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, 2016, and October 31, 2015. As at October 31, 2016, the balance of the remaining


T ABLE 38 NON-AGENCY CMO LOANS PORTFOLIO (millions of U.S. dollars, except as noted) Par value Non-agency CMOs Non-agency CMOs


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. The net capital benefit of the


T ABLE 39 $ 1,158 $ 1,431


Carrying value


$ 1,020 $ 1,268


Allowance for loan losses


$ 195 $ 202 Carrying


value net of allowance


$ 825 $ 1,066 As at


Percentage of par value


October 31, 2016 71.2% October 31, 2015 74.5%


re-securitization 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.


NON-AGENCY ALT-A AND PRIME JUMBO CMO PORTFOLIO BY VINTAGE YEAR (millions of U.S. dollars)


Amortized cost


2003 2004 2005 2006 2007


Total portfolio net of counterparty-specific and individually insignificant credit losses


Less: allowance for incurred but not identified credit losses Total


2003 2004 2005 2006 2007


Total portfolio net of counterparty-specific and individually insignificant credit losses


Less: allowance for incurred but not identified credit losses Total


$ 36 62


256 201 274


$ 829


$ 41 69


297 220 314


$ 941


$ 41 19 18 90


112 $ 280


$ 44 21 20


101 120


$ 306


$ 20 49


204 157 226


$ 656


Alt-A Fair


value


$ 23 55


248 187 270


$ 783


Amortized cost


$ 20 15 14 73 88


$ 210


Prime Jumbo Fair


value


$ 21 17 16 84 99


$ 237


Amortized cost


$


40 64


As at Total Fair


value


October 31, 2016 $


44 72


218 230 314


$ 866 41


$ 825 $


77 81


274 291 386


$ 1,109 43


$ 1,066


October 31, 2015 $


85 90


317 321 434


$ 1,247


264 271 369


$ 1,020


acquisition-related incurred loss was US$160 million (October 31, 2015 – US$158 million). This amount is reflected in the following table as a component of the discount from par to carrying value.


TD BANK GROUP ANNUAL REPORT 2016 MANAGEMENT’S DISCUSSION AND ANALYSIS


57


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