TD Bank 2014 Annual Report Download - page 58

TD BANK GROUP ANNUAL REPORT 2014 MANAGEMENT’S DISCUSSION AND ANALYSIS56
(millions of U.S. dollars, except as noted) As at
Allowance Carrying Percentage
Par Carrying for loan value net of of par
value value losses allowance value
October 31, 2014
Non-Agency CMOs $ 1,748 $ 1,523 $ 241 $ 1,282 73.3%
October 31, 2013
Non-Agency CMOs $ 2,075 $ 1,770 $ 260 $ 1,510 72.8%
NON-AGENCY CMO LOANS PORTFOLIO
TABLE 41
The following table presents the par value, carrying value, allowance
for loan losses, and the net carrying value as a percentage of the par
value for the non-agency CMO portfolio as at October 31, 2014, and
October 31, 2013. As at October 31, 2014, the balance of the
remaining acquisition-related incurred loss was US$187 million
(October 31, 2013 – US$226 million). This amount is reflected
in the following table as a component of the discount from par
to carrying value.
(millions of U.S. dollars) As at
Alt-A Prime Jumbo Total
Amortized Fair Amortized Fair Amortized Fair
cost value cost value cost value
October 31, 2014
2003 $ 58 $ 65 $ 64 $ 68 $ 122 $ 133
2004 79 89 24 27 103 116
2005 300 361 23 26 323 387
2006 226 257 113 126 339 383
2007 310 371 137 152 447 523
Total portfolio net of counterparty-specific and
individually insignificant credit losses $ 973 $ 1,143 $ 361 $ 399 $ 1,334 $ 1,542
Less: allowance for incurred but not identified credit losses 52
Total $ 1,282
October 31, 2013
2003 $ 81 $ 90 $ 85 $ 93 $ 166 $ 183
2004 96 107 30 33 126 140
2005 358 415 30 33 388 448
2006 255 285 134 150 389 435
2007 364 416 171 184 535 600
Total portfolio net of counterparty-specific and
individually insignificant credit losses $ 1,154 $ 1,313 $ 450 $ 493 $ 1,604 $ 1,806
Less: allowance for incurred but not identified credit losses 94
Total $ 1,510
NON-AGENCY ALT-A AND PRIME JUMBO CMO PORTFOLIO BY VINTAGE YEAR
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, 13% of the non-
agency CMO portfolio is rated AAA for regulatory capital reporting
(October 31, 2013 – 13%). The net capital benefit of the re-securitiza-
tion transaction is reflected in the changes in RWA. 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.