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I AGREE
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.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's
Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
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Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
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website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
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independent third-party sources. However, Moody's
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validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
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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