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TMAC Asset Backed Commercial Paper

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Where the Canadian ABCP Market was, and where it is now ... Y2K Uncertainty. October 1998 - Banks' year end, first year all Canadian Banks ... – PowerPoint PPT presentation

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Title: TMAC Asset Backed Commercial Paper


1
TMAC Asset Backed Commercial Paper
February 21, 2008
A Confidential Presentation
Presented By TD Securities
2
  • Where the Canadian ABCP Market was, and where it
    is now
  • Factors that contributed to the market growth and
    retraction
  • TDBFGs unique position in the market
  • Factors that will impact the future of this market

3
Total Canadian ABS Market
4
Canadian ABCP Market Outstandings
5
One Month R-1 (high) ABCP Issuance Spreads Over
1 Month CDOR
6
Factors that contributed to the Market growth and
retraction
  • Introduction of non-bank sponsored issuers
  • Arbitrage opportunities
  • Market disruption liquidity facilities
  • Development of ECP (extended commercial paper)
  • The level of conduit disclosure available to
    investors
  • US subprime mortgage exposure

7
GMD vs. GLS
  • GMD (general market disruption) facilities are
    only available in the event of a market
    disruption
  • The inability of Canadian CP issuers to issue any
    CP where the inability does not result from
    deterioration of the credit worthiness of the
    issuer
  • GLS (global liquidity standard) facilities are
    available in all circumstances except
  • The trust is insolvent
  • Net assets (including all available credit
    enhancement) of the trust are less than the ABCP
    outstanding

8
TD Securities Ranked 1 in Canadian ABS Market
DBRS Securitization Report, Nov 2007
9
Total (Non Affected Multi-and Single-Seller) ABCP
DBRS Securitization Report, Nov 2007
10
TD ABCP Conduit Asset Composition
  • The chart below depicts the composition of TDs
    multi-seller ABCP conduits by asset class
  • No CLO/CDOs
  • Minimal sub-prime mortgages

TD Securities, Nov 2007
11
TD ABCP Conduit Industry Composition
TD Securities, Nov 2007
12
Factors that will impact the future of this
Market
  • Issue spreads
  • Investor demand
  • Elimination of Withholding tax on interest
    payments
  • Structured ABL (asset based lending)

13
Synthetic CDO Structure
Liquidity Facility
CDO/CDS
R-1 (high) ABCP
CDO/CDS Counterparty
ABCP Investors
ABCP Issuer
Fee


AAA Collateral
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