DBRS Confirms Ratings on MCAP RMBS Issuer Corporation, Series 2014-1

DBRS Limited (DBRS) has today confirmed the ratings of the outstanding notes issued by MCAP RMBS Issuer Corporation. The confirmation is part of DBRS’s continued efforts to provide timely credit rating opinions and increased transparency to market participants.

-- Mortgage Pass-Through Certificates, Series 2014-1, Class A at AAA (sf) (the Class A Notes)
-- Mortgage Pass-Through Certificates, Series 2014-1, Class IO at AAA (sf) (the Class IO Notes)
-- Mortgage Pass-Through Certificates, Series 2014-1, Class B at AA (sf) (the Class B Notes)
-- Mortgage Pass-Through Certificates, Series 2014-1, Class C at A (sf) (the Class C Notes)
-- Mortgage Pass-Through Certificates, Series 2014-1, Class D at BBB (sf) (the Class D Notes, together with the Class A Notes, the Class B Notes, the Class C Notes and the Class IO Notes, the Notes)

The confirmation is based on the following factors:

(1) The collateral is a diversified pool of first-lien, owner-occupied, conventional Canadian residential mortgages underwritten to prime borrowers with a maximum loan-to-value (LTV) of 80% at origination. As of April 30, 2015, the pool balance has amortized to $179.0 million and the weighted-average LTV is 66.7%.

(2) Performance over the last year has been strong and stable. Only one mortgage has defaulted to date, equivalent to 5 basis points of the outstanding pool balance, while cumulative losses remain nil.

(3) The pass-through structure has resulted in increased subordination from the closing date to April 30, 2015, from 5.00% to 5.61% for the Class A Notes, from 4.00% to 4.49% for the Class B Notes, from 3.00% to 3.36% for the Class C Notes and from 2.00% to 2.24% for the Class D Notes.
(4) The performance history and servicing capability of MCAP Financial Corporation and MCAP Service Corporation in the prime residential mortgage market.

(5) MCAP Financial Limited Partnership, as the Seller, and investment-grade-rated MCAP Commercial LP, as the Performance Guarantor, provide life-time representations and warranties.

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

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

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 to the right under Related Research or by contacting us at info@dbrs.com.

The applicable methodologies are Master Canadian Structured Finance Surveillance (May 2015), Rating Canadian Residential Mortgages, Home Equity Lines of Credit and Reverse Mortgages (Nov 2014) and Legal Criteria for Canadian Structured Finance (Aug 2014), which are available on our website under Methodologies.