Morningstar DBRS Confirms Ratings of Toronto-Dominion Bank Global Legislative Covered Bonds at AAA

DBRS Limited (Morningstar DBRS) confirmed the AAA credit ratings of the following outstanding series issued under the Toronto-Dominion Bank (Global Legislative Covered Bond Programme) (the Program) as part of its continued efforts to provide timely credit rating opinions and increased transparency to market participants:

-- Covered Bonds, Series CBL17
-- Covered Bonds, Series CBL20
-- Covered Bonds, Series CBL28
-- Covered Bonds, Series CBL34
-- Covered Bonds, Series CBL35
-- Covered Bonds, Series CBL36
-- Covered Bonds, Series CBL37
-- Covered Bonds, Series CBL38
-- Covered Bonds, Series CBL39
-- Covered Bonds, Series CBL40
-- Covered Bonds, Series CBL41
-- Covered Bonds, Series CBL42
-- Covered Bonds, Series CBL43
-- Covered Bonds, Series CBL44
-- Covered Bonds, Series CBL45
-- Covered Bonds, Series CBL46
-- Covered Bonds, Series CBL47
-- Covered Bonds, Series CBL48
-- Covered Bonds, Series CBL49
-- Covered Bonds, Series CBL50
-- Covered Bonds, Series CBL51
-- Covered Bonds, Series CBL52
-- Covered Bonds, Series CBL53
-- Covered Bonds, Series CBL54
-- Covered Bonds, Series CBL55
-- Covered Bonds, Series CBL56
-- Covered Bonds, Series CBL57
-- Covered Bonds, Series CBL58
-- Covered Bonds, Series CBL59
-- Covered Bonds, Series CBL60
-- Covered Bonds, Series CBL61
-- Covered Bonds, Series CBL62
-- Covered Bonds, Series CBL63
-- Covered Bonds, Series CBL64
-- Covered Bonds, Series CBL65
-- Covered Bonds, Series CBL66
-- Covered Bonds, Series CBL67
-- Covered Bonds, Series CBL68
-- Covered Bonds, Series CBL69

The confirmations are based on the following analytical considerations:

-- A Covered Bond Attachment Point of AA (high), which is the Long-Term Senior Debt credit rating of the Toronto-Dominion Bank (TD). TD is the Reference Entity for the Program.
-- A Legal and Structuring Framework (LSF) assessment of Strong associated with the Program.
-- A Cover Pool Credit Assessment of A (low).
-- An LSF-Implied Likelihood (LSF-L) of AAA.
-- While not currently applicable, based on the recovery notching scale, up to two notches’ uplift from the LSF-L for high recovery prospect is possible.
-- A level of overcollateralization of 5.3% (based on the Asset Percentage of 95.0% as at January 31, 2024) to which Morningstar DBRS gives credit.

ENVIRONMENTAL, SOCIAL, GOVERNANCE (ESG) CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/427030 (January 23, 2024).

Notes:
The principal methodology applicable to the credit rating is Global Methodology for Rating and Monitoring Covered Bonds (May 8, 2023; https://dbrs.morningstar.com/research/413651).

Other methodologies referenced in this transaction are listed at the end of this press release.

The Morningstar DBRS Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. Morningstar DBRS analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://dbrs.morningstar.com/research/425506.

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-DBRS@morningstar.com.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

More details on the Cover Pool and the Program are provided in the Monthly Canadian Covered Bond Report, which is available by clicking on the link under Related Documents or by contacting us at Info-DBRS@morningstar.com.

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom, and by DBRS Ratings GmbH for use in the European Union, respectively. The following additional regulatory disclosures apply to endorsed credit ratings:

The last credit rating action on the Program took place on January 16, 2024, when Morningstar DBRS assigned a credit rating of AAA to the Covered Bonds, Series CBL69 issued by the Programme.

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see https://registers.esma.europa.eu/cerep-publication/. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

Lead Analyst: Jiani Xi, Vice President, Canadian Structured Finance
Rating Committee Chair: Tim O’Neil, Managing Director, Head of Canadian Structured Finance
Initial Rating Date: July 16, 2014

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

Predictive model: DBRS Canadian RMBS Model 5.0.0.3
Link: https://dbrs.morningstar.com/models/

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/410863

For more information on this credit or on this industry, visit https://dbrs.morningstar.com/ or contact us at Info-DBRS@morningstar.com.