
2
|
0.01%
|
0
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
7
|
0.02%
|
9
|
0.03%
|
2
|
0.01%
|
2
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
5
|
0.01%
|
8
|
0.03%
|
2
|
0.01%
|
2
|
0.01%
|
0
|
0.00%
|
1
|
0.01%
|
|
8-9 Months
|
≥240 and <270 Days
|
5
|
0.01%
|
9
|
0.03%
|
3
|
0.01%
|
2
|
0.01%
|
1
|
0.01%
|
2
|
0.01%
|
|
9-10 Months
|
≥270 and <300 Days
|
2
|
0.01%
|
6
|
0.02%
|
4
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
4
|
0.02%
|
3
|
0.02%
|
1
|
0.01%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
3
|
0.01%
|
5
|
0.02%
|
2
|
0.01%
|
2
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
5
|
0.01%
|
2
|
0.01%
|
3
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
2
|
0.01%
|
1
|
0.00%
|
0
|
0.00%
|
2
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
1
|
0.00%
|
2
|
0.01%
|
0
|
0.00%
|
1
|
0.01%
|
0
|
0.00%
|
1
|
0.01%
|
|
15-16 Months
|
≥450 and <480 Days
|
1
|
0.00%
|
0
|
0.00%
|
4
|
0.02%
|
1
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
1
|
0.00%
|
2
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
2
|
0.01%
|
6
|
0.02%
|
1
|
0.00%
|
4
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and
more
|
≥540 Days
|
2
|
0.01%
|
7
|
0.03%
|
10
|
0.05%
|
8
|
0.05%
|
3
|
0.02%
|
3
|
0.02%
|
|
Total
|
|
35,473
|
100.00%
|
28,474
|
100.00%
|
20,850
|
100.00%
|
17,004
|
100.00%
|
16,866
|
100.00%
|
14,356
|
100.00%
|
|
Loss Information
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
| |
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
Number of loans that have experienced a loss for the period /
year ended
|
0
|
0.00%
|
10
|
0.04%
|
19
|
0.09%
|
12
|
0.07%
|
3
|
0.02%
|
1
|
0.01%
|
|
Net loss amount for the period / year ended ($)
|
0
|
0.00%
|
272,599
|
0.01%
|
576,265
|
0.03%
|
523,551
|
0.03%
|
166,917
|
0.01%
|
44,786
|
0.00%
|
|
Cumulative number of loans that have experienced a loss
|
0
|
0.00%
|
10
|
0.04%
|
29
|
0.14%
|
41
|
0.24%
|
44
|
0.26%
|
45
|
0.29%
|
|
Cumulative net loss amount ($)
|
0
|
0.00%
|
272,599
|
0.01%
|
848,864
|
0.04%
|
1,372,415
|
0.08%
|
1,539,332
|
0.09%
|
1,584,118
|
0.11%
|
2007 Vintage
|
Pool Performance – 2007 Vintage
|
|
|
| |
|
|
|
Delinquency Status – Current Balance of Loans in Arrears ($)
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Current Balance of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
|
Current
|
<30 Days
|
6,083,052,937
|
99.26%
|
4,759,461,383
|
99.07%
|
3,834,663,249
|
99.07%
|
2,477,522,280
|
98.91%
|
2,550,055,066
|
99.69%
|
2,221,142,391
|
99.66%
|
|
1-2 Months
|
≥30 and <60 Days
|
17,979,410
|
0.29%
|
11,054,684
|
0.23%
|
9,160,879
|
0.24%
|
8,401,507
|
0.34%
|
3,031,956
|
0.11%
|
1,431,001
|
0.06%
|
|
2-3 Months
|
≥60 and <90 Days
|
6,229,649
|
0.10%
|
8,012,377
|
0.17%
|
9,199,957
|
0.24%
|
2,781,030
|
0.11%
|
2,666,098
|
0.10%
|
1,079,423
|
0.05%
|
|
3-4 Months
|
≥90 and <120 Days
|
3,065,652
|
0.05%
|
4,520,981
|
0.09%
|
2,664,541
|
0.07%
|
2,762,003
|
0.11%
|
138,472
|
0.01%
|
30,700
|
0.00%
|
|
4-5 Months
|
≥120 and <150 Days
|
3,475,357
|
0.06%
|
2,828,868
|
0.06%
|
2,242,298
|
0.06%
|
2,608,090
|
0.10%
|
605,525
|
0.02%
|
820,055
|
0.04%
|
|
5-6 Months
|
≥150 and <180 Days
|
1,830,019
|
0.03%
|
1,411,194
|
0.03%
|
1,636,684
|
0.04%
|
485,009
|
0.02%
|
408,506
|
0.02%
|
498,961
|
0.02%
|
|
6-7 Months
|
≥180 and <210 Days
|
2,896,100
|
0.05%
|
860,128
|
0.02%
|
1,178,335
|
0.03%
|
185,646
|
0.01%
|
171,570
|
0.01%
|
362,224
|
0.02%
|
|
7-8 Months
|
≥210 and <240 Days
|
1,168,395
|
0.02%
|
2,652,128
|
0.05%
|
1,362,966
|
0.04%
|
26,249
|
0.00%
|
0
|
0.00%
|
1,548,096
|
0.07%
|
|
8-9 Months
|
≥240 and <270 Days
|
830,241
|
0.01%
|
1,936,902
|
0.04%
|
0
|
0.00%
|
20,014
|
0.00%
|
171,699
|
0.01%
|
181,410
|
0.01%
|
|
9-10 Months
|
≥270 and <300 Days
|
1,267,532
|
0.02%
|
1,412,650
|
0.03%
|
348,548
|
0.01%
|
1,061,589
|
0.04%
|
0
|
0.00%
|
607,629
|
0.03%
|
|
10-11 Months
|
≥300 and <330 Days
|
911,413
|
0.02%
|
774,368
|
0.02%
|
394,466
|
0.01%
|
921,060
|
0.04%
|
0
|
0.00%
|
449,604
|
0.02%
|
|
11-12 Months
|
≥330 and <360 Days
|
1,216,819
|
0.02%
|
296,852
|
0.01%
|
620,536
|
0.02%
|
260,426
|
0.01%
|
0
|
0.00%
|
147,292
|
0.01%
|
|
12-13 Months
|
≥360 and <390 Days
|
1,329,693
|
0.02%
|
1,384,213
|
0.03%
|
213,177
|
0.00%
|
198,653
|
0.01%
|
16,609
|
0.00%
|
46,802
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
219,275
|
0.00%
|
102,678
|
0.00%
|
421,925
|
0.01%
|
785,499
|
0.03%
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
1,260,219
|
0.02%
|
1,105,844
|
0.02%
|
1,148,638
|
0.03%
|
2,512,171
|
0.10%
|
0
|
0.00%
|
0
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
298,724
|
0.01%
|
173,801
|
0.00%
|
85,197
|
0.00%
|
58,258
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
166,900
|
0.00%
|
307,426
|
0.01%
|
591,591
|
0.01%
|
894,241
|
0.04%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
368,859
|
0.01%
|
529,472
|
0.01%
|
191,564
|
0.00%
|
300,709
|
0.01%
|
0
|
0.00%
|
175,045
|
0.01%
|
|
18 Months and more
|
≥540 Days
|
862,173
|
0.01%
|
5,300,606
|
0.11%
|
4,552,012
|
0.12%
|
3,046,260
|
0.12%
|
692,265
|
0.03%
|
96,971
|
0.00%
|
|
Total
|
|
6,128,429,367
|
100.00%
|
4,804,126,555
|
100.00%
|
3,870,676,563
|
100.00%
|
2,504,830,694
|
100.00%
|
2,557,957,766
|
100.00%
|
2,228,617,604
|
100.00%
|
| |
|
|
|
Delinquency Status - Number of Loans in Arrears
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Total Number of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
|
Current
|
<30 Days
|
44,219
|
99.51%
|
37,071
|
99.33%
|
31,220
|
99.30%
|
20,045
|
99.34%
|
20,890
|
99.80%
|
18,589
|
99.74%
|
|
1-2 Months
|
≥30 and <60 Days
|
84
|
0.19%
|
64
|
0.17%
|
56
|
0.18%
|
44
|
0.22%
|
18
|
0.09%
|
12
|
0.06%
|
|
2-3 Months
|
≥60 and <90 Days
|
28
|
0.06%
|
48
|
0.13%
|
50
|
0.16%
|
19
|
0.09%
|
12
|
0.06%
|
7
|
0.03%
|
|
3-4 Months
|
≥90 and <120 Days
|
19
|
0.04%
|
21
|
0.05%
|
16
|
0.05%
|
10
|
0.05%
|
3
|
0.01%
|
1
|
0.01%
|
|
4-5 Months
|
≥120 and <150 Days
|
16
|
0.04%
|
18
|
0.05%
|
12
|
0.04%
|
8
|
0.04%
|
3
|
0.01%
|
6
|
0.03%
|
|
5-6 Months
|
≥150 and <180 Days
|
9
|
0.02%
|
5
|
0.01%
|
15
|
0.05%
|
2
|
0.01%
|
2
|
0.01%
|
4
|
0.02%
|
|
6-7 Months
|
≥180 and <210 Days
|
8
|
0.02%
|
6
|
0.02%
|
8
|
0.02%
|
3
|
0.02%
|
1
|
0.00%
|
1
|
0.01%
|
|
7-8 Months
|
≥210 and <240 Days
|
8
|
0.02%
|
13
|
0.03%
|
7
|
0.02%
|
1
|
0.00%
|
0
|
0.00%
|
4
|
0.02%
|
|
8-9 Months
|
≥240 and <270 Days
|
5
|
0.01%
|
10
|
0.02%
|
0
|
0.00%
|
1
|
0.00%
|
1
|
0.00%
|
1
|
0.01%
|
|
9-10 Months
|
≥270 and <300 Days
|
6
|
0.01%
|
6
|
0.02%
|
3
|
0.01%
|
3
|
0.02%
|
0
|
0.00%
|
3
|
0.02%
|
|
10-11 Months
|
≥300 and <330 Days
|
5
|
0.01%
|
7
|
0.02%
|
4
|
0.01%
|
6
|
0.03%
|
0
|
0.00%
|
2
|
0.01%
|
|
11-12 Months
|
≥330 and <360 Days
|
6
|
0.01%
|
2
|
0.01%
|
6
|
0.02%
|
1
|
0.00%
|
0
|
0.00%
|
2
|
0.01%
|
|
12-13 Months
|
≥360 and <390 Days
|
5
|
0.01%
|
8
|
0.02%
|
2
|
0.01%
|
2
|
0.01%
|
1
|
0.00%
|
1
|
0.01%
|
|
13-14 Months
|
≥390 and <420 Days
|
2
|
0.01%
|
1
|
0.00%
|
2
|
0.01%
|
3
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
6
|
0.01%
|
6
|
0.02%
|
9
|
0.03%
|
8
|
0.04%
|
0
|
0.00%
|
0
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
2
|
0.01%
|
2
|
0.01%
|
1
|
0.00%
|
1
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
2
|
0.01%
|
2
|
0.01%
|
4
|
0.01%
|
2
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
1
|
0.00%
|
4
|
0.01%
|
1
|
0.00%
|
2
|
0.01%
|
0
|
0.00%
|
1
|
0.01%
|
|
18 Months and more
|
≥540 Days
|
4
|
0.01%
|
27
|
0.07%
|
25
|
0.08%
|
18
|
0.09%
|
4
|
0.02%
|
1
|
0.01%
|
|
Total
|
|
44,435
|
100.00%
|
37,321
|
100.00%
|
31,441
|
100.00%
|
20,179
|
100.00%
|
20,935
|
100.00%
|
18,635
|
100.00%
|
| |
|
|
|
Loss Information
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
| |
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
Number of loans that have experienced a loss for the period /
year ended
|
0
|
0.00%
|
5
|
0.01%
|
46
|
0.15%
|
38
|
0.19%
|
7
|
0.03%
|
2
|
0.01%
|
|
Net loss amount for the period / year ended ($)
|
0
|
0.00%
|
187,793
|
0.00%
|
1,533,110
|
0.04%
|
2,055,893
|
0.08%
|
422,375
|
0.02%
|
198,761
|
0.01%
|
|
Cumulative number of loans that have experienced a loss
|
0
|
0.00%
|
5
|
0.01%
|
51
|
0.16%
|
89
|
0.44%
|
96
|
0.46%
|
98
|
0.51%
|
|
Cumulative net loss amount ($)
|
0
|
0.00%
|
187,793
|
0.00%
|
1,720,903
|
0.04%
|
3,776,797
|
0.15%
|
4,199,172
|
0.16%
|
4,397,933
|
0.19%
|
2008 Vintage
|
Pool Performance – 2008 Vintage
|
|
|
| |
|
|
|
Delinquency Status – Current Balance of Loans in Arrears ($)
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Current Balance of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
|
Current
|
<30 Days
|
2,713,250,309
|
99.90%
|
2,187,205,304
|
99.67%
|
2,683,218,199
|
99.62%
|
2,277,870,187
|
99.65%
|
2,701,750,628
|
99.75%
|
2,691,973,103
|
99.75%
|
|
1-2 Months
|
≥30 and <60 Days
|
2,671,228
|
0.10%
|
3,325,784
|
0.15%
|
3,513,965
|
0.13%
|
2,359,166
|
0.10%
|
3,732,062
|
0.14%
|
1,721,826
|
0.06%
|
|
2-3 Months
|
≥60 and <90 Days
|
0
|
0.00%
|
1,492,396
|
0.07%
|
3,177,160
|
0.12%
|
1,844,303
|
0.08%
|
1,590,027
|
0.06%
|
2,071,271
|
0.08%
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
563,658
|
0.03%
|
748,390
|
0.03%
|
888,606
|
0.04%
|
742,824
|
0.03%
|
188,659
|
0.01%
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
69,688
|
0.00%
|
776,822
|
0.03%
|
343,486
|
0.02%
|
285,172
|
0.01%
|
295,672
|
0.01%
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
648,592
|
0.03%
|
132,239
|
0.01%
|
149,648
|
0.01%
|
162,676
|
0.01%
|
515,194
|
0.02%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
661,969
|
0.03%
|
640,570
|
0.02%
|
441,582
|
0.02%
|
125,629
|
0.00%
|
0
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
236,939
|
0.01%
|
102,836
|
0.00%
|
86,310
|
0.00%
|
0
|
0.00%
|
216,325
|
0.01%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
0
|
0.00%
|
304,522
|
0.01%
|
74,927
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
572,120
|
0.02%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
177,123
|
0.01%
|
87,354
|
0.00%
|
0
|
0.00%
|
186,102
|
0.01%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
43,254
|
0.00%
|
847,782
|
0.04%
|
0
|
0.00%
|
239,207
|
0.01%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
237,112
|
0.01%
|
0
|
0.00%
|
258,152
|
0.01%
|
0
|
0.00%
|
647,678
|
0.02%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
50,236
|
0.00%
|
109,554
|
0.00%
|
114,884
|
0.01%
|
73,036
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
126,065
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
77,376
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
389,064
|
0.01%
|
139,537
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
222,217
|
0.01%
|
206,985
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
2,715,921,537
|
100.00%
|
2,194,491,678
|
100.00%
|
2,693,555,915
|
100.00%
|
2,285,790,285
|
100.00%
|
2,708,462,054
|
100.00%
|
2,698,753,222
|
100.00%
|
| |
|
|
|
Delinquency Status - Number of Loans in Arrears
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Total Number of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
|
Current
|
<30 Days
|
18,015
|
99.91%
|
15,524
|
99.74%
|
18,931
|
99.72%
|
15,932
|
99.71%
|
18,936
|
99.81%
|
19,584
|
99.80%
|
|
1-2 Months
|
≥30 and <60 Days
|
17
|
0.09%
|
22
|
0.14%
|
15
|
0.08%
|
15
|
0.08%
|
15
|
0.07%
|
11
|
0.05%
|
|
2-3 Months
|
≥60 and <90 Days
|
0
|
0.00%
|
5
|
0.03%
|
13
|
0.07%
|
9
|
0.05%
|
8
|
0.04%
|
7
|
0.03%
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
3
|
0.02%
|
4
|
0.02%
|
3
|
0.02%
|
5
|
0.03%
|
1
|
0.01%
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
1
|
0.01%
|
5
|
0.02%
|
2
|
0.01%
|
3
|
0.02%
|
3
|
0.01%
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
2
|
0.01%
|
2
|
0.01%
|
1
|
0.01%
|
2
|
0.01%
|
1
|
0.01%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
3
|
0.02%
|
3
|
0.01%
|
2
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
2
|
0.01%
|
1
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
2
|
0.01%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
0
|
0.00%
|
2
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
5
|
0.03%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
2
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
1
|
0.01%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
3
|
0.02%
|
0
|
0.00%
|
1
|
0.01%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
2
|
0.01%
|
0
|
0.00%
|
1
|
0.01%
|
0
|
0.00%
|
4
|
0.02%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
2
|
0.01%
|
2
|
0.01%
|
1
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
3
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
18,032
|
100.00%
|
15,566
|
100.00%
|
18,983
|
100.00%
|
15,977
|
100.00%
|
18,971
|
100.00%
|
19,621
|
100.00%
|
| |
|
|
|
Loss Information
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
| |
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
Number of loans that have experienced a loss for the period /
year ended
|
0
|
0.00%
|
2
|
0.01%
|
6
|
0.03%
|
7
|
0.04%
|
5
|
0.03%
|
1
|
0.01%
|
|
Net loss amount for the period / year ended ($)
|
0
|
0.00%
|
66,155
|
0.00%
|
371,990
|
0.01%
|
581,780
|
0.03%
|
231,787
|
0.01%
|
29,026
|
0.00%
|
|
Cumulative number of loans that have experienced a loss
|
0
|
0.00%
|
2
|
0.01%
|
8
|
0.04%
|
15
|
0.09%
|
20
|
0.11%
|
21
|
0.12%
|
|
Cumulative net loss amount ($)
|
0
|
0.00%
|
66,155
|
0.00%
|
438,145
|
0.02%
|
1,019,925
|
0.04%
|
1,251,712
|
0.05%
|
1,280,737
|
0.05%
|
2009 Vintage
|
Pool Performance – 2009 Vintage
|
|
|
| |
|
|
|
Delinquency Status – Current Balance of Loans in Arrears ($)
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Current Balance of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
|
Current
|
<30 Days
|
2,454,442,595
|
99.95%
|
1,988,575,723
|
99.47%
|
3,125,522,049
|
99.56%
|
3,248,573,165
|
99.55%
|
4,062,074,369
|
99.79%
|
3,302,479,419
|
99.86%
|
|
1-2 Months
|
≥30 and <60 Days
|
958,078
|
0.04%
|
4,603,898
|
0.23%
|
5,685,476
|
0.18%
|
5,093,758
|
0.16%
|
4,613,337
|
0.11%
|
1,037,435
|
0.04%
|
|
2-3 Months
|
≥60 and <90 Days
|
185,773
|
0.01%
|
2,019,574
|
0.10%
|
1,889,245
|
0.06%
|
3,099,910
|
0.09%
|
1,400,631
|
0.03%
|
1,075,467
|
0.04%
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
953,617
|
0.05%
|
674,570
|
0.02%
|
1,562,535
|
0.05%
|
638,771
|
0.02%
|
727,915
|
0.02%
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
420,706
|
0.02%
|
387,225
|
0.01%
|
74,096
|
0.00%
|
268,376
|
0.01%
|
229,822
|
0.01%
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
209,503
|
0.01%
|
424,579
|
0.01%
|
915,941
|
0.03%
|
0
|
0.00%
|
162,846
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
253,035
|
0.01%
|
0
|
0.00%
|
228,843
|
0.01%
|
254,753
|
0.01%
|
163,753
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
1,021,962
|
0.05%
|
483,990
|
0.02%
|
0
|
0.00%
|
263,331
|
0.01%
|
407,361
|
0.01%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
662,428
|
0.03%
|
279,434
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
114,242
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
147,847
|
0.01%
|
521,588
|
0.02%
|
380,631
|
0.01%
|
483,859
|
0.01%
|
148,044
|
0.00%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
119,681
|
0.01%
|
0
|
0.00%
|
460,901
|
0.01%
|
0
|
0.00%
|
219,232
|
0.01%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
260,196
|
0.01%
|
0
|
0.00%
|
185,917
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
0
|
0.00%
|
733,988
|
0.02%
|
1,483,081
|
0.05%
|
0
|
0.00%
|
32,653
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
855,959
|
0.03%
|
0
|
0.00%
|
0
|
0.00%
|
189,928
|
0.01%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
100,660
|
0.00%
|
0
|
0.00%
|
134,845
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
462,576
|
0.01%
|
144,171
|
0.00%
|
0
|
0.00%
|
159,037
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
1,448,580
|
0.05%
|
977,484
|
0.03%
|
284,137
|
0.01%
|
0
|
0.00%
|
|
Total
|
|
2,455,586,446
|
100.00%
|
1,999,248,170
|
100.00%
|
3,139,369,259
|
100.00%
|
3,263,281,093
|
100.00%
|
4,070,281,564
|
100.00%
|
3,307,281,999
|
100.00%
|
| |
|
|
|
Delinquency Status - Number of Loans in Arrears
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Total Number of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
|
Current
|
<30 Days
|
14,743
|
99.92%
|
12,647
|
99.61%
|
19,314
|
99.68%
|
20,010
|
99.66%
|
26,437
|
99.84%
|
21,684
|
99.87%
|
|
1-2 Months
|
≥30 and <60 Days
|
10
|
0.07%
|
18
|
0.14%
|
25
|
0.12%
|
23
|
0.12%
|
21
|
0.08%
|
12
|
0.07%
|
|
2-3 Months
|
≥60 and <90 Days
|
1
|
0.01%
|
12
|
0.09%
|
10
|
0.05%
|
15
|
0.08%
|
7
|
0.03%
|
6
|
0.03%
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
4
|
0.03%
|
3
|
0.02%
|
12
|
0.06%
|
7
|
0.03%
|
3
|
0.01%
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
3
|
0.02%
|
3
|
0.02%
|
1
|
0.00%
|
3
|
0.01%
|
1
|
0.00%
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
2
|
0.02%
|
2
|
0.01%
|
5
|
0.03%
|
0
|
0.00%
|
1
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
2
|
0.02%
|
0
|
0.00%
|
1
|
0.00%
|
1
|
0.00%
|
2
|
0.01%
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
3
|
0.02%
|
2
|
0.01%
|
0
|
0.00%
|
2
|
0.01%
|
2
|
0.01%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
1
|
0.01%
|
2
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
2
|
0.02%
|
3
|
0.02%
|
2
|
0.01%
|
1
|
0.00%
|
1
|
0.00%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
1
|
0.01%
|
0
|
0.00%
|
1
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
1
|
0.01%
|
0
|
0.00%
|
1
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
3
|
0.02%
|
0
|
0.00%
|
1
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
4
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
3
|
0.02%
|
1
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
3
|
0.02%
|
4
|
0.02%
|
1
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
14,754
|
100.00%
|
12,696
|
100.00%
|
19,375
|
100.00%
|
20,080
|
100.00%
|
26,480
|
100.00%
|
21,718
|
100.00%
|
| |
|
|
|
Loss Information
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
| |
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
Number of loans that have experienced a loss for the period /
year ended
|
0
|
0.00%
|
0
|
0.00%
|
4
|
0.02%
|
9
|
0.04%
|
2
|
0.01%
|
1
|
0.00%
|
|
Net loss amount for the period / year ended ($)
|
0
|
0.00%
|
0
|
0.00%
|
116,376
|
0.00%
|
486,168
|
0.01%
|
500,921
|
0.01%
|
27,788
|
0.00%
|
|
Cumulative number of loans that have experienced a loss
|
0
|
0.00%
|
0
|
0.00%
|
4
|
0.02%
|
13
|
0.06%
|
15
|
0.06%
|
16
|
0.07%
|
|
Cumulative net loss amount ($)
|
0
|
0.00%
|
0
|
0.00%
|
116,376
|
0.00%
|
602,544
|
0.02%
|
1,103,465
|
0.03%
|
1,131,253
|
0.03%
|
2010 Vintage
|
Pool Performance – 2010 Vintage
|
|
|
| |
|
|
|
Delinquency Status – Current Balance of Loans in Arrears ($)
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Current Balance of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
|
Current
|
<30 Days
|
95,444
|
100.00%
|
7,274,447
|
100.00%
|
2,800,774,159
|
99.98%
|
4,002,551,090
|
99.85%
|
5,741,645,591
|
99.89%
|
6,115,666,818
|
99.89%
|
|
1-2 Months
|
≥30 and <60 Days
|
0
|
0.00%
|
0
|
0.00%
|
411,732
|
0.01%
|
4,497,878
|
0.11%
|
3,062,473
|
0.05%
|
2,352,925
|
0.04%
|
|
2-3 Months
|
≥60 and <90 Days
|
0
|
0.00%
|
0
|
0.00%
|
296,709
|
0.01%
|
691,778
|
0.02%
|
1,640,099
|
0.03%
|
1,770,569
|
0.03%
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1,581,466
|
0.03%
|
855,331
|
0.02%
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
242,153
|
0.00%
|
226,253
|
0.00%
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
143,434
|
0.00%
|
257,986
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
97,984
|
0.00%
|
185,993
|
0.00%
|
159,082
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
161,049
|
0.00%
|
0
|
0.00%
|
131,305
|
0.00%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
96,563
|
0.00%
|
153,605
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
560,978
|
0.02%
|
0
|
0.00%
|
0
|
0.00%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
268,741
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
908,426
|
0.02%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
262,902
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
155,221
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
96,563
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
95,444
|
100.00%
|
7,274,447
|
100.00%
|
2,801,482,600
|
100.00%
|
4,008,560,757
|
100.00%
|
5,748,597,772
|
100.00%
|
6,123,265,727
|
100.00%
|
| |
|
|
|
Delinquency Status - Number of Loans in Arrears
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Total Number of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
|
Current
|
<30 Days
|
1
|
100.00%
|
49
|
100.00%
|
15,598
|
99.97%
|
21,718
|
99.90%
|
34,228
|
99.91%
|
37,024
|
99.90%
|
|
1-2 Months
|
≥30 and <60 Days
|
0
|
0.00%
|
0
|
0.00%
|
2
|
0.01%
|
14
|
0.07%
|
13
|
0.04%
|
14
|
0.04%
|
|
2-3 Months
|
≥60 and <90 Days
|
0
|
0.00%
|
0
|
0.00%
|
3
|
0.02%
|
4
|
0.02%
|
10
|
0.03%
|
7
|
0.02%
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
7
|
0.02%
|
3
|
0.01%
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
1
|
0.00%
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
4
|
0.01%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
1
|
0.00%
|
1
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
1
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
3
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
2
|
0.01%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
3
|
0.01%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
1
|
100.00%
|
49
|
100.00%
|
15,603
|
100.00%
|
21,741
|
100.00%
|
34,262
|
100.00%
|
37,064
|
100.00%
|
| |
|
|
|
Loss Information
|
|
|
|
As at Date
|
31-Jan-10
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
| |
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
Number of loans that have experienced a loss for the period /
year ended
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
1
|
0.00%
|
4
|
0.01%
|
|
Net loss amount for the period / year ended ($)
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
10,167
|
0.00%
|
22,183
|
0.00%
|
179,313
|
0.00%
|
|
Cumulative number of loans that have experienced a loss
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
2
|
0.01%
|
6
|
0.02%
|
|
Cumulative net loss amount ($)
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
10,167
|
0.00%
|
32,350
|
0.00%
|
211,663
|
0.00%
|
2011 Vintage
|
Pool Performance – 2011 Vintage
|
|
|
|
| |
|
|
|
|
Delinquency Status – Current Balance of Loans in Arrears ($)
|
|
|
|
|
As at Date
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
|
Current Balance of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
|
|
Current
|
<30 Days
|
757,025
|
100.00%
|
1,374,739,664
|
99.96%
|
3,809,379,608
|
99.89%
|
6,686,466,504
|
99.88%
|
6,782,903,770
|
99.81%
|
|
|
1-2 Months
|
≥30 and <60 Days
|
0
|
0.00%
|
370,507
|
0.03%
|
2,442,092
|
0.06%
|
5,096,243
|
0.08%
|
6,838,751
|
0.10%
|
|
|
2-3 Months
|
≥60 and <90 Days
|
0
|
0.00%
|
205,740
|
0.01%
|
685,037
|
0.02%
|
1,345,090
|
0.02%
|
1,778,117
|
0.03%
|
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
0
|
0.00%
|
202,386
|
0.01%
|
777,843
|
0.01%
|
544,884
|
0.01%
|
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
0
|
0.00%
|
400,166
|
0.01%
|
109,778
|
0.00%
|
1,981,421
|
0.03%
|
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
0
|
0.00%
|
197,786
|
0.01%
|
35,380
|
0.00%
|
74,905
|
0.00%
|
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
68,143
|
0.00%
|
611,346
|
0.01%
|
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
85,945
|
0.00%
|
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
325,523
|
0.00%
|
803,468
|
0.01%
|
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
399,455
|
0.01%
|
0
|
0.00%
|
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
141,870
|
0.00%
|
169,169
|
0.00%
|
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
208,937
|
0.00%
|
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
142,099
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
325,523
|
0.00%
|
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
93,958
|
0.00%
|
0
|
0.00%
|
|
|
Total
|
|
757,025
|
100.00%
|
1,375,315,911
|
100.00%
|
3,813,449,174
|
100.00%
|
6,694,859,787
|
100.00%
|
6,796,326,236
|
100.00%
|
|
| |
|
|
|
|
Delinquency Status - Number of Loans in Arrears
|
|
|
|
|
As at Date
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
|
Total Number of Loans Outstanding
|
|
|
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
|
|
Current
|
<30 Days
|
3
|
100.00%
|
7,160
|
99.94%
|
18,227
|
99.89%
|
36,398
|
99.88%
|
38,435
|
99.84%
|
|
|
1-2 Months
|
≥30 and <60 Days
|
0
|
0.00%
|
2
|
0.03%
|
12
|
0.06%
|
27
|
0.08%
|
30
|
0.08%
|
|
|
2-3 Months
|
≥60 and <90 Days
|
0
|
0.00%
|
2
|
0.03%
|
3
|
0.01%
|
8
|
0.02%
|
8
|
0.02%
|
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
4
|
0.01%
|
3
|
0.01%
|
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
0
|
0.00%
|
2
|
0.01%
|
2
|
0.01%
|
8
|
0.02%
|
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
1
|
0.00%
|
1
|
0.00%
|
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
3
|
0.01%
|
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
7
|
0.02%
|
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
0
|
0.00%
|
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
1
|
0.00%
|
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.01%
|
0
|
0.00%
|
0
|
0.00%
|
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
0
|
0.00%
|
|
|
Total
|
|
3
|
100.00%
|
7,164
|
100.00%
|
18,247
|
100.00%
|
36,445
|
100.00%
|
38,499
|
100.00%
|
|
|
Loss Information
|
|
As at Date
|
31-Jan-11
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
| |
|
%
|
|
%
|
|
%
|
|
%
|
|
%
|
|
Number of loans that have experienced a loss for the period / year ended
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
3
|
0.01%
|
|
Net loss amount for the period / year ended ($)
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
81,701
|
0.00%
|
|
Cumulative number of loans that have experienced a loss
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
3
|
0.01%
|
|
Cumulative net loss amount ($)
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
81,701
|
0.00%
|
2012 Vintage
|
Pool Performance – 2012 Vintage
|
|
|
| |
|
|
|
Delinquency Status – Current Balance of Loans in Arrears ($)
|
|
|
|
As at Date
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Current Balance of Loans Outstanding
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
$
|
%
|
$
|
%
|
$
|
%
|
$
|
%
|
|
Current
|
<30 Days
|
1,380,887
|
100.00%
|
2,061,580,772
|
99.94%
|
6,801,380,733
|
99.91%
|
6,802,598,566
|
99.90%
|
|
1-2 Months
|
≥30 and <60 Days
|
0
|
0.00%
|
962,554
|
0.05%
|
4,423,338
|
0.06%
|
4,039,198
|
0.06%
|
|
2-3 Months
|
≥60 and <90 Days
|
0
|
0.00%
|
258,914
|
0.01%
|
1,210,745
|
0.02%
|
1,097,709
|
0.02%
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
0
|
0.00%
|
626,568
|
0.01%
|
1,345,530
|
0.02%
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
0
|
0.00%
|
252,619
|
0.00%
|
235,180
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
331,593
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
100,401
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
62,290
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
20,411
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
1,380,887
|
100.00%
|
2,062,802,240
|
100.00%
|
6,807,894,003
|
100.00%
|
6,809,830,878
|
100.00%
|
| |
|
|
|
Delinquency Status - Number of Loans in Arrears
|
|
|
|
As at Date
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Total Number of Loans Outstanding
|
|
|
|
|
|
|
|
|
| |
No. Days Past Due
|
#
|
%
|
#
|
%
|
#
|
%
|
#
|
%
|
|
Current
|
<30 Days
|
14
|
100.00%
|
9,196
|
99.95%
|
35,261
|
99.92%
|
38,262
|
99.91%
|
|
1-2 Months
|
≥30 and <60 Days
|
0
|
0.00%
|
4
|
0.04%
|
22
|
0.06%
|
17
|
0.05%
|
|
2-3 Months
|
≥60 and <90 Days
|
0
|
0.00%
|
1
|
0.01%
|
4
|
0.01%
|
8
|
0.02%
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
0
|
0.00%
|
5
|
0.01%
|
4
|
0.01%
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
1
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
3
|
0.01%
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
14
|
100.00%
|
9,201
|
100.00%
|
35,293
|
100.00%
|
38,298
|
100.00%
|
| |
|
|
|
Loss Information
|
|
|
|
As at Date
|
31-Jan-12
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
| |
|
%
|
|
%
|
|
%
|
|
%
|
|
Number of loans that have experienced a loss for the
period / year ended
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
Net loss amount for the period / year ended ($)
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
44,441
|
0.00%
|
|
Cumulative number of loans that have experienced a
loss
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
Cumulative net loss amount ($)
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
44,441
|
0.00%
|
2013 Vintage
|
Pool Performance – 2013 Vintage
|
|
| |
|
|
Delinquency Status – Current Balance of Loans in Arrears ($)
|
|
|
As at Date
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Current Balance of Loans Outstanding
|
|
|
|
|
|
| |
No. Days Past Due
|
$
|
%
|
$
|
%
|
$
|
%
|
|
Current
|
<30 Days
|
1,327,506
|
100.00%
|
3,284,950,594
|
99.92%
|
5,010,444,363
|
99.93%
|
|
1-2 Months
|
≥30 and <60 Days
|
0
|
0.00%
|
2,031,206
|
0.06%
|
1,357,953
|
0.03%
|
|
2-3 Months
|
≥60 and <90 Days
|
0
|
0.00%
|
0
|
0.00%
|
476,954
|
0.01%
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
598,628
|
0.02%
|
527,270
|
0.01%
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
0
|
0.00%
|
527,542
|
0.01%
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
0
|
0.00%
|
90,858
|
0.00%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
291,581
|
0.01%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
1,327,506
|
100.00%
|
3,287,580,428
|
100.00%
|
5,013,716,521
|
100.00%
|
|
Delinquency Status - Number of Loans in Arrears
|
|
|
As at Date
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
|
Total Number of Loans Outstanding
|
|
|
|
|
|
| |
No. Days Past Due
|
#
|
%
|
#
|
%
|
#
|
%
|
|
Current
|
<30 Days
|
7
|
100.00%
|
18,174
|
99.94%
|
27,011
|
99.95%
|
|
1-2 Months
|
≥30 and <60 Days
|
0
|
0.00%
|
10
|
0.05%
|
6
|
0.02%
|
|
2-3 Months
|
≥60 and <90 Days
|
0
|
0.00%
|
0
|
0.00%
|
3
|
0.01%
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
2
|
0.01%
|
3
|
0.01%
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
0
|
0.00%
|
2
|
0.01%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
1
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
7
|
100.00%
|
18,186
|
100.00%
|
27,027
|
100.00%
|
| Loss Information |
|
As at Date
|
31-Jan-13
|
31-Jan-14
|
31-Oct-14
|
| |
#
|
%
|
#
|
%
|
#
|
%
|
|
Number of loans that have experienced a loss for the
period / year ended
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
Net loss amount for the period / year ended ($)
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
Cumulative number of loans that have experienced a
loss
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
|
Cumulative net loss amount ($)
|
0
|
0.00%
|
0
|
0.00%
|
0
|
0.00%
|
2014 Vintage
|
Pool Performance – 2014 Vintage
|
|
| |
|
|
Delinquency Status – Current Balance of Loans in Arrears ($)
|
|
|
As at Date
|
31-Jan-14
|
31-Oct-14
|
|
Current Balance of Loans Outstanding
|
|
|
|
| |
No. Days Past Due
|
$
|
%
|
$
|
%
|
|
Current
|
<30 Days
|
1,742,044
|
100.00%
|
2,238,611,368
|
100.00%
|
|
1-2 Months
|
≥30 and <60 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
2-3 Months
|
≥60 and <90 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
1,742,044
|
100.00%
|
2,238,611,368
|
100.00%
|
| |
|
|
Delinquency Status - Number of Loans in Arrears
|
|
|
As at Date
|
31-Jan-14
|
31-Oct-14
|
|
Total Number of Loans Outstanding
|
|
|
|
|
| |
No. Days Past Due
|
#
|
%
|
#
|
%
|
|
Current
|
<30 Days
|
10
|
100.00%
|
10,155
|
100.00%
|
|
1-2 Months
|
≥30 and <60 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
2-3 Months
|
≥60 and <90 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
3-4 Months
|
≥90 and <120 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
4-5 Months
|
≥120 and <150 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
5-6 Months
|
≥150 and <180 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
6-7 Months
|
≥180 and <210 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
7-8 Months
|
≥210 and <240 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
8-9 Months
|
≥240 and <270 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
9-10 Months
|
≥270 and <300 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
10-11 Months
|
≥300 and <330 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
11-12 Months
|
≥330 and <360 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
12-13 Months
|
≥360 and <390 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
13-14 Months
|
≥390 and <420 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
14-15 Months
|
≥420 and <450 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
15-16 Months
|
≥450 and <480 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
16-17 Months
|
≥480 and <510 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
17-18 Months
|
≥510 and <540 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
18 Months and more
|
≥540 Days
|
0
|
0.00%
|
0
|
0.00%
|
|
Total
|
|
10
|
100.00%
|
10,155
|
100.00%
|
| |
|
|
Loss Information
|
|
|
As at Date
|
31-Jan-14
|
31-Oct-14
|
| |
#
|
%
|
#
|
%
|
|
Number of loans that have experienced a loss for the
period / year ended
|
0
|
0.00%
|
0
|
0.00%
|
|
Net loss amount for the period / year ended ($)
|
0
|
0.00%
|
0
|
0.00%
|
|
Cumulative number of loans that have experienced a
loss
|
0
|
0.00%
|
0
|
0.00%
|
|
Cumulative net loss amount ($)
|
0
|
0.00%
|
0
|
0.00%
|
|
Table of Contents
|
|
| |
|
| |
|
|
Prospectus Supplement
|
|
| |
|
|
SUMMARY
|
S-2
|
|
ADDITIONAL RISK FACTORS
|
S-6
|
|
DESCRIPTION OF THE COVERED BONDS
|
S-7
|
|
DESCRIPTION OF THE COVERED BOND GUARANTEE
|
S-8
|
|
LOAN ORIGINATION AND LENDING CRITERIA
|
S-9
|
|
SWAP PROVIDERS
|
S-10
|
|
SUPPLEMENTAL PLAN OF DISTRIBUTION
|
S-10
|
|
NOTICE REGARDING OFFERS IN THE EEA
|
S-15
|
|
Annex A
|
|
|
COVERED BOND PORTFOLIO
|
S-16
|
|
Overall Pool Statistics
|
S-17
|
|
Overall Pool Performance
|
S-23
|
|
Annex B
|
|
|
HISTORICAL POOL DATA
|
S-25
|
| |
|
| |
|
|
Prospectus dated July 10, 2013
|
|
| |
|
|
DOCUMENTS INCORPORATED BY REFERENCE
|
1
|
|
WHERE YOU CAN FIND MORE INFORMATION
|
2
|
|
FURTHER INFORMATION
|
2
|
|
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
|
2
|
|
ABOUT THIS PROSPECTUS
|
3
|
|
GLOBAL COVERED BOND PROGRAMME
|
5
|
|
Programme Structure Overview
|
5
|
|
RISK FACTORS
|
14
|
|
ROYAL BANK OF CANADA
|
36
|
|
RBC COVERED BOND GUARANTOR LIMITED PARTNERSHIP
|
36
|
|
Ownership Structure of the Guarantor LP
|
37
|
|
Ownership Structure of the Managing GP
|
37
|
|
Ownership Structure of the Liquidation GP
|
37
|
|
PRESENTATION OF FINANCIAL INFORMATION
|
38
|
|
USE OF PROCEEDS
|
38
|
|
CONSOLIDATED RATIOS OF EARNINGS TO FIXED CHARGES
|
38
|
|
CONSOLIDATED CAPITALIZATION AND INDEBTEDNESS
|
39
|
|
DESCRIPTION OF THE COVERED BONDS
|
40
|
|
General
|
40
|
|
Asset Coverage Test, Valuation Calculation and Amortization Test
|
40
|
|
Terms and Conditions
|
41
|
|
TERMS AND CONDITIONS OF THE COVERED BONDS
|
43
|
|
DESCRIPTION OF THE CANADIAN REGULATED COVERED BOND REGIME
|
79
|
|
OWNERSHIP AND BOOK-ENTRY ISSUANCE
|
82
|
|
CASHFLOWS
|
86
|
|
COVERED BOND PORTFOLIO
|
95
|
|
LOAN ORIGINATION AND LENDING CRITERIA
|
96
|
|
THE SERVICER
|
99
|
|
SUMMARY OF PRINCIPAL DOCUMENTS
|
104
|
|
TAX CONSEQUENCES
|
151
|
|
UNITED STATES TAXATION
|
151
|
|
CANADIAN TAXATION
|
158
|
|
BENEFIT PLAN INVESTOR CONSIDERATIONS
|
160
|
|
PLAN OF DISTRIBUTION
|
162
|
|
Market-Making Resales By Affiliates
|
163
|
|
Conflicts of Interest
|
164
|
|
LIMITATIONS ON ENFORCEMENT OF U.S. LAWS
|
|
|
AGAINST THE BANK, OUR MANAGEMENT AND OTHERS
|
164
|
|
LEGALITY OF COVERED BONDS
|
164
|
|
EXPERTS
|
165
|
|
GLOSSARY
|
166
|
U.S.$2,000,000,000 1.875% Covered
Bonds Due 2020 unconditionally and
irrevocably guaranteed as to payments by
RBC Covered Bond Guarantor Limited
Partnership
Royal Bank of Canada
Covered Bonds
_____________________________
PROSPECTUS SUPPLEMENT
_____________________________
|
Programme Arranger
|
| |
RBC Capital
Markets
|
|
| |
|
Joint Book-Running Managers
|
|
RBC Capital
Markets
|
Goldman, Sachs
& Co.
|
UBS
Investment
Bank
|
|
Co-Managers
|
|
ANZ Securities
|
Credit Agricole CIB
|
ING
|
|
Nataxis
|
nabSecurities, LLC
|
National Bank of
Canada Financial
|
|
Santander
|
SOCIETE
GENERALE
|
Standard
Chartered
Bank
|
Wells Fargo
Securities
|
January 29, 2015
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