DBRS Confirms Ratings on MCAP RMBS Issuer Corporation, Series 2018-2

DBRS Limited (DBRS) confirmed the following ratings on the outstanding notes (the Notes) issued by MCAP RMBS Issuer Corporation, Series 2018-2:

-- Mortgage Pass-Through Certificates, Series 2018-2, Class A at AAA (sf) (the Class A Notes)
-- Mortgage Pass-Through Certificates, Series 2018-2, Class B at AA (high) (sf) (the Class B Notes)

The confirmation is part of DBRS’s continued effort to provide timely credit rating opinions and increased transparency to market participants and is based on the following factors:

(1) The collateral is a diversified pool of first-lien, fixed-rate, owner-occupied, conventional residential mortgages located across Canada, underwritten to prime borrowers with a maximum loan-to-value (LTV) ratio of 80% at origination. As of February 2019, the pool balance amortized to $251.7 million with a weighted-average LTV and credit score of 65.8% and 745, respectively, which was in line with pool averages at issuance.

(2) Performance since inception has been strong and stable. As of February 2019, there were 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.

(3) The pass-through structure has resulted in increased subordination as the pool continues to amortize. As of February 2019, subordination to the Class A Notes increased to 6.3% from 6.0% at issuance and subordination to the Class B Notes increased to 4.2% from 4.0%, respectively.

(4) The performance history and servicing capability of MCAP Financial Corporation and MCAP Service Corporation in the prime residential mortgage market.

(5) MCAP Service Corporation as the Seller and the investment-grade-rated Performance Guarantor, MCAP Commercial LP (rated BBB (low) with a Positive trend by DBRS; last confirmed on March 26, 2019), provide lifetime representations and warranties.

The performance and characteristics of the custodial pool and the Notes are updated each month and are available in the Monthly Canadian ABS Report (see Related Documents below).

Notes:
The principal methodology is Master Canadian Structured Finance Surveillance Methodology (May 2018), which can be found on dbrs.com under Methodologies & Criteria.

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.com.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS 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.dbrs.com or contact us at info@dbrs.com.

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