DBRS Confirms Ratings on Collateralized Fund Obligation Notes Issued by MCA Fund II Holding LLC

DBRS, Inc. (DBRS) confirmed ratings of the Class A Notes, the Class B Notes and the Class C Deferrable Notes (together, the Notes) issued by MCA Fund II Holding LLC pursuant to the Indenture dated as of June 28, 2017, between MCA Fund II Holding LLC as Issuer and Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) as Trustee and Calculation Agent. DBRS also confirmed the rating of the Liquidity Loan Facility (the Liquidity Facility) with MCA Fund II Holding LLC as Issuer, Barclays Bank PLC (rated “A” with a Stable trend by DBRS) as Liquidity Lender and Wells Fargo Bank, N.A. as Trustee and Calculation Agent, as follows:

-- Class A Notes confirmed at A (sf)
-- Class B Notes confirmed at BBB (sf)
-- Class C Deferrable Notes confirmed at BB (sf)
-- Liquidity Facility confirmed at A (sf)

The ratings of the Class A Notes, the Class B Notes and the Liquidity Facility address the timely payment of interest and the ultimate payment of principal on or before the Final Maturity Date (as defined in the Indenture referenced above). The rating of the Class C Deferrable Notes addresses the ultimate payment of interest and the ultimate payment of principal on or before the Final Maturity Date (as defined in the Indenture referenced above).

The ratings confirmed on the Class A Notes and the Liquidity Facility differ from the ratings implied by the quantitative model, which would have been higher than the confirmed ratings. DBRS considers these differences to be a material deviation from the model. The reason for this material deviation is that the Class A Notes and Liquidity Facility are exposed to counterparty risks in the form of future capital calls that are not fully captured in the model output.

The Notes are backed by a portfolio of limited partnership interests in leveraged buyout, mezzanine debt and venture capital private equity funds. Each class of Notes is able to withstand a percentage of tranche defaults from a Monte Carlo asset analysis commensurate with its respective rating.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Collateralized Fund Obligations Backed by Private Equity, which can be found on dbrs.com under Methodologies & Criteria.

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.

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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