DBRS Finalizes Provisional Ratings on Certain Series 2017-1 Notes Issued by Muskoka USD Limited

DBRS, Inc. (DBRS) has today finalized the following ratings on the Series 2017-1 Class A Guarantee Linked Notes (the Class A Notes), the Series 2017-1 Class B Guarantee Linked Notes (the Class B Notes) and the Series 2017-1 Class C Guarantee Linked Notes (the Class C Notes; and together with the Class A Notes and Class B Notes, the Notes) issued by Muskoka USD Limited (Muskoka or the Issuer) referencing the Loan Portfolio Financial Guarantee (the Financial Guarantee) dated as of July 26, 2017, between Muskoka, as Guarantor and the Bank of Montreal, as Beneficiary, with respect to a portfolio of primarily U.S. and Canadian senior secured and senior unsecured loans:

-- Class A Notes at AA (sf)
-- Class B Notes at A (sf)
-- Class C Notes at BBB (low) (sf)

The ratings on the Notes address the timely payment of interest amounts and the ultimate payment of principal on or before the Scheduled Termination Date (as defined in the Financial Guarantee referenced above). The payment of the interest amounts due to the Notes is subject to the Beneficiary’s ability to pay the Guarantee Fee Amount (as defined in the Financial Guarantee referenced above).

To assess portfolio credit quality, DBRS may provide a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio, not rated by DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning a rating to the facility.

On the Effective Date (as defined in the Financial Guarantee referenced above) the Issuer will utilize the proceeds of the issue of the Class A Notes and the Class E Notes to make a deposit into the Class A and E Cash Deposit Accounts and the proceeds of the issue of the Class B Notes, the Class C Notes and the Class D Notes to make a deposit into the Class B, C and D Cash Deposit Account (together, the Cash Deposit Banks). DBRS may review the ratings on the Notes in the event of a downgrade of the Cash Deposit Banks below certain thresholds as defined in the transaction documents.

Following the delivery of an Enforcement Notice (as defined in the Terms and Conditions of the Notes), amounts payable will be applied in accordance with the Post-Enforcement Priority of Payments (as defined in the Terms and Conditions of the Rated Notes), which could impact DBRS’s ratings of the Notes at that time.

The ratings reflect the following:
(1) The Financial Guarantee dated July 26, 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.

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

The principal methodology is Rating CLOs and CDOs of Large Corporate Credit, 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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