MOODY'S ASSIGNS PRIME-2 RATING TO THE ASSET BACKED COMMERCIAL PAPER OF MERMAID FUNDING CORPORATION
Moody's Investors Service assigned a Prime-2 rating to the asset-backed commercial paper (ABCP) of Mermaid Funding Corporation (Mermaid), a newly created, multiseller program administered by Rabobank International, New York Branch (Aaa/Prime-1/A). Mermaid, a special purpose company, organized under the laws of Delaware with limited corporate purpose, is owned by GSS Holdings Inc. and managed by Global Securitization Services, LLC (GSS).
Mermaid's authorized issuance amount of ABCP will be determined as asset interests are purchased. There are no asset interests currently funded by Mermaid.
MERMAID STRUCTURED TO BE RATED PRIME-2.
Mermaid is among a very small group of ABCP programs that are actually structured to be rated Prime-2. Other ABCP programs that were structured as Prime-2 programs include Atlantis Two Funding Corporation and Grand II Funding Corporation.
According to Moody's Vice President, James McDonald, Mermaid is structured like a typical ABCP program; liquidity support, which will be in an amount equal to the ABCP outstanding, will be provided by liquidity banks rated at least Prime-2 and there are structural mechanisms to promote the bankruptcy-remoteness of Mermaid. The distinguishing feature of Mermaid, and the reason a Prime-2 rating was assigned, is that it is anticipated that Mermaid will maintain its portfolio of asset risk at a Prime-2 rating level through acquiring asset interests that are structured to a level consistent with a Prime-2 rating, without the benefit of program level credit enhancement.
PROGRAM CREDIT ENHANCEMENT
Currently, Mermaid's ABCP investors do not benefit from program level credit enhancement; however, it may be introduced at a later date to maintain the Prime-2 rating.
Liquidity support for Mermaid's ABCP will be in the form of a loan agreement provided initially by Prime-1 rated Rabobank, and will provide funds in an amount based on the amount of non-defaulted eligible assets.
As is typical with liquidity support facilities, it will not be available if Mermaid is bankrupt.
A team within Rabobank's Corporate Finance group will administer Mermaid. This team has considerable experience in structured finance. Rabobank currently is the administrator of Prime-1 rated Nieuw Amsterdam Receivables Corp, which is authorized to issue up to $544 million of ABCP.
Rabobank's unsecured long-term indebtedness is rated Aaa, its short obligations are rated Prime-1, and it has a bank financial strength rating of A.
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