DBRS Finalises Provisional Ratings Assigned to Sunrise 2015-2

DBRS Ratings Limited (DBRS) has today finalised provisional ratings previously assigned to the following notes issued by Sunrise S.r.l. (the issuer):

     -- Series 2015-2 - Class A Notes at AAA (sf)
     -- Series 2015-2 - Class M1 Notes at A (high) (sf)
     -- Series 2015-2 - Class M2 Notes at A (high) (sf)

The Class A Notes, Class M1 Notes and M2 Notes (the Notes) are backed by a pool of receivables related to Italian consumer loan contracts granted to Italian individuals resident in Italy by Agos Ducato SpA (Agos).

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 subordination and a cash reserve.
-- Credit enhancement levels are sufficient to support the expected cumulative net loss assumption projected under various stress scenarios at AAA (sf) and A (high) (sf) standard respectively for the Class A Notes and the Class M Notes issued by Sunrise 2015-2.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- Agos’ capabilities with respect to originations, underwriting, servicing and financial strength.
-- The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral. DBRS conducted an operational risk review of Agos and deems Agos as an acceptable servicer.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with DBRS’s “Legal Criteria for European Structured Finance Transactions”.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is:
“Rating European Consumer and Commercial Asset-Backed Securitisations”.

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

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include performance and portfolio data relating to the receivables sourced by Agos through the transaction arrangers, Banca Aletti and Crédit Agricole Corporate and Investment Banking. DBRS received historical performance default and recovery data relating to Agos’ originations by quarterly vintage on a cumulative basis going back to 2001 and up to and including 2014. Data was also provided relating to monthly dynamic arrear levels and yearly static prepayment data from to 2003 up to 2014. In addition, DBRS received portfolio stratification tables related to the collateral portfolio selected by Agos as at 30 April 2015 that allowed DBRS to further assess the portfolio.

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.

DBRS does not rely upon third-party due diligence in order to conduct its analysis. DBRS was supplied with third party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

These ratings concern newly issued financial instruments.

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

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 to the parameters used to determine the rating (the Base Case):

-- Probability of Default (PD) Rate Used: Base Case PD of 9.36% (excluding sovereign stress), a 25% and 50% increase on the Base Case PD.
-- Recovery Rate Used: Base Case Recovery Rate of 13% (excluding sovereign stress).
-- Loss Given Default (LGD): Base Case LGD of 74%, a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A Notes:

-- A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf).
-- A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (low) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).

DBRS concludes that for the Class M Notes:

-- A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class M Notes to A (sf).
-- A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class M Notes to A (low) (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class M Notes to BBB (high) (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class M Notes to BBB (sf).
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class M Notes to BBB (sf).
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class M Notes to BB (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (ESMA) 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: Paolo Conti
Initial Rating Date: 9 June 2015
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: Not applicable; no last rating date.

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Erin Stafford

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

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