Global Covered Bond Market. Canadian Securitization Market Update Year-in-Review 2018 Outlook

Transcription

1 Global Covered Bond Market Canadian Securitization Market Update 2017 and 2013 Year-in-Review Commentary and Review 2018 Outlook march 2018

2 table of contents 03 Year in Review 05 Canadian ABCP Market 06 Canadian ABS Market 08 Our Thoughts on the 2018 Market 09 RBC Leads Canada s First Issuance of ABS Backed by Utility Cost Recovery Charges 11 Canadian Securitization League Tables

3 year in review The Canadian securitization market continues to consistently provide a cost-effective source of funding for issuers as capital market investors remain actively engaged in issuances across all asset classes in both the ABCP and Term ABS markets. Issuers, ranging from smaller domestic companies to the world s largest multinationals, have benefited from the liquidity along with the increased funding diversification provided by the ABCP and Term ABS markets. The outstanding balance of the Canadian securitization market was approximately $92bn as at December The three largest asset classes continue to be credit cards, autos and mortgages and the underlying collateral continues to exhibit strong credit quality despite elevated levels of household indebtedness. RBC Capital Markets ( RBC ) expects the market to remain stable in 2018 with potential for some growth as ABCP, ABS and CMBS new issuance volumes increase and new asset classes and issuers access the market. The ABCP market decreased marginally year over year as total outstanding ABCP as at December 2017 was $33.7bn (compared to $35.5bn in December 2016). Residential mortgages and auto collateral continue to represent the majority of assets funded within ABCP programs in Canada. The Term ABS market continued its upward trend in total outstanding amount. The 2017 year-end balance of $44.2bn represented the highest ever outstanding balance. The Term ABS market remains dominated by credit card, lines of credit and auto loan/lease programs which collectively represent 90% of the market. Canadian Tire, PC Financial, Ford and CNH, returned to the ABS market after having been absent in 2016 and are expected to return to the market in The Canadian CMBS market was less active in 2017 due to the uncertainty in the market, with the lone deal closing in October. BMO issued one RMBS transaction backed by HELOCs through its Fortified Trust Platform. BMO also issued an inaugural amortizing RMBS transaction through Bicentennial Trust primarily for capital optimization. CANADIAN ABS, CMBS AND ABCP OUTSTANDINGS (C$ BILLIONS) Private Placements ABCP Non-Bank-Sponsored ABCP Bank-Sponsored CMBS Term ABS Source: DBRS as at December 31, 2017 CANADIAN SECURITIZATION MARKET COMPARISON December 2016 Market Composition December 2017 Market Composition 16.3% Auto 31.9% Credit Card 9.6% HELOC 16.2% Residential Mortgages 7.0% Commercial Mortgages 2.9% Lev. & Fully Funded CDO 2.4% Trade 2.8% Equipment Finance 10.9% Other 22.7% Auto 34.0% Credit Card 11.2% HELOC 16.1% Residential Mortgages 5.9% Commercial Mortgages 0.0% Lev. & Fully Funded CDO 0.8% Trade 3.4% Equipment Finance 5.9% Other Source: DBRS as at December 31, 2016 Source: DBRS as at December 31, RBC CAPITAL MARKETS

4 2017 canadian term abs and cmbs market new issues CNH Industrial Capital Canada Ltd. ( CNH CCRT ) BMW Canada Inc. ( BMWC ) Ford Credit Canada Company ( FAST 2017-R2 ) C$408,264,000 C$500,000,000 C$540,740,000 Retail Equipment Loans Retail Auto Leases Retail Auto Loans Mercedes-Benz Financial Services Canada Corporation ( SALC 2017-A ) C$414,050,000 Retail Auto Leases Ford Credit Canada Company ( FFAST 2017-F1 ) C$575,164,000 Auto Floorplan Structuring Lead Structuring Lead Structuring Lead February 2017 February 2017 April 2017 Structuring Lead May 2017 Structuring Lead July 2017 REAL-T Royal Bank of Canada ( REAL-T 2017 ) C$406,758,444 Commercial Mortgages Ford Credit Canada Company ( FAST 2017-R5 ) General Motors Financial of Canada, Ltd. ( GCOLT ) President s Choice Bank ( Eagle ) C$529,850,000 C$350,066,000 C$250,000,000 Retail Auto Loans Retail Auto Leases Credit Card Receivables Sole Lead October 2017 Structuring Lead Co-Lead Co-Lead October 2017 October 2017 October 2017 THE ABCP AND TERM ABS MARKETS CONTINUE TO GARNER A HIGH LEVEL OF INVESTOR INTEREST. RBC EXPECTS THE CANADIAN SECURITIZATION MARKET TO REMAIN ACTIVE WITH STRONG PARTICIPATION IN BOTH THE ABCP AND TERM ABS MARKETS. 4 RBC CAPITAL MARKETS

5 canadian abcp market 2017 ABCP Market Review As at December 2017, Canadian ABCP outstandings totaled $33.7bn, decreasing from the outstandings as at December 2016 ($35.5bn) New issuance in the ABCP market continues to be dominated by residential mortgage and auto-related deals Conduit asset class composition changed as follows since December 2016: Autos have increased from 35.6% to 39.5% Residential Mortgages have decreased from 41.0% to 34.8% HELOCs have increased from 5.1% to 8.6% Equipment has increased slightly from 6.3% to 7.0% RBC-Administered Conduits Over the last five years, RBC has been focused on enhancing the conduits we administer to meet the new regulatory environment while still delivering cost-effective funding for relationship clients In fall 2017, RBC introduced Lakeshore Trust to the ABCP market By December 2017 the total outstandings for Lakeshore Trust were $722MM across three transactions in three different asset types In 2017, RBC-administered conduits cumulatively issued over $20bn in ABCP to provide funding for over 25 client transactions Aggregate outstandings for the programs were up over 20% YoY All three RBC-administered conduits now offer FRNs and callables which help to diversify the note offerings to investors Plaza Trust, Storm King Funding and Lakeshore Trust are the first Canadian ABCP issuers to offer FRNs and callables Approximately 5% of the liabilities of the three RBCadministered conduits comprise FRNs ABCP CONDUIT COMPOSITION Canadian ABCP Market Source: DBRS as at December 31, 2017 Plaza Trust 39.5% Autos 3.2% Credit Cards 0.5% Insurance Premiums 8.6% HELOC 34.8% Residential Mortgages 2.0% Franchise Loans 2.1% Trade 7.0% Equipment 50.4% Autos 13.5% Credit Cards 6.7% Insurance Premiums 29.4% Residential Mortgages Lakeshore Trust RBC CONDUITS COMMITMENT LEVELS VS OUTSTANDINGS (BN) Total Commitments Total Outstandings Storm King Funding 53.4% Autos 33.8% Electricity Market Receivables 12.9% Equipment 43.0% Autos 30.7% Equipment 9.7% Fleet Finance 16.6% Residential Mortgages RBC CAPITAL MARKETS

6 canadian abs market 2017 ABS Market Review In 2017, the ABS market generated a total of approximately $5bn in supply, which was 76% higher than in was the most active year for auto- and equipment-backed ABS issuance since 2006, with greater asset class and issuer diversification Six existing auto and equipment issuers came to market totaling $3.32bn in supply Ford and CNH returned to the ABS market after both being absent since 2015 RBC acted as the structuring lead manager for six of the seven auto and equipment transactions in 2017 Away from auto and equipment, there was limited activity in the CMBS, RMBS and credit card sectors Strong investor demand was a key theme in 2017 as evidenced by high oversubscription levels on all transactions and significant spread tightening over the year Building on the momentum of 2017, the Canadian ABS market is poised for new supply in 2018 CANADIAN TERM ABS/RMBS/CMBS SUPPLY 10,000 9,000 8,000 7,000 6,000 5,000 4,000 3,000 2,000 1,000 Auto Loans and Leases Commercial Mortgages Credit Card Receivables Equipment Loans and Leases - 16 Deals 13 Deals 12 Deals 16 Deals Lines of Credit Reverse Mortgages Residential Mortgages 14 Deals 22 Deals 8 Deals 11 Deals Auto and Equipment ABS The Canadian auto and equipment ABS market saw seven transactions in 2017 totaling $3.32bn Six transactions were backed by auto loans, leases and floorplan BMW priced a $500MM auto lease ABS through its BMW Canada Auto Trust platform in February Ford returned to the market after a 19 month absence and priced a $540MM auto loan ABS in April and then a $529MM auto loan ABS in October both through its Ford Auto Securitization Trust platform Ford also priced a $575MM auto floorplan ABS in July through its Ford Floorplan Auto Securitization Trust platform, following a four year absence Daimler priced a $414MM auto lease ABS in May through its MBARC Credit Canada platform General Motors priced a $350MM auto lease ABS in October through its GMF Canada Leasing Trust platform One transaction was backed by equipment loans CNH priced a $408MM equipment loan ABS in February, its largest deal since May 2014, through its CNH Capital Canada Receivables Trust platform All seven transactions were marketed to US investors via rule 144A and were met with strong investor demand reflected by high oversubscription levels AUTO AND EQUIPMENT ABS SUPPLY BY ASSET TYPE (C$ MM) 3,500 3,000 2,500 2,000 1,500 1, Auto Loans Auto Leases Auto Floorplan - 35% ,881 43% ,393 36% ,024 26% 1, (does not include retained bonds) Fleet Equipment Loans Equipment Floorplan 33% % % 1,352 64% ,250 1, RBC CAPITAL MARKETS

7 canadian abs market Credit Card ABS There were two broadly distributed C$ credit card transactions in 2017 Canadian Tire priced a $560MM transaction in May through its Glacier Credit Card Trust platform PC Bank priced a $250MM transaction in October through its Eagle Credit Card Trust platform The large banks continued to issue US$ credit card ABS to US investors in 2017 given the more attractive pricing For US and international investors, Canadian credit card ABS is attractive, as it offers a spread-pick up relative to US credit card programs despite having historically stronger collateral performance As of December 2017, net loss rates across Canadian credit card issuer platforms averaged 3.19% Payment rates on Canadian credit card portfolios have averaged between 25% and 60% Payment rates reflect Canadian consumers use of credit cards for convenience purposes as opposed to revolving lines of credit Canadian CMBS / RMBS The CMBS market in 2017 was not as active as initially expected, with only one transaction that closed in October 2017 REAL-T 2017 was the first Canadian CMBS transaction to comply with US risk retention rules The Canadian commercial mortgage origination market remains competitive while CMBS bond spreads have not tightened in line with the rest of the ABS market CMBS collateral pool metrics (property type and geographic diversification, recourse, LTV, debt service, etc.) remain consistent with previous transactions and no changes have been made to the bond structure Self storage, multi-family and retirement properties have become more common property types in recent transactions Canadian CMBS performance remains very strong As at January 2018, the current delinquency rate for all outstanding Canadian CMBS issuance since 1998 was 0.61%, compared with 4.07% for the US CMBS market 1 Cumulative losses amounted to ~$31.1MM 1 as at January 2018, equating to less than 11 bps of the aggregate issuance volume since 1998 of over $28.2bn The spike in delinquencies in Canadian CMBS in 2017 was primarily due to weakness in Fort McMurray, which has been resolved given the rebuild following the wildfires Given the ongoing changes in the Canadian residential mortgage market, discussions regarding development of a private RMBS market for non-insured mortgages continued but deal flow was limited BMO issued the junior tranches in an amortizing RMBS transaction through the newly-created Bicentennial Trust which was rated by both Moody s and DBRS BMO also issued a transaction backed by HELOCs through Fortified Trust 1 Source: DBRS as at January 31, 2018 NET LOSSES 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Source: DBRS as at December 31, 2017 CANADIAN CMBS NEW ISSUE SPREADS PROGRESSION Spread to GoC (bps) IMSCI Year AAA: +136bps 10-Year AAA: +168bps IMSCI Year AAA: +110bps 8-Year AAA: +145bps CCMOT Year AAA: +110bps IMSCI Year AAA: +78bps 5.8-Year AAA: +95bps Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 5Y Bank Deposit Note IMSCI Year AAA: +107bps 10-Year AAA: +140bps CMLSI Year AAA: +115bps 10-Year AAA: +145bps 5Y Bank Sponsored Credit Card ABS PC Bank - Eagle RBC - Golden CIBC - CARDS CREDIT CARD SPREAD DIFFERENTIAL: Jan-15 Jun-15 Nov-15 CONDUIT CMBS DELINQUENCIES CANADA VS. US 15% 10% 5% 0% US CMBS Delinquency Rate Canadian CMBS Delinquency Rate Apr-16 Sep-16 MCIC Year AAA: +110bps IMSCI Year AAA: +115bps 10-Year AAA: +150bps REAL-T Year AAA: +110bps REAL-T Year AAA: +150bps 10-Year AAA: +195bps REAL-T Year AAA: +112bps 10-Year AAA: +145bps CanTire - Glacier BMO - Master National - CCCT 3 year CAD vs. USD Spread Differential 5 year CAD vs. USD Spread Differential Dec-00 Jun-01 Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Source: DBRS as at December 31, 2017 Feb-17 Jul-17 IMSCI Year AAA: +163bps 9-Year AAA: +200bps REAL-T Year AAA: +125bps 7-Year AAA: +165bps REAL-T Year AAA: +125bps 7.08-Year AAA: +175bps 5Y Non-Bank Sponsored Credit Card ABS Dec-17 7 RBC CAPITAL MARKETS

8 our thoughts on the 2018 market Canadian ABCP Market In the short to medium term, auto and mortgage finance companies will continue to be the largest users of ABCP funding Conduit administrators may continue to seek longer tenors and may offer new types of liabilities to minimize CP maturing within 30 days to lower LCR-related costs RBC-administered conduits now offer both floating-rate notes and callable notes RBC expects the amount of insured mortgages within ABCP conduits to decrease as we approach December 31, 2021, given the regulations announced by the Department of Finance that came into effect in June 2016 Most conduits now accommodate non-insurable prime mortgages, which will become the most common product type funded through ABCP Auto and Equipment ABS RBC anticipates primary market volume to increase in 2018 Potential issuers are monitoring the market and could transact early in the new year if market tone is constructive RBC expects that all four existing auto issuers BMW, Ford, Daimler and GM Financial will continue to access the Canadian ABS market in 2018 for their funding needs In the equipment sector, RBC expects CNH to return to the market in 2018 New entrants could emerge in the medium-term as captive and non-captive auto and equipment finance originations grow RBC projects programmatic auto loan and lease securitization activity to continue in 2018 on the back of another record year in auto sales Deal sizes may increase in 2018 as issuers recalibrate to the strong demand experienced in 2017 Credit Card ABS As long as pricing in the US remains more attractive, the large Canadian credit card issuers will continue to issue US$ transactions to US investors in 2018, continuing the trend of lower credit card transaction volume in Canada The large Canadian bank-sponsored credit card issuers will also most likely continue to issue transactions for capital relief, whereby they retain the large senior classes of notes and sell the subordinate notes to investors Given both Eagle and Glacier have maturities in 2018, they are expected to access the Canadian Term ABS market this year Canadian CMBS / RMBS Given strong liquidity in the commercial real estate market, origination spreads will remain competitive CMBS spreads will tighten with increased issuance and liquidity in the market Total issuance of $1bn $1.3bn is expected in 2018 across three to four deals Canadian new issue spreads are currently attractive relative to US CMBS on a swapped equivalent basis and offer an attractive risk-adjusted return Issuers will continue to target US investors under the Rule 144A exemption Collateral pools and the CMBS structure are expected to remain largely consistent with recent transactions Despite economics on private RMBS remaining challenging, issuers will continue to explore this alternative funding source Issuance through existing platforms is expected in 2018 and new platforms will be established to the extent the economics improve The recent B20 changes may create a new segment of mortgages that could be funded through RMBS given higher mortgage rates CANADIAN CMBS ISSUANCE: HISTORICAL AND PROJECTED (C$ MM) CREDIT CARD MATURITY PROFILE 468 1,221 1,603 2,153 3,255 2,482 3,322 4,825 3, Projected CMBS Issuance Historical CMBS Issuance 489 1,375 1,100 1,230 1, ,300 8,000 7,000 6,000 5,000 4,000 3,000 2,000 1,000-1,384 1,242 1, ,303 CARDS II (US) Eagle Glacier Master II 461 1, , , , Master II (US) CCCT II Golden (US) Trillium II (US) Evergreen (US) Golden CARDS II Source: Bloomberg 8 RBC CAPITAL MARKETS

9 RBC LEADS CANADA S FIRST ISSUANCE OF ABS BACKED BY UTILITY COST RECOVERY CHARGES Background On February 6, 2018, Fair Hydro Trust ( FHT ) priced a C$500MM Utility Cost Recovery ABS transaction. FHT Series marks the inaugural Term ABS issuance by FHT and Canada s first issuance of utility cost recovery bonds. The offering was in connection with Ontario s Fair Hydro Plan ( FHP ) announced on March 2, 2017, which proposed to lower the average electricity bill for eligible consumers by 25%. According to the Province, costs related to recent system improvements and capital investment in long-lived renewable power infrastructure should be spread over a longer period of time to more equitably distribute these costs between current and future ratepayers. What is Cost Recovery ABS? Effective July 1, 2017, the average hydro bill for residential and small commercial electricity users ( Specified Consumers ) was reduced by 25%. However, power generators are still owed the full cost of the electricity they supply based upon existing power purchase contracts. The initial 25% reduction continues until April 2018, after which electricity rates are expected to increase at the rate of inflation until 2021; which still represents a subsidy relative to the prevailing cost of electricity. Under the legislation, the ongoing shortfall between the amounts paid by Specified Consumers and the amounts payable by the Independent Specified Consumers pay subsidized rate of $75 Consume $100 of electricity 2 Local Distribution Companies LDC 2 FHT purchases regulatory asset LDC s remit electricity users $75 payment to IESO Distribute electricity Electricity System Operator ( IESO ) to the generators is tracked in a variance account. The IESO has the right to recover the full balance of the variance account from Specified Consumers, which qualifies the variance account as a regulatory asset. The simplified diagram below illustrates the creation of the regulatory asset. FHT is a special purpose vehicle administered by Ontario Power Generation ( OPG ). The IESO sells the regulatory asset to FHT. FHT funds the purchase of the regulatory asset by borrowing from the capital markets (minimum 51%) with the remaining funding provided by OPG (maximum 49%). OPG s contribution will be in the form of subordinated debt, a significant portion of which is funded through equity investments in OPG by the Province of Ontario. The regulatory asset will be recovered through the collection of Clean Energy Adjustments ( CEA ), which is a special recovery charge that will be imposed on the electricity bills of all Specified Consumers, starting in May 2021 and continuing through April The CEA is a consumption-based charge, separate and apart from the normal base electricity rates. The CEA is also non-bypassable, meaning that it is payable by all existing and future Specified Consumers receiving electricity distribution service in the Ontario market. No consumer receiving electricity distribution can avoid the charge, unless they disconnect from the grid altogether. FHT finances $25 shortfall IESO remits $100 to generators Supply $100 of electricity IESO is at the center of the highly regulated Ontario electricity market and manages its operation and reliability The IESO is the servicer for FHT Power Generators March 2017 Province of Ontario announces the Fair Hydro Plan, which proposes to lower the average electricity bill by 25% June 2017 Ontario Legislature passes the Ontario Fair Hydro Plan Act, and appoints Ontario Power Generation as the Financial Services Manager July 2017 Hydro bill reduction becomes effective Shortfall between what power generators are owed and what rate payers are invoiced begins to accumulate December 2017 IESO uses financing from warehouse facility to finance the amount recoverable from consumers February 2018 FHT Series was the first ABS issuance and its proceeds were used to pay down the warehouse facility FHT expects to issue multiple series May 2021 to April 2047 Clean Energy Adjustments will be added to electricity invoices sent to Specified Consumers Clean Energy Adjustments will pay principal and interest on notes and expenses of Issuer April 2047 End of Fair Hydro Plan 9 RBC CAPITAL MARKETS

10 Credit Strengths Unlike traditional ABS, the robust legislation effectively eliminates credit risk in this transaction by allowing FHT to recover the amount necessary to repay all issued debt and cover all carrying costs. The table below summarizes some of the identified risks and their corresponding mitigants: Risk Political risk related to the change of law Under-collection Size of charge on customer bill Population fluctuation Disruptive technology Mitigant Springing guarantee provided by the Province of Ontario True-up mechanism to adjust the recovery charge at least semi-annually to ensure timely debt service payment. Any shortfall in collections is recoverable from all Specified Consumers Minimum subordination of 35% for the senior notes (initially 49%) 20-year repayment period allows for gradual rate increases The maximum charge as a percentage of the total bill is forecasted to be 10% The size and diversity of the ratepayer base within Ontario is a credit strength. Ontario is the largest province in Canada with a growing population. There are ~5 million Specified Consumers and no industrial users Self-generation is not an efficient option given the relatively high costs, volatile weather and lack of storage options Program The regulatory asset grows at the rate of ~$200 million per month. FHT will fund this amount through the issuance of senior, subordinated and junior subordinated notes, initially representing 51%, 39% and 10% of the capital structure, respectively. The capital markets funding consists of a senior warehouse facility and the senior term debt, each secured by the regulatory assets. On a monthly basis, FHT will use the warehouse facility to purchase the regulatory assets from the IESO. FHT will accumulate the regulatory assets in the warehouse facility until they are periodically refinanced through the issuance of term debt. It is expected that FHT will access the term debt market two or three times per year over the next 10 years. In aggregate, the program is expected to peak at ~$20 billion (~$10 billion in senior notes based on the current capital structure). See indicative issuance and repayment profile below. The debut offering of FHT notes priced on February 6. The deal was marketed at $300MM with room to grow and was upsized to $500MM. The deal priced at the low-end of the guidance range, at GoC s + 92 bps. RBC s Role RBC s Securitization Finance team was mandated by Ontario Power Generation as structuring lead to assist in establishing FHT, agent the syndicated warehouse facility and market and bookrun the initial term debt offering. In this role, RBC demonstrated our leadership in structuring complex and unique financing transactions. December 2017 to January 2030 Proceeds from term debt issuances used to pay down the warehouse facility January 2030 to April 2047 Clean Energy Adjustments received from Specified Consumers used to accumulate and pay down maturing Notes Accumulation of shortfall financed by Warehouse Term Debt Issuance used to pay down Warehouse January 2030 Final Term Debt Issuance pays down Warehouse in its entirety CEA collections used to pay down Note maturities from January 2033 to April Final Note maturity paid down December 2017 January 2030 January 2033 April Clean Energy Adjustments will begin to accumulate in January 2030 and will be used to repay Note maturities commencing in January RBC CAPITAL MARKETS

11 canadian securitization league tables LEAD ROLE IN CANADIAN SECURITIZATION ISSUANCE: 2017 (JOINT CREDIT, EXCLUDES SELF-LED ISSUANCE) 4 Rank Dealer Market Share % Amount (C$MM) Issues 1 RBC Capital Markets 38.9% 1, Scotia Capital 18.3% BMO Capital Markets 15.8% CIBC World Markets 14.9% % RBC Capital Markets 18.3% Scotia Capital 15.8% BMO Capital Markets 14.9% CIBC World Markets 12.1% TD Securities 5 TD Securities 12.1% Total 100% 3,454 8 STRUCTURING LEAD ROLE IN CANADIAN SECURITIZATION ISSUANCE: 2017 (EXCLUDES SELF-LED ISSUANCE) 5 Rank Dealer Deals # Deals % Issuers # Issuers % 1 RBC Capital Markets % % 2 BMO Capital Markets % % 3 CIBC World Markets % % National Bank Financial 0.0% 0.0% 3 4 Scotia Capital 0.0% 0.0% 2 4 TD Securities 0.0% 0.0% Total RBC Capital Markets BMO Capital Markets CIBC World Markets National Bank Financial Scotia Capital TD Securities 4 Joint credit to joint-lead bookrunner with respect to issuance amounts. Total number of issues excludes double counting. Only public transactions and broadly distributed private transactions are included. 5 Joint credit to structuring lead managers. Total number of deals and issuers excludes double counting. Only public transactions and broadly distributed private transactions are included. Source: RBC Capital Markets (data as at December 31, 2017) 11 RBC CAPITAL MARKETS

12 canadian securitization league tables LEAD ROLE IN CANADIAN SECURITIZATION ISSUANCE: (JOINT CREDIT, EXCLUDES SELF-LED ISSUANCE) 6 Rank Dealer Market Share % Amount (C$MM) Issues 1 RBC Capital Markets 39.7% 11, Bank of America Merrill Lynch 21.3% 6, BMO Capital Markets 16.8% 5, Scotia Capital 7.5% 2, CIBC World Markets 6.4% 1, Casgrain & Company 3.3% 1, % RBC Capital Markets 21.3% Bank of America Merrill Lynch 16.8% BMO Capital Markets 7.5% Scotia Capital 6.4% CIBC World Markets 3.3% Casgrain & Company 2.2% TD Securities 1.7% HSBC Securities (Canada) 0.9% National Bank Financial 7 TD Securities 2.2% HSBC Securities (Canada) 1.7% National Bank Financial 0.9% Total 100% 30, STRUCTURING LEAD ROLE IN CANADIAN SECURITIZATION ISSUANCE: (EXCLUDES SELF-LED ISSUANCE) 7 Rank Dealer Deals # Deals % Issuers # Issuers % 1 RBC Capital Markets % % BMO Capital Markets % % 30 3 Bank of America Merrill Lynch % % 25 4 CIBC World Markets 7 9.2% % 20 5 Scotia Capital 5 6.6% % TD Securities 3 3.9% 1 4.3% 7 Casgrain & Company 3 3.9% 1 4.3% 8 National Bank Financial 1 1.3% 1 4.3% HSBC Securities (Canada) 1 1.3% 1 4.3% Total RBC Capital Markets BMO Capital Markets Bank of America Merrill Lynch CIBC World Markets Scotia Capital TD Securities Casgrain & Company National Bank Financial HSBC Securities (Canada) 6 Joint credit to joint-lead bookrunner with respect to issuance amounts. Total number of issues excludes double counting. Only public transactions and broadly distributed private transactions are included. 7 Joint credit to structuring lead managers. Total number of deals and issuers excludes double counting. Only public transactions and broadly distributed private transactions are included. Source: RBC Capital Markets (data as at December 31, 2017) 12 RBC CAPITAL MARKETS

13 securitization finance (canada) Nur Khan Managing Director Ian Benaiah Director Susan Calder Director Hiren Lalloo Director Brent R. Taylor Analyst Aaron Kung Analyst Harman Malhi Analyst This communication has been prepared by RBC Capital Markets ( RBCCM ) sales personnel for institutional clients and your information only and is not a research report prepared by the RBCCM Research Department. Unless otherwise specified, the views expressed herein are the author s and may differ from the views of RBCCM s Research Department and from the views of others within RBCCM. The information in the body of this communication is intended to provide general company and/or market commentary, is not intended to provide a sufficient basis for an investment decision and should not be considered a research report. This material may include references to recently published research notes and reports by RBCCM s Research Department. 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