Pramerica Investment Management is preparing a €416.7 million European collateralized loan obligation, according to a presale report published by Standard & Poor’s.

The transaction, Dryden 32 Euro CLO 2014, is backed primarily of euro-denominated broadly syndicated senior secured loans and bonds. However the portfolio manager can purchase non-euro-denominated obligations subject to an asset swap. The maximum bucket for unhedged obligations is 2.5%, subject to certain conditions.

Two of nine tranches of notes received preliminary ‘AAA’ ratings from S&P: the €199.25 million class A-1A notes and the €31 million class A-1B notes.  The class A-1A notes will be marketed at six-month Euribor plus 140 basis points, and the A-1B notes at 225 basis points.  Both tranches benefit from a credit enhancement of 42.70%.

The deal has a customary two-year non-call period with a four-year reinvestment period.

The arranger for the deal is Barclays Bank.

To date, Pramerica has identified just 76.34% of the indicative portfolio; it has six months after the deal closes to identify and acquire the rest of the collateral. This means it could be paying out more in interest on notes issued by the CLO than it is collecting in interest on the collateral.  

Pramerica Investment Management issued its last European CLO deal in December 2013.  The transaction, €414.75 million Dryden 29 Euro CLO, is backed by primarily euro-denominated, senior-secured loans and bonds as well.  S&P gave similar ratings to the nine-tranche deal, assigning the €150.25 million class A-1A notes and €75 million class A-1B notes ‘AAA’ status.

As of July 2014, Pramerica Investment Management acts as collateral manager in nine European CLO transactions, with $3.7 billion in CLOs under management in Europe.  Pramerica’s heritage of asset management dates back more than 135 years, with current assets under management totaling more than $891 billion in US dollars.

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