Morningstar DBRS Releases April 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 April 30, 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 April 2024, the total amount of ABCP notes outstanding increased 2.7% to $47.8 billion from $46.6 billion in March 2024.

During April 2024, there was no new transaction added to the ABCP market, but there were two renewals:
-- One auto floorplan transaction (#50.0) was renewed in King Street Funding Trust.
-- One credit card transaction (#57.0) was renewed in SURE Trust.

There was no maturity this month.

Auto-related transactions represent the majority of total assets funded within ABCP conduits at 38.0%, followed by residential mortgage programs at 36.1%, and equipment finance at 6.9%.

Credit performance in ABCP transactions remained strong; however, the inflationary pressures and heightened geopolitical risk will continue to add uncertainty. The Bank of Canada raised the policy interest rate to 5.00% in July 2023 to control inflation and overheated market. The higher interest rates worked their way through the economy, removing excess demand, and lowering inflation. Signs of slowing inflation prompted the Bank of Canada to cut interest rates by a quarter percentage point for the first time in June 2024, since rate hikes began in March 2022. Going forward, Morningstar DBRS expects the 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 April 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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