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

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

In addition, DBRS Morningstar confirmed its credit 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 31, 2023:

(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 $184.2 million, representing a pool factor of 36.8%. 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 40.9% and 13.6% of the outstanding note 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/416784 (July 4, 2023).

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

The principal methodology applicable to the credit rating is Master Canadian Structured Finance Surveillance Methodology (June 7, 2023; https://www.dbrsmorningstar.com/research/415503).

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 [email protected].

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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

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.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/410863.

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

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].