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

DBRS, Inc. (DBRS) has today assigned the following provisional ratings to the Class A Notes, the Class B Notes and the Class C Deferrable Notes (together, the Notes) contemplated to be issued by MCA Fund II Holding LLC pursuant to the Indenture dated as of [ ], 2017 between MCA Fund II Holding LLC, as Issuer, and Wells Fargo Bank, N.A. (rated AA (high) with a Negative trend by DBRS), as Trustee and Calculation Agent. DBRS has also assigned a provisional rating to the Liquidity Loan Facility (the Liquidity Facility) with MCA Fund II Holding LLC as Issuer, Barclays Bank PLC (rated A (high) with a Negative trend by DBRS) as Liquidity Lender and Wells Fargo Bank, N.A. as Trustee and Calculation Agent:

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

The provisional ratings on 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 provisional rating on 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 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.

The rating reflects the following:

(1) The draft Indenture dated [ ], 2017.

(2) The integrity of the transaction structure.

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

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

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

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.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

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