Fitch Rates Royal Bank of Canada Series 2005-1 Synthetic Residential Mortgage-Linked Swaps.NEW YORK -- Fitch rates the Royal Bank of Canada Bank of Canada Canada's central bank, established under the Bank of Canada Act (1934). It was founded during the Great Depression to regulate credit and currency. The Bank acts as the Canadian government's fiscal agent and has the sole right to issue paper money. Series 2005-1 Synthetic Residential Mortgage-Linked Swaps as indicated below. The ratings are based upon the credit quality of the reference portfolio and the sound legal structure of the transaction. The ratings address the likelihood that the floating-rate payer will have to make a protection payment under the terms of the credit default swap Credit Default Swap A swap designed to transfer the credit exposure of fixed income products between parties. Notes: The buyer of a credit swap receives credit protection, whereas the seller of the swap guarantees the credit worthiness of the product. . -- C$9,700,000,000 senior class 'AAA'; -- C$100,000,000 class A 'AA'; -- C$70,000,000 class B 'A'; -- C$42,500,000 class C 'BBB'. The transaction consists of unfunded synthetic collateralized swaps providing investors with access to the credit risk on a pro rata share of a diversified portfolio of prime credit, first lien residential mortgage loans located in Canada and originated by Royal Bank of Canada (RBC RBC red blood cell. RBC or rbc abbr. red blood cell RBC, n See red blood cell count. RBC red blood cells; red blood (cell) count (see blood count). ) and its affiliates with an initial pool balance of $10 billion. The transaction is designed to provide credit protection for losses on the reference portfolio through credit default swaps (CDS) that are documented under an International Swaps and Derivatives Association The International Swaps and Derivatives Association (ISDA) is a trade organization of participants in the market for over-the-counter derivatives. It is headquartered in New York, and has created a standardized contract (the ISDA Master Agreement) to enter Inc. (ISDA ISDA See: International Swap Dealers Association ) agreement between RBC and the protection seller. An initial subordination piece of CAD87.5 million is junior to class C. Fitch will monitor the quality of the reference portfolio on a quarterly basis. Fitch's rating definitions are available on the agency's public web site, www.fitchratings.com. Published ratings, criteria and methodologies and relevant policies and procedures Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from this site, at all times. This document will remain on the public site for seven days. |
|
||||||||||||
Printer friendly
Cite/link
Email
Feedback
Reader Opinion