DBRS Morningstar Upgrades One Rating and Confirms One Rating on Classic RMBS Trust, Series 2019-1

DBRS Limited (DBRS Morningstar) upgraded its rating on the Class B Mortgage Pass-Through Notes, Series 2019-1 (the Class B Notes) issued by Classic RMBS Trust to AA (high) (sf) from AA (sf).

In addition, DBRS Morningstar confirmed the rating on the Class A Mortgage Pass-Through Notes, Series 2019-1 (the Class A Notes; together with the Class B Notes, the Rated Notes) issued by Classic RMBS Trust at AAA (sf)

DBRS Morningstar does not rate the Class Z Mortgage Pass-Through Notes, Series 2019-1 (the Class Z Notes, collectively with the Rated Notes, the Notes).

DBRS Morningstar initially published its outlook on the Coronavirus Disease (COVID-19) pandemic’s impact on key economic indicators for the 2020–22 time frame in April 2020. DBRS Morningstar last updated the macroeconomic scenarios on June 18, 2021, in its “Global Macroeconomic Scenarios - June 2021 Update” at https://www.dbrsmorningstar.com/research/380281. For the Notes, DBRS Morningstar considered impacts consistent with the moderate scenario in the referenced commentary in its analysis. The rating actions are based on the following factors as of June 2021:

(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 $102.5 million as of June 2021, representing a pool factor of 20.5%. The pass-through structure of the certificates has resulted in higher subordination across all Rated Notes.

(2) Since issuance, credit enhancement for the Class A Notes and Class B Notes has grown to 75.3% and 25.1% 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.

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/373262.

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

The principal methodology is Master Canadian Structured Finance Surveillance Methodology (June 7, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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 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 [email protected].

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