DBRS Finalises Provisional Ratings on Golden Bar (Securitisation) S.r.l. Series 2019-1

DBRS Ratings Limited (DBRS) finalised the provisional rating of AA (low) (sf) on the Class A notes and A (low) (sf) on the Class B notes issued by Golden Bar (Securitisation) S.r.l. (the Issuer) as Series 2019-1. The Series 2019-1
securitisation is in addition and unrelated to previous securitisations by Golden Bar (Securitisation) S.r.l.

The transaction represents the issuance of Class A, Class B, Class C and Class D notes (together, the Notes) backed by EUR 595 million of receivables related to auto loan contracts granted by Santander Consumer Bank S.p.A. to private and commercial borrowers in Italy. DBRS does not rate the Class C and D notes.

The ratings address the timely payment of interest and ultimate repayment of principal by the legal final maturity date.

The ratings are based on DBRS’s review of the following analytical considerations:

-- The transaction capital structure, including form and sufficiency of available credit enhancement.
-- Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net losses under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- Santander Consumer Bank S.p.A’s (the Seller) capabilities with regard to originations, underwriting and servicing and its financial strength.
-- DBRS conducted an operational risk review of the Seller and deems it to be an acceptable Servicer.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The credit quality, diversification of the collateral and historical and projected performance of the Seller’s portfolio.
-- The sovereign rating of the Republic of Italy, currently rated at BBB (high) with a Stable trend by DBRS.
-- The consistency of the transaction’s legal structure with DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology and the presence of legal opinions that address the true sale of the assets to Golden Bar (Securitisation) S.r.l. and non-consolidation of Golden Bar (Securitisation) S.r.l. with the Seller.

The transaction was analysed in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings 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.

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: https://www.dbrs.com/research/333487/rating-sovereign-governments.

The sources of data and information used for these ratings include data sourced from Santander Consumer Bank
S.p.A and provided through the transaction Arranger, Banco Santander S.A.:

-- Quarterly static default data going from Q1 2009 to Q1 2019.
-- Quarterly static recoveries data going from Q3 2009 and up to Q1 2019.
-- Monthly dynamic delinquency data from January 2009 to December 2018.
-- Monthly dynamic prepayment data from January 2009 to December 2018.

DBRS was also provided with detailed stratification tables as at 22 May 2019.

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 one or more 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.

These ratings concern a newly issued financial instrument. These are the first DBRS ratings on this financial instrument.

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 to the parameters used to determine the rating (the base case):

-- Expected Default Rate Used: Base case probability of default (PD) of 3.6%, a 25% and 50% increase on the base case PD.
-- Recovery Rate Used: Recovery Rate of 22.7% at the AA (low) (sf) stress level, a 25% and 50% decrease in the base case Recovery Rate. Note that the percentage decreases in the recovery rates are assumed for the other stress recovery rate levels.
-- Loss Given Default (LGD) Used: LGD rate of 77.3% at the AA (low) (sf) stress level, a 25% and 50% increase in the base case LGD.

DBRS concludes that:
-- A hypothetical increase of the base case PD by 25%, ceteris paribus, would lead to a downgrade of the Class A
Notes to A (sf) and Class B Notes to BBB (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 A (low) (sf) and Class B Notes to BB (sf).
-- A hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (sf) and Class B Notes to BBB (low) (sf).
-- A hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A
(sf) and Class B notes to BB (low).
-- 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) and Class B Notes to BB (low) (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 (sf) and Class B Notes to B (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 (high) (sf) and Class B Notes to B (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 (sf) and Class B Notes to B (low) (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: Alex Garrod, Senior Vice President, European ABS
Rating Committee Chair: Christian Aufsatz, Managing Director, Head of European Structured Finance Initial Rating Date: 3 June 2019

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The rating methodologies used in the analysis of this transaction can be found at:
http://www.dbrs.com/about/methodologies.

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- Interest Rate Stresses for European Structured Finance Transactions

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.