DBRS Upgrades Ratings on Golden Bar (Securitisation) S.r.l. - Series 2014-1

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the bonds issued by Golden Bar (Securitisation) S.r.l. - Series 2014-1 (the Issuer):

-- Class A notes upgraded to AA (sf) from A (high) (sf)
-- Class B notes upgraded to AA (low) (sf) from A (low) (sf)

The rating actions on the Class A and Class B notes (together, the Rated Notes) follow an annual review of the transaction and are based on the following analytical considerations as described more fully below:
-- Portfolio performance, in terms of delinquencies and defaults, as of February 2017.
-- Updated default, recovery and loss assumptions on the remaining receivables.
-- Current available credit enhancement to the Class A and Class B Notes to cover the expected losses at the AA (sf) and AA (low) (sf) rating levels, respectively.

The Issuer is a securitisation of Italian unsecured vehicle loans extended to retail clients and small business enterprises, originated and serviced by Santander Consumer Bank SpA.

PORTFOLIO PERFORMANCE
As of February 2016, the 90+ delinquency ratio was 0.38%. The current cumulative default ratio is low at 0.90%.

PORTFOLIO ASSUMPTIONS
DBRS has conducted a loan-level analysis of the collateral pool and decreased its cumulative net loss assumption to 4.09% from 4.51%, respectively. The main driver for the decreased loss assumption is the updated portfolio composition which is no longer based on a “worst case” collateral pool as the transaction revolving period was terminated in June 2016. DBRS applies an increased sovereign stress in Italian securitisation transactions following DBRS’s downgrade of the Republic of Italy’s Long-Term Foreign and Local Currency Issuer Ratings to BBB (high) from A (low) on 13 January 2017.

CREDIT ENHANCEMENT
As of the March 2017 payment date, credit enhancement to the Class A notes was 28.08%, up from 16.49% at the DBRS initial rating. Credit enhancement to the Class B notes was 21.26%, up from 12.49% at the DBRS initial rating. Credit enhancement is provided by subordination of junior classes of notes and the Cash Reserve.

The transaction benefits from a Cash Reserve, currently at the target level of EUR 18.80 million. The Cash Reserve covers senior fees, interest and principal (via the Principal Deficiency Ledgers) on the Rated Notes.
On 15 December 2016, Banco Santander SA replaced BNP Paribas Securities Services, London branch as the account bank for the transaction. The account bank reference rating of ”A” – being one notch below the DBRS Long-Term Critical Obligations Rating (COR) of Banco Santander SA at A (high) – 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.

Abbey National Treasury Services Plc is the swap counterparty for the transaction. The DBRS private rating of Abbey National Treasury Services Plc is above the First Rating Threshold as described in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.
The principal methodology applicable to the rating 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.

A review of the amended transaction legal documents has been conducted following the replacement of the transaction account bank. The other transaction legal documents have remained unchanged since the most recent rating action and a review was not conducted.

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 the DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” at: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries.
The sources of data and information used for these ratings include quarterly reports provided by Santander Consumer Bank SpA, BNP Paribas Securities Services, Milan Branch (the Calculation Agent), and loan-level data from European DataWarehouse GmbH.
DBRS did not rely upon third-party due diligence in order to conduct its analysis. At the time of the initial rating, DBRS was not supplied with 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 these ratings to be of satisfactory quality.

DBRS 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 3 June 2016, when DBRS confirmed the rating of A (high) (sf) on the Class A notes and confirmed the rating of A (low) (sf) on the 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 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 4.66% and 89.59%, 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 (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A notes would be expected to remain at AA (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 AA (low) (sf).

Class A notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (sf).
-- 50% increase in LGD, expected rating of AA (sf).
-- 25% increase in PD, expected rating of AA (sf).
-- 50% increase in PD, expected rating of AA (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf).

Class B notes Risk Sensitivity:
-- 25% increase in LGD, expected rating of AA (low) (sf).
-- 50% increase in LGD, expected rating of AA (low) (sf).
-- 25% increase in PD, expected rating of AA (low) (sf).
-- 50% increase in PD, expected rating of AA (low) (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (low) (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf).

For further information on DBRS historic 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 regulations only.

Lead Analyst: Andrew Lynch, Assistant Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Date: 11 June 2014

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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
-- Unified Interest Rate Model for European Securitisations
-- Derivative Criteria 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