DBRS Takes Rating Actions on Sunrise S.r.l. - Series 2012

DBRS Ratings Limited (DBRS) has today taken the following rating actions on the Class A Notes issued by Sunrise S.r.l. - Series 2012 (the Issuer):

-- Class A notes confirmed at AAA (sf)

The above-mentioned rating action is based on the following analytical considerations, as described more fully below:
-- Portfolio performance, in terms of defaults and level of delinquencies, as of the May 2015 payment date.
-- Updated default, recovery and loss assumptions on the remaining balance of the collateral portfolio.
-- Current available credit enhancements to the Class A notes to cover the expected losses.

Sunrise S.r.l. - Series 2012 is a securitisation of a pool of Italian unsecured consumer loans originated and serviced by Agos Ducato S.p.A. The transaction closed in July 2012 and had an initial two year reinvestment period which expired in August 2014.

As of the May 2015 payment date, the 90+ delinquency ratio was 2.26%. The cumulative gross default ratio was 3.19% of the aggregated collateral balance with 3.76% of cumulative recoveries to date.

Credit enhancement for the Class A Notes comes from the subordination of the Class J Notes and a non-amortising Cash Reserve Fund. Current credit enhancement of the Class A Notes (as a percentage of the performing collateral balance) is equal to 64.10%.

The transaction benefits from a Defaulted Account which records any new periodic defaults and allows the Excess Spread to clear this ledger. This account is senior to the Cash Reserve Fund. The balance of the Cash Reserve Fund stands at EUR 149.9 million, its required amount.

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

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the “Master European Structured Finance Surveillance Methodology”, which can be found on the DBRS website under Methodologies 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. A review of the transaction’s legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. These may 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 investor reports provided by Crédit Agricole CIB - Italian Branch.

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

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

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 18 July 2014, when DBRS confirmed the Class A Notes rating at AAA (sf).

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 9.09% and 95.0%, respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected for the Class A 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 decrease to AA (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 decrease to AA (sf), all else being equal.

Class A Notes 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 AA (sf).
-- 25% increase in LGD and 25% increase in PD, expected rating of AA (high) (sf).
-- 25% increase in LGD and 50% increase in PD, expected rating of AA (sf).
-- 50% increase in LGD and 25% increase in PD, expected rating of AA (high) (sf).
-- 50% increase in LGD and 50% increase in PD, expected rating of AA (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: Bruno Franco
Initial Rating Date: 17 July 2012
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

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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 and are as follows:

Legal Criteria for European Structured Finance Transactions
Master European Structured Finance Surveillance Methodology
Operational Risk Assessment for European Structured Finance Servicers
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.