DBRS Upgrades Sunrise S.r.l. - Series 2009

DBRS Ratings Limited (DBRS) has today taken the following rating action on the Class A Notes (the Notes) issued by Sunrise S.r.l. - Series 2009 (the Issuer):

-- EUR 76,189,793 Class A Notes upgraded to AAA (sf) from AA (high) (sf)

The above-mentioned rating action is based on the following analytical considerations, as described more fully below:
-- The overall portfolio performance as of the May 2016 payment date, in particular with regard to levels of cumulative net loss and delinquencies.
-- Probability of default, loss given default and expected loss assumptions for the remaining collateral pool.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- The high levels of credit enhancement available to the Notes to cover expected losses assumed in line with the AAA (sf) rating level.

The rating of the Notes addresses the timely payment of interest and the ultimate payment of principal on or before the Final Maturity Date in August 2031.

Sunrise S.r.l. - Series 2009 is a securitisation consisting of unsecured Italian consumer loan receivables underwritten to retail clients and originated by Agos Ducato S.p.A. (Agos). The portfolio, as of the May 2016 payment date, consists of auto loans (2.80%), personal loans (96.84%), furniture loans (0.36%) and special-purpose loans (0.004%). The transaction had an initial revolving period that expired on the November 2012 payment date.

The portfolio is performing in line with DBRS’s expectations. As of May 2016, the 90+ delinquency ratio is 3.24%. The gross cumulative default ratio (as a percentage of the original portfolio, plus all subsequent portfolios) is 9.34%, of which 4.74% has been recovered.

Credit Enhancement (CE) is provided by overcollateralisation, the subordination of the most junior obligations and the Cash Reserve Account through a Principal Deficiency Ledger mechanism. CE for the Notes increased to 95.11% in May 2016 from 25.49% at closing in October 2009.

The transaction benefits from a non-amortising Cash Reserve Fund that is junior in the priority of payments to the Default Account which records periodic losses. Due to a spike in periodic losses, the Cash Reserve Account is currently at EUR 43.75 million, below its targeted level of EUR 49.97 million. In addition to offsetting principal losses to the Notes, this reserve is also available to cover shortfalls in senior fees and interest on the rated Notes.

A Commingling Reserve has also been funded, after a rating dependent trigger was breached following Agos’ downgrade by Standard & Poor’s in August 2012. The reserve remained unfunded until August 2013, as Crédit Agricole Corporate and Investment Bank SA, Milan Branch (Crédit Agricole CIB, Milan) initially provided a commingling guarantee, in accordance with the transaction documents. This amortising account stands at EUR 3.83 million and corresponds to 5.03% of the principal outstanding of the Notes. Following insolvency of the Servicer, this would become part of the Issuer Available Funds.

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

To mitigate the interest rate risk arising the mismatch between fixed-rate receivables and floating-rate notes, the Issuer entered into 13 swap agreements based on the respective notional amounts of the initial portfolio and each subsequent portfolio purchased during the revolving period. On each payment date, the special-purpose vehicle receives three-month Euribor from each swap and pays 13 different fixed rates, one for each agreement.

Crédit Agricole Corporate and Investment Bank S.A. (Crédit Agricole CIB) is the Swap Counterparty for this transaction. The current private Critical Obligations Rating of Crédit Agricole CIB complies with the First Rating Threshold defined in DBRS’s “Derivative Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is: “Master European Structured Finance Surveillance Methodology.”

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

The sources of information used for this rating include payment reports provided by Crédit Agricole CIB, servicer reports provided by Agos and data from the European DataWarehouse GmbH.

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.

The last rating action on this transaction took place on 17 July 2015, when DBRS confirmed the rating of the Class A Notes at AA (high) (sf).

The lead responsibilities for this transaction have been transferred to Joana Seara da Costa.

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):

-- DBRS expected a Base Case probability of default (PD) and loss given default (LGD) for the portfolio based on a review of the current assets. Adverse changes to asset performance may cause stresses to base case assumptions and, therefore, have a negative effect on credit ratings.

-- The Base Case of PD and LGD of the current pool of assets of receivables are 10.55% and 95.00% (excluding sovereign stress), 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 assumptions. 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. Furthermore, if both the PD and LGD increase by 50%, the rating for the Class A Notes would be expected to remain at AAA (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)
-- 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of AAA (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: Alessio Pignataro
Initial Rating Date: 25 May 2011
Initial Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Joana Seara da Costa, Financial Analyst
Rating Committee Chair: Chuck Weilamann, Managing Director

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY United Kingdom
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

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