DBRS Upgrades Rating on Confluent Senior Loans Opportunities plc and Removes Under Review with Developing Implications

DBRS, Inc. (“DBRS”) has today upgraded the rating on the on the Class A Floating Rate Senior Secured Variable Funding Notes (“Notes”) issued by Confluent Senior Loans Opportunities plc (“Confluent”) from AA (sf) to AA (high) (sf). 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 Notes.

The rating action reflect the material updates to the methodologies DBRS uses to rate and monitor CLOs backed by corporate credit (see “Rating CLOs and CDOs of Large Corporate Credit” and “Cash Flow Assumptions for Corporate Credit Securitizations,” both published January 21, 2014).

Key changes to the methodology include:
• updates to the Stressed Default Rate calculations, including a new DBRS CLO Asset Model that replaces the DBRS Large Pool Model;
• increased recovery rates for senior secured loans, reflecting an increased expectation for recovery, particularly at the A (sf) through BB (sf) stress levels;
• decreased recovery rates for senior unsecured bonds; • new stress for covenant-lite loans at the AAA (sf) and AA (sf) stress levels; and
• removal of regional correlation factors

The principal methodology applicable to this transaction is “Rating CLOs and CDOs of Large Corporate Credit” which can be found on our website under Methodologies.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

Note:
All figures are in U.S. dollars unless otherwise noted.