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Rating Action:

Moody's assigns definitive rating to the notes issued by Olimpo CLO 2010-1 Limited

Global Credit Research - 04 Apr 2011

EUR 4.77 billion of debt securities rated

London, 04 April 2011 -- Moody's Investors Service has assigned the following definitive rating to the notes issued by Olimpo CLO 2010-1 Limited ("Olimpo"):

....EUR4,398,100,000 Senior Floating Rate Notes due 2037 Notes, Assigned Aaa(sf)

....EUR371,100,000 Mezzanine Deferrable Floating Rate Notes due 2037 Notes, Assigned A1(sf)

RATINGS RATIONALE

The rating addresses the expected loss posed to investors by the legal final maturity in 15 February 2037.

Olimpo is a balance sheet cash collateralised loan obligation transaction (CLO) related to a EUR5,711,003,028 par value portfolio of primarily senior unsecured loans from corporate entities and SMEs located mainly in Spain and denominated in EUR. The closing portfolio is made up of 130 loans to 44 parent entities. This portfolio is managed by Banco Santander S.A. ("Santander"). The portfolio manager can only reinvest unscheduled prepaid principal according to certain criteria; trading of assets is not permitted. The portfolio will be 100% ramped-up on the effective date and it has been originated by Santander.

The Aaa(sf) rating reflects the transaction's credit strengths, including: (i) a simple interest and principal priority of payments, with sequential amortisation of the notes; (ii) the financial strength of Santander (rated Aa2/P-1), acting as investment manager, collateral administrator, swap counterparty, account bank and liquidity facility provider to the transaction; (iii) a liquidity facility of EUR35 million provided by Santander (the issuer will be entitled to make drawings up to this maximum amount in order to meet any shortfalls on the Class A notes); (iv) Santander is acting as the Investment Manager ("IM") and is rated Aa2/P-1 (meaning that the likelihood of interruptions in the portfolio servicing during the lifetime of the deal is limited); (v) Bank of New York Mellon (rated Aaa/P-1) ("BNYM") is acting as collateral administrator, principal paying agent and calculation agent (meaning that the likelihood of payment interruptions due to counterparty risk is limited), further BNYM will perform checks on the collateral to ensure ongoing compliance with eligibility criteria and the CDOROM Test; and (vi) a back-up servicing arrangement, under which the originator will identify a back-up servicer if Santander is downgraded below Baa3.

However, Moody's believes that the transaction has several credit weaknesses, including the following: (i) a high degree of linkage to Santander, which is acting as originator, IM, collateral administrator, swap counterparty, account bank and liquidity facility provider of the transaction, however Santander is currently rated Aa2/P-1 and therefore the probability of any failure to perform the functions described above is low; (ii) at closing, the credit quality of almost 24% of the assets has been assessed using a mapping process between the originator's internal rating scales and Moody's public rating scale - the mapping was performed in November 2010 and incorporates the impact of forward-looking measures; and (iii) credit-impaired sales may result in trading losses which is limited by sales criteria. Further any losses will be written to a PDL and cause excess spread to be trapped and to be used to repay the notes.

Moody's analysed and will monitor this transaction primarily using the methodology and its supplements described in the Moody's Special Reports below:

--Moody's Approach to Rating Collateralized Loan Obligations (August 2009)

--Framework for De-Linking Hedge Counterparty Risk from Global Structured Finance Cashflow Transactions (May 2007).

The principal methodology used in this rating was Moody's Approach to Rating Collateralized Loan Obligations (August 2009).

Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction.

Moody's used its CDOROM model (to derive the securitised portfolio's default distribution), combined with a cash-flow model to determine the potential losses incurred by the notes under each loss scenario. In parallel, Moody's also considered non-modelled risks, such as commingling, set-off and counterparty risk.

The V Score for this transaction is Medium, which is better than the score Moody's assigns to the Spanish SME sector and global cash-flow CLO sector. V-Scores are a relative assessment of the quality of available credit information and of the degree of dependence on various assumptions used in determining the rating. For more information, the V-Score has been assigned accordingly to the report "V Scores and Parameter Sensitivities in the EMEA Small-to-Medium Enterprise ABS Sector" published in June 2009 and the report "V Score and Parameter Sensitivities in the Global Cash Flow CLO sector," published in July 2009.

Additional research including a new issue report for this transaction is available at www.moodys.com. The special report, "V Scores and Parameter Sensitivities in the Global Cash Flow CLO Sector" is also available on moodys.com.

REGULATORY DISCLOSURES

The rating has been disclosed to the rated entity or its designated agents and issued with no amendment resulting from that disclosure.

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Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

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London
Stefan Augustin
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Frankfurt am Main
Thorsten Klotz
MD - Structured Finance
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's assigns definitive rating to the notes issued by Olimpo CLO 2010-1 Limited
No Related Data.
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