DBRS Assigns Ratings to Golden Bar (Securitisation) S.r.l. – Series 2012-2

DBRS Ratings Limited (DBRS) has today assigned final ratings of ‘A’ (sf) to the Class A fixed rate notes and BB (sf) to the Class B fixed rate notes to be issued by Golden Bar (Securitisation) S.r.l. The Notes are backed by a pool of salary assignment, pension assignment and delegation of payment receivables originated in Italy by Santander Consumer Bank S.p.A.

The ratings are based upon review by DBRS of the following analytical considerations:

• Transaction capital structure and form and sufficiency of available credit enhancement.
• Relevant credit enhancement is in the form of subordination and an amortising cash reserve. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption under various stress scenarios at an ‘A’ (sf) standard for the Class A Notes and BB (sf) for the Class B Notes.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
• The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.
• As the collateral consists of a large percentage of loans to individuals working in the public sector, DBRS rating analysis assumed the performance of the Class A notes and Class B Notes to be highly correlated with the sovereign rating.
• Incorporation of a sovereign related stress component in our stress scenario due to the rating of the Republic of Italy at ‘A’.

Note:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:

• Rating European Consumer and Commercial Asset-Backed Securitisations
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European ABS and SME CLO Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on www.dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include performance data relating to the receivables provided by Santander Consumer Bank S.p.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

This is a newly created financial instrument.

For additional information on this rating, please see the linking document.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Paolo Conti
Back-up Analyst: Alessio Pignataro
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 31 October 2012