Kroll Bond Rating Agency Europe Limited (KBRA) assigns preliminary ratings to seven classes of notes issued by Dryden 48 Euro CLO 2016 B.V.
Dryden 48 Euro CLO 2016 B.V.is a cash flow collateralised loan obligation (CLO) managed by PGIM Limited (the collateral manager). The CLO will have a 4.5-year reinvestment period and the legal final maturity is 15 October 2032. The ratings reflect initial credit enhancement levels, five levels of coverage tests including par value and interest coverage tests, excess spread, and a reinvestment overcollateralisation test.
The collateral in Dryden 48 Euro CLO 2016 B.V. will mainly consist of broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. The obligors in the portfolio have a K-WARF of 2495, which represents a weighted average portfolio assessment of approximately B. The total portfolio par amount is €400.0 million with exposures to over 150 obligors. This is a reset transaction and the portfolio is expected to be over 95% ramped at closing, with the remainder acquired before the transaction's effective date.
PGIM Limited (PGIM or the collateral manager), is a UK-incorporated LLC and wholly owned subsidiary of PGIM Financial Limited and is the named collateral manager for the transaction. PGIM Inc. is the principal asset management business of Prudential Financial, Inc., PGIM's ultimate US-based parent. In managing this transaction, PGIM will leverage significant resources and investment experience of the PGIM Inc. platform. PGIM Inc. is a global investment manager with approximately $1.2 trillion in assets under management (AUM). PGIM Fixed Income manages $776 billion in fixed-income products including over $160 billion across structured products, high yield credit, and bank loans.
The Class B-1-R and B-2-R Notes each have par subordination of 28% and 9% cushion on the Class A/B Par Value Test. The preliminary ratings on both Class B-1-R and B-2-R Notes represent timely interest and ultimate principal, and the preliminary ratings on C-1-R, C-2-R, D-R, E-R, and F-R Notes represent ultimate payment of interest and principal.
KBRA analysed the transaction using Global Structured Credit Rating Methodology published on August 7, 2018 and the and the Global Structured Finance Counterparty Methodology published on August 8, 2018.
Initial Principal Amount
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Further disclosures relating to this rating action are available in the EU Information Disclosure Form. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com
Related Publications: (available at www.kbra.com
- KBRA's Structured Credit 101: Collateralized Loan Obligations
- Global Structured Credit Rating Methodology
- European Securitisation Supply Forecast: Down but Not Out
- Par Wars: Attack on the Loans
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KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
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