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Rating Action:

Moody's Reviews For Upgrade the Ratings of Six Italian ABS Consumer Notes Due to Deleveraging

28 May 2014

London, 28 May 2014 -- Moody's Investors Service has today placed on review for possible upgrade the ratings of six notes in three Italian asset-backed securities (ABS) consumer transactions due to deleveraging.

The affected notes are Class B of Golden Bar (Securitisation) S.r.l. Series 2011-2, Class B-2012-1 of Golden Bar (Securitisation) S.r.l. Series 2012-1 and Series 1B, Series 2B, Series 1C and Series 2C of Sunrise S.r.l. Please see the "List of Affected Ratings" section of this press release for a detailed list of the affected ratings.

RATINGS RATIONALE

Today's rating action primarily reflects (1) the deleveraging in the Italian ABS transactions and the resulting high level of credit enhancement; (2) the fact that performance is still in line with expectations although deteriorating in Golden Bar (Securitisation) S.r.l Series 2012-1 and (3) the fact that other risk factors have either stabilised or improved since the last review e.g., Italy's Baa2 government bond rating outlook was changed to stable in February 2014 and the servicer's parent, Santander Consumer Finance S.A., had its senior unsecured rating upgraded to Baa1 in March 2014 in the two Golden Bar transactions.

The rapid amortisation in the three transactions has prompted a significant deleveraging in their capital structures. This is the key driver for placing on review the ratings of these transactions.

The credit enhancement under Class B in Golden Bar (Securitisation) S.r.l Series 2011-2 increased to 61% from 36.5% on the closing date.

The credit enhancement under Class B-2012-1 in Golden Bar (Securitisation) S.r.l Series 2012-1 increased to 40.8% from 25% on the closing date.

In Sunrise S.r.l, the credit enhancement under Series 1 B, Series 1 C, Series 2 B and Series 2 C increased to 20.5% from 3.7% on the closing date, to 7.1% from 1%, to 20.5% from 3.7% and to 7.1% from 1% respectively.

The performance of the three transactions is in line with Moody's expectations.

90+ delinquency on the current pool stands at very similar levels in all three deals, respectively 2.42% for Golden Bar (Securitisation) S.r.l Series 2011-2, 2.54% in Golden Bar (Securitisation) S.r.l Series 2012-1 and 2.53% in Sunrise Srl. The cumulative defaults on original pool plus replenishments for the two Golden Bar transactions currently stand at 5.14% and 6.75% respectively. The Sunrise Srl transaction cumulative default rate is more stable with current levels at 2.58%. Recently, both Golden Bar transactions benefitted from the support of Santander Consumer Bank S.p.A through the repurchase of defaulted loans (the aforementioned cumulative default rates include the repurchased defaulted loans).

For Golden Bar (Securitisation) S.r.l Series 2011-2, the current default rate assumption is 10% of the current portfolio balance, the fixed recovery rate is 10% and the coefficient of variation (CoV) is 43% which, combined with the key collateral assumptions, corresponds to a portfolio credit enhancement of 24%.

For Golden Bar (Securitisation) S.r.l Series 2012-1, the current default rate assumption is 16% of the current portfolio balance, the fixed recovery rate is 10% and the CoV is 35% which, combined with the key collateral assumptions, corresponds to a portfolio credit enhancement of 39.9%.

For Sunrise Srl, the current default rate assumption is 4.5% of the current portfolio balance, the fixed recovery rate is 15% and the CoV is 62.2% which, combined with the key collateral assumptions, corresponds to a portfolio credit enhancement of 18%.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

Factors or circumstances that could lead to a downgrade of the ratings affected by today's action would be (1) worse-than-expected performance of the underlying collateral; (2) deterioration in the credit quality of the counterparties; and (3) an increase in Italy's sovereign risk.

Factors or circumstances that could lead to an upgrade of the ratings affected by today's action would be the better-than-expected performance of the underlying assets, further deleveraging and a decline in both counterparty and sovereign risk.

The principal methodology used in these ratings was "Moody's Approach to Rating Consumer Loan ABS Transactions" published in May 2013. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

LIST OF AFFECTED RATINGS:

Issuer: Golden Bar (Securitisation) S.r.l. Series 2011-2

....EUR95M Class B Notes, Baa1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 13, 2011 Assigned Baa1 (sf)

Issuer: Golden Bar (Securitisation) S.r.l. Series 2012-1

....EUR56.5M Class B - 2012-1 Notes, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on Jul 23, 2012 Assigned Baa3 (sf)

Issuer: Sunrise Srl

....EUR60.2M Series 1 B Notes, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 12, 2013 Confirmed at Ba1 (sf)

....EUR28.7M Series 1 C Notes, B3 (sf) Placed Under Review for Possible Upgrade; previously on Jun 12, 2013 Confirmed at B3 (sf)

....EUR30.25M Series 2 B Notes, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Jun 12, 2013 Confirmed at Ba1 (sf)

....EUR12.25M Series 2 C Notes, B3 (sf) Placed Under Review for Possible Upgrade; previously on Jun 12, 2013 Confirmed at B3 (sf)

REGULATORY DISCLOSURES:

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.

Moody's did not use any stress scenario simulations in its analysis.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Anne-Sophie Spirito
Asst Vice President - Analyst
Structured Finance Group
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Mehdi Ababou
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Ludovic Thebault
Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Reviews For Upgrade the Ratings of Six Italian ABS Consumer Notes Due to Deleveraging
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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