Dryden 48 Euro CLO 2017: 26 January 2017

The assets securing the notes will consist primarily of a portfolio of secured senior loans, secured senior bonds, high yield bonds and unsecured senior obligations, and will be managed by PGIM Ltd.

Eligibility criteria (includes): it would be a Secured Senior Loan, a Secured Senior Bond, a Corporate Rescue Loan, an Unsecured Senior Obligation, a High Yield Bond, a Mezzanine Obligation, an Eligible PIK Obligation, a Current Pay Obligation or a Second Lien Loan; it is (i) denominated in Euro or (ii) denominated in a Qualifying Currency other than Euro; it is not a lease; it is not a Structured Finance Obligation, Synthetic Security or letter of credit; it is not a Step-Down Coupon Security; it is not a Zero Coupon Obligation; it is not a Project Finance Loan; other than in the case of a Corporate Rescue Loan, it has a Moody's Default Probability Rating of not lower than "Caa3" and a S&P Rating of not lower than "CCC-".

The Issuer expects that, by the closing date, it will have committed to acquire collateral debt obligations with an Aggregate Principal Balance of at least 80.0% of the Target Par Amount. The deal will also feature a 4 year re-investment and 2 year non-call clause.


CRR 405: The Collateral Manager shall act as Retention Holder for the purposes of the Retention Requirements and will, for so long as any Class of Notes remains outstanding, undertake on the Closing Date to subscribe for and hold on an ongoing basis, as sponsor, not less than 5% of the nominal value of each of the tranches sold or transferred to investors within the meaning of paragraph 1(a) of Article 405 of the CRR, paragraph 1(a) of Article 51 of the AIFMD Level 2 Regulations and paragraph 2(a) of Article 254 of the Solvency II Level 2 Regulation and, for these purposes, any Class or Classes of Notes ranking at the same level and pro rata shall constitute a "tranche".