Morningstar DBRS Releases January 2024 Canadian ABCP and Enhanced ABCP Reports

DBRS Limited (Morningstar DBRS) released the enhanced version of the Monthly Canadian ABCP Report (the Enhanced ABCP Report) in conjunction with the Monthly Canadian ABCP Report for the month ended January 31, 2024.

Morningstar DBRS provides the asset-backed commercial paper (ABCP) market data in Excel form.

The Enhanced ABCP Report offers additional metrics, longer data series, definitions, and charts that provide the user with both a numeric and a graphic presentation to allow for a quick review of the overall performance and trends for each transaction, as well as the benchmarking of transactions within an asset class.

The Enhanced ABCP Report can be accessed from the Monthly Canadian ABCP Report, once it has been downloaded to a desktop, by clicking on the specific deal number within each conduit.

As at January 2024, the total amount of ABCP notes outstanding decreased 0.1% to $47.17 billion from $47.19 billion in December 2023.

During January 2024, there were two transactions added to the ABCP market:
-- One auto loan transaction was funded by the Bank of Montreal’s conduits.
-- One residential rental equipment transaction (#100.0) was funded by the Canadian Imperial Bank of Commerce’s conduits.

Two transactions were transferred within the Royal Bank of Canada’s conduits:
-- One auto lease transaction (#75.0) was transferred from Storm King Funding to Pure Grove Funding.
-- One auto loan transaction (#105.0) was transferred from Plaza Trust to Pure Grove Funding.

There was one discontinuation in January 2024.
-- One equipment finance transaction (#104.0) was discontinued in Pure Grove Funding.

Auto-related transactions represent the majority of total assets funded within ABCP conduits at 37.7%, followed by residential mortgage programs at 36.4% and equipment finance at 7.6%.

Credit performance in ABCP transactions remained strong; however, the inflationary pressures and heightened geopolitical risk will continue to add uncertainty. The Bank of Canada has raised the policy interest rate by 475 basis points (bps) to 5.00% since March 2022 to control inflation, which will continue to strain consumer finances and dampen demand. Nonetheless, Morningstar DBRS expects these downside risks to credit performance to be partially mitigated by a strong labour market, high consumer savings and net worth, the prime nature of obligors, and conservative assumptions coupled with high levels of credit enhancement available to noteholders.

The outstanding ABCP Notes were well-enhanced as of January 2024. Morningstar DBRS closely monitors the performance of all transactions and will continue to provide updates to the market.

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

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info-DBRS@morningstar.com.

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

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