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DBRS Morningstar Releases Inaugural Global Structured Finance – Credit Performance Indicators (CPI)™


NEW YORK–()–DBRS Morningstar released the inaugural issuance of its Global Structured Finance – Credit Performance Indicators (CPI)™, which provides data and commentary on the 30-plus-day delinquency rate exhibited by the receivables used as collateral in term asset-backed securities and collateral loan obligations rated by DBRS Morningstar. In some instances, it may also include transactions not rated by DBRS Morningstar to the extent that performance is available to the public. The 30-plus-day delinquency rate is provided for large asset classes across three jurisdictions: the United States, Europe, and Canada.

DBRS Morningstar believes the CPI will provide timely and insightful information on global performance, trends, and credit risks observed across various consumer-related and commercial-related obligations. DBRS Morningstar expects to update the CPI quarterly and may include additional metrics in the future.

In this edition:

  • UNITED STATES (U.S.) – Overall, real estate related asset classes (residential mortgage-backed securities (RMBS)/ commercial mortgage-backed securities (CMBS)) show delinquencies stabilizing to slightly improving, continuing recent trends, while consumer ABS sectors started to exhibit modest upticks in late payments (but still at relatively low levels historically) as inflation and forbearance expirations start to weigh on borrowers. Risk estimates are mixed across asset classes, with RMBS projected slightly more rank-order positive, while consumer ABS has a moderately deteriorating near-term outlook.
  • EUROPE (EU) – For the European zone, delinquencies showed mixed results across consumer and commercial asset classes. The consumer ABS and CMBS sectors exhibited stable credit performance, while commercial loan segments were stable to slightly deteriorating. Forward risk is estimated to continue these patterns given the current regional economic conditions, with inflation seemingly having a little more impact for the commercial side of the market.
  • CANADA (CA) – Delinquency trends were stable to slightly deteriorating as credit cards and RMBS posted slight rises, while auto ABS remained relatively stable. The risk outlook is projected to continue the current trends, as auto loan performance is anticipated to hold steady, but credit card and RMBS credit may likely continue to deteriorate slightly heading into the end of the year.

To read the full report and access the data, click here:

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