OREANDA-NEWS. April 20, 2015. Fitch Ratings has affirmed Dryden XXVII Euro CLO 2013 B.V. ratings, as follows:

EUR115m class A-1A senior secured fixed rate notes affirmed at 'AAAsf'; Outlook Stable
EUR167.5m class A-1B senior secured floating rate notes affirmed at 'AAAsf'; Outlook Stable

Dryden XXVII Euro CLO 2013 B.V. is an arbitrage cash flow CLO managed by Pramerica. Net proceeds from the notes issue were used to purchase a portfolio of approximately EUR291m leveraged loans and bonds. The CLO has a three-year reinvestment period and a two-year non-call period. The deal went effective on 12 September 2013. In October 2014 additional notes totalling EUR201.9m were issued with net proceeds of EUR194m.

KEY RATING DRIVERS

The affirmation of the senior notes reflects the stable performance of the transaction over the past 12 months, which is in line with Fitch's expectations.

In October 2014 additional notes were issued across the capital structure, increasing total assets to EUR486.2m, from EUR292m in September 2014. This has resulted in changes to the portfolio composition. The three largest industry exposures within the portfolio have changed to automobiles (10.7%), business services (9.9%) and food, beverage and tobacco (9.7%), compared with business services (13.1%), automobiles (7.2%) and chemicals (6.9%) a year ago. The three largest country exposures within the portfolio altered slightly with France at 19.2% (17.4% a year ago), Germany 18.5% (20.4%) and the UK 14% (13.4%). European peripheral exposure is to Spain (3.6%) and Italy (6.3%).

There has been negative migration in the portfolio, with the weighted average rating factor (WARF) increasing to 35.2 from 31.9 and the weighted average recovery rate (WARR) decreasing to 62.2% from 66.8% over the last 12 months. However, the WARF and WARR are comfortably inside their maximum and minimum covenants of 37 and 58% respectively. The weighted average life test is failing at 5.24 years, above the trigger level of 5.16 years, but the manager can make purchases that maintain or improve this test.

There are no 'CCC'-rated assets or defaulted assets in the portfolio. The last defaulted asset (Vivarte) was sold in June 2014.

RATING SENSITIVITIES

In its rating sensitivity analysis Fitch found that a 25% increase of the default probability (PD) would result in a single-notch downgrade of both rated notes. A 25% reduction of the recovery rate would have no impact on the notes.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

The majority of the underlying assets have ratings or credit opinions from Fitch and/or other Nationally Recognised Statistical Rating Organisations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant Fitch groups and/or other rating agencies to assess the asset portfolio information.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.