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-- Mercer Field CLO L.P.'s issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans and up to 40% senior secured bonds.
-- We assigned our ratings to the class A through E notes.
-- The ratings reflect our view of the transaction's credit enhancement, legal structure, and diversified collateral portfolio, among other factors.
NEW YORK (Standard & Poor's) Dec. 20, 2012--Standard & Poor's Ratings Services today assigned its ratings to Mercer Field CLO L.P.'s $915.18 million fixed- and floating-rate notes (see list).
The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans and up to 40% senior secured bonds.
The ratings reflect our view of:
-- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the income notes.
-- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria (see "Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published Sept. 17, 2009).
-- The transaction's legal structure, which is expected to be bankruptcy remote.
-- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior-secured term loans and up to 40% senior secured bonds.
-- The portfolio manager's experienced management team.
-- Our projections regarding the timely interest and ultimate principal payments on the rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.34%-13.62%.
-- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding.
-- The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of up to 50% of excess interest proceeds that are available prior to reserving the cash-flow excess amount and paying uncapped administrative expenses, subordinated management fees, portfolio manager incentive fees, and income note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period.
-- The transaction's requirement to retain the cash-flow excess amount in the interest proceeds account for the subsequent quarterly payment period, prior to paying uncapped administrative expenses, subordinated management fees, portfolio manager incentive fees, and income note payments, to address any timing mismatches.
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities.
The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at "".
RELATED CRITERIA AND RESEARCH Related Criteria
-- Counterparty Risk Framework Methodology And Assumptions, Nov. 29, 2012
-- Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
-- Global CDOs Of Pooled Structured Finance Assets: Methodology And Assumptions, Feb. 21, 2012
-- Methodology For Analyzing Rating Confirmation Requests To Establish Subsidiary Special-Purpose Entities in CDOs, Dec. 9, 2009
-- 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
-- Methodology For Analyzing Rating Confirmation Requests To Replace Collateral Managers In Global CDOs, Aug. 13, 2009
-- Revised CDO Current-Pay Criteria Assumptions For Corporate Debt When Issuers Announce A Distressed Exchange Or Buyback, May 18, 2009
-- The Use Of Rating-Based Haircuts In Event Of Default Overcollateralization Tests For CDOs, March 19, 2008
-- Qualification And Treatment Of Current-Pay Obligations In Global Cash Flow CLOs, July 11, 2007
-- Legal Criteria for US Structured Finance Transactions: Special-Purpose Entities, Oct. 1, 2006
-- Structured Finance Criteria Introduced for Cayman Islands Special-Purpose Entities, July 18, 2002
-- Global Cash Flow and Synthetic CDO Criteria: The CDO Product, March 21, 2002 Related Research
-- CDO Spotlight: The Relationship Between Long-Dated Assets And Market Value Risk In U.S. Cash Flow CLOs, April 26, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- CDO Spotlight: Standard & Poor's Surveillance Process For Monitoring U.S. Cash Flow CLO Transactions, April 14, 2011
-- Credit FAQ: What Are Credit Estimates And How Do They Differ From Ratings?, April 6, 2011
-- CLO Collateral Managers' Treatment Of First-Lien-Last-Out Loans Could Affect Payments To Investors, Oct. 14, 2010
-- CDO Spotlight: General Cash Flow Analytics For CDO Securitizations, Aug. 25, 2004
RATINGS ASSIGNED Mercer Field CLO L.P.
Class Rating Amount (mil. $)
A AAA (sf) 556.50
B AA (sf) 154.35
C (deferrable) A (sf) 78.75
D (deferrable) BBB (sf) 65.10
E (deferrable) BB (sf) 60.48
Income notes NR 138.63