DBRS Confirms Rating on the Class A Available Commitment Issued by Confluent Senior Loans Opportunities p.l.c. and Removes Status from Under Review with Negative Implications

DBRS, Inc. (DBRS) has today confirmed the rating of AA (sf) on the Class A Available Commitment (the Commitments) issued by Confluent Senior Loans Opportunities p.l.c. (Confluent).

Confluent is collateralized primarily by a portfolio of European and U.S. high-yield corporate loans. The DBRS rating addresses Confluent’s ability to make timely payments of interest and ultimate payments of principal on or before the legal maturity date of the Class A Available Commitment.

DBRS has also removed the Under Review with Negative Implications status from the Commitments. The rating action reflects the conclusion of the impact review of the updates to the “Rating CLOs and CDOs of Large Corporate Credit” methodology. Updates to the methodology include (a) additional recovery rates for non-investment-grade rating categories and (b) minor updates to country tiers.

Foreign currency hedge mechanics are the primary risk to the rating on the Commitments, which can be drawn by the Issuer for payment of any cost associated with the payments required by or entry into an Issuer Currency Hedge Transaction. To assess the risk, DBRS used historical foreign exchange (F/X) rate data to construct appreciating and depreciating forward-looking F/X rates to determine the likelihood of a future draw on the Commitments. In scenarios where the Commitments were drawn, DBRS determined that the remaining collateral generated sufficient future cash flows to repay the Commitments.

Notes:
All figures are in euros unless otherwise noted.

The applicable methodology is Rating CLOs and CDOs of Large Corporate Credit (April 2015), which can be found on our website under Methodologies.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.