DBRS Assigns Ratings to Olimpo CLO 2010-1 Limited

DBRS has today assigned a rating of AAA (sf) to the Senior Floating Rate Notes (the “Senior Notes”) and a rating of A (sf) to the Mezzanine Deferrable Floating Rate Notes (the “Mezzanine Notes”) for Olimpo CLO 2010-1 Limited (the “Issuer”). The €4,398,100,000 Senior Notes will be supported by €371,000,000 Mezzanine Notes and the €945,004,000 Subordinated Notes. The rating on the Senior Notes addresses the timely payment of interest and ultimate payment of principal payable to the Senior Notes on or before the Maturity Date in 2037. The rating on the Mezzanine Notes addresses the ultimate payment of interest and principal payable to the Mezzanine Notes on or before the Maturity Date in 2037. DBRS does not rate the Subordinated Notes.

The Issuer is a limited liability company incorporated under the laws of Ireland. The transaction is a collateralized loan obligation (CLO). The transaction is collateralized by a portfolio of secured and unsecured leveraged loans and other corporate debt obligations extended to European borrowers. Reinvestment of certain principal proceeds other than the scheduled principal proceeds is permitted. Banco Santander S.A. (“Banco Santander”) acts as the originator and servicer of the portfolio.

The rating of the Notes is based on the assessment of the credit quality of the investments permitted under the terms of transaction documents. In order to ascertain the credit quality for investments permitted by the Issuer, DBRS conducted a rating mapping of Banco Santander’s internal ratings to DBRS ratings. The rating of the Notes is also based on a review of the legal structure, operational capabilities of key transaction participants, eligibility criteria, reinvestment criteria and credit enhancements to withstand projected collateral loss rates under various cash flow stress scenarios.

The principal methodology is Rating Global High-Yield Loan Securitizations, Structured Loans and Tranched Credit Derivatives, which can be found on www.dbrs.com under Methodologies. The methodology applicable to the rating mapping of Banco Santander’s internal ratings to DBRS ratings is Mapping Financial Institution Internal Ratings to DBRS Ratings for Structured Credit Transactions, which can be found on www.dbrs.com under Methodologies.

This is the first DBRS rating on the Senior Notes and Mezzanine Notes.

The sources of information used for these ratings include the parties involved in the rating, including but not limited to Banco Santander, S.A. DBRS considers the information available to it for the purposes of providing these ratings was of satisfactory quality.

Further information on DBRS’s analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

For additional information on DBRS European CLO and Tranched Credit Derivatives, please see European Disclosure Requirements, located at http://www.dbrs.com/research/237794.

Lead Analyst: Glen Leppert
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 4 April, 2011

Note:
All figures are in Euros unless otherwise noted.