/raid1/www/Hosts/bankrupt/TCREUR_Public/191009.mbx        T R O U B L E D   C O M P A N Y   R E P O R T E R

                          E U R O P E

          Wednesday, October 9, 2019, Vol. 20, No. 202

                           Headlines



I R E L A N D

RRE 3 LOAN: Moody's Assigns (P)Ba3 Rating on EUR25MM Cl. E Notes
RRE 3 LOAN: S&P Assigns Prelim. BB-(sf) Rating on Class E Notes

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I R E L A N D
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RRE 3 LOAN: Moody's Assigns (P)Ba3 Rating on EUR25MM Cl. E Notes
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Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by RRE 3 Loan
Management Designated Activity Company:

EUR248,000,000 Class A Senior Secured Floating Rate Notes due 2033,
Assigned (P)Aaa (sf)

EUR36,000,000 Class B Senior Secured Floating Rate Notes due 2033,
Assigned (P)Aa2 (sf)

EUR28,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2033, Assigned (P)A2 (sf)

EUR27,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2033, Assigned (P)Baa3 (sf)

EUR25,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2033, Assigned (P)Ba3 (sf)

Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavour to
assign definitive ratings. A definitive rating (if any) may differ
from a provisional rating.

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in its methodology.

The Issuer is a managed cash flow CLO. At least 90% of the
portfolio must consist of senior secured obligations and up to 10%
of the portfolio may consist of senior unsecured obligations,
second-lien loans, mezzanine obligations and high yield bonds. The
portfolio is expected to be 85% ramped as of the closing date and
to comprise of predominantly corporate loans to obligors domiciled
in Western Europe. The remainder of the portfolio will be acquired
during the 6 month ramp-up period in compliance with the portfolio
guidelines.

Redding Ridge Asset Management LLP 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 and a half
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.

In addition to the five classes of notes rated by Moody's, the
Issuer will issue EUR 39.55M of Subordinated Notes which will not
be rated.

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.

Methodology underlying the rating action:

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.

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 March 2019.

Moody's used the following base-case modeling assumptions:

Par Amount: EUR 400,000,000

Diversity Score*: 39

Weighted Average Rating Factor (WARF): 3100

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 46%

Weighted Average Life (WAL): 8.5 years

(*) The covenanted base case Diversity Score is 40, however Moody's
has assumed a diversity score of 39 as the transaction
documentation allows for the diversity score to be rounded up to
the nearest whole number whereas usual convention is to round down
to the nearest whole number.

Moody'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.

RRE 3 LOAN: S&P Assigns Prelim. BB-(sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary credit ratings to RRE 3
Loan Management DAC's class A, B, C, D, and E notes.

The transaction is a European cash flow corporate cash flow CLO
managed by Redding Ridge Asset Management (UK) LLP.

The preliminary ratings assigned to RRE 3 Loan Management's
floating-rate notes reflect S&P's assessment of:

-- The diversified collateral pool, which comprises primarily
broadly syndicated speculative-grade senior secured term loans and
senior secured bonds that are governed by collateral quality
tests.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The collateral manager's ability to buy unhedged assets (up to
2.5% of the portfolio balance). Such assets are not subject to
currency hedges and expose the issuer to foreign exchange risk
movements on the underlying assets.

-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

-- The counterparty risks, which S&P expects to be mitigated and
in line with its counterparty criteria.

Under the transaction documents, the rated notes will pay quarterly
interest unless a frequency switch event occurs. Following this,
the notes will permanently switch to semiannual payments. The
portfolio's reinvestment period will end approximately four and
half years after closing.

S&P said, "In analyzing the credit risk and cash flow, we applied a
stable quality rating approach, as the CLO manager has committed to
using our CDO Monitor model as part of the reinvestment conditions
to monitor the portfolio's quality.

"In our cash flow analysis, we used the EUR400 million target par
amount, the covenanted weighted-average spread (3.5%), the
reference weighted-average coupon (5.00%), and the target minimum
weighted-average recovery rate as indicated by the collateral
manager. We applied various cash flow stress scenarios, using four
different default patterns, in conjunction with different interest
rate stress scenarios for each liability rating category.

"Under our structured finance ratings above the sovereign criteria,
we consider that the transaction's exposure to country risk is
sufficiently mitigated at the assigned preliminary rating levels."

Until the end of the reinvestment period in 2024, the collateral
manager is allowed to substitute assets in the portfolio for so
long as our CDO Monitor test is maintained or improved in relation
to the initial rating on the class A notes. This test looks at the
total amount of losses that the transaction can sustain as
established by the initial cash flows for each rating, and compares
that with the default potential of the current portfolio plus par
losses to date. As a result, until the end of the reinvestment
period, the collateral manager can, through trading, deteriorate
the transaction's current risk profile, as long as the initial
ratings are maintained.

S&P said, "At closing, we expect that the transaction's documented
counterparty replacement and remedy mechanisms will adequately
mitigate its exposure to counterparty risk under our current
counterparty criteria.

"We expect the transaction's legal structure to be bankruptcy
remote, in line with our legal criteria.

"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B to E notes could withstand
stresses commensurate with higher rating levels than those we have
assigned. However, as the CLO is still in its reinvestment phase,
during which the transaction's credit risk profile could
deteriorate, we have capped our assigned ratings on the notes.

"In our view, the portfolio is granular in nature, and
well-diversified across obligors, industries, and asset
characteristics when compared to other CLO transactions we have
rated recently. As such, we have not applied any additional
scenario and sensitivity analysis when assigning ratings on any
classes of notes in this transaction.

"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our preliminary ratings
are commensurate with the available credit enhancement for each
class of notes."

  Ratings List

  RRE 3 Loan Management DAC

  Class  Prelim. rating   Prelim. amount
                            (mil. EUR)
  A         AAA (sf)          248.00
  B         AA (sf)           36.00
  C         A (sf)            28.00
  D         BBB- (sf)         27.00
  E         BB- (sf)          25.00
  Sub       NR                39.55

  NR--Not rated.



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S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter-Europe is a daily newsletter co-
published by Bankruptcy Creditors' Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante,
Julie Anne L. Toledo, Ivy B. Magdadaro, and Peter A. Chapman,
Editors.

Copyright 2019.  All rights reserved.  ISSN 1529-2754.

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