Morningstar DBRS Releases September 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 September 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 September 2024, the total amount of ABCP notes outstanding increased 1.52% to $50.5 billion from $49.7 billion in the previous month.

During September 2024:
There were four new transactions added:
-- One auto loans transaction (#105) was added in TD conduits,
-- Two auto leases transaction (#107) & (#106) were added in CIBC conduits,
-- One auto leases transaction (#38) was added in Ridge Trust.

There was one maturity:
-- One auto loans transaction (#62.0) was repaid in Bay Street Funding Trust.

Auto-related transactions represent the majority of total assets funded within ABCP conduits at 39.5%, followed by residential mortgage programs at 35.2%, and equipment finance at 7.2%.

ABCP transactions have continued to perform well amid a challenging macroeconomic environment. The higher interest rates worked their way through the economy, removing excess demand, lowering inflation. The Bank of Canada cut its benchmark interest rate four times this year, to 3.75%.

The number of quarterly filings for consumer insolvencies has returned to pre-pandemic levels and is likely to rise further as the impact of high borrowing costs and cost of living, along with a weaker labour market, continue to pressure consumers' finances. Collateral performance in Canadian structured finance transactions, has seen some slight deterioration but remains well within expectations across all asset classes. High asset resale values are likely to limit losses on defaulted secured receivables, supported by ongoing supply constraints in the housing market, and the normalization of used-vehicle prices at still historically elevated levels. In general, downside risks to credit performance in securitization pools of secured and unsecured receivables will be partially mitigated by the mostly prime nature of obligors, who demonstrate a strong record of repaying their debts on a timely basis, and conservative assumptions coupled with robust levels of credit enhancement available in the transactions that can withstand a deterioration in macroeconomic activity.

The outstanding ABCP Notes were well-enhanced as of September 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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