New York, June 18, 2010 -- Moody's Investors Service announced today that it has upgraded the ratings
of the following notes issued by Dryden V-Leveraged Loan CDO 2003:
U.S. $253,000,000 Class A Floating Rate
Senior Notes Due 2015 (current balance of $141,563,372),
Upgraded to Aaa; previously on June 24, 2009 Downgraded to
Aa3;
U.S. $17,000,000 Class B-1 Floating
Rate Senior Notes Due 2015, Upgraded to A2; previously on June
24, 2009 Downgraded to Baa2;
U.S. $10,000,000 Class B-2 Fixed
Rate Senior Notes Due 2015, Upgraded to A2; previously on June
24, 2009 Downgraded to Baa2;
U.S. $9,000,000 Class C-1 Floating
Rate Deferrable Notes Due 2015, Upgraded to Baa3; previously
on June 24, 2009 Downgraded to Ba3;
U.S. $6,500,000 Class C-2 Fixed
Rate Deferrable Notes Due 2015, Upgraded to Baa3; previously
on June 24, 2009 Downgraded to Ba3;
U.S. $7,500,000 Class D-1 Floating
Rate Deferrable Notes Due 2015, Upgraded to Caa2; previously
on June 24, 2009 Downgraded to Caa3;
U.S. $5,000,000 Class D-2 Floating
Rate Deferrable Notes Due 2015, Upgraded to Caa2; previously
on June 24, 2009 Downgraded to Caa3;
U.S. $4,500,000 Class D-3 Fixed
Rate Deferrable Notes Due 2015, Upgraded to Caa2; previously
on June 24, 2009 Downgraded to Caa3;
U.S. $8,500,000 Class E Floating Rate
Deferrable Notes Due 2015, Upgraded to Ca; previously on June
24, 2009 Downgraded to C.
According to Moody's, the upgrade rating actions taken today result
primarily from substantial delevering of the Class A Notes and stabilization
in the credit quality of the collateral since the last rating action in
June 2009.
The transaction has benefited from the delevering of the Class A notes,
which have been paid down by approximately $86.7MM since
the last rating action, accounting for roughly 38% of the
total Class A notes' outstanding balance reported in May 2009.
A substantial proportion of this paydown is attributable to principal
prepayments on the underlying loans. As a result of the delevering,
the overcollateralization ratios have increased since the last rating
action in June 2009. In particular, as of the trustee report
dated April 12, 2010, the Class A/B, Class C,
Class D, and Class E overcollateralization ratios are reported at
128.88%, 118.03%, 108.05%,
and 103.67%, respectively, versus May 2009 levels
of 113.95%, 107.43%, 101.08%,
and 98.18%, respectively, and all related overcollateralization
tests are currently in compliance. Moody's expects delevering to
continue as a result of the end of the deal's reinvestment period in December
2008. Additionally, the dollar amount of defaulted securities
has decreased to about $9MM from approximately $27MM in
May 2009.
Finally, Moody's noted that the portfolio includes a number
of investments in securities that mature after the maturity date of the
notes. Based on the trustee report dated April 12, 2010,
the current level of long-dated securities is 3.63%
versus the deal's covenant level of 2%. In discussions
with the manager, Moody's understands that the increase in the calculated
exposure to securities that mature after the stated maturity date of the
notes is attributable to the amortization of the collateral pool,
as well as inclusion of a security received by the issuer in connection
with a bankruptcy restructuring. These investments potentially
expose the notes to market risk in the event of liquidation at the time
of the notes' maturity. Due to the impact of revised and
updated key assumptions referenced in "Moody's Approach to Rating Collateralized
Loan Obligations" and "Annual Sector Review (2009): Global CLOs,"
key model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's reported
numbers.
Dryden V-Leveraged Loan CDO 2003, issued in December 10,
2003, is a collateralized loan obligation backed primarily by a
portfolio of senior secured loans.
The principal methodology used in rating and monitoring the transaction
is described in the following publication, which can be found at
www.moodys.com in the Rating Methodologies sub-directory
under the Research & Ratings tab:
Moody's Approach to Rating Collateralized Loan Obligations (August 12,
2009).
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found in the Rating Methodologies sub-directory
on Moody's website. In addition, Moody's publishes a weekly
summary of structured finance credit, ratings and methodologies,
available to all registered users of our website, at www.moodys.com/SFQuickCheck.
New York
Ramon O. Torres
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Shan Lai
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's upgrades the ratings of $209.5MM of CLO notes issued by Dryden V-Leveraged Loan CDO 2003