Page 6
Fixed Income Quarterly—Banks
Table 5: Potential NVCC Sub Debt Ratings
DBRS
S&P
Moody's
Issuer
Current Tier 2B
NVCC Sub Debt
Notches from Current Rating
Issuer SACP
NVCC Sub Debt
Notches from SACP
Current Sub Debt
NVCC Sub Debt
Notches from Current Rating
BMO BNS CM NA RY TD
AA (low) AA (low) AA (low) A (high) AA (low) AA (low)
A (low) -3 A (low) -3 A (low) -3
BBB -4 A (low) -3 A (low) -3
a- BBB -2 a BBB+ -2 a- BBB -2 a- BBB -2 a+ A- -2 a+ A- -2
A3 Baa1 -2
A2 A3 -2
A3 Baa1 -2
Baa1 Baa2 -2 A3 Baa1 -2 A1 A2 -2
As at March 31, 2014
Source: BMO Capital Markets; Rating Agencies
Table 6: Credit Ratings
Moody's
S&P
DBRS
Issuer
Senior
Subordinated
Outlook
Senior
Subordinated
Outlook Senior
Subordinated
Outlook
BMO BNS CM
Aa3 A3
Aa2 A2
Aa3 A3
Stable Stable Stable
A+ BBB+ A+ A- A+ BBB+
Stable Stable Stable
AA AA (low) AA AA (low) AA AA (low)
Stable Stable Stable
NA
Aa3 Baa1 Stable
A
BBB+ Stable
AA (low) A (high) Stable
RY TD
Aa3 A3 Stable Aa1 A1 Stable
AA- A Stable AA- A Stable
AA AA (low) Stable AA AA (low) Stable
As at March 31, 2014 Source: Rating Agencies
Table 7: Canadian Covered Bond Capacity (IFRS) Q1-14 (IFRS)
Source: BMO Capital Markets, Bloomberg, Company Reports, SEDAR, EDGAR
(C$ mm)
BMO
BNS
CM
NA
RY
TD
Total
Estimated Total Adjusted Assets Covered Bond Capacity Covered Bonds Outstanding
Remaining Capacity
CMHC Registration SEC Registration
564,386 22,575 7,604
14,972
745,022 29,801 13,737
16,064
391,678 15,667 12,136
3,532
192,315 7,693 5,035
2,657
850,776 34,031 20,477
13,554
856,141 34,246 9,993
24,253
3,600,319 144,013 68,981
75,032