TMAC Asset Backed Commercial Paper

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TMAC Asset Backed Commercial Paper
February 21, 2008
A Confidential Presentation
Presented By TD Securities
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• 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

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Total Canadian ABS Market
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Canadian ABCP Market Outstandings
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One Month R-1 (high) ABCP Issuance Spreads Over
1 Month CDOR
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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

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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

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TD Securities Ranked 1 in Canadian ABS Market
DBRS Securitization Report, Nov 2007
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Total (Non Affected Multi-and Single-Seller) ABCP
DBRS Securitization Report, Nov 2007
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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
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TD ABCP Conduit Industry Composition
TD Securities, Nov 2007
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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)

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


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