TEXT-S&P takes various rtg actions in CLO Deal Mercator CLO II

Thu Dec 20, 2012 4:21am EST

We have lowered to 'CCC+ (sf)' from 'B- (sf)' our rating on the class B-2 Def notes because our credit and cash flow analysis indicated that the level of credit enhancement is commensurate with a lower rating than previously assigned.

Mercator CLO II PLC is a cash flow collateralized loan obligation (CLO) transaction that securitizes loans to primarily European speculative-grade corporate firms. The transaction closed in January 2007 and is managed by NAC Management (Cayman) Limited. Its reinvestment period ends in February 2014.

RELATED CRITERIA AND RESEARCH

Related Criteria

-- Counterparty Risk Framework Methodology And Assumptions, Nov. 29, 2012

-- Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009

-- Surveillance Methodology For Global Cash Flow And Hybrid CDOs Subject To Acceleration Or Liquidation After An EOD, Sept. 2, 2009

-- Understanding Standard & Poor's Rating Definitions, June 3, 2009

-- General Cash Flow Analytics for CDO Securitizations, Aug. 25, 2004

Related Research

-- Credit Rating Model: CDO Evaluator 6.0, March 19, 2012

-- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012

-- Ratings Raised On Mercator CLO II's Class A Notes For Performance Reasons; Ratings On Class B Notes Affirmed, Nov. 14, 2011

-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011

-- Credit Rating Model: Extreme Value Theory Foreign Exchange Model, Aug. 17, 2010

-- Credit Rating Model: S&P Cash Flow Evaluator, Aug. 17, 2010

RATINGS LIST

Class Rating

To From

Mercator CLO II PLC

EUR419 Million Secured Floating-Rate Notes

Ratings Affirmed

A-1 AA (sf)

A-2 AA- (sf)

A-3 Def A- (sf)

B-1 Def BB+ (sf)

Rating Lowered

B-2 Def CCC+ (sf) B- (sf)

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