Morningstar DBRS Assigns Provisional Credit Ratings to Golden Bar (Securitisation) S.r.l. - Series 2024-1

DBRS Ratings GmbH (Morningstar DBRS) assigned provisional credit ratings to the Class A-2024-1 Notes (Class A Notes), Class B-2024-1 Notes (Class B Notes), Class C-2024-1 Notes (Class C Notes), and Class D-2024-1 Notes (Class D Notes) (collectively, the Rated Notes) to be issued by Golden Bar (Securitisation) S.r.l. (the Issuer):

-- Class A Notes at AAA (sf)
-- Class B Notes at AA (sf)
-- Class C Notes at BBB (high) (sf)
-- Class D Notes at BBB (high) (sf)

Morningstar DBRS did not assign a provisional credit rating to the Class Z-2024-1 Variable Return Notes also expected to be issued in the transaction.

The credit rating on the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The credit ratings on the Class B and Class C Notes address the ultimate payment of scheduled interest (and timely when most senior class outstanding) and the ultimate repayment of principal by the final maturity date. The credit rating on the Class D Notes addresses the ultimate payment of scheduled interest and the ultimate repayment of principal by the final maturity date.

The Issuer is a special-purpose entity, incorporated for the purpose of issuing asset-backed securities. The new securitisation is fully segregated from previous securitisations of the Issuer. The Issuer has already engaged in several securitisation transactions that were also carried out in accordance with Italian securitisation law. The Class A, Class B, and Class C Notes are collateralised by a portfolio of fixed-rate receivables related to Italian standard auto loans, balloon auto loans, and personal loans granted by Santander Consumer Bank S.p.A. (SCB or the seller) to private consumers and sole proprietors residing in the Republic of Italy. SCB will also act as the servicer for the transaction. The Class D Notes are not collateralised and are expected to be issued to fund the cash reserve at closing.

CREDIT RATING RATIONALE
The credit ratings are based on the following considerations:
-- The transaction's capital structure, including form and sufficiency of available credit enhancement to withstand stressed cash flow assumptions and repay the Issuer's financial obligations according to the terms under which the Rated Notes were issued.
-- The credit quality of SCB's portfolio, the characteristics of the collateral, its historical performance, and the projected behaviour under various stress scenarios.
-- SCB's capabilities with respect to originations, underwriting, servicing, and financial strength.
-- The operational risk review of SCB, which Morningstar DBRS deems to be an acceptable servicer. 
-- The transaction parties' financial strength with regard to their respective roles.
-- The long-term sovereign credit rating on the Republic of Italy, currently at BBB (high) with a Stable trend.
-- The expected consistency of the transaction's structure with Morningstar DBRS' "Derivative Criteria for European Structured Finance Transactions" methodology and "Legal Criteria for European Structured Finance Transactions" methodology.

TRANSACTION STRUCTURE
The transaction features a [three]-month revolving period scheduled to end in [December 2024]. During this period, the Issuer will purchase new receivables that the originator may offer subject to certain eligibility criteria and transfer limits. During the amortisation period, the repayment of the Notes will be pro rata amongst the Class A Notes to Class C Notes until a sequential redemption event occurs, at which point the amortisation of the Class A Notes to Class C Notes will be fully sequential. Sequential redemption events include, amongst others, the breach of performance-related triggers, the default of the Seller, the termination of the Servicer, or the Seller not exercising the call option.

The Class A Notes to Class C Notes benefit from a fully funded amortising cash reserve, which the Issuer can use to pay senior expenses, swap payments, and interest on the Rated Notes. The Class D Notes are only redeemed through available excess spread.

COUNTERPARTIES
Citibank N.A., Milan Branch (Citibank) is the Issuer's account bank for the transaction. Morningstar DBRS has a Long-Term Issuer Rating of AA (low) on Citibank, which meets the criteria to act in this capacity. The transaction documents are expected to contain downgrade provisions consistent with Morningstar DBRS' criteria.

Banco Santander SA (Banco Santander) is the swap counterparty for the transaction. Morningstar DBRS has a Long-Term Issuer Rating of A (high) on Banco Santander, which meets the criteria to act in such capacity. The hedging documents are expected to contain downgrade provisions consistent with Morningstar DBRS' criteria.

Morningstar DBRS' credit ratings on the Rated Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the Rated Notes are the related interest payment amounts and the related class balances.

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.
 
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structure in Intex Dealmaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is: Rating European Consumer and Commercial Asset-Backed Securitisations (22 August 2024), https://dbrs.morningstar.com/research/438224.

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

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis considers potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include:
-- Quarterly static gross losses data from Q1 2013 to Q2 2024;
-- Quarterly static recovery data from Q2 2013 to Q2 2024;
-- Dynamic origination data from Q1 2013 to Q2 2024; and
-- Dynamic delinquency, default, and prepayment data from January 2013 to June 2024.

Morningstar DBRS also received loan-by-loan level information and stratification tables in relation to the initial loan pool as at 31 July 2024 and its related contractual amortisation profile.

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

Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

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

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalise the credit ratings.

These credit ratings concern expected-to-be-issued new financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings:

-- Expected default: 3.1%
-- Expected recovery: 40.6% or loss given default (LGD): 59.4%.

Scenario 1: 25% increase in LGD
Scenario 2: 50% increase in LGD
Scenario 3: 25% increase in expected default
Scenario 4: 50% increase in expected default
Scenario 5: 25% increase in expected default and 25% increase in LGD
Scenario 6: 25% increase in expected default and 50% increase in LGD
Scenario 7: 50% increase in expected default and 25% increase in LGD
Scenario 8: 50% increase in expected default and 50% increase in LGD

Morningstar DBRS concludes that the expected credit ratings under the eight stress scenarios would be:
-- Class A Notes: AA (sf), AA (sf), AA (high) (sf), AA (sf), AA (sf), A (high) (sf), A (high) (sf), and A (sf)
-- Class B Notes: A (sf), A (low) (sf), A (high) (sf), A (sf), A (low) (sf), BBB (sf), BBB (sf), and BB (high) (sf)
-- Class C Notes: BBB (low) (sf), BB (high) (sf), BBB (sf), BB (high) (sf), BB (high) (sf), BB (high) (sf), BB (high) (sf), and BB (low) (sf)
-- Class D Notes: BBB (sf), BBB (low) (sf), BBB (sf), BB (high) (sf), BB (high) (sf), BB (high) (sf), BB (high) (sf), and BB (high) (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Guglielmo Panizza, Vice President
Rating Committee Chair: David Lautier, Senior Vice President
Initial Credit Rating Date: 2 September 2024

DBRS Ratings GmbH
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60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

-- Rating European Consumer and Commercial Asset-Backed Securitisations (22 August 2024),
https://dbrs.morningstar.com/research/438224
-- Rating European Structured Finance Transactions Methodology (25 June 2024),
https://dbrs.morningstar.com/research/434970
-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165
-- Operational Risk Assessment for European Structured Finance Servicers (6 August 2024),
https://dbrs.morningstar.com/research/437543
-- Operational Risk Assessment for European Structured Finance Originators (6 August 2024),
https://dbrs.morningstar.com/research/437541
-- Interest Rate Stresses for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435278
-- Derivative Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435260
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781

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

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.