DBRS Discontinues Ratings on the Senior Funding Facility and Mezzanine Funding Facility of Dryden 46 Euro CLO 2016 B.V.

DBRS Ratings Limited (DBRS) has today discontinued the ratings on the Senior Funding Facility and Mezzanine Funding Facility (together, the Facilities) of Dryden 46 Euro CLO 2016 B.V. (the Borrower).

This rating action reflects the full payment of interest and principal due to the lenders of the Facilities on 28 October 2016.

The ratings for the Facilities, before payment in full, were as follows:

-- Senior Funding Facility (due June 2031) at A (sf)
-- Mezzanine Funding Facility (due June 2031) at BBB (low) (sf)

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is: “Rating CLOs and CDOs of Large Corporate Credit”.

In DBRS’s opinion, a Discontinued – Repaid rating action does not require the application of the entire principal methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

These may be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” found at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include, but are not limited to, the Borrower and the Facilities Lender, Barclays Bank PLC, and the Security Trustee, US Bank Trustees Limited.

DBRS does not rely upon third-party due diligence in order to conduct its analysis. DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This is the first rating action since the Initial Rating Date.

The lead responsibilities have been transferred to Joana Seara da Costa.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

As this is a Discontinued – Repaid rating action, the sensitivity analysis is not applicable.

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“ESMA”) in a central repository, see http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Joana Seara da Costa, Senior Financial Analyst
Initial Rating Date: 8 August 2016

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies:

-- Rating CLOs and CDOs of Large Corporate Credit
-- Legal Criteria for European Structured Finance Transactions
-- Unified Interest Rate Model for European Securitisations
-- Cash Flow Assumptions for Corporate Credit Securitizations

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrs.com/research/278375.