DBRS Takes Rating Actions on Sunrise S.r.l. - Series 2014

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the notes issued by Sunrise S.r.l. - Series 2014 (the Issuer):

-- Class A Notes confirmed at AAA (sf)
-- Class M Notes upgraded to AA (sf) from A (high) (sf)

The above-mentioned rating actions are based on the following analytical considerations, as described more fully below:
-- Portfolio performance, in terms of defaults and level of delinquencies, as of the June 2015 payment date.
-- Actual gross default rate, recovery rate and expected losses are within DBRS’s expectations.
-- Current available credit enhancements to the Class A and Class M Notes to cover the expected losses.

Sunrise S.r.l. - Series 2014 is a securitization consisting of unsecured Italian consumer loans receivables underwritten to retail clients and originated by Agos Ducato S.p.A. The portfolio consists of new and used auto loans, personal loans and furniture loans.

The portfolio is performing in line with DBRS’s expectations. The gross cumulative default ratio (as a percentage of the original portfolio) is 0.61% as of May 2015. The 90+ delinquency ratio is 0.91%.

Credit enhancement for the Class A Notes (as a percentage of the performing portfolio) increased to 63.46% in May 2015 from 41.33% in June 2014. Credit enhancement for the Class M Notes increased to 29.45% from 19.11%.

The transaction benefits from a non-amortising cash reserve fully funded. The cash reserve is available to cover senior expenses and interest on the notes, but does not provide credit enhancement until the last payment date when the notes are to be paid in full. The cash reserve is currently at the target level of EUR 40.7 million.

Crédit Agricole Corporate and Investment Bank SA, Milan Branch (Crédit Agricole CIB) serves as account bank for the transaction. The DBRS private rating of Crédit Agricole CIB is at least equal to the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in the DBRS methodology “Legal Criteria for European Structured Finance Transactions.”

Crédit Agricole CIB and Natixis S.A. (Natixis) serve as the Swap Counterparties for the transaction. The DBRS private ratings of Crédit Agricole CIB and Natixis are at least equal to the Minimum Institution Rating given the rating assigned to the Class A Notes, as described in the DBRS methodology “Legal Criteria for European Structured Finance Transactions.”

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology, which may be found on www.dbrs.com at http://www.dbrs.com/about/methodologies. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. Other methodologies referenced in this transaction are listed at the end of this press release.

The sources of information used for this rating include investor reports provided by Agos Ducato. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not rely upon third-party due diligence in order to conduct its analysis; however, Agreed-Upon Procedures (AUP) are included in the requested documentation. DBRS was not supplied with AUP documents. Data checks were performed and DBRS did not apply additional cash flow stresses in its scenarios.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 27 June 2014, when DBRS finalised the provisional ratings it assigned to this transaction.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on 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 base-case probability of default (PD) and loss given default (LGD) for the pool based on a review of the transaction performance. 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 receivables are 8.90% and 86.35%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A and Class M Notes 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 for the Class A Notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50%, the rating for the Class A Notes would be expected to remain at AAA (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), all else being equal.

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

Class M 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 (low) (sf).
-- 25% increase in LGD and 25% increase in PD, expected rating of AA (low) (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of AA (low) (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of A (high) (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of A (high) (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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.

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 27 June 2014
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Diana Turner

DBRS Ratings Limited
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Registered in England and Wales: No. 7139960.

The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies and are as follows:

-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations
-- Rating European Consumer and Commercial Asset-Backed Securitisations

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.