DBRS Morningstar Confirms Ratings on MCAP RMBS Issuer Corporation, Series 2018-1

DBRS Limited (DBRS Morningstar) confirmed the following ratings on the notes (the Notes) issued by MCAP RMBS Issuer Corporation, Series 2018-1:

-- Mortgage Pass-Through Certificates, Series 2018-1, Class A at AAA (sf) (the Class A Notes)
-- Mortgage Pass-Through Certificates, Series 2018-1, Class B at AA (high) (sf) (the Class B 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 March 17, 2021, in its “Global Macroeconomic Scenarios: March 2021 Update” at https://www.dbrsmorningstar.com/research/375376. For the Notes, DBRS Morningstar considered impacts consistent with the moderate scenario in the referenced commentary in its analysis. The rating confirmations are 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. The pool balance has amortized to $156.3 million with a weighted-average LTV and credit score of 69.1% and 771, respectively, which are 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 9.5% from 6.0% at issuance, and subordination to the Class B Notes increased to 6.3% 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 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 the Master Canadian Structured Finance Surveillance Methodology (August 31, 2020), 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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