DBRS Confirms Ratings on Golden Bar (Securitisation) S.r.l. - Series 2012-2

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the bonds issued by Golden Bar (Securitisation) S.r.l. - Series 2012-2 (the Issuer):
-- Class A1 notes confirmed at A (sf);
-- Class A2 notes confirmed at A (sf);
-- Class B1 notes confirmed at BB (sf);
-- Class B2 notes confirmed at BB (sf).

The confirmation of the ratings on the Class A1/A2 and Class B1/B2 notes are based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of the April 2015 payment date.
-- Actual default rate, recovery rate and expected losses are within DBRS’s expectations.
-- Current available credit enhancement for the Class A1/A2 and Class B1/B2 notes to cover the expected losses at the A (sf) and BB (sf) rating levels respectively.

Golden Bar (Securitisation) S.r.l. - Series 2012-2 is a securitisation of Italian salary assignment, pension assignment and payment delegation receivables, originated and serviced by Santander Consumer Bank SpA. The transaction closed in October 2012 and was restructured in May 2014, when the Issuer purchased additional receivables for EUR 266 million and issued new classes of notes (namely Class A2, Class B2 and Class C2). Other structural changes were implemented, including the merging of the interest and principal waterfalls and a reduction in the Cash Reserve required amount.

As of April 2015, two to three month arrears are at 0.50%, down slightly from 0.54% in April 2014. The 90+ delinquency ratio was at 0.15%, down slightly from 0.42% in April 2014. The current cumulative default ratio is low at 0.45%.

As of the April 2015 payment date, credit enhancement to the Class A1/A2 notes was 32.96% and credit enhancement to the Class B1/B2 notes was 24.17%, both increasing steadily over the year. Credit enhancement to the Class A1/A2 notes consists of subordination of the Class B1/B2 and Class C1/C2 notes as well as the Cash Reserve, while credit enhancement to the Class B1/B2 notes consists of the Class C1/C2 notes and Cash Reserve.

The Cash Reserve is currently at the target level of EUR 15.66 million. The Cash Reserve may amortise, subject to further performance conditions and a floor of EUR 7.50 million.

The Bank of New York Mellon, London branch acts as Account Bank for the transaction. The DBRS public rating of The Bank of New York Mellon, London branch at AA complies with the Minimum Institution Rating given the rating assigned to the Class A1/A2 notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Master European Structured Finance Surveillance Methodology”. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. Other methodologies referenced in this transaction are listed at the end of this press release.

This may 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’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by The Bank of New York Mellon, London branch (the “calculation agent”), servicer reports provided by Santander Consumer Bank SpA and data from the European DataWarehouse. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; DBRS was not supplied with third party assessments. However, this did not impact the rating analysis.

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 25 June 2014, when DBRS confirmed the ratings of A (sf) and BB (sf) to the Class A1 and B1 notes respectively, and assigned ratings of A (sf) and BB (sf) to the Class A2 and B2 notes respectively.

Information regarding DBRS ratings, including definitions, policies and methodologies is available at www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):
-- DBRS expected a lifetime 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 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 for the Issuer are 21.60% and 40.87%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating of the Class A1/A2 notes would be expected to fall to A (low) (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A1/A2 notes would be expected to fall to A (low) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A1/A2 notes would be expected to fall to BBB (low) (sf).

Class A1/A2 notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of A (sf)
-- 50% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD, expected rating of A (sf)
-- 50% increase in PD, expected rating of A (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (low) (sf)

Class B1/B2 notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BB (sf)
-- 50% increase in LGD, expected rating of BB (sf)
-- 25% increase in PD, expected rating of BB (sf)
-- 50% increase in PD, expected rating of BB (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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 Surveillance Analyst: Andrew Lynch
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960.

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 (December 2014)
-- Master European Structured Finance Surveillance Methodology (April 2015)
-- Operational Risk Assessment for European Structured Finance Servicers (January 2015)
-- Rating European Consumer and Commercial Asset-Backed Securitisations (December 2014)
-- Unified Interest Rate Model for European Securitisations (January 2013)

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375