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Dryden XV is a €451 million collateralized loan obligation and is the third all-European Dryden CLO. The Dryden XV portfolio is invested mainly in European leveraged bank loans and is denominated 75% in Euro and 25% in a combination of Sterling and U.S. Dollars. Dryden XV includes an allocation to mezzanine loans, high yield bonds and senior unsecured loans of up to 15%. Further, up to 5% of the portfolio may be invested in fixed-rate securities and structured products.
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| Closing Date |
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March 15, 2007 |
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| Effective Date |
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June 5, 2007 |
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| Distribution Dates |
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April 15 and October 15 |
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| End of Non-Call Period |
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April 15, 2010 |
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| End of Reinvestment Period |
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April 15, 2013 |
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| Maturity Date |
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April 15, 2023 |
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Type
Cash Flow CLO
Underwriter
Lehman Brothers
Rating Agencies
Moody’s, S&P
Trustee
Deutsche Bank
Portfolio Manager
Jonathan Butler
CDO Analyst
Sarah McMullen
+44 (0)20 7766 2539
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Tranche |
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Initial Ratings |
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Current Ratings |
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Principal Amount (£) |
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Principal Amount (€) |
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Interest Rate |
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Class A1 Senior Notes |
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Aaa/AAA | |
Aaa/AAA |
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198,000,000 |
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6M EURIBOR + 0.22% |
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Class A2 Senior Notes |
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Aaa/AAA |
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Aaa/AAA |
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20,000,000 |
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29,272,000 |
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6M GBP LIBOR + 0.23% |
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| |
Class A3 Senior Notes |
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Aaa/AAA |
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Aaa/AAA |
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80,000,000 |
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Class A3 variable rate |
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Class B Senior Notes |
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Aa2/AA |
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A3/AA |
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34,000,000 |
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6M EURIBOR + 0.37% |
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Class C Deferrable Interest Notes |
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A2/A |
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Ba1/A |
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29,000,000 |
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6M EURIBOR + 0.60% |
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Class D Deferrable Interest Notes |
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Baa3/BBB- |
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B1/BBB- |
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|
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23,000,000 |
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6M EURIBOR + 1.40% |
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Class E Deferrable Interest Notes |
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Ba3/BB- |
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Caa2/BB- |
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16,200,000 |
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6M EURIBOR + 3.50% |
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Subordinated Notes |
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NR |
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NR |
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42,100,000 |
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Excess Interest |
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Total |
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451,572,000 |
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