DBRS Ratings GmbH (DBRS) confirmed its AA (sf) rating on the Class A Notes issued by Golden Bar (Securitisation) S.r.l. - Series 2018-1 (the Issuer).
The ratings of the Class A Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date.
The confirmation follows an annual review of the transaction and is based on the following analytical considerations:
-- The overall portfolio performance as of the March 2019 payment date, particularly with regard to low levels of delinquencies and cumulative net losses;
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables.
-- The current available credit enhancement (CE) to the the Rated Notes to cover the expected losses assumed in line with their AA (sf) rating level.
The Issuer is a securitisation of Italian consumer loan receivables originated and serviced by Santander Consumer Bank SpA. The transaction has a 26-month revolving period which is expected to end on the June 2020 payment date.
PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of the March 2019 payment date, one- to -two month and two- to three-month delinquencies were 0.11% and 0.09% of the portfolio net discounted balance, respectively, while delinquencies greater than three months were 0.10%. Gross cumulative defaults, as a percentage of the original portfolio and cumulative transferred receivables, were 0.14%, with cumulative recoveries of 6.3%.
PORTFOLIO ASSUMPTIONS AND REVOLVING PERIOD
DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and has maintained its base case PD and LGD assumptions at 5.2% and 83.0%, respectively.
The transaction includes a 26-month revolving period, during which the Issuer has the option to purchase new receivables. Concentration limits are in place to mitigate against any negative evolution of the portfolio, and performance triggers are included in the revolving period termination events. When the revolving period ends, the amortisation of the Notes will begin. To date, all triggers are being met.
As of the March 2019 payment date, CE to the Class A Notes was 18.1%, stable since closing because of the revolving period. CE to the Class A Notes consists of subordination of the junior class and the cash reserve.
The cash reserve covers senior fees and interest shortfall on the Class A Notes. The cash reserve is also available to clear the Principal Deficiency Ledger. As of the March 2019 payment date, the cash reserve was at its target level of EUR 3.9 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 Long-Term Critical Obligations Rating (COR) of AA (low), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, DBRS considers the risk arising from the exposure to Santander to be consistent with the ratings assigned to the Notes, as described in DBRS's "Legal Criteria for European Structured Finance Transactions" methodology.
Santander acts as the Swap Counterparty for the transaction. DBRS’s Long Term COR of Santander at AA (low) is consistent with the First Rating Threshold as described in “Derivative Criteria for European Structured Finance Transactions” methodology.
The transaction structure was analysed in Intex DealMaker.
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.
An asset and a cash flow analysis were both conducted. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.
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 Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.
The sources of data and information used for these ratings include investor reports provided by The Bank of New York Mellon SA/NV - Milan Branch and loan-level data provided by the 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 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 27 April 2018 when DBRS assigned its ratings to the Class A Notes at AA (sf).
The lead analyst responsibilities for this transaction have been transferred to Alfonso Candelas.
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 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 5.2% and 83.0%, 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 (low) (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 A (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 A (low) (sf).
Class A 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 A (high) (sf).
-- 50% increase in PD, expected rating of A (low) (sf).
-- 25% increase in PD and 25% increase in LGD, expected rating of A (sf).
-- 25% increase in PD and 50% increase in LGD, expected rating of A (sf).
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf).
-- 50% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf).
For further information on DBRS historic default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:
Ratings assigned by DBRS Ratings GmbH are subject to EU and US regulations only.
Lead Analyst: Alfonso Candelas, Senior Vice President
Rating Committee Chair: Gareth Levington, Managing Director
Initial Rating Date: 27 April 2018
DBRS Ratings GmbH
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Geschäftsführer: Detlef Scholz
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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
--Master European Structured Finance Surveillance Methodology
--Rating European Consumer and Commercial Asset-Backed Securitisations
--Legal Criteria for European Structured Finance Transactions
--Operational Risk Assessment for European Structured Finance Servicers
--Operational Risk Assessment for European Structured Finance Originators
--Derivative Criteria for European Structured Finance Transactions
--Interest Rate Stresses 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.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at email@example.com.