T ABLE 46


EXPOSURES SECURITIZED BY THE BANK AS ORIGINATOR1 (millions of Canadian dollars) Significant Significant


unconsolidated SPEs Carrying


Securitized assets


Residential mortgage loans


Consumer instalment and other personal loans2 Credit card loans


Business and government loans Total exposure


Residential mortgage loans


Consumer instalment and other personal loans2 Credit card loans


Business and government loans Total exposure


1


Includes all assets securitized by the Bank, irrespective of whether they are on-balance or off-balance sheet for accounting purposes, except for securitizations through U.S. government-sponsored entities.


Residential Mortgage Loans


The Bank securitizes residential mortgage loans through significant unconsolidated SPEs and Canadian non-SPE third-parties. Residential mortgage loans securitized by the Bank may give rise to full derecognition of the financial assets depending on the individual arrangement of each transaction. In instances where the Bank fully derecognizes residential mortgage loans, the Bank may be exposed to the risks of transferred loans through retained interests. As at October 31, 2016, the Bank has not recognized any retained interests due to the securitization of residential mortgage loans on its Consolidated Balance Sheet.


Consumer Instalment and Other Personal Loans The Bank securitizes consumer instalment and other personal loans through consolidated SPEs. The Bank consolidates the SPEs as they serve as financing vehicles for the Bank’s assets, the Bank has power over the key economic decisions of the SPE, and the Bank is exposed to the majority of the residual risks of the SPEs. As at October 31, 2016, the SPEs had $4 billion of issued notes outstanding (October 31, 2015 – $4 billion). As at October 31, 2016, the Bank’s maximum potential exposure to loss for these conduits was $4 billion (October 31, 2015 – $4 billion) of which $4 billion underlying consumer instalment and other personal loans was government insured (October 31, 2015 – nil).


Credit Card Loans


The Bank securitizes credit card loans through an SPE. The Bank has consolidated the SPE as it serves as a financing vehicle for the Bank’s assets, and the Bank is exposed to the majority of the residual risks of the SPE. As at October 31, 2016, the Bank securitized $2 billion of credit card receivables. As at October 31, 2016, the consolidated SPE had US$1.5 billion variable rate notes outstanding (October 31, 2015 – nil). The notes are issued to third party investors and have fair value of US$1.5 billion as at October 31, 2016 (October 31, 2015 – nil). Due to the nature of the credit card receivables, their carrying amounts approximate fair value.


2


$ 23,081 – – –


$ 23,081


$ 23,452 – – –


$ 23,452


value of retained interests


$ – – – –


$ –


$ – – – –


$ –


consolidated SPEs


Securitized assets


$ –


3,642 2,012 –


$ 5,654 $ –


3,642 – –


$ 3,642


Non-SPE third-parties Carrying


Securitized assets


$ 3,661 – –


1,664 $ 5,325


$ 6,759 – –


1,828 $ 8,587


In securitization transactions that the Bank has undertaken for its own assets it has acted as an originating bank and retained securitization exposure from a capital perspective.


Business and Government Loans


The Bank securitizes business and government loans through significant unconsolidated SPEs and Canadian non-SPE third parties. Business and government loans securitized by the Bank may be derecognized from the Bank’s balance sheet depending on the individual arrangement of each transaction. In instances where the Bank fully derecognizes business and government loans, the Bank may be exposed to the risks of transferred loans through retained interests. There are no expected credit losses on the retained interests of the securitized business and government loans as the mortgages are all government insured.


Securitization of Third Party-Originated Assets Significant Unconsolidated Special Purpose Entities Multi-Seller Conduits


The Bank administers multi-seller conduits and provides liquidity facilities as well as securities distribution services; it may also provide credit enhancements. Third party-originated assets are securitized through Bank-sponsored SPEs, which are not consolidated by the Bank. TD’s maximum potential exposure to loss due to its ownership interest in commercial paper and through the provision of liquidity facilities for multi-seller conduits was $14.5 billion as at October 31, 2016 (October 31, 2015 – $10.6 billion). Further, as at October 31, 2016, the Bank had committed to provide an additional $3.5 billion in liquidity facilities that can be used to support future asset-backed commercial paper (ABCP) in the purchase of deal-specific assets (October 31, 2015 – $1.7 billion).


value of retained interests


October 31, 2016 $ –


– –


31 $ 31


October 31, 2015 $ –


– –


38 $ 38 As at


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


65


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