DBRS Morningstar Releases May 2020 Canadian Securitization Market Overview Report

DBRS Limited (DBRS Morningstar) released the Canadian Securitization Market Overview report for the month ended May 31, 2020. The report provides an overview of the total Canadian securitization market, including term asset-backed securities (ABS), commercial mortgage-backed securities, and asset-backed commercial paper (ABCP).

The total amount outstanding in the Canadian securitization market, including private placements, was $92.9 billion as at May 31, 2020. Term ABS represented 55.3% of the total securitization market, followed by ABCP at 36.8% and private placements at 7.9%.

The Canadian securitization market (excluding private placements) continued to be dominated by credit cards, which accounted for 34.1% of the total market. Auto-related transactions accounted for 25.9%, followed by residential mortgages at 14.5% and commercial mortgages at 6.0%.

Many households are experiencing financial hardship due to layoffs and lower income for hourly paid employees and individuals undergoing quarantine because of the Coronavirus Disease (COVID-19). The Bank of Canada, Government of Canada, and Office of the Superintendent of Financial Institutions have announced several economic measures to help stabilize the economy and to help Canadians affected by the pandemic. Some measures support liquidity in the financial markets and continued access to financing, while other measures provide financial support to cash-strapped businesses and households affected by the coronavirus.

While reported delinquencies and losses remain strong across all asset classes, the impact of the coronavirus is evident in the reduced cash collections in April 2020 compared with previous months. A number of factors contributed to this reduction in cash collections, including seasonality, declining pool balances, lower prepayments, and payment deferrals. Each originator has developed a unique set of terms and conditions for offering payment deferrals to its obligors in most asset classes. Please see DBRS Morningstar's Monthly Canadian ABCP Report and Monthly Canadian ABS Report for more details. DBRS Morningstar also encourages readers to compare the actual ranges of deferrals with the sensitivity analysis provided in DBRS Morningstar's commentary “Impact of Payment Deferrals on Canadian ABS Transaction Interest Payments,” published on April 9, 2020.

The outstanding ABS and ABCP notes are well enhanced as of May 2020. DBRS Morningstar will continue to closely monitor the performance of all Canadian structured finance transactions and provide updates to the market.

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

The report is available at www.dbrsmorningstar.com.

For more information on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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