Morningstar DBRS Takes Credit Rating Actions on Two Sunrise Transactions

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the Notes issued by Sunrise SPV 92 S.r.l. - Sunrise 2021-1 (Sunrise 2021-1) and Sunrise SPV 94 S.r.l. - Sunrise 2022-1 (Sunrise 2022-1) (collectively, the transactions):

Sunrise 2021-1:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AAA (sf)
-- Class C Notes confirmed at AA (high) (sf)
-- Class D Notes confirmed at AA (high) (sf)
-- Class E Notes upgraded to AA (high) (sf) from AA (low) (sf)

The credit ratings on the Class A and Class B Notes address the timely payment of scheduled interest and the ultimate repayment of principal on or before the legal final maturity date in July 2046. The credit ratings on the Class C, Class D, and Class E Notes address the ultimate payment of interest but the timely payment of scheduled interest when they become the most senior tranche, and the ultimate repayment of principal on or before the legal final maturity date.

Sunrise 2022-1:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AAA (sf)
-- Class C Notes confirmed at AA (high) (sf)
-- Class D Notes upgraded to AA (high) (sf) from AA (sf)
-- Class E Notes upgraded to AA (sf) from A (high) (sf)

The credit ratings on the Class A and Class B Notes address the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date in January 2047. The credit ratings on the Class C, Class D, and Class E Notes address the ultimate payment of scheduled interest while the class is subordinated and the timely payment of scheduled interest as the most senior class, and the ultimate repayment of principal by the legal final maturity date.

CREDIT RATING RATIONALE
The credit rating actions follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the January 2025 payment date.
-- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables.
-- Current available credit enhancement to the rated notes to cover the expected losses at their respective credit rating levels.

The transactions are securitisations of unsecured Italian consumer loan receivables granted to retail clients and originated by Agos Ducato S.p.A (the originator). The portfolios comprise new and used automobile loans, personal loans, furniture loans, and other-purpose loans. Sunrise 2021-1 and Sunrise 2022-1 closed on 29 March 2021 and on 28 March 2022, respectively.

PORTFOLIO PERFORMANCE
-- For Sunrise 2021-1, as of the January 2025 payment date, loans that were one to two months and two to three months delinquent represented 0.5% and 0.3% of the portfolio balance, respectively, while loans more than three months delinquent represented 0.8%. Gross cumulative defaults amounted to 2.3% of the aggregate original and subsequent portfolios while the cumulated recoveries including those deriving from repurchases of defaulted receivables amount to 33.2% of the cumulative defaults.

-- For Sunrise 2022-1, as of the January 2025 payment date, loans that were one to two months and two to three months delinquent represented 0.6% and 0.3% of the portfolio balance, respectively, while loans more than three months delinquent represented 0.9%. Gross cumulative defaults amounted to 3.1% of the aggregate original and subsequent portfolios while the cumulated recoveries including those deriving from repurchases of defaulted receivables amount to 5.3% of the cumulative defaults.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS received updated historical vintage data from the originator and updated its base-case PD and LGD assumptions for all transactions as follows:
-- For Sunrise 2021-1, Morningstar DBRS updated its PD and LGD assumptions to 5.34% and 90.23%, respectively.
-- For Sunrise 2022-1, Morningstar DBRS updated its PD and LGD assumptions to 5.32% and 90.22%, respectively.

CREDIT ENHANCEMENT
The subordination of the respective junior notes and the cash reserve provide credit enhancement to the rated notes. As of the January 2025 payment date, the credit enhancement (CE) was as follows:
-- For Sunrise 2021-1, CE to the Class A, Class B, Class C, Class D, and Class E Notes was 97.8%, 72.5%, 50.4%, 34.7% and 20.3%, respectively, up from 60.3%, 44.7%, 31.1%, 21.4%, and 12.4%, respectively, at the last annual review.
-- For Sunrise 2022-1, CE to the Class A, Class B, Class C, Class D, and Class E Notes was 64.9%, 45.9%, 29.5%, 20.5% and 15.0%, respectively, up from 41.5%, 29.4%, 18.9%, 13.1%, and 9.6%, respectively, at the last annual review.

The transactions benefit from several funded reserves. The non-amortising Payment Interruption Risk reserve account has a current balance of EUR 7.0 million and EUR 5.6 million for Sunrise 2021-1 and Sunrise 2022-1, respectively, and is available to cover senior expenses and interest payments on the rated notes, providing liquidity support to the transactions.

Credit support is provided through an amortising cash reserve with a target balance equal to 2.5% of the outstanding performing collateral principal for both transactions. The cash reserves are currently at their target balance of EUR 12.7 million and EUR 13.1 million for Sunrise 2021-1, and Sunrise 2022-1, respectively, and can be used to offset the principal losses of defaulted receivables.

The transactions also provision from a Rata Posticipata Cash reserve, which mitigates the liquidity risk arising from flexible loans. This reserve will only be funded if, for two consecutive payment dates, the outstanding balance of the flexible loans in relation to which the debtors have exercised the contractual right to postpone the payments is higher than 5.0% of the outstanding balance of all flexible loans. As of the January 2025 payment date, this condition had not been met for any of the transactions.

Crédit Agricole Corporate & Investment Bank, Milan branch (CACIB Milan) acts as the account bank for both transactions. Based on Morningstar DBRS' private credit rating on CACIB Milan, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the rated notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at https://dbrs.morningstar.com/research/437781 .

Morningstar DBRS analysed the transaction structure in Intex Dealmaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is the Master European Structured Finance Surveillance Methodology (19 November 2024) https://dbrs.morningstar.com/research/443204.

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

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

An asset and a cash flow analysis were both conducted.

A review of the transactions' legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include investor reports provided by CACIB Milan and loan-level data provided by the European DataWarehouse GmbH. In the context of a newer transaction from the same originator, Morningstar DBRS received updated historical performance data as follows:
-- Quarterly static default data from Q1 2012 to Q2 2024
-- Quarterly static recovery data from Q1 2013 to Q2 2024
-- Monthly dynamic arrears and default data from June 2008 to June 2024
-- Static prepayment rates by annual vintages from 2003 to 2024.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial credit ratings, Morningstar DBRS was supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this issuer took place on 01 February 2024 when DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions:
-- Sunrise 2021-1: Morningstar DBRS confirmed Class A Notes at AAA (sf) and upgraded Class B, Class C, Class D and Class E Notes to AAA (sf), AA (high) (sf), AA (high) (sf) and AA (low) (sf) from AA (high) (sf), AA (sf), A (high) (sf) and BBB (high) (sf), respectively.
-- Sunrise 2022-1: Morningstar DBRS confirmed Class A Notes at AAA (sf) and upgraded Class B, Class C, Class D and Class E Notes to AAA (sf), AA (high) (sf), AA (sf) and A (high) (sf) from AA (sf), A (sf), BBB (high) (sf) and BBB (sf), respectively.

The lead analyst responsibilities for this transaction have been transferred to Helvia Meana.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com

Sensitivity Analysis: To assess the impact of changing the transaction parameters on the credit rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the base case):
-- For Sunrise 2021-1, the base case PD and LGD of the current pool of loans are 5.34% and 90.23%, respectively.
-- For Sunrise 2022-1, the base case PD and LGD of the current pool of loans are to 5.32% and 90.22%, respectively.
-- Morningstar DBRS expected a lifetime base case PD and LGD for the pool 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 risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

Sunrise 2021-1 Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Sunrise 2021-1 Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Sunrise 2021-1 Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

Sunrise 2021-1 Class D Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

Sunrise 2021-1 Class E Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)

Sunrise 2022-1 Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Sunrise 2022-1 Class B Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

Sunrise 2022-1 Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (high) (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)

Sunrise 2022-1 Class D Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in LGD, expected credit rating of AA (high) (sf)
-- 25% increase in PD, expected credit rating of AA (sf)
-- 50% increase in PD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)

Sunrise 2022-1 Class E Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AA (sf)
-- 50% increase in LGD, expected credit rating of AA (sf)
-- 25% increase in PD, expected credit rating of AA (low) (sf)
-- 50% increase in PD, expected credit rating A (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AA (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AA (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Helvia Meana, Assistant Vice President,
Rating Committee Chair: Mark Wilder, Senior Vice President,
Initial Rating Date:
-- Sunrise 2021-1: 29 March 2021
-- Sunrise 2022-1: 28 March 2022

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443204
-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024), https://dbrs.morningstar.com/research/439583
-- Rating European Structured Finance Transactions Methodology (19 November 2024),
https://dbrs.morningstar.com/research/443199
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024),
https://dbrs.morningstar.com/research/437781

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.