DBRS Assigns Ratings to Golden Bar (Securitisation) S.r.l. Series 2016-1
Consumer Loans & Credit CardsDBRS Ratings Limited (DBRS) has today assigned ratings to the notes issued by Golden Bar (Securitisation) S.r.l. Series 2016-1 (the issuer) as follows
-- Class A Notes: A (sf)
-- Class B Notes: BBB (sf)
-- Class C Notes: BB (sf)
-- Class D Notes: B (sf)
DBRS’s ratings of the notes address the timely payment of interest and full payment of principal by the legal final maturity date for the Class A notes in accordance with the terms and conditions. For the Class B, Class C notes and Class D notes DBRS’s ratings address ultimate payment of interest and full payment of principal by the legal final maturity.
The Notes (including the unrated class E notes and Junior Notes) are variable funding notes 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 Seller).
The initial subscription payment equal to the backed initial portfolio is approximately EUR 1.1 billion while the nominal value of the Notes is EUR 1.3 billion. During the four-year revolving period the Seller can assign a further Portfolio to the Issuer within certain limits included in the transaction documents.
-- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement.
-- Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net losses under various stress scenarios at A (sf) standard for the Class A Notes, at BBB (sf) for Class B Notes, at BB (sf) for Class C Notes, at B (sf) for Class D Notes.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the payment of timely interest on a quarterly basis and principal by the legal final maturity date.
-- Santander Consumer Bank S.p.A. capabilities with regard to originations, underwriting, servicing and their financial strength.
-- DBRS conducted an operational risk review of Santander Consumer Bank S.p.A. premises in Turin and deems it to be an acceptable Servicer.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The credit quality of the collateral, historical, and projected performance of the seller’s portfolio.
--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, Class B Notes, Class C Notes and Class D Notes to be highly correlated with the sovereign rating.
-- The sovereign rating of the republic of Italy, currently at A (low).
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.
The transaction was modelled in Intex DealMaker.
Notes:
All figures are in euros unless otherwise noted.
The principal methodology applicable is: “Rating European Consumer and Commercial Asset-Backed Securitisations”.
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 the 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 these ratings include performance data relating to receivables sourced by Santander Consumer Bank S.p.A. through the issuer’s agents. DBRS received historical gross loss and recovery data on the entire salary assignment portfolio originated by the Seller by quarterly vintages dating back to 2007. Data was also provided relating to delinquencies and prepayments. Amortisation plan and yield curve of the portfolio have been provided to DBRS. 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 has been 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.
DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.
These ratings were disclosed to Santander Consumer Bank S.p.A. and Banco Santander S.A.
These ratings concern a newly issued financial instrument. This is the first DBRS rating on this financial instrument.
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 16.97%, a 25% and 50% increase on the base case PD.
-- Loss Given Default (LGD): Base Case LGD of 49.75%, a 25% and 50% increase on the base case LGD.
DBRS concludes that for the Class A 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 A notes to A(low) (sf).
-- A hypothetical increase of the base case PD by 50%, ceteris paribus, would lead to a downgrade of the Class A notes to BBB (high) (sf).
-- A hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A 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 A notes to BBB (high) (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 A Notes to BBB (high) (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 A 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 A notes to BB(low) (sf).
DBRS concludes that for the Class B 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 maintain the rating of the Class B notes at BBB (sf).
-- A hypothetical increase of the base case PD by 50%, ceteris paribus, would lead to a downgrade of the Class B notes to BB (high) (sf).
-- A hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class B notes to BB (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 B notes to BB (high) (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 B Notes to B(high) (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 B notes to B(high) (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 B notes to C (sf).
DBRS concludes that for the Class C 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 maintain the rating of the Class C notes at BB (sf).
-- A hypothetical increase of the base case PD by 50%, ceteris paribus, would lead to a downgrade of the Class C notes to B (high) (sf).
-- A hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class C notes to B (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 C notes to B (high) (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 C Notes to C (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 C notes to C (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 C notes to C (sf).
DBRS concludes that for the Class D 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 maintain the rating of the Class D notes to B (sf).
-- A hypothetical increase of the base case PD by 50%, ceteris paribus, would lead to a downgrade of the Class D notes to C (sf).
-- A hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class D notes to C (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 D notes to C (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 D Notes to C (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 D notes to C (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 D 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: Davide Nesa, Senior Financial Analyst
Initial Rating Date: 2 August 2016
Initial Rating Committee Chair: Erin Stafford, Managing Director
DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY
United Kingdom
Registered in England and Wales: No. 7139960
The rating methodologies used in the analysis of this transaction are listed below:
-- Rating European Consumer and Commercial Asset-Backed Securitisations (30 September 2015)
-- Legal Criteria for European Structured Finance Transactions (19 February 2016)
-- Operational Risk Assessment for European Structured Finance Servicers (31 December 2015)
-- Operational Risk Assessment for European Structured Finance Originators (15 December 2015)
-- Unified Interest Rate Model for European Securitisations (12 October 2015)
The rating methodologies used in the analysis of this transaction can be found at:
http://www.dbrs.com/about/methodologies
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
Ratings
ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.