DBRS Morningstar Upgrades One Rating and Confirms One Rating on Classic RMBS Trust, Series 2021-2

DBRS Limited (DBRS Morningstar) upgraded its rating on the Class B Mortgage Pass-Through Notes, Series 2021-2 (the Class B Notes) issued by Classic RMBS Trust to AA (sf) from AA (low) (sf).

In addition, DBRS Morningstar confirmed its rating on the Class A Mortgage Pass-Through Notes, Series 2021-2 (the Class A Notes) issued by Classic RMBS Trust at AAA (sf).

DBRS Morningstar does not rate the Class Z Mortgage Pass-Through Notes, Series 2021-2 (the Class Z Notes; collectively with the Class A Notes and the Class B Notes, the Notes).

The rating actions are based on the following factors as of August 2022:

(1) The collateral comprises a pool of first-lien fixed-rate uninsured Canadian residential mortgages with a maximum loan-to-value ratio of 80% at origination. The pool balance had amortized to $282.5 million, representing a pool factor of 56.4%. The pass-through structure of the certificates has resulted in higher subordination for the Class B Notes.

(2) Since issuance, credit enhancement for the Class A Notes and the Class B Notes has grown to 26.6% and 8.9% of the outstanding pool balance, respectively.

(3) Performance since inception has been stable with no reported losses. Losses are allocated to the Notes in reverse order of their priority payment. The Class Z Notes, which are unrated, will absorb the losses first.

DBRS Morningstar updates the performance and characteristics of the custodial pool and the rated notes each month in its Monthly Canadian ABS Report on dbrsmorningstar.com.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929 (May 17, 2022).

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

The principal methodology is Master Canadian Structured Finance Surveillance Methodology (June 7, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

Other methodologies referenced in this transaction are listed at the end of this press release.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info@dbrsmorningstar.com.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

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

DBRS Limited
DBRS Tower, 181 University Avenue, Suite 700
Toronto, ON M5H 3M7 Canada
Tel. +1 416 593-5577

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Predictive model: DBRS Canadian RMBS Model (Version 5.0.0.3 https://www.dbrsmorningstar.com/models/)