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

DBRS Limited (Morningstar DBRS) confirmed the AAA 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 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 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
-- Covered Bonds, Series CBL70
-- Covered Bonds, Series CBL72
-- Covered Bonds, Series CBL74
-- Covered Bonds, Series CBL75
-- Covered Bonds, Series CBL76
-- Covered Bonds, Series CBL77

The confirmations are based on the following analytical considerations:

-- A Covered Bond Attachment Point (CBAP) of AA (high), which is the Long-Term Senior Debt 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 2025) to which Morningstar DBRS gives credit.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
ESG Considerations had a significant effect on the credit analysis.

Governance (G) Factors

The following Governance factor(s) had a significant effect on the credit analysis:

Passed-through Governance credit considerations had a relevant effect on the credit analysis. The corporate/transaction governance ESG factor is significant to the credit ratings assigned to TD but has not changed the CBAP and the credit ratings assigned to the covered bonds issued under the Program. This factor reflects the details of the global resolution to TD's AML investigations. On October 10, 2024, certain U.S. subsidiaries of TD pleaded guilty to multiple criminal charges, including conspiracy to commit money laundering. The settlement included total fines of USD 3.09 billion, along with a USD 434 billion asset cap on TD's two U.S. subsidiaries (TD Bank USA, N.A. and TD Bank N.A.). Morningstar DBRS considers this to be a significant corporate governance failure for the Bank, related to its AML program and controls, including insufficient surveillance, reporting and responses to suspicious activity. This factor is incorporated into TD's Franchise and Earnings and Risk Profile grid grades.

There were no Environmental/Social factor(s) 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 Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is Global Methodology for Rating and Monitoring Covered Bonds (April 02, 2024); https://dbrs.morningstar.com/research/430636.

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

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 on dbrs.morningstar.com or by contacting us at info-DBRS@morningstar.com.

These credit ratings are 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 rating action on the Program took place on September 5, 2024, when Morningstar DBRS assigned a credit rating of AAA to the Covered Bonds, Series CBL75, Covered Bonds, Series CBL76 and Covered Bonds, Series CBL77 issued under the Program.
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: Clara Vargas, Senior Vice President, Sector Lead,
Rating Committee Chair: Tim O'Neil, Managing Director,
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.

Legal and Derivatives Criteria for Canadian Structured Finance (August 12, 2024)
https://dbrs.morningstar.com/research/437761

Operational Risk Assessments for Canadian Structured Finance (August 06, 2024)
https://dbrs.morningstar.com/research/437547

DBRS Canadian RMBS Model 5.0.1.1
https://dbrs.morningstar.com/models

A description of how Morningstar DBRS analyses 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 dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.