OREANDA-NEWS. S&P Global Ratings today assigned its credit ratings to Griffith Park CLO DAC's class A-1, A-2A, A-2B, B, C, D, and E senior secured notes. At closing, the issuer also issued unrated subordinated notes (see list below).

The transaction is a cash flow collateralized loan obligation (CLO), securitizing a portfolio of primarily senior secured loans granted to speculative-grade corporates. Blackstone/GSO Debt Funds Management Europe Ltd. manages the transaction.

The issuer expects to purchase more than 50% of the effective date portfolio from Blackstone/GSO Corporate Funding Designated Activity Company (BGCF). The assets from BGCF that were not settled at closing are subject to participations. The transaction documents require that the issuer and BGCF usecommercially reasonable efforts to elevate the participations by transferring to the issuer the legal and beneficial interests in such assets as soon as reasonably practicable.

Under the transaction documents, the rated notes pay quarterly interest unlessa frequency switch event occurs. Following this, the notes permanently switch to semiannual interest payments.

The portfolio's reinvestment period will end 4.1 years after closing, and the portfolio's maximum average maturity date will be eight years after closing.

On the effective date, we understand that the portfolio will represent a well-diversified pool of corporate credits, with a fairly uniform exposure to all of the credits. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow collateralized debt obligations (CDOs; see "Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published on Aug. 8, 2016).

In our cash flow analysis, we have used the portfolio target par amount of €440.0 million, a weighted-average spread of 4.15%, and the weighted-average recovery rates for the expected portfolio on the effective date, calculated inaccordance with our corporate cash flow CDO criteria.

Citibank N. A. (London Branch) is the bank account provider and custodian. The portfolio manager can purchase up to 20% of non-euro-denominated obligations, as long as the issuer hedges the currency risk with an asset swap counterparty. The participants' downgrade remedies are in line with our counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013).

The issuer is in line with our bankruptcy remoteness criteria (see "Europe Asset Isolation And Special-Purpose Entity Criteria--Structured Finance," published on Sept. 13, 2013).

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