Press Release

DBRS Morningstar Assigns Credit Ratings to Golden Bar (Securitisation) S.r.l. - Series 2023-2

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September 26, 2023

DBRS Ratings GmbH (DBRS Morningstar) assigned credit ratings to the following classes of notes (collectively, the Rated Notes) issued by Golden Bar (Securitisation) S.r.l. - Series 2023-2 (the Issuer):

-- Class A-2023-2 Notes (Class A Notes) at AAA (sf)
-- Class B-2023-2 Notes (Class B Notes) at A (high) (sf)
-- Class C-2023-2 Notes (Class C Notes) at A (low) (sf)
-- Class D-2023-2 Notes (Class D Notes) at BBB (sf)
-- Class E-2032-2 Notes (Class E Notes) at BB (sf)
-- Class F-2032-2 Notes (Class F Notes) at B (low) (sf)

DBRS Morningstar did not assign credit ratings to the Class Z-2023-2 Variable Return Notes (together with the Rated Notes, the Notes).

The credit rating on the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The credit ratings on the Class B to Class E Notes address the ultimate payment of scheduled interest (and 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 scheduled interest and the ultimate repayment of principal by the final maturity date.

CREDIT RATING RATIONALE
The Issuer is a special-purpose entity, incorporated for the purpose of issuing asset-backed securities. The Issuer has already engaged in several securitisation transactions that were also carried out in accordance with Italian securitisation law. The new securitisation is fully segregated from the Issuer’s previous securitisations.

Only the Class A Notes to Class E Notes are collateralised and backed by a portfolio of fixed-rate receivables related to Italian standard auto loans and balloon auto loans granted by Santander Consumer Bank S.p.A. (SCB; the Originator or the Seller) to private consumers and sole proprietors residing in the Republic of Italy. SCB will also act as the Servicer for the transaction. The Class F Notes are uncollateralised and were issued to fund the cash reserve at closing.

The credit ratings are based on the following considerations:
-- The transaction's capital structure, including form and sufficiency of available credit enhancement.
-- Credit enhancement levels that are sufficient to support DBRS Morningstar’s projected expected net losses under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested.
-- The Seller and Servicer’s capabilities with respect to originations, underwriting, servicing, and financial strength.
-- The appointment of a backup servicer facilitator upon closing.
-- The transaction parties’ financial strength with regard to their respective roles.
-- The credit quality, diversification of the collateral, and historical and projected performance of the Seller’s portfolio.
-- The sovereign credit rating on the Republic of Italy, currently at BBB (high) with a Stable trend.
-- The consistency of the transaction’s legal structure with DBRS Morningstar’s “Legal Criteria for European Structured Finance Transactions” methodology, the presence of legal opinions that address the true sale of the assets to the Issuer.

DBRS Morningstar’s 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 are the related principal amount outstanding and the related interest amounts.

DBRS Morningstar’s credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations.

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar 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. The DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

TRANSACTION STRUCTURE
The transaction features a 15-month revolving period scheduled to end in December 2024. During this period, the Issuer will purchase new receivables that the Originator may offer subject to certain eligibility criteria and transfer limits. During the amortisation period, the repayment of the Notes will be pro rata among the Class A Notes to Class E Notes until a sequential redemption event occurs, at which point the amortisation of the Class A Notes to Class E Notes will be fully sequential. Sequential redemption events include, among others, the breach of performance related triggers, the default of the Seller, the termination of the servicing agreement, or the Seller not exercising the call option.

The Class A Notes to Class E Notes benefit from a fully funded non-amortising cash reserve equal to 1.4% of the Class A to Class E Notes initial balance, which the Issuer can use to pay senior expenses, swap payments, and interest of the Rated Notes. The Class F Notes are only redeemed through available excess spread.

COUNTERPARTIES
The Bank of New York Mellon SA/NV - Milan Branch (BNYM) has been appointed as the Issuer’s account bank for the transaction. DBRS Morningstar has a Long-Term Senior Debt rating of AA (high) and a Long-Term Deposits rating of AA (high) on BNYM and considers BNYM to meet the relevant criteria to act in this capacity. The transaction documents contain downgrade provisions relating to the account bank consistent with DBRS Morningstar’s legal criteria.

Banco Santander SA (Santander) has been appointed swap counterparty for the transaction. DBRS Morningstar's public Long Term Critical Obligations Rating on Santander is AA (low) with a Stable trend, which meets the criteria to act in such capacity. The hedging documents contain downgrade provisions consistent with DBRS Morningstar's derivative criteria.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the “DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings” at https://www.dbrsmorningstar.com/research/416784/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

DBRS Morningstar 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 (19 October 2022), https://www.dbrsmorningstar.com/research/404212/rating-european-consumer-and-commercial-asset-backed-securitisations.

Other methodologies referenced in this transaction are listed at the end of this press release.

DBRS Morningstar 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. Because of 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 Ratings on Other DBRS Morningstar Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://www.dbrsmorningstar.com/research/401817.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The sources of data and information used for these credit ratings include the Seller and its agents. DBRS Morningstar received the following data:
-- Quarterly static gross default and recovery data from Q1 2013 to Q2 2023;
-- Dynamic origination data from Q1 2013 to Q2 2023;
-- Dynamic delinquency and prepayment data from Q1 2013 to Q2 2023;
-- Provisional portfolio data and stratification tables as at 11 September 2023; and
-- A theoretical amortisation of the selected pool.

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

DBRS Morningstar was supplied with one or more third-party assessments. However, this did not impact the credit rating analysis.

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

DBRS Morningstar 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 DBRS Morningstar credit ratings on these financial instruments.

Information regarding DBRS Morningstar credit ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit ratings, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- Expected default rate: 2.3%.
-- Expected recovery rate: 46.0%.
-- Loss given default (LGD): 72.4% for the AAA (sf) scenario, 67.5% for the A (high) (sf) scenario, 65.0% for the A (low) (sf) scenario, 62.6% for the BBB (sf) scenario, 58.9% for the BB (sf) scenario, and 54.0% for the B (low) (sf) scenario.

Scenario 1: 25% increase in LGD.
Scenario 2: 50% increase in LGD.
Scenario 3: 25% increase in PD.
Scenario 4: 50% increase in PD.
Scenario 5: 25% increase in PD and 25% increase in LGD.
Scenario 6: 25% increase in PD and 50% increase in LGD.
Scenario 7: 50% increase in PD and 25% increase in LGD.
Scenario 8: 50% increase in PD and 50% increase in LGD.

DBRS Morningstar concludes that the expected credit ratings under the eight stress scenarios would be:
-- Class A Notes: AA (sf), AA (sf), AA (sf), AA (sf), AA (low) (sf), A (high) (sf), A (high) (sf), and A (sf).
-- Class B Notes: A (sf), A (low) (sf), A (low) (sf), BBB (high) (sf), BBB (high) (sf), BBB (sf), BBB (sf), and BBB (sf).
-- Class C Notes: BBB (sf), BBB (sf), BBB (sf), BBB (sf), BBB (low) (sf), BB (high) (sf), BB (high) (sf), and BB (sf).
-- Class D Notes: BB (high) (sf), BB (sf), BB (high) (sf), BB (high) (sf), BB (sf), B (high) (sf), BB (low) (sf), and B (sf)
-- Class E Notes: B (high) (sf), B (sf), B (high) (sf), B (low) (sf), B (low) (sf), below B (low) (sf), below B (low) (sf), and below B (low) (sf).
-- Class F Notes: B (low) in scenario 1 and below B (low) (sf) in the other scenarios.

For further information on DBRS Morningstar 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 DBRS Morningstar 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
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 26 September 2023

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://www.dbrsmorningstar.com/research/278375.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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