Morningstar DBRS Confirms Credit Ratings of Classic RMBS Trust, Series 2022-1

DBRS Limited (Morningstar DBRS) confirmed the following credit rating on the Mortgage Pass-Through Notes, Series 2022-1 issued by Classic RMBS Trust as follows:

-- Class A Mortgage Pass-Through Notes, Series 2022-1 (the Class A Notes) at AAA (sf)
-- Class B Mortgage Pass-Through Notes, Series 2022-1 (the Class B Notes) at AAA (sf)

Morningstar DBRS does not rate the Class Z Mortgage Pass-Through Notes, Series 2022-1 (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 December 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 $136.9 million, representing a pool factor of 27.4%.

(2) Since issuance, credit enhancement for the Class A Notes and the Class B Notes has grown to 55.3% and 18.4% of the outstanding note balance, respectively.

(3) Performance since inception has been within Morningstar DBRS' expectations, with one basis points of the initial pool balance in cumulative losses that have been absorbed by the unrated Class Z Notes. 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.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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 Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

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

The principal methodology applicable to the credit ratings is Master Canadian Structured Finance Surveillance Methodology (August 06, 2024) https://dbrs.morningstar.com/research/437538.

Other methodologies referenced in this transaction are listed at the end of this press release. 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-DBRS@morningstar.com.

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.

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

Legal and Derivatives Criteria for Canadian Structured Finance (August 12, 2024)
https://dbrs.morningstar.com/research/437761

Operational Risk Assessments for Canadian Structured Finance (August 06, 2024)
https://dbrs.morningstar.com/research/437547

Rating Canadian Residential Mortgages, Home Equity Lines of Credit and Reverse Mortgages (October 29, 2024)
https://dbrs.morningstar.com/research/441940

A description of how Morningstar DBRS analyses 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.