TD Bank 2012 Annual Report Download - page 128

TD BANK GROUP ANNUAL REPORT 2012 FINANCIAL RESULTS126
The following table summarizes the securitized asset types that
did not qualify for derecognition, along with their associated
securitization liabilities.
Financial Assets Not Qualifying for Derecognition Treatment as Part of the Bank’s Securitization Programs
(millions of Canadian dollars) October 31 October 31 October 31 November 1
2012 2012 2011 2010
Fair Carrying Carrying Carrying
value amount amount amount
Nature of transaction
Securitization of residential mortgage loans $ 44,305 $ 43,746 $ 43,960 $ 42,731
Securitization of business and government loans 33 32 47 101
Securitization of consumer instalment and other personal loans 361 361 2,075 –
Other financial assets transferred related to securitization1 4,961 4,960 5,529 5,138
Total $ 49,660 $ 49,099 $ 51,611 $ 47,970
Associated liabilities2 $ (50,666) $ (50,548) $ (52,858) $ (49,204)
1
Includes asset-backed securities, asset-backed commercial paper, cash, repurchase
agreements, and Government of Canada securities used to fulfill funding require-
ments of the Bank’s securitization structures after the initial securitization of
mortgage loans.
2
Includes securitization liabilities carried at amortized cost of $25,224 million as at
October 31, 2012 (October 31, 2011 – $25,133 million and November 1, 2010 –
$21,948 million) and securitization liabilities carried at fair value of $25,324 million
as at October 31, 2012 (October 31, 2011 – $27,725 million and November 1,
2010 – $27,256 million).
The following table summarizes the residential mortgage loans subject
to continuing involvement accounting.
Securitized Residential Mortgage Loans Subject to Continuing Involvement Accounting
(millions of Canadian dollars) October 31 October 31 October 31 November 1
2012 2012 2011 2010
Fair Carrying Carrying Carrying
value amount amount amount
Original assets securitized $ 892 $ 876 $ 910 $ 1,043
Assets which continue to be recognized 892 876 910 1,043
Associated liabilities (968) (966) (921) (1,130)
Other Financial Assets Not Qualifying for Derecognition
(millions of Canadian dollars) October 31 October 31 November 1
2012 2011 2010
Carrying amount of assets
Nature of transaction:
Repurchase agreements $ 16,884 $ 11,121 $ 9,425
Securities lending agreements 13,047 11,445 8,380
Total $ 29,931 $ 22,566 $ 17,805
Carrying amount of associated liabilities1 $ 17,062 $ 11,060 $ 9,374
1
Associated liabilities are all related to repurchase agreements.
Other Financial Assets Not Qualifying for Derecognition
The Bank enters into certain transactions where it transfers previously
recognized financial assets, such as debt and equity securities, but
retains substantially all of the risks and rewards of those assets. These
transferred financial assets are not derecognized and the transfers are
accounted for as secured borrowing transactions. The most common
transactions of this nature are repurchase agreements and securities
lending agreements, in which the Bank retains substantially all of the
associated credit, price, interest rate, and foreign exchange risks and
rewards associated with the assets.
The following table summarizes the carrying amount of financial assets
and the associated transactions that did not qualify for derecognition,
as well as their associated financial liabilities.
Transferred financial assets that are derecognized in their
entirety but where the Bank has a continuing involvement
Continuing involvement may also arise if the Bank retains any contrac-
tual rights or obligations subsequent to the transfer of financial assets.
Certain business and government loans securitized by the Bank are
derecognized from the Bank’s Consolidated Balance Sheet. In instances
where the Bank fully derecognizes business and government loans,
the Bank may be exposed to the risks of transferred loans through a
retained interest. As at October 31, 2012, the fair value of retained
interests was $53 million. There are no expected credit losses on the
retained interests of the securitized business and government loans
as the mortgages are all government insured. A gain or loss on sale of
the loans is recognized immediately in other income after considering
the effect of hedge accounting on the assets sold, if applicable. The
amount of the gain or loss recognized depends on the previous carry-
ing values of the loans involved in the transfer, allocated between
the assets sold and the retained interests based on their relative fair
values at the date of transfer. The gain on sale of the loans for the
year ended October 31, 2012 was $1 million. Retained interests are
classified as trading securities and are subsequently carried at fair
value with the changes in fair value recorded in trading income. For
the year ended October 31, 2012, the trading income recognized
on the retained interest was $2 million.