No black spot, or signs of any other kind of fungal disease, like powdery mildew, downy mildew, rust, etc? My Canadian Explorers seem susceptible to anthracnose, which looks a little like black spot, except the spots have yellow around them and eventually a pinhole in the middle.

If there is absolutely no signs of disease, I have no idea why it's dropping its leaves. Now is not the time to prune it, because it will encourage the rose to put out new growth too late in the season. Wm Baffin is extremely hardy, but I wouldn't want even him going into the winter with new canes. Wait til next spring and prune him hard, thinning out a lot of the canes and pruning back any growth that you don't want.

Both of my explorers, William Baffin and John Cabot, start dropping their leaves almost a month before my other roses. I do not think it is caused by disease, but is just the nature of these roses.