DBRS Morningstar Assigns Provisional Ratings to the Collateralized Fund Obligation Notes to be Issued by MCA Fund III Holding LLC

DBRS, Inc. (DBRS Morningstar) assigned the following provisional ratings to the Class A Notes, the Class B Notes, and the Class C Notes (together, the Notes) to be issued by MCA Fund III Holding LLC pursuant to the MCA Fund III Offering Circular dated as of October 6, 2020, provided by Barclays Capital Inc., CMFG Life Insurance Company, and MEMBERS Capital Advisors, Inc. and their affiliates to DBRS Morningstar:

-- Class A Notes at A (sf)
-- Class B Notes at BBB (sf)
-- Class C Notes at BB (sf)

The provisional ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and the ultimate payment of principal on or before the Final Maturity Date (as defined in the Offering Circular referenced above).

The Notes are backed by a portfolio of limited partnership interests in leveraged buyout, mezzanine debt, secondaries, 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.

The rating reflects the following:

(1) The Offering Circular dated October 6, 2020.

(2) The integrity of the transaction structure.

(3) DBRS Morningstar’s assessment of the portfolio quality.

(4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.

(5) DBRS Morningstar’s assessment of the management capabilities of MEMBERS Capital Advisors, Inc. as Investment Manager.

(6) The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios: September Update,” published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020. The scenarios were last updated on September 10, 2020, and are reflected in DBRS Morningstar’s rating analysis.

ESG CONSIDERATIONS
Environmental, Social, and Governance (ESG) factors were not a key driver of the credit rating, as determined and documented by the rating committee.

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 U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Collateralized Fund Obligations Backed by Private Equity (November 1, 2018), 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 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.

This is an unsolicited credit rating.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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