DBRS Confirms AAA (sf) Rating and Assigns A (high) (sf) Rating to Sunrise S.r.l. - Series 2012

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

-- Class A Notes confirmed at AAA (sf)
-- Class M Notes assigned rating of A (high) (sf) (collectively with the Class A Notes, the Rated Notes; and collectively with the unrated Class J Notes, the Notes).

Following the retranching, the senior notes and mezzanine notes are rated in a way consistent with securitisations issued by Sunrise S.r.l. since 2014.

The Notes are backed by a pool of Italian consumer loans granted prior to August 2014 and serviced by Agos Ducato S.p.A. (Agos), a leading consumer finance company in Italy.

The ratings are based on the following considerations:
-- The sufficiency of available credit enhancement in the form of subordination (28% for the Class A Notes and 19.5% for the Class M Notes), various reserves and excess spread.
-- The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Rated Notes according to the terms of the transaction documents.
-- Agos’ capabilities with respect to originations, underwriting and servicing.
-- 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.”

The transaction was modelled in Intex Dealmaker.

Notes:
All figures are in euros unless otherwise noted.

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

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

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

The sources of information used for this rating include historical performance of default and recovery of the loans originated by Agos by quarterly vintage on a cumulative basis from 2004 to 2015 (defaults) and from 2001 to 2015 (recoveries) through the arrangers (Banca Aletti & C. and Crédit Agricole Corporate & Investment Bank). In addition, DBRS received stratification tables of the provisional collateral portfolio.

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 available to it for the purposes of providing this rating was 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.

This rating was disclosed to the arrangers, Banca Aletti & C. and Crédit Agricole Corporate & Investment Bank.

This is the first DBRS rating on the Class M Notes.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the 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): Base Case of 9.93%, a 25% and 50% increase on the Base Case PD.
-- Loss given default (LGD): Base Case of 87.49%, increase to 90% and 100%.

DBRS concludes that for the Class A Notes:
-- A hypothetical LGD of 87.49%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A Notes.
-- A hypothetical LGD of 90%%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A Notes.
-- A hypothetical LGD of 100%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A Notes.
-- A hypothetical increase of the Base Case PD by 25%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A Notes.
-- A hypothetical increase of the Base Case PD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical LGD of 90%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A Notes.
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical LGD of 90%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical LGD of 100%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (high) (sf).
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical LGD of 100%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf).

DBRS concludes that for the Class M Notes:
-- A hypothetical LGD of 87.49%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class M Notes.
-- A hypothetical LGD of 90%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class M Notes.
-- A hypothetical LGD of 100%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class M Notes.
-- A hypothetical increase of the Base Case PD by 25%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class M Notes.
-- A hypothetical increase of the Base Case PD by 50%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class M Notes.
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical LGD of 90%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class M Notes.
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical LGD of 90%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class M Notes.
-- A hypothetical increase of the Base Case PD by 25% and a hypothetical LGD of 100%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class M Notes.
-- A hypothetical increase of the Base Case PD by 50% and a hypothetical LGD of 100%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class M Notes

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: Bruno Franco
Initial Rating Date: 17 July 2012
Initial Rating Committee Chair: Claire Mezzanotte, Group Managing Director, Global Structured Finance

Lead Analyst: Kevin Chiang, Senior Vice President, Global Structured Finance
Rating Committee Chair: Chuck Weilamann, Managing Director, U.S. ABS, Global Structured Finance

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

The rating methodologies 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
-- Operational Risk Assessment for European Structured Finance Originators
-- Unified Interest Rate Model for European Securitisations
-- Derivative Criteria for European Structured Finance Transactions

A description of how DBRS analysis structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375