Morningstar DBRS Confirms Credit Ratings on Classic RMBS Trust, Series 2021-1

DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the Class A Mortgage Pass-Through Notes, Series 2021-1 (the Class A Notes) and Class B Mortgage Pass-Through Notes, Series 2021-1 (the Class B Notes) issued by Classic RMBS Trust at AAA (sf).

Morningstar DBRS does not rate the Class Z Mortgage Pass-Through Notes, Series 2021-1 (the Class Z Notes; collectively with the Class A Notes and the Class B Notes, the Notes).

The credit rating actions are based on the following factors as of April 2024:

(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 $86.6 million, representing a pool factor of 21.7%.

(2) Since issuance, credit enhancement for the Class A Notes and the Class B Notes has grown to 69.3% and 23.1% of the outstanding pool balance, respectively.

(3) There have been no reported losses since closing. 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.

Morningstar DBRS 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, AND GOVERNANCE CONSIDERATIONS   
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.
 
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (January 23, 2024), http://dbrs.morningstar.com/research/427030.

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

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

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.

Morningstar DBRS 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.

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://dbrs.morningstar.com/about/methodologies.

-- Rating Canadian Residential Mortgages, Home Equity Lines of Credit and Reverse Mortgages (October 26, 2023) https://dbrs.morningstar.com/research/422412
-- Operational Risk Assessments for Canadian Structured Finance (April 5, 2024) https://dbrs.morningstar.com/research/430834

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

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.