Press Release|Structured Credit
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KBRA Affirms the Ratings for Dryden 48 Euro CLO 2016 DAC

25 Sep 2024   |   London

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KBRA UK (KBRA) affirms the ratings for seven classes of notes issued by Dryden 48 Euro CLO 2016 DAC. Since the transaction closed, the rated notes have received timely distributions of interest payments.

Dryden 48 Euro CLO 2016 DAC is a €417.0 million cash flow collateralized loan obligation (“CLO”) managed by PGIM Limited (“PGIM” or the “collateral manager”), a wholly-owned subsidiary of PGIM Financial Limited (“PFI”). The CLO originally closed in January 2017. KBRA rated this transaction when the CLO reset certain terms, including the stated maturity, non-call period, reinvestment period, and note interest rates in October 2019. While the transaction exited its reinvestment period in April 2024, the manager still has the ability to reinvest proceeds from prepayments, credit risk and credit improved obligations. The ratings reflect current credit enhancement levels, excess spread, coverage tests including par value and interest coverage tests, and a reinvestment overcollateralization test.

The collateral in Dryden 48 Euro CLO DAC mainly consists of broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. As of the August 2024 trustee report date, the aggregate principal balance of the collateral obligations is €396.75 million and a principal proceeds balance of €2.3 million. There are four defaulted assets with a value of €8.1 million and a recovery value of €1.8 million. There are no discount obligations in the portfolio. The transaction is in compliance with all portfolio profile tests. The current portfolio K-WARF is 2704, which represents a weighted average portfolio assessment of around B/B-.

Since the 2023 surveillance date, the Senior Principal Coverage Test has decreased from 136.74% to 136.54%. The ratings on the Class B-1-R and B-2-R Notes consider the timely payment of interest and ultimate payment of principal by the applicable stated maturity date, while the ratings on the Class C-1-R, C-2-R, D-R, E-R and F-R notes consider the ultimate payment of interest and principal.

To access rating and relevant documents, click here.

Click here to view the report.

Methodologies

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

This credit rating is endorsed by Kroll Bond Rating Agency Europe Limited for use in the European Union. Information on a credit rating’s endorsement status is available on its rating page at KBRA.com.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

There are certain issuers, entities or transactions rated by KBRA Europe or KBRA UK that may be or have relationships with Shareholders and/or Shareholder-Related Companies, as that term is defined in KBRA’s Shareholder and Shareholder Related Companies for KBRA Europe and KBRA UK Policy and Procedure. Relevant disclosure information may be found here.

About KBRA UK

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. 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. Kroll Bond Rating Agency UK is located at 1 Connaught Place, 2nd Floor London, England.

Doc ID: 1006087

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