DBRS Assigns Provisional Ratings to Sunrise S.r.l. – Series 2014-2

DBRS Ratings Limited (DBRS) has today assigned a provisional AAA (sf) rating to the Class A1 and Class A2 Notes and a provisional A (high) (sf) rating to the Class M Notes to be issued by Sunrise S.r.l – Series 2014-2. The receivables to be securitised consist of unsecured Italian consumer loans receivables (the Portfolio) underwritten to retail clients and originated by Agos Ducato S.p.A. (Agos).

The ratings are based upon review by DBRS of the following analytical considerations:

-- Transaction capital structure and form and sufficiency of available credit enhancement.
-- Relevant credit enhancement in the form of a cash reserve and subordination. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios at a AAA (sf) standard for the Class A1 and Class A2 Notes and an A (high) (sf) standard for the Class M Notes issued by Sunrise S.r.l.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- The transaction parties' capabilities with respect to originations, underwriting, servicing and financial strength.
-- The credit quality of the collateral and ability of the Servicer to perform collection activities on the collateral.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS “Legal Criteria for European Structured Finance Transactions”.

Notes: All figures are in euros unless otherwise noted.

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

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 the DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” at: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.
The sources of information used for this rating include performance data relating to the receivables provided by Agos Ducato. DBRS received historical performance data relating to Agos Ducato originations by vintage quarterly default and recovery going back to 2002. Data was also provided relating to delinquencies, prepayments and portfolio stratification tables that allowed DBRS to further assess the portfolio. 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 concerns a newly issued financial instrument.

The full report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.

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

To assess the impact of 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) rate used: Base Case PD of 10.80%, a 25% and 50% increase on the base case PD.
• Recovery Rate Used: Base case Recovery Rate of 10.78%.
• Loss given default (LGD) rate used: Base Case LGD of 89.22%, a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A1 and Class A2 Notes:

• A hypothetical increase of the base case PD by 25%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to AA (sf).
• A hypothetical increase of the base case LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to AA (high) (sf).
• A hypothetical increase of the base case PD by 50%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to AA (low) (sf).
• A hypothetical increase of the base case LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to AA (high) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to AA (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to A (high) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to AA (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A1 and Class A2 Notes to A (high) (sf).

DBRS concludes that for the Class M Notes:

• A hypothetical increase of the base case PD by 25%, ceteris paribus, would lead to a downgrade of the Class M Notes to A (sf).
• A hypothetical increase of the base case LGD by 25%, ceteris paribus, would lead to the rating of the Class M Notes remaining at A (high) (sf).
• A hypothetical increase of the base case PD by 50%, ceteris paribus, would lead to a downgrade of the Class M Notes to BBB (high) (sf).
• A hypothetical increase of the base case LGD by 50%, ceteris paribus, would lead to the rating of the Class M Notes remaining at A (high) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class M Notes to A (low) (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class M Notes to BBB (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class M Notes to A (low) (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class M Notes to BBB (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: November 7, 2014
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Vito Natale
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.

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