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Dartry Park CLO Designated Activity Company -- Moody's assigns provisional ratings to seven classes of refinancing notes to be issued by Dartry Park CLO Designated Activity Company

·16 min read

Rating Action: Moody's assigns provisional ratings to seven classes of refinancing notes to be issued by Dartry Park CLO Designated Activity CompanyGlobal Credit Research - 19 Feb 2021Frankfurt am Main, February 19, 2021 -- Moody's Investors Service ("Moody's") announced that it has assigned the following provisional ratings to the refinancing notes to be issued by Dartry Park CLO Designated Activity Company (the "Issuer"):....EUR 2,450,000 Class X Senior Secured Floating Rate Notes due 2034, Assigned (P)Aaa (sf)....EUR 248,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned (P)Aaa (sf)....EUR 35,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034, Assigned (P)Aa2 (sf)....EUR 26,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)A2 (sf)....EUR 26,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)Baa3 (sf)....EUR 24,500,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)Ba3 (sf)....EUR 12,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)B3 (sf)RATINGS RATIONALEThe rationale for the ratings is based on a consideration of the risks associated with the CLO's portfolio and structure as described in our methodology.The Issuer will issue the refinancing notes in connection with the refinancing of the following classes of notes: Class A-1A Notes, Class A-1B Notes, Class A-2A Notes, Class A-2B Notes, Class B Notes and Class C Notes due in 2029 (the "2017 Refinancing Notes"), previously issued on 28 July 2017 (the "2017 Refinancing Date") as well as the Class D Notes and Class E Notes due 2029 (the "2015 Original Notes"), previously issued on 16 March 2015 (the "Original Closing Date"). On the refinancing date, the Issuer will use the proceeds from the issuance of the refinancing notes to redeem in full the 2017 Refinancing Notes and the 2015 Original Notes.On the Original Closing Date, the Issuer also issued EUR 44,600,000 of subordinated notes, which will remain outstanding. In addition, the Issuer will issue EUR 7,490,000 of additional subordinated notes on the refinancing date. The terms and conditions of the subordinated notes will be amended in accordance with the refinancing notes' conditions.Interest and principal amortisation amounts due to the Class X Notes are paid pro rata with payments to the Class A-1 Notes. The Class X Notes amortise by EUR 306,250 from the second payment date onwards.As part of this full refinancing, the Issuer will renew the reinvestment period at four years and extends the weighted average life to 9 years. It will also amend certain concentration limits, definitions and minor features. In addition, the Issuer will amend the base matrix and modifiers that Moody's will take into account for the assignment of the definitive ratings.The Issuer is a managed cash flow CLO. At least 90% of the portfolio must consist of secured senior loans or senior secured bonds and up to 10% of the portfolio may consist of unsecured senior loans, second-lien loans, high yield bonds and mezzanine loans. The underlying portfolio is expected to be approximately 90% ramped as of the closing date.Blackstone Ireland Limited ("Blackstone") will manage the CLO. It will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four-year reinvestment period. Thereafter, subject to certain restrictions, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations or credit improved obligations.The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority.The coronavirus outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Our analysis has considered the effect on the performance of corporate assets from the current weak European economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around our forecasts is unusually high.We regard the coronavirus outbreak as a social risk under our ESG framework, given the substantial implications for public health and safety.Methodology Underlying the Rating Action:The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1242167. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.Factors that would lead to an upgrade or downgrade of the ratings:The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance.Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2020.Moody's used the following base-case modeling assumptions:Target Par : EUR 400,000,000Diversity Score: 46Weighted Average Rating Factor (WARF): 3070Weighted Average Spread (WAS): 3.45%Weighted Average Coupon (WAC): 4.00%Weighted Average Recovery Rate (WARR): 44.5%Weighted Average Life (WAL): 9.0 yearsMoody's has addressed the potential exposure to obligors domiciled in countries with local currency ceiling (LCC) of A1 or below. As per the portfolio constraints and eligibility criteria, exposures to countries with LCC of A1 to A3 cannot exceed 10% and obligors cannot be domiciled in countries with LCC below A3.REGULATORY DISCLOSURESFor further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1265592.The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1243406.At least one ESG consideration was material to the credit rating action(s) announced and described above.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the UK and is endorsed by Moody's Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating. Silvia Baumann Vice President - Senior Analyst Structured Finance Group Moody's Deutschland GmbH An der Welle 5 Frankfurt am Main 60322 Germany JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 Carole Gintz Associate Managing Director Structured Finance Group JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 Releasing Office: Moody's Deutschland GmbH An der Welle 5 Frankfurt am Main 60322 Germany JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 © 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. 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