DBRS Upgrades Ratings on Golden Bar (Securitisation) S.r.l. - Series 2012-1

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the bond issued by Golden Bar (Securitisation) S.r.l. - Series 2012-1 (the Issuer):

-- Class A notes upgraded to A (high) (sf) from A (sf);
-- Class B notes upgraded to BBB (high) (sf) from BBB (sf).

The upgrades on the Class A and Class B notes are based on the following analytical considerations, as described more fully below:

-- Portfolio performance, in terms of delinquencies and defaults, as of the January 2015 payment date.
-- Actual default rate, recovery rate and expected losses are within DBRS’s expectations.
-- Additional cash flow analysis of the Class A and Class B notes without the benefit of the cash reserve or liquidity reserve.

Golden Bar (Securitisation) S.r.l. - Series 2012-1 is a securitisation of Italian unsecured consumer loan receivables originated and serviced by Santander Consumer Bank SpA (SCB).

As of January 2015, two- to three-month arrears were at 1.16%, and the 90+ delinquency ratio was at 1.73%. The cumulative default ratio, including EUR 18.50 million of defaulted receivables that have been sold to third parties, was 10.69%.

As of the January 2015 payment date, credit enhancement to the Class A notes was 77.93%. Credit enhancement to the Class A notes consists of subordination of the Class B and C notes as well as the cash reserve. As of the January 2015 payment date, credit enhancement to the Class B notes was 63.45%. Credit enhancement to the Class B notes consists of subordination of the Class C notes and the cash reserve.

As of the January 2015 payment date, the cash reserve was at the target level of EUR 16.42 million and the liquidity reserve was at the target level of EUR 15.00 million.

The Bank of New York Mellon, London Branch acts as account bank for the transaction. The DBRS public rating of The Bank of New York Mellon, London Branch at “AA” complies with the Minimum Institution Rating given the rating assigned to the Class A notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

The Issuer has replacement triggers for the account bank, where, in the event that The Bank of New York Mellon, London Branch were to be downgraded below BBB by DBRS, the Management Company shall find a replacement institution, which is rated at least BBB by DBRS. However, DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology as of 31 December 2014 indicates that an Account Bank’s having the minimum rating of “BBB (high)” with respect to an A (high) transaction combined with a provision to replace within 30 calendar days of a downgrade below that level is generally sufficient to mitigate the risk of that counterparty’s default.

Given the combination of the current rating of The Bank of New York Mellon, London Branch and the replacement provision described above, additional cash flow analysis for the rated notes included scenarios where the transaction did not benefit from the reserve funds. In these scenarios, the Class A notes were able to withstand DBRS expected losses at the A (high) (sf) rating level and the Class B notes were able to withstand DBRS expected losses at the BBB (high) rating level.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable 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. Other methodologies referenced in this transaction are listed at the end of this press release and may be found on www.dbrs.com at
http://www.dbrs.com/about/methodologies.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by The Bank of New York Mellon, London Branch, servicer reports provided by Santander Consumer Bank SpA and data from the European DataWarehouse. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not rely upon third-party due diligence in order to conduct its analysis. DBRS was not supplied with third-party assessments; however, this did not affect the rating analysis.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 2 July 2014, when DBRS confirmed the ratings on the Class A and Class B Notes.

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 base case probability of default (PD) and loss given default (LGD) for the pool based on a review of the transaction performance. Adverse changes to 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 receivables for the Issuer are 23.93% and 89.42%, 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 fall to BBB (high) (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 BBB (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 to fall to BB (high) (sf).

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

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

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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 regulations only.

Initial Lead Analyst: Paolo Conti
Initial Rating Date: 23 July 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Andrew Lynch
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960.

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

-- Legal Criteria for European Structured Finance Transactions (December 2014)
-- Master European Structured Finance Surveillance Methodology (April 2015)
-- Operational Risk Assessment for European Structured Finance Servicers (January 2015)
-- Rating European Consumer and Commercial Asset-Backed Securitisations (December 2014)
-- Unified Interest Rate Model for European Securitisations (January 2013)

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.