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

DBRS Ratings Limited (“DBRS”) has reviewed the Series 2009 Notes issued by Sunrise S.r.l., (the “Issuer”) and confirmed the ratings of the Class A Notes at AA (high) (sf).

The confirmation of the ratings for the Class A Notes is based upon the following analytical consideration, as described more fully below:

• Portfolio performance, in terms of level of delinquencies and defaults, as of the 27 May 2014 payment date.
• Updated default, recovery and loss assumptions on the remaining balance of the collateral portfolio.
• Incorporation of a sovereign related stress component in the rating analysis to address the impact of macroeconomic variables on collateral performance given the long-term foreign and local currency rating of ‘A’ (low) for the Republic of Italy.
• Current available credit enhancement to the Class A Notes to cover expected losses assumed in line with a AA (high) (sf) rating level.

Sunrise 2009 is a securitisation of a pool of Italian unsecured consumer loans originated and serviced by Agos Ducato S.p.A. The transaction closed in October 2009 and had a three years reinvestment period.

As of the 27 May 2014 payment date, the 90+ delinquency ratio was 4.08%. The cumulative gross default ratio was 6.76% of the aggregated collateral balance with 4.17% of cumulative recoveries to date. Pursuant to the Servicer‘s option to liquidate non-performing loans at the best bidder price, defaulted loans for a combined nominal amount of EUR 82.5 million have been sold to a third party for an amount of EUR 2.0 million in beginning of 2014.

Credit enhancement for the Class A Notes stems 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 44.15%. The transaction benefits from a Defaulted Account which records any new periodic defaults and allow for the Excess Spread to clear this ledger. This account being senior to the Cash Reserve Fund, the balance of the Cash Reserve Fund stands at EUR 16 million, which is below the required amount of EUR 49.9 million.

Notes:
All figures are in EUR unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can 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 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 payment reports provided by Credit Agricole CIB - Italian Branch (the Paying Agent) and servicer reports provided by Agos Ducato S.p.A. 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 22 April 2013, when DBRS downgraded the ratings to AA (high) (sf) from AAA (sf) of the Class A 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”):

• 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 10.18% 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 increase by 50% the rating for the Class A Notes would be expected to remain at AA (high) (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 (low) (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 (low) (sf), all else being equal.

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

• Legal Criteria for European Structured Finance Transactions.
• Master European Structured Finance Surveillance Methodology.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model for European Securitisations.
• Derivative Criteria for European Structured Finance Transactions.
• Rating European Consumer and Commercial Asset-Backed Securitisations.