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

DBRS Limited (DBRS Morningstar) confirmed the following ratings on the 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 Morningstar’s continued effort to provide timely credit rating opinions and increased transparency to market participants. DBRS Morningstar continues to closely monitor the performance of the transaction. The confirmation is based on the performance of the transaction as of February 2020 and the additional factors noted:

(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. The pool balance has amortized to $205.1 million with a weighted-average LTV and credit score of 65.8% and 746, respectively, which was in line with pool averages at issuance.

(2) Performance since inception has been strong and stable. 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. Subordination to the Class A Notes increased to 7.7% from 6.0% at issuance, and subordination to the Class B Notes increased to 5.2% from 4.0%.

(4) The performance history and servicing capability of MCAP Financial Corporation and MCAP Service Corporation in the prime residential mortgage market. MCAP Service Corporation as the Seller and the investment-grade-rated Performance Guarantor, MCAP Commercial LP (rated BBB with a Stable trend by DBRS Morningstar), 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, which can be found on dbrsmorningstar.com.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

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

The principal methodology is Master Canadian Structured Finance Surveillance Methodology, 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.

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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