The Series CBL36 (GBP 1.0 billion) covered bonds have a coupon rate of Compounded Daily SONIA (Sterling Overnight Index Average) + 0.43% and a maturity date of
The
A
A Legal and Structuring Framework (LSF) assessment of Strong associated with the Programme.
A Cover Pool Credit Assessment of A (low).
An LSF-Implied Likelihood (LSF-L) of
While not currently applicable, based on the recovery notching scale, up to two notches' uplift from the LSF-L for high recovery prospects is possible.
A level of overcollateralization (OC) of 5.3% (based on the Asset Percentage of 95.0% as at
DBRS Morningstar considered the following factors in the analysis described above:
(1) The Covered Bonds are senior unsecured direct-deposit obligations of TD and are excluded from
(2) In addition to a general recourse to TD's assets, the Covered Bonds are supported by a diversified pool of first-lien conventional Canadian residential mortgages with a maximum loan-to-value (LTV) ratio of 80.0% at origination (the
(3) The Covered Bonds benefit from several structural features, such as a reserve fund, when applicable, and rating thresholds for the swap counterparties, servicer, account bank, cash manager, and guaranteed deposit account provider.
(4) Upon a default by TD, the final maturity date on the Covered Bonds can be extended for 12 months, which increases the likelihood that the Covered Bonds can be fully repaid.
(5) There is a specific covered bond legislative framework in
Despite these strengths, the ratings on the Covered Bonds could face the following challenges:
(1) A weakened housing market in
(2) TD may need to add mortgages to maintain the
(3) There is an inherent liquidity gap between the scheduled repayments of the Covered Bonds and the repayment of the underlying mortgage loans over time. This risk is mitigated by OC, the buildup of a reserve fund if TD is not rated at least A (low) or R-1 (middle), and the 12-month maturity extension upon default by TD.
DBRS Morningstar's 'Legal Criteria for Canadian Structured Finance' methodology expects regular swap payments to rank no higher in priority than interest payments on the Covered Bonds. Should interest rate swap payments (excluding termination payments) rank higher in priority than interest payments on the Covered Bonds, DBRS Morningstar will assess the impact at that time and take the appropriate rating action.
TD is one of
More details on the
ESG CONSIDERATIONS
There were no environmental, social, or governance factors or consideration with a significant or relevant impact on the credit rating.
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.
Notes:
All figures are in Canadian dollars unless otherwise noted.
The principal methodology is Rating and Monitoring Covered Bonds (
The DBRS
The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrsmorningstar.com.
The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.
Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.
This rating is endorsed by
The last rating action on this Programme took place on
For further information on DBRS Morningstar historical default rates published by the
Lead Analyst: Fanfei Gong, Vice President, Canadian Structured Finance, Global Structured Finance
Rating Committee Chair:
Initial Rating Date:
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
Tel. +1 416 593-5577
Principal methodology: Rating and Monitoring Covered Bonds (
Link: https://www.dbrsmorningstar.com/research/379983/rating-and-monitoring-covered-bonds
Predictive model: Canadian RMBS Model (
Link: https://www.dbrsmorningstar.com/models/
Ratings
Date Issued Debt Rated Action Rating Trend Attributesi
US = Lead Analyst based in USA
CA = Lead Analyst based in
EU = Lead Analyst based in EU
E = EU endorsed
U =
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-participating
22-Apr-22 Covered Bonds, Series CBL36 New RatingAAA -- CA
U
E
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