Preliminary Ratings Assigned To Seven Classes From Dryden 30 Senior Loan Fund In Connection With Proposed Refinancing

Stocks and Financial Services Press Releases Wednesday November 15, 2017 08:46
NEW YORK--15 Nov--S&P Global Ratings

NEW YORK (S&P Global Ratings) Nov. 14, 2017--S&P Global Ratings today assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, E-R, and F-R replacement notes from Dryden 30 Senior Loan Fund, a collateralized loan obligation (CLO) originally issued in October 2013 that is managed by PGIM Inc. (formerly known as Prudential Investment Management Inc.). In addition, we assigned our preliminary ratings to the class X notes, which are also expected to be issued on the Nov. 15, 2017, refinancing date. The replacement notes will be issued via a proposed supplemental indenture.

The preliminary ratings reflect our opinion that the credit support available is commensurate with the associated rating levels.
The preliminary ratings are based on information as of Nov. 14, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings.

On the Nov. 15, 2017, refinancing date, the proceeds from the issuance of the replacement notes, combined with the proceeds of the issuance of the class X notes and additional subordinated notes, are expected to redeem the original notes. At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes.

The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also:
  • Change the rated par amount and target initial par amount to $473.75 million and $495.00 million, respectively, from $473.15 million and $500.00 million, respectively.
  • Extend the reinvestment period to Nov. 15, 2020, from Nov. 15, 2017.
  • Extend the non-call period to Nov. 15, 2018, from Nov. 15, 2015.
  • Extend the weighted average life test to seven years calculated from the refinancing date, from eight years calculated from the transactions original closing date in October 2013.Extend the legal final maturity date on the rated notes to Nov. 15, 2028, from Nov. 15, 2025.
  • Issue additional class X senior secured floating-rate notes, which are expected to be paid down using interest proceeds in equal quarterly installments on the first eight payment dates. The transaction will also issue additional subordinated notes, increasing the subordinated notes balance to $47.5265 million from $43.2500 million.
  • Adopt the use of the non-model version of CDO Monitor. During the reinvestment period, the non-model version of CDO Monitor may be used for this transaction to indicate whether changes to the collateral portfolio are generally consistent with the transaction parameters we assumed when initially assigning ratings to the notes.
  • Change the required minimum thresholds for the coverage tests.
  • Make the transaction U.S. risk retention compliant.
  • Reduce the additional collateral management fee percentage.
  • Incorporate the recovery rate methodology and updated industry classifications outlined in our August 2016 CLO criteria update (see "Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published Aug. 8, 2016).
Replacement Notes
Class Amount Interest
(mil. $) rate (%)
X 6.00 Three-month LIBOR + 0.60
A-R 322.00 Three-month LIBOR + 0.82
B-R 58.00 Three-month LIBOR + 1.25
C-R (deferrable) 38.00 Three-month LIBOR + 1.70
D-R (deferrable) 27.25 Three-month LIBOR + 2.60
E-R (deferrable) 16.25 Three-month LIBOR + 5.75
F-R (deferrable) 6.25 Three-month LIBOR + 7.25
Subordinated notes 47.53 N/A
Original Notes
Class Amount Interest
(mil. $) rate (%)
A 312.15 Three-month LIBOR + 1.25
B 64.75 Three-month LIBOR + 1.75
C (deferrable) 39.25 Three-month LIBOR + 2.85
D (deferrable) 24.25 Three-month LIBOR + 3.20
E (deferrable) 20.75 Three-month LIBOR + 5.00
F (deferrable) 12.00 Three-month LIBOR + 5.50
Subordinated notes 43.25 N/A

Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance (see table). In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches.

We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary.

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