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

DBRS Ratings GmbH (DBRS Morningstar) 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 (high) (sf) from AA (low) (sf)
-- Class B Notes upgraded to AA (sf) from A (sf)

The ratings of the Class A 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 rating 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 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.

On 9 January 2020, DBRS Morningstar transferred the ongoing coverage of the ratings assigned to the Issuer to DBRS Ratings GmbH from DBRS Ratings Limited. The lead analyst responsibilities for the transaction have been transferred to Shalva Beshia.

Both DBRS Ratings Limited and DBRS Ratings GmbH are registered with the European Securities and Markets Authority (ESMA) under Regulation (EC) No. 1060/2009 on Credit Rating Agencies, as amended, and are registered Nationally Recognized Statistical Rating Organization (NRSRO) affiliates in the United States and Designated Rating Organization (DRO) affiliates in Canada.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of the October 2019 payment date, the 90+ delinquency ratio was 0.4%, up from 0.3% one year ago. The cumulative default ratio was 1.6%, up from 1.1% in the same period last year.

DBRS Morningstar 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 83.1%, respectively, based on the current portfolio composition.

CREDIT ENHANCEMENT
As of the October 2019 payment date, credit enhancement to the Class A and B Notes was 41.6% and 28.1%, up from 25.2% and 17.0%, respectively, one year ago. The credit enhancement 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 October 2019 payment date, the cash reserve was at its target level of EUR 24.0 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 Morningstar 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 Morningstar considers the risk arising from the exposure to Santander to be consistent with the ratings assigned to the Rated Notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

DBRS Morningstar analysed the transaction structure in Intex DealMaker.

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 Morningstar 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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.

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. The loan-level data was provided by the European DataWarehouse GmbH.

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

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

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

DBRS Morningstar 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 2019 when DBRS Morningstar upgraded its ratings of the Class A and Class B Notes to AA (low) (sf) and A (sf), respectively, from A (low) (sf) and BBB (sf).

The lead analyst responsibilities for this transaction have been transferred to Shalva Beshia.

Information regarding DBRS Morningstar 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 Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- DBRS Morningstar expected a lifetime base case 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 83.1%, 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 (high) (sf), assuming no change in the PD. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AA (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 remain at AA (high) (sf).

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

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

For further information on DBRS Morningstar 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 GmbH are subject to EU and US regulations only.

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 9 October 2015

DBRS Ratings GmbH
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60311 Frankfurt am Main Deutschland
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

Ratings issued and monitored by DBRS Ratings GmbH are noted as such on the DBRS website; however, the language and related statements in previously published press releases in respect of the relevant ratings will not be changed retroactively and will remain as part of DBRS Morningstar’s historical record. The ratings issued and monitored in the European Union are marked as such in their respective rating tables. As part of this transfer, these markings will remain unchanged on all active ratings related to the Issuer.

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
-- Rating European Consumer and Commercial Asset-Backed Securitisations

A description of how DBRS Morningstar 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.