DBRS Upgrades Golden Bar (Securitisation) S.r.l. - Series 2011-2

DBRS Ratings Limited (“DBRS”) has reviewed the Series 2011-2 Notes issued by Golden Bar (Securitisation) S.r.l (the “Issuer”) and taken the following rating actions:

• Confirms the rating of the Class A Notes at AAA (sf);
• Upgrades the rating of the Class B Notes to AA (sf) from A (high) (sf).

Confirmation of the ratings for the Class A and upgrade of the Class B Notes are based upon the following analytical consideration, as described more fully below:

• Portfolio performance, in terms of level of delinquencies and defaults, as of the 20 June 2014 payment date.
• Updated default, recovery and loss assumptions on the remaining balance of the collateral portfolio.
• 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.
• Current available credit enhancement to the Class A and Class B Notes to cover the expected losses at the AAA (sf) and AA (sf) rating level, respectively.

Golden Bar (Securitisation) S.r.l. Series 2011-2 is a securitisation of a portfolio of purpose loans and personal loans underwritten by Italian retail clients of Santander Consumer Bank S.p.A. (“SCB”). The portfolio is serviced by SCB. The transaction closed in October 2011 and had an eighteen months reinvestment period which ended in March 2013.

As of the 20 June 2014 payment date, the 90+ delinquency ratio was 1.83%. The cumulative gross default ratio was 4.06% of the aggregated collateral balance with 6.11% cumulative recoveries to date. The seller has the option of repurchasing receivables from the issuer and has repurchased EUR 23.5 million of defaulted receivables since the closing of the transaction.

Credit enhancement for the Class A Notes consists of a subordination of the Class B and Class C Notes and a Cash Reserve Fund. Credit enhancement for the Class B Notes consists of the subordination of the Class C Notes and the Cash Reserve Fund. Current credit enhancement (as a percentage of the collateral balance) is equal to 88.00% (Class A Notes) and 71.50% (Class B Notes). The current balance of the Cash Reserve Fund is equal to the current target level of EUR 23.75 million. The Cash Reserve Fund target level is allowed to amortise, subject to performance triggers with a EUR 5 million floor.

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 payment reports provided by the Bank of New York Mellon - London Branch (“the Paying Agent”) and servicer reports provided by SCB (the “Servicer”). 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 last rating action on this transaction took place on 11 April 2013, when DBRS confirmed the rating of AAA (sf) and A (high) (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”):
• DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for the pool based on a review of the transaction performance. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
• The Base Case PD and LGD of the current pool of receivables are 13.89% and 91.0%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if the PD and LGD increase by a certain percentage over the Base Case assumption. For example, if the LGD increase by 50% the rating for the Class A Notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50% the rating for the Class A Notes would be expected to decrease at AA (high) (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to decrease at to AA (high) (sf), all else being equal.

Class A Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AAA (sf)
• 50% increase in LGD, expected rating of AAA (sf)
• 25% increase in PD, expected rating of AA (high) (sf)
• 50% increase in PD, expected rating of AA (high) (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of AA (high) (sf)

Class B Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of AA (sf)
• 50% increase in LGD, expected rating AA (sf)
• 25% increase in PD, expected rating of AA (sf)
• 50% increase in PD, expected rating of AA (low) (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of A (high) (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of A (high) (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: Mike Babick
Initial Rating Date: 20 October 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Diana Turner

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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.
• Derivative Criteria for European Structured Finance Transactions.
• Rating European Consumer and Commercial Asset-Backed Securitisations.