DBRS Ratings Limited Assigns Final Ratings to Sunrise S.r.l. Series 2012

DBRS Ratings Limited (DBRS) has today assigned final ratings of AAA (sf) – Under Review with Negative Implications to the Series 2012 Class A fixed rate notes issued by Sunrise S.r.l. (the “Notes”). The Notes are backed by a pool of receivables which consists of consumer loans originated in Italy by Agos Ducato S.p.A.

Upon a confirmation of the current sovereign rating, DBRS is expected to confirm and remove the rating for the Class A Notes from Under Review with Negative Implications. Upon a downgrade of the current sovereign rating, DBRS will apply an additional sovereign related stress component to the Notes, which may result in a confirmation or downgrade of the existing rating and removal of the rating from Under Review with Negative Implications.

The ratings are based upon review by DBRS of the following analytical considerations:

• Transaction capital structure and form and sufficiency of available credit enhancement.
• Relevant credit enhancement in the form of a cash reserve account and subordination. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption under various stress scenarios at a AAA (sf) standard.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
• The credit quality of the collateral and ability of the Servicer to manage collections activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.
• Incorporation of a sovereign related stress component in our stress scenario due to the rating of the Republic of Italy at ‘A’ (high), which was placed Under Review with Negative Implications on May 22, 2012 (see press release “DBRS Places Italy’s Ratings Under Review with Negative Implications”).
• As of the date of issuing the rating, the Italian sovereign rating is rated ‘A’ (high), Under Review with Negative Implications. Consequently, this is reflected in the rating of AAA (sf) - Under Review with Negative Implications for the Class A notes.

Note:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• European Consumer and Commercial Asset-Backed Securitisations
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European ABS and SME CLO Servicers
• Unified Interest Rate Model Methodology for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include performance data relating to the receivables provided by Agos Ducato S.p.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

This is a newly created financial instrument.

For additional information on this rating, please see the linking document.

The full report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Bruno Franco
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 17 July 2012