Comments for your selection

• 1: All issuers are regulated by OSFI (Office of the Superintendent of Financial Institutons), although one issuer is a cooperative financial institution in Canada that is subject to provincial regulation.
• 2: The cover assets are sold to a bankruptcy remote, special purpose entity – the Guarantor.
• 3: Most of the mortgages in the pool would be originated by the issuer, however this is not a legal requirement. An issuer could purchase mortgages from another entity and include them in the pool if they meet the requirements. Also substitute assets (GoC bonds) can be included in the cover pool and they are not by definition originated by the issuer.
• 4: The legal framework includes the statutory provisions of the National Housing Act as well as additional conditions and restrictions set out in the Canadian Registered Covered Bond Programs Guide.
• 5: Only uninsured mortgages with maximum 80% LTV allowed. Exposure to public sector entities is limited to securities issued by the Government of Canada and only up to 10% of the cover pool.
• 6: Canada only.
• 7: Canada only.
• 8: Issuers are required to post all programme documents, transaction information and monthly investor reports on its website.
• 9: LTV is calculated based on indexed values for the ACT calculation.
• 10: Mortgages higher than 80% LTV are not allowed to be added to the cover pool.
• 11: However, the amounts in excess of the 80% (as a result of indexation) cannot be included for purposes of the Asset Coverage Test, Valuation Test and Amortisation Test.
• 12: Market risk hedging is required by Law.
• 13: Balance guarantee swap and covered bond swap is used to hedge market risk.
• 14: Market risk is considered by the Rating Agencies in coming up with the required Asset Percentage level.
• 15: ACT is calculated monthly and disclosed in the monthly investor report.
• 16: Market risk is fully hedged at the time of cover pool addition and at each issuance.
• 17: The issuer is required to stress test the cover pool in determining the Asset Percentage which ensures the cover pool is adequate, at all times, to cover all claims attaching to the outstanding covered bonds. The rating agencies ensure the Asset Percentage determined is adequate to maintain the current rating of the covered bonds. In addition, a reserve fund is required to be funded by the Guarantor following a downgrade as prescribed by rating agencies.
• 18: Generally, Canadian Covered Bonds have soft bullet maturities, which allow for twelve month extension. In addition, the Canadian Registered Covered Bond Programmes Guide requires ratings triggers to be prescribed for pre-maturity tests to ensure covered bond collateral includes sufficient cash to satisfy all principal payments due under all series or tranches of hard bullet covered bonds maturing during a period described in the issuer's transaction documents together with all payments ranking in priority to repayment of such principal.
• 19: If the Asset Coverage Test is not met on a calculation date, an ACT Breach Notice is served to the Issuer. If the Issuer fails to cure the ACT breach by transferring additional cover assets or cash to the Guarantor by the following calculation date, an Issuer Event of Default occurs.
• 20: Cover pool monitor also monitors maintenance of coverage tests.
• 21: Valuation calculation and ACT test is reported in the monthly investor report on Issuers website.
• 22: Contractual overcollaterialisation is driven by rating agency requirements.
• 23: Issuer needs to be registered with the CMHC, Canadian Covered Bond Administrator.
• 24: These roles are performed by the Covered Bond Administrator.
• 25: There would be roles but not necessarily those described above.
• 26: The Guarantor will continue to service the cover pool and make the required payments due under the covered bonds. The Guarantor may sell the assets in the covered pool as required.
• 27: Recourse for any shortfalls on outstanding covered bonds not covered by the Cover Pool.
• 28: The Issuer is required to post collateral following downgrade below stipulated ratings levels. Upon further downgrade, the Issuer is required to be replaced as swap counterparty.
• 29: The interest rate swap is senior to covered bond holders. The exchange rate swap is pari-passu, once cash flows start flowing under this swap (following an Issuer Event of Default). Covered Bond swap payments rank pari passu to the claims of covered bond holders.
• 30: Canadian covered bonds are a Level 2A liquid asset in relation to European liquidity regulations.
• 31: The Euro denominated covered bonds are eligible to be used as collateral in repo transactions with the ECB and Canadian dollar denominated covered bonds are eligible for repo transactions with the Bank of Canada.
• 32: http://www.cmhc-schl.gc.ca/en/hoficlincl/cacobo/cacobo_004.cfm
• 33: You can get link to individual Issuer website through the CMHC's Covered Bond registry link above.