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TD BANK FINANCIAL GROUP ANNUAL REPORT 2009 MANAGEMENT’S DISCUSSION AND ANALYSIS 63
All third-party assets securitized by the Bank were originated in
Canada and sold to Canadian securitization structures. Details of the
Bank-administered multi-seller, ABCP conduits are as follows:
(millions of Canadian dollars) 2009 2008
Ratings profile of Expected Ratings profile of
Significant SPE asset class weighted- Significant SPE asset class
unconsolidated AA+ to average unconsolidated AA+ to
SPEs AAA AA- life (years)1SPEs AAA AA-
Residential mortgage loans $ 2,311 $ 2,311 $ – 2.4 $ 3,428 $ 3,378 $ 50
Credit card loans 500 500 – 2.7 500 500 –
Automobile loans and leases 2,487 2,487 – 1.2 4,474 4,470 4
Equipment loans and leases 428 428 – 1.2 638 636 2
Trade receivables 1,753 1,753 – 2.4 1,705 1,679 26
Total exposure $ 7,479 $ 7,479 $ – 2.0 $ 10,745 $ 10,663 $ 82
EXPOSURE TO THIRD-PARTY ORIGINATED ASSETS SECURITIZED BY BANK-SPONSORED CONDUITS
TABLE 37
1Expected weighted-average life for each asset type is based upon each of the
conduit’s remaining purchase commitment for revolving pools and the expected
weighted-average life of the assets for amortizing pools.
EXPOSURE TO THIRD PARTY-SPONSORED CONDUITS
The Bank has exposure to U.S. third party-sponsored conduits arising
from providing liquidity facilities of $160 million (2008 – $465 million)
of which $160 million (2008 – $24 million) has been drawn. The assets
within these conduits primarily comprise automotive-related financing
assets, including loans and leases. During the twelve months ended
October 31, 2009 and subsequently, these assets have received signifi-
cantly different ratings (split ratings) from various credit rating agencies,
ranging from AAA to BB–. The weighted-average of the lowest of the
split ratings, if the facilities are drawn, will result in credit exposure to
the Bank of BBB+ (2008 – AAA).
The Bank’s exposure to Canadian third party-sponsored conduits
in the form of margin funding facilities as at October 31, 2009 was
not significant.
OTHER INVESTMENT AND FINANCING PRODUCTS
Other Financing Transactions
The Bank enters into transactions with major U.S. corporate clients
through VIEs as a means to provide them with cost efficient financing.
Under these transactions, as at October 31, 2009, the Bank provided
approximately $2.0 billion (2008 – $2.1 billion) in financing to these
VIEs. The Bank has received guarantees from or has recourse to major
U.S. banks with A+ credit ratings on an S&P equivalent basis, fully
covering its investments in these VIEs (2008 – AA). At inception or
through recent restructuring of the transactions, the counterparties
posted collateral with AAA ratings on an S&P equivalent basis in favour
of the Bank and the Bank purchased credit protection to further reduce
its exposure to the U.S. banks. As at October 31, 2009, these VIEs had
assets totalling approximately $10.6 billion (2008 – $10.6 billion).
As
at October 31, 2009, the Bank’s maximum total exposure to loss before
considering guarantees, recourse, collateral and CDS was approximately
$2.0 billion (2008 – $2.1 billion). As at October 31, 2009, the Bank's
net exposure to the U.S. banks after taking into account collateral and
CDS was approximately $384 million (2008 – $960 million). The trans-
actions allow the Bank or the counterparties discretion to exit the
transactions on short notice.
Exposure to Collateralized Debt Obligations
Since the decision was made in 2005 to exit the structured products
business, the Bank no longer originates Collateralized Debt Obligation
vehicles (CDOs). Total CDOs purchased and sold in the trading
portfolio as at October 31, 2009, were as follows:
(millions of Canadian dollars) 2009 20081
Positive (negative) Positive (negative)
Notional amount fair value Notional amount fair value
Funded
Purchased protection via Bank-issued credit linked notes $ 213 $ (40) $ 283 $(38)
Unfunded
Sold protection
Positive fair value 351 – 891 –
Negative fair value – (198) – (278)
Purchased protection
Positive fair value 131 45 261 104
Negative fair value – (4) – (28)
Unfunded – Similar Reference Portfolio
Sold protection
Positive fair value ––1,820 5
Negative fair value ––– (568)
Purchased protection
Positive fair value ––1,883 613
Negative fair value ––– (5)
COLLATERALIZED DEBT OBLIGATIONS1
TABLE 38
1This table excludes standard index tranche CDOs.