DBRS Confirms Ratings on Golden Bar (Securitisation) S.r.l. – Series 2015-1

DBRS Ratings Limited (DBRS) confirmed its ratings on the Class A Notes and Class B Notes (the Notes) issued by Golden Bar (Securitisation) S.r.l. – Series 2015-1 (the Issuer) at A (low) (sf) and BBB (sf), respectively.

The ratings on the Class A and Class B Notes (the Notes) address the timely payment of interest and ultimate repayment of principal.

The confirmations follow an annual review of the transaction and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies and defaults, as of the October 2017 payment date.
-- No revolving termination events have occurred.
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement to the Notes to cover the expected losses at their respective rating levels.

The Issuer is a securitisation of Italian unsecured consumer loan receivables originated and serviced by Santander Consumer Bank SpA (SCB). The transaction is currently in its revolving period, which is scheduled to end in October 2018. At the January 2017 payment date, additional issuance was subscribed in respect of the Class A, Class B and Class C Notes up to the programme limit of EUR 1.00 billion, in order to fund the purchase of an additional collateral portfolio.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of the October 2017 payment date, the 90+ delinquency ratio was 0.2%. The cumulative default ratio was 0.8%. DBRS maintained its base-case PD and LGD assumptions at 9.1% and 86.8%, respectively, based on the worst-case portfolio composition of the portfolio.

CREDIT ENHANCEMENT
As of the October 2017 payment date, credit enhancement to the Class A Notes was 20.0% and credit enhancement to the Class B Notes was 13.5%. Credit enhancement to the Notes consists of subordination of junior classes and the cash reserve.

The cash reserve covers senior fees and interest shortfall on the Class A and B Notes. The cash reserve is also available to clear the Class A, Class B and Class C Principal Deficiency Ledgers. As of the October 2017 payment date, the cash reserve was at its target level of EUR 25.0 million.

Banco Santander SA acts as the account bank for the transaction. The public DBRS Long Term Critical Obligations Rating of Banco Santander SA at A (high) complies with the Minimum Institution Rating, given the rating assigned to the Class A 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 to the rating is: “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.

An asset and a cashflow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release.

These 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

The sources of data and information used for this rating include investor reports provided by Deutsche Bank AG, London Branch and servicer reports provided by Santander Consumer Bank SpA.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing this rating to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 20 January 2017 when DBRS downgraded its rating on the Class A Notes to A (low) (sf) from A (sf) and confirmed its rating on the Class B Notes at BBB (sf), following the downgrade of the Italian sovereign rating on 13 January 2017.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on 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 PD and LGD for the pool based on a review of the current assets. 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 loans for the Issuer are 9.1% and 86.8%, 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 A Notes would be expected to fall to BB (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A Notes would be expected to fall to BB (high) (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to fall to B (low) (sf).

Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BBB (sf).
-- 50% increase in LGD, expected rating of BB (high) (sf).
-- 25% increase in PD, expected rating of BBB (sf).
-- 50% increase in PD, expected rating of BB (high) (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of B (low) (sf).

Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of BB (sf).
-- 50% increase in LGD, expected rating of B (sf).
-- 25% increase in PD, expected rating of BB (sf).
-- 50% increase in PD, expected rating of B (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of B (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating below B (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating below B (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating below B (sf).

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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 and US regulations only.

Lead Analyst: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 9 October 2015

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

The rating methodologies 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
-- Operational Risk Assessment for European Structured Finance Originators
-- Rating European Consumer and Commercial Asset-Backed Securitisations

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.