Morningstar DBRS Confirms Credit Ratings on Sunrise SPV 95 S.r.l. - Sunrise 2024-1

DBRS Ratings GmbH (Morningstar DBRS) took the following credit rating actions on the following classes of notes (collectively, the Rated Notes) issued by Sunrise SPV 95 S.r.l. - Sunrise 2024-1 (the Issuer):

-- Class A1 Notes confirmed at AA (high) (sf)
-- Class A2 Notes confirmed at AA (high) (sf)
-- Class B Notes confirmed at AA (low) (sf)
-- Class C Notes confirmed at A (sf)
-- Class D Notes confirmed at BBB (high) (sf)
-- Class E Notes confirmed at BB (high) (sf)

The credit ratings of the Class A1, Class A2 (collectively, the Class A Notes) 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. The credit ratings of 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 senior-most tranche and the ultimate repayment of principal on or before the legal final maturity date.

CREDIT RATING RATIONALE
The credit rating actions described above are based on the following considerations:
-- The portfolio performance, in terms of level of delinquencies, defaults, and losses as of February 2025 payment date;
-- Probability of default (PD), loss given default (LGD) and expected loss assumptions considering the potential portfolio migration based on replenishment criteria set forth in the transaction legal documents;
-- The current levels of credit enhancement available to the Rated Notes to cover the expected losses at their respective credit rating levels;
-- No revolving termination event has occurred.

TRANSACTION STRUCTURE
The transaction is a securitisation of fixed-rate consumer, auto, and other-purpose loans granted by Agos Ducato S.p.A. (the originator and servicer) to private individuals residing in Italy. The transaction includes a 15-month scheduled revolving period. During the revolving period, the originator may offer additional receivables that the Issuer will purchase, provided that the eligibility criteria and concentration limits set out in the transaction documents are satisfied. The revolving period may end earlier than scheduled if certain events occur such as the originator's insolvency, the servicer's replacement, or the breach of performance triggers. At the end of the revolving period, the Notes will be repaid on a fully sequential basis.

PORTFOLIO PERFORMANCE
As of the February 2025 payment date, loans that were one to two months and two to three months delinquent represented 0.4% and 0.2% of the portfolio balance, respectively, while loans more than three months delinquent represented 0.6%. Gross cumulative defaults amounted to 0.7% of the aggregate original and subsequent portfolios, of which 1.2% has been recovered to date.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS maintained its base case PD and LGD assumptions at 5.0% and 89.2%. The analysis continues to consider the replenishment criteria set forth in the transaction legal documents.

CREDIT ENHANCEMENT
The subordination of the respective junior notes and the cash reserve provides credit enhancement to the rated notes. As of the February 2025 payment date, credit enhancement to the Class A1, Class A2, Class B, Class C, Class D and Class E Notes was 24.9%, 24.9%, 17.2%, 11.2%, 8.2% and 5.6% respectively, stable since closing due to inclusion of the revolving period.

The transaction allocates collections in separate interest and principal priorities of payments and benefits from a non-amortising EUR 16,177,976 payment interruption risk reserve (equal to 1.25% of initial loan principal balances) and a non-amortising EUR 6,471,191 cash reserve (equal to 0.5% of initial loan principal balances) at closing. Both reserves were initially funded with the notes' issuance proceeds and can be used to cover senior expenses and interest payments on the Rated Notes. The cash reserve can also be used to replenish the payment interruption risk reserve and offset defaulted receivables. Principal funds can also be reallocated to cover senior expenses and interest payments on the Rated Notes if the interest collections and both reserves are not sufficient.

The transaction also benefits from a non-amortising rata posticipata reserve to supplement interest amounts that borrowers do not make during payment holidays. This reserve will be funded through the transaction interest waterfalls if specific thresholds are breached and will be released when the threshold breach is cured.

The interest rate risk for the transaction is considered limited as an interest rate swap is in place to reduce the interest rate mismatch between the fixed-rate collateral and the Class A Notes.

TRANSACTION COUNTERPARTIES
Crédit Agricole Corporate and Investment Bank (CA-CIB), Milan Branch is the account bank for the transaction. Morningstar DBRS has a private credit rating on CA-CIB, which meets the criteria to act in such capacity. The transaction documents contain downgrade provisions consistent with Morningstar DBRS' criteria.

CA-CIB is also the initial swap counterparty for the transaction. Morningstar DBRS' private rating on CA-CIB meets the criteria to act in such capacity. The transaction documents contain downgrade provisions consistent with Morningstar DBRS' criteria.

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 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 "Master European Structured Finance Surveillance Methodology" (04 February 2025) https://dbrs.morningstar.com/research/447080.

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. Due to the inclusion of a revolving period in the transaction, the analysis continues to be for surveillance potential portfolio migration based on replenishment criteria set forth in the transaction legal documents.

A review of the transaction 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 European DataWarehouse GmbH. Additionally, in the context of a new transaction from the same originator, Morningstar DBRS was provided with updated historical performance data as follows:
-- quarterly static default data from Q1 2012 to Q4 2024,
-- quarterly static recovery data from Q1 2013 to Q4 2024,
-- monthly dynamic arrears and default data from June 2008 to December 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 rating, Morningstar DBRS was not 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 26 March 2024, when DBRS Ratings GmbH (Morningstar DBRS) finalised provisional credit ratings on the following classes of notes:
-- Class A1 Notes at AA (high) (sf)
-- Class A2 Notes at AA (high) (sf)
-- Class B Notes at AA (low) (sf)
-- Class C Notes at A (sf)
-- Class D Notes at BBB (high) (sf)
-- Class E Notes at BB (high) (sf)

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 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):
-- 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 loans for the Issuer are 5.0% and 89.2% respectively.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

Class A 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 A (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of A (high) (sf)

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

Class C Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of A (sf)
-- 50% increase in LGD, expected credit rating of A (sf)
-- 25% increase in PD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD, expected credit rating of BBB (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of BBB (low) (sf)

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

Class E Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of BB (high) (sf)
-- 50% increase in LGD, expected credit rating of BB (high) (sf)
-- 25% increase in PD, expected credit rating of BB (high) (sf)
-- 50% increase in PD, expected credit rating of BB (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of BB (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of B (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of B (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: 7 March 2024

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.

-- Rating European Consumer and Commercial Asset-Backed Securitisations (18 September 2024)
https://dbrs.morningstar.com/research/439583
-- Master European Structured Finance Surveillance Methodology (4 February 2025)
https://dbrs.morningstar.com/research/447080
-- 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.