DBRS Assigns Ratings to Golden Bar (Securitisation) S.r.l. – Series 2014-2 Class A2/B2

DBRS Ratings Limited (DBRS) has assigned final ratings of ‘A (sf)’ and ‘BB (sf)’ respectively to the Class A2 notes and to the Class B2 notes to be issued by Golden Bar (Securitisation) S.r.l. (the Issuer) and confirmed the ratings of ‘A (sf)’ and ‘BB (sf)’ previously assigned to the Class A1 notes (formerly the Class A notes) and to the Class B1 notes (formerly the Class B notes) respectively. The rating actions follow a restructuring of the transaction. 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 transaction closed in October 2012.

The ratings are based upon review by DBRS of the following analytical considerations, as described more fully below:

• 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 A1/A2 Notes and ‘BB (sf)’ for the Class B1/B2 notes.
• Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance given the long-term foreign and local currency rating of ‘A (low)’ for the Republic of Italy.
• 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.
• Portfolio performance of the existing collateral, in terms of level of delinquencies and defaults, as of the 22nd April 2014 payment date.

In the context of a restructuring of the transaction, on 18th of May 2014 the Issuer has purchased additional receivables for EUR 266 million and issued new classes of notes (namely Class A2, Class B2 and Class C2) which rank pari passu with the existing ones. The purchase price has been financed through the proceeds of subscription of the newly issued notes. The existing Class A, Class B and Class C notes have been renamed “Class A1”, “Class B1” and “Class C1”, and the new classes Class A2, Class B2 and Class C2 and have notional amounts of EUR 266.65 million, EUR 100,000 and EUR 100,000, respectively.

In addition other structural changes have been implemented: the separate principal and interest waterfalls have been merged and the required amount of the reserve funds have been lowered. The combined waterfall provides that the interests and the principal revenues are now applied to a single priority of payments where principal on the notes is still repaid sequentially. The required amount of the cash reserve fund has been redefined to 1.9% of the notes corresponding to the then current balance of EUR 21.3 million, and the liquidity reserve (available to cover any shortfall within the senior expenses and/or the interests on the Class A1/A2 notes) has decreased from EUR 24.1 million to EUR 22.0 million (with the released amount to be processed though the combined waterfall).

As of the 22nd April 2014 payment date, the 90+ delinquency ratio was 0.42%. The cumulative gross default ratio was 0.17% of the original collateral balance with zero cumulative recoveries to date.

Credit enhancement for the Class A1/A2 Notes of a subordination of the Class B1/B2 Notes, Class C1/C2 and a Cash Reserve Fund. Credit enhancement for the Class B1/B2 Notes consists of the subordination of the Class C1/C2 Notes and the Cash Reserve Fund. Current credit enhancement (as a percentage of the collateral balance) is equal to 24.62% (Class A1/A2 Notes) and 18.12% (Class B1/B2 Notes). The current balance of the Cash Reserve Fund is equal to the current target level of EUR 21.3 million. The Cash Reserve Fund target level is allowed to amortise subject to performance triggers with a EUR 7.5 million floor.

The Bank of New York Mellon - London Branch holds the Treasury Account for the transaction. The DBRS public rating of the Bank of New York Mellon - London Branch complies with the threshold for the Account Bank given the rating assigned to the Class A1/A2 Notes, as described in the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in EUR unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include performance data relating to the receivables provided by Santander Consumer Bank S.p.A., Santander Consumer Finance S.A., Banco Santander S.A. and Investor Reports provided by the Bank of New York Mellon, London Branch (the “Paying Agent”). DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The ratings on the Class A2 and B2 notes concern newly issued financial instruments. This is the first DBRS rating on the Class A2 and B2 notes.

The last rating action on this transaction took place on 11th April 2013, when DBRS confirmed the rating of ‘A (sf)’ and ‘BB (sf)’ to Class A and Class B Notes, respectively.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

• Probability of Default Rate Used: Base Case PD of 21.45%, a 25% and 50% increase on the base case PD.
• Recovery Rate Used: Base Case Recovery Rate of 40.78%.
• Loss Given Default (LGD): Base Case LGD of 59.22%, a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A1/A2 Notes:
• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would not lead to a change in the ratings of the Class A1/A2 Notes.
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A1/A2 Notes to ‘BBB(high) (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A1/A2 Notes to ‘BBB (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A1/A2 Notes to ‘BBB(low) (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A1/A2 Notes to ‘BBB(low) (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A1/A2 Notes to ‘BB (sf)’.

DBRS concludes that for the Class B1/B2 Notes:
• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B1/B2 Notes to ‘B (sf)’.
• A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B1/B2 Notes to ‘CC (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B1/B2 Notes to ‘CC (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class B1/B2 Notes to ‘CC (sf)’.
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B1/B2 Notes to ‘CC (sf)’.
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B1/B2 Notes to ‘C (sf)’.

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Paolo Conti
Initial Rating Date: 31 October 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Analyst: Paolo Conti
Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Chuck Weilamann

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The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies

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