TD Bank 2011 Annual Report Download - page 54

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TD BANK GROUP ANNUAL REPORT 2011 MANAGEMENT’S DISCUSSION AND ANALYSIS52
(millions of U.S. dollars) As at
Oct. 31, 2011
Allowance Carrying Percentage
Par Carrying for loan value net of of par
value value losses allowance value
Non-Agency CMOs $ 4,268 $ 3,568 $ 327 $ 3,241 76.0%
Oct. 31, 2010
Non-Agency CMOs $ 5,525 $ 4,573 $ 270 $ 4,303 77.9%
NON-AGENCY CMO LOANS PORTFOLIO
TABLE 42
During the second quarter of 2009, the Bank re-securitized a portion
of the non-agency CMO portfolio. As part of the on-balance sheet
re-securitization, new credit ratings were obtained for the re-securitized
securities that better reflect the discount on acquisition and the Bank’s
risk inherent on the entire portfolio. As a result, 54% of the non-agency
CMO portfolio is now rated AAA for regulatory capital reporting. The
net capital benefit of the re-securitization transaction is reflected in the
changes in RWA and in the securitization deductions from Tier 1 and
Tier 2 capital. For accounting purposes, the Bank retained a majority
of the beneficial interests in the re-securitized securities resulting in
no financial statement impact. The Bank’s assessment of impairment
for these reclassified securities is not impacted by a change in the
credit ratings.
(millions of U.S. dollars) As at Oct. 31
Alt-A Prime Jumbo Total
Amortized Fair Amortized Fair Amortized Fair
cost value cost value cost value
2011
2003 $ 204 $ 215 $ 217 $ 222 $ 421 $ 437
2004 374 393 182 189 556 582
2005 621 648 309 311 930 959
2006 358 320 286 275 644 595
2007 548 501 292 299 840 800
Total portfolio net of specific allowance $ 2,105 $ 2,077 $ 1,286 $ 1,296 $ 3,391 $ 3,373
Less: general allowance 150
Total $ 3,241
2010
2003 $ 275 $ 309 $ 393 $ 424 $ 668 $ 733
2004 454 502 383 415 837 917
2005 697 769 484 509 1,181 1,278
2006 406 394 380 391 786 785
2007 616 635 375 398 991 1,033
Total portfolio net of specific allowance $ 2,448 $ 2,609 $ 2,015 $ 2,137 $ 4,463 $ 4,746
Less: general allowance 160
Total $ 4,303
NON-AGENCY ALT-A AND PRIME JUMBO CMO PORTFOLIO BY VINTAGE YEAR
TABLE 43
The following table presents the unpaid principal balance, carrying
value, allowance for credit losses (both general and specific), and the
net carrying value as a percentage of the par value for the non-agency
CMO portfolio at October 31, 2011. As of October 31, 2011 the
balance of the remaining acquisition related incurred loss was
US$420 million (2010 – US$485 million); this amount is reflected
below as a component of the discount from par to carrying value.