OREANDA-NEWS. April 13, 2015. Fitch Ratings has affirmed Sunrise S.r.l. Series notes ratings and revised the Outlook to Positive from Stable of one of the mezzanine tranches as follows:

Sunrise S.r.l. - Series 2012 (Sunrise 2012)
EUR1,709.8m Class A notes: affirmed at 'AA+sf'; Outlook Stable

Sunrise S.r.l. - Series 2014-1 (Sunrise 2014-1)
EUR467.1m Class A notes: affirmed at 'AA+sf'; Outlook Stable
EUR303m Class M notes: affirmed at 'A+sf'; Outlook revised to Positive from Stable

Sunrise S.r.l. - Series 2014-2 (Sunrise 2014-2)
EUR849m Class A1 notes: affirmed at 'AA+sf'; Outlook Stable
EUR1m Class A2 notes: affirmed at 'AA+sf'; Outlook Stable
EUR319m Class M notes: affirmed at 'A+sf'; Outlook Stable

The transactions are backed by consumer loan portfolios originated by Agos Ducato SpA (Agos, BBB+/Stable/F2), comprising fixed-rate consumer loans receivables granted to residents in Italy. The originator is part of Credit Agricole Consumer Finance SA (A/Stable/F1), which currently holds 61% of Agos's shares, while the remaining 39% is held by Banco Popolare (BBB/Negative/F3).

While Sunrise 2014-1 is backed by a static portfolio, Sunrise 2014-2 is in its six-month revolving period which will end in the next payment date of May 2015. Sunrise 2012 went through a two-year revolving period that ended in May 2014.

KEY RATING DRIVERS

Performances in Line with Fitch's Expectation
After the end of the revolving period in May 2014, Sunrise 2012 has shown a mild improvement in performance with fewer reported periodic defaults than during 2013. However, in 1Q15 the annualised period default rate peaked at 3.3%, pushing the cumulative default rate to 2.9%, up from 1.7% in 1Q14. Arrears show a similar trend, with 30+days arrears consistently close to 4% throughout 2013 and 1H14 before peaking at 4.6% in February 2015.

To account for the recently observed performance volatility, Fitch did not revise Sunrise 2012's lifetime default assumption, which remains at 9%.

Sunrise 2014-1's early performance has been in line with Fitch's initial expectations, whereas Sunrise 2014-2 has had only one payment date since closing. Therefore, Fitch has maintained the same lifetime default assumption set at transaction closing.

Rapid Deleveraging
Sunrise 2014-1 and, following the end of the revolving period, Sunrise 2012, have been deleveraging rapidly as reflected in the high levels of available credit enhancement (CE) reached by the class A notes (58.4% and 57.1%, respectively). The class M notes also benefited from the rapid amortisation of the portfolio so that the current CE of 28.8% (19.2% at inception) prompts the revision of the Outlook to Positive from Stable.

Sunrise 2014-1 and Sunrise 2014-2 benefit from excess spreads of about 7%-8% that have been partially used to build up the respective cash reserves (already reaching its target amount in Sunrise 2014-1), thus contributing to a further build-up of CE since closing.

Unchanged Quality of Collateral
Despite going through a two-year revolving period, Sunrise 2012's portfolio features have remained similar to those at closing with only a higher concentration in flexible loans, which however is in line with the recently securitised portfolios. As the revolving period of Sunrise 2014-2 will end in the next payment date, Fitch does not expect material changes to the portfolio composition.

Operational Risks Mitigated
Payment interruption risks are adequately mitigated by the dedicated liquidity lines in all transactions, whereas commingling risk is also adequately mitigated by specific reserves for Sunrise 2014-1 and Sunrise 2014-2 and by the available CE for Sunrise 2012.

RATING SENSITIVITIES

All the ratings show reasonable resilience to Fitch's stressful scenarios, including a loss 25% larger than Fitch's base case, by remaining in the same rating category under the stresses.

Sunrise 2012

Rating sensitivity to increased default rates (class A)
Current rating: 'AA+sf'
Increase base case by 10%: 'AAsf'
Increase base case by 25%: 'AA-sf'

Rating sensitivity to reduced recovery rates (class A)
Current rating: 'AA+sf'
Reduce base case by 25%: 'AA+sf'

Rating sensitivity to increased default rate and reduced recovery rate (class A)
Current rating: 'AA+sf'
Increase default base case by 10%; reduce recovery base case by 10%: 'AAsf'
Increase default base case by 25%; reduce recovery base case by 25%: 'AA-sf'

Sunrise 2014-1

Rating sensitivity to increased default rates (class A)
Current rating: 'AA+sf'
Increase base case by 25%: 'AA+sf'

Rating sensitivity to reduced recovery rates (class A)
Current rating: 'AA+sf'
Reduce base case by 25%: 'AA+sf'

Rating sensitivity to increased default rate and reduced recovery rate (class A)
Current rating: 'AA+sf'
Increase default base case by 25%; reduce recovery base case by 25%: 'AA+sf'

Rating sensitivity to increased default rates (class M)
Current rating: 'A+sf'
Increase base case by 10%: 'A+sf'
Increase base case by 25%: 'Asf'

Rating sensitivity to reduced recovery rates (class M)
Current rating: 'A+sf'
Reduce base case by 25%: 'A+sf'

Rating sensitivity to increased default rate and reduced recovery rate (class M)
Current rating: 'A+sf'
Increase default base case by 10%; reduce recovery base case by 10%: 'A+sf'
Increase default base case by 25%; reduce recovery base case by 25%: 'Asf'

For Sunrise 2014-2 rating sensitivities please refer to the New Issue Report published on 5 December 2014.

Initial Key Rating Drivers and Rating Sensitivities are further described in the New Issue reports available at www.fitchratings.com.

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolios information or conducted a review of origination files as part of its ongoing monitoring.

Prior to the three transactions closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolios.

As regards Sunrise 2012 and Sunrise 2014-1, prior to the transactions closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolios information, which indicated no adverse findings material to the rating analysis.

As regards Sunrise 2014-2, prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated that few loan paper files were missing at the time of the assessment. As Fitch received a satisfactory explanation for the missing files, these findings were not considered in this analysis as they are immaterial.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.