Morningstar DBRS Finalises Provisional Credit Ratings on Golden Bar (Securitisation) S.r.l. - Series 2025-1

DBRS Ratings GmbH (Morningstar DBRS) finalised its provisional credit ratings on the following notes (the Rated Notes) issued by Golden Bar (Securitisation) S.r.l. - Series 2025-1 (the Issuer):

-- Class A1 Notes at AAA (sf)
-- Class A2 Notes at AAA (sf)
-- Class B Notes at AA (sf)
-- Class C Notes at A (sf)
-- Class D Notes at BBB (high) (sf)
-- Class E Notes at BBB (high) (sf)
-- Class F Notes at A (high) (sf)

Morningstar DBRS did not assign a credit rating to the Class Z Notes also issued in this transaction.

The credit ratings on the Class A1 Notes and Class A2 Notes (together, the Class A Notes) address the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The credit ratings on the Class B Notes, Class C Notes, Class D Notes, and Class E Notes (together with the Class A Notes, the Collateralised Notes) address the ultimate payment of scheduled interest (or timely when most senior class outstanding) and the ultimate repayment of principal by the final maturity date. The credit rating on the Class F Notes addresses the ultimate payment of interest and the ultimate repayment of principal by the final maturity date.

The final credit rating assigned to the Class C Notes is one notch higher than the provisional credit rating assigned due to overall lower margins of the Rated Notes following the final pricing, which improved the cash flow result on the Class C Notes in the stress scenario.

The Issuer is a limited liability company (società a responsabilità limitata) incorporated in the Republic of Italy. The transaction is a securitisation of portfolio of fixed-rate receivables related to fixed-rate, unsecured, amortising vehicle loans, flexible vehicle loans, balloon vehicle loans and personal loans granted by Santander Consumer Bank S.p.A. (SCB or the Seller) to private consumers and sole proprietors residing in Italy. SCB will also act as the initial servicer for the transaction.

CREDIT RATING RATIONALE
Morningstar DBRS based its credit ratings on the following analytical considerations:
-- The transaction's structure, including the form and sufficiency of the 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 are issued;
-- The credit quality of SCB's portfolio, the characteristics of the collateral, its historical performance, and Morningstar DBRS-projected behaviour under various stress scenarios;
-- SCB's capabilities with respect to originations, underwriting, and servicing, and its position in the market 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 consistency of the transaction's structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions"; and
-- Morningstar DBRS' long-term sovereign credit rating on the Republic of Italy, currently at BBB (high) with a Positive trend.

TRANSACTION STRUCTURE
The transaction includes a six-month revolving period during which the Issuer may purchase additional collateral, subject to eligibility criteria and transfer limits designed to limit the potential deterioration of the portfolio quality.

The transaction incorporates separate interest and principal waterfalls that facilitate the distribution of the interest and principal available funds. After the scheduled revolving period, the Collateralised Notes will amortise pro rata until a sequential redemption event occurs, after which the amortisation becomes fully sequential. Sequential redemption events include, among others, the breach of performance-related triggers, a shortfall in the liquidity reserve required amount, or the Seller not exercising the call option. On the other hand, the Class F Notes are only redeemed through available excess spread in the interest waterfall.

The Collateralised Notes benefit from an amortising cash reserve fully funded at closing, which the Issuer can use to pay senior expenses, senior swap payments, and interest on the Class A Notes to Class E Notes. The Class F Notes are only redeemed through available excess spread.

COUNTERPARTIES
The Bank of New York Mellon SA/NV - Milan Branch (BNYM) is the Issuer's account bank for the transaction. Morningstar DBRS has a Long-Term Deposits Rating of AA (high) with a Stable trend on BNYM, which meet the criteria to act in this capacity. The transaction documents 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 Critical Obligation Rating of AA with a Stable trend on Banco Santander, which meet the criteria to act in such capacity. The hedging documents contain downgrade provisions consistent with Morningstar DBRS' criteria.

Morningstar DBRS' credit ratings on the Rated Notes addresses 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 non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents 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 factor(s) 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 https://dbrs.morningstar.com/research/454196 .

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 (18 September 2024), https://dbrs.morningstar.com/research/439583.

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 Credit 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 the Seller and its agents. Morningstar DBRS received the following information:

Vehicle-related loans:
Balloon loans
-- Quarterly cumulative static default data from Q1 2013 to Q1 2025. The data is split into auto new and two wheels (motorcycles) new subsets.
-- Quarterly cumulative static recovery data from Q1 2014 to Q1 2025. The data is split into auto new and motorcycles new subsets.
-- Monthly dynamic delinquencies from January 2013 to March 2025. The data is split into auto new and motorcycles new subsets.
-- Monthly dynamic prepayment data from January 2013 to March 2025. The data is split into auto new and motorcycles new subsets.
-- Monthly dynamic default data from January 2013 to March 2025. The data is split into auto new and motorcycles new subsets.

Standard loans
-- Quarterly cumulative static default data from Q1 2013 to Q1 2025. The data is split into new auto, used auto and motorcycles new subsets.
-- Quarterly cumulative static recovery data from Q2 2013 (and Q3 2013 for motorcycles only) to Q1 2025. The data is split into new auto, used auto and motorcycles new subsets.
-- Monthly dynamic delinquencies from January 2013 to March 2025. The data is split into new auto, used auto and motorcycles new subsets.
-- Monthly dynamic prepayment data from January 2013 to March 2025. The data is split into new auto, used auto and motorcycles new subsets.
-- Monthly dynamic default data from January 2013 to March 2025. The data is split into new auto, auto used, and motorcycles new subsets.

Flexible loans
-- Quarterly cumulative static default data from Q1 2013 to Q1 2025. The data is split into new auto, used auto and motorcycles new subsets.
-- Quarterly cumulative static recovery data from Q3 2013 for auto new, Q1 2014 for auto used, Q3 2013 for motorcycles to Q1-25. The data is split into auto new and motorcycles new subsets.
-- Monthly dynamic delinquencies from January 2013 to March 2025. The data is split into new auto, used auto and motorcycles new subsets.
-- Monthly dynamic prepayment data from January 2013 to March 2025. The data is split into new auto, used auto and motorcycles new subsets.
-- Monthly dynamic default data from January 2013 to March 2025. The data is split into new auto, used auto and motorcycles new subsets.

Personal loans - direct & Poste Italiane combined
-- Quarterly cumulative static defaults from Q1 2013 to Q1 2025
-- Quarterly static recovery data from Q2 2013 to Q1 2025.
-- Monthly dynamic delinquencies from January 2013 to March 2025.
-- Monthly dynamic prepayment data from January 2013 to March 2025.
-- Monthly dynamic default data from January 2013 to March 2025.

Poste Italiane only
-- Quarterly cumulative static defaults from Q3 2021 to Q1 2025
-- Quarterly static recovery data from Q1 2022 to Q1 2025.
-- Monthly dynamic delinquencies from July 2021 to March 2025.
-- Monthly dynamic prepayment data from July 2021 to March 2025.
-- Monthly dynamic default data from July 2021 to March 2025.

Morningstar DBRS also received loan-by-loan level information and stratification tables in relation to the portfolio as at 12 June 2025 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.

These credit ratings concern newly issued financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.

These are the first credit rating actions since the Initial Rating Date.

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 rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the base case):
-- Expected default rate - personal loans: 5.0%
-- Expected default rate - vehicle-related loans: 2.0%
-- Expected recovery rate - personal loans: 40.0%
-- Expected recovery rate - vehicle-related loans: 38.1%
-- Loss-given default (LGD) - personal loans: 76.0% for AAA (sf), 73.9% for AA (sf), 71.7% for A (high) (sf), 70.7% for A (sf) and 68.5% for BBB (high) (sf)
-- LGD - vehicle-related loans: 77.1% for AAA (sf), 75.1% for AA (sf), 73.1% for A (high) (sf), 72.0% for A (sf) and 70.0% for BBB (high) (sf)

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 credit ratings under the eight stress scenarios would be:
-- Class A Notes: AAA (sf), AAA (sf), AAA (sf), AAA (sf), AA (high) (sf), AA (sf), AA (sf), A (high) (sf)
-- Class B Notes: AA (sf), A (high) (sf), AA (sf), AA (low) (sf), A (high) (sf), A (low) (sf), A (low) (sf), BBB (high) (sf)
-- Class C Notes: BBB (high) (sf), BBB (low) (sf), A (sf), BBB (high) (sf), BBB (sf), BB (high) (sf), B (high) (sf), BB (sf)
-- Class D Notes: BBB (low) (sf), BB (sf), BBB (sf), BBB (low) (sf), BB (high) (sf), B (high) (sf), BB (low) (sf), B (low) (sf)
-- Class E Notes: BBB (low) (sf), BB (sf), BBB (sf), BB (high) (sf), BB (high) (sf), B (high (sf), BB (low) (sf), B (low) (sf)
-- Class F Notes: A (sf), A (sf), A (sf), A (low) (sf), A (low) (sf), BBB (high) (sf), BBB (sf), BBB (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, Sector Lead, European ABS Ratings
Rating Committee Chair: Paolo Conti, Associate Managing Director, European Consumer and Corporate Securitisation Ratings
Initial Rating Date: 27 May 2025

DBRS Ratings GmbH
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D-60311 Frankfurt am Main
Tel. +49 (69) 8088 3500
Geschäftsführung: Detlef Scholz, Marta Zurita Bermejo
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 (18 September 2024), https://dbrs.morningstar.com/research/439583
-- Rating European Structured Finance Transactions Methodology (17 June 2025),
https://dbrs.morningstar.com/research/456339
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://www.dbrsmorningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://www.dbrsmorningstar.com/research/439913
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025), https://dbrs.morningstar.com/research/454196

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/439604.

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