OREANDA-NEWS. S&P Global Ratings today affirmed its 'AAA (sf)' rating on the class A notes from Keuka Park CLO Ltd., a U. S. CLO transaction that closed in November 2013 and is managed by GSO/Blackstone Debt Funds Management.

Today's rating action follows our review of the transaction's performance using data from the September 2016 trustee report. Our affirmation of the rating reflects the available credit support, which, in our view, is consistent with the current rating level.

According to the September 2016 trustee report, the weighted average life decreased to 4.99 years from 5.57 years as of the February 2014 trustee report, which was used for our effective date rating actions. This seasoning, combined with the stable credit quality, has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche rating. In addition, the trustee reported class A/B overcollateralization (O/C) ratio is passing and well above its minimum threshold requirement.

We note that the defaulted asset balance has increased to $2.25 million as of the September 2016 trustee report from none reported at the time of our effective date rating action. Over the same period, the amount of assets rated 'CCC+' or below held in the underlying portfolio also increased to $10.05 million from none as of the transactions effective date. However, these negative factors have been largely offset by the seasoning and stable credit quality of the underlying collateral. The transaction has also seen an increase in obligor diversity.

Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated classes have adequate credit enhancement available at the rating levels associated with these rating actions. We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary.