The Canadian dollar and the country's stocks fell on Wednesday on the back of a report that says President Donald Trump could pull the U.S. out of NAFTA. The Mexican peso also fell.

The loonie fell to trade down 0.6 percent against its U.S. counterpart. The iShares MSCI Canada exchange-traded fund (EWC), which tracks Canadian stocks, closed 1 percent lower.

Reuters reported, citing two Canadian government sources, that Canada is increasingly convinced that Trump will pull the U.S. out of the trade agreement.

The news agency also said Canada plans to stay on the negotiating table even if Trump pulls out of NAFTA. The report added that trade between the two countries would continue, however.

Trump railed against NAFTA during his 2016 presidential campaign. In June 2016, he called the trade deal the "worst" in history. But pulling out of the trade deal could disrupt interconnections established by industries in Canada, the U.S. and Mexico.

The Mexican peso declined 0.5 percent against the greenback after the report was released.

Also falling were shares of General Motors and Kansas City Southern, which hit session lows in the U.S. stock market.