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

DBRS Ratings Limited (DBRS) took the following rating actions on the bonds issued by Golden Bar (Securitisation) S.r.l. - Series 2015-1 (the Issuer):

-- Class A Notes upgraded to AA (low) (sf) from A (low) (sf)
-- Class B Notes upgraded to A (sf) from BBB (sf)

The ratings of the Class A Notes and Class B Notes (the Rated Notes) address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.

The upgrades follow an annual review of the transaction and are based on the following analytical considerations:

-- Portfolio performance, in terms of delinquencies, defaults and losses.
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement (CE) to the Rated 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). 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. The transaction had a three-year revolving period which ended on the October 2018 payment date.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of the December 2018 payment date, the 90+ delinquency ratio was 0.3%, stable since one year ago. The cumulative default ratio was 1.2%, up from 0.8% 12 months prior.

Following the end of the revolving period, DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions to 4.7% and 83.2%, respectively, based on the current portfolio composition.

CREDIT ENHANCEMENT
As of the December 2018 payment date, CE to the Class A and B Notes was 25.2% and 17.0% up from 17.5% and 11.0%, respectively, one year ago. CE to the Rated Notes consists of subordination of the junior classes and the cash reserve.

The cash reserve covers senior fees and interest shortfall on the Rated Notes. The cash reserve is also available to clear the Class A, Class B and Class C Principal Deficiency Ledgers. As of the December 2018 payment date, the cash reserve was at its target level of EUR 25.0 million.

Banco Santander SA (Santander) acts as the account bank for the transaction. Based on the reference rating of Santander at A (high), one notch below its DBRS Long-Term Critical Obligations Rating of AA (low), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to Santander to be consistent with the ratings assigned to the 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 ratings 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.

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/333487/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings 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 these ratings 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 17 January 2018 when DBRS confirmed its ratings of the Class A and B Notes at A (low) (sf) and BBB (sf), respectively.

The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.

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 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 4.7% and 83.2%, 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 remain at AA (low) (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 A (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 A (low) (sf).

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

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

For further information on DBRS historic 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: Clare Wootton, Senior Financial Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 9 October 2015

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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.