OREANDA-NEWS. June 15, 2015. Fitch Ratings has assigned Sunrise S.r.l. - Series 2015-1's notes final ratings, as follows:

Class A, due November 2031: 'AA+sf'; Outlook Stable
Class M, due November 2031: 'A+sf'; Outlook Stable
Class J, due November 2031: not rated

The ratings are based on Fitch's assessment of Agos Ducato S.p.A.'s (Agos, BBB+/Stable/F2) origination and servicing procedures, expectations of future asset performance, available credit enhancement, and the transaction's legal structure.

The proceeds from the issuance of the notes (including the unrated junior notes) were applied to purchase the underlying loan portfolio and to fund the reserves at closing.

This EUR347m transaction is the seventh securitisation of unsecured consumer loans originated to Italian individuals by Agos. It is the fourth securitisation rated by Fitch after Sunrise 2012, Sunrise 2014-1 and Sunrise 2014-2.

Unlike Sunrise 2014-2 that had a revolving period, this transaction is static (as with Sunrise 2014-1). Unlike other Sunrise deals, Sunrise 2015-1 envisages monthly rather than quarterly payment dates, except for the first payment date that will be two months after closing. Unlike Sunrise 2014-1 and 2014-2, the notes bear a fixed coupon and there is no swap in place.

KEY RATING DRIVERS
Majority of Unsecured Personal Loans
About 75% of the portfolio comprises personal loans; these have a higher historical loss rate compared with other consumer loan products. As is standard for the Italian consumer lending market, the originator (and in turn the issuer) only has an unsecured recourse against the obligor, upon default.

Performance in Line with Peers
Fitch expects a weighted average (WA) lifetime portfolio default rate of 9% and a WA recovery rate of 15%, in line with previous Sunrise transactions. The assumptions are based on the originator's historical performance, which is comparable with Italian peers.

Fitch has applied a WA stress multiple of 4.1x at 'AA+sf' and 3.2x at 'A+sf' to the expected default rate, in light of the transaction characteristics. The assumed recovery haircut was 50% at 'AA+' and 38.5% at 'A+'.

High Excess Spread
The transaction benefits from excess spread of 6.1% p.a. over senior expenses and fixed interest on the class A and M notes. This will support the increase of the cash reserve towards its post-closing target of 3% of the initial portfolio.

Insurance-Related Counterparty Risk
The loans also finance the purchase of insurance policies offered with the loan. The issuer could be exposed to claims by borrowers if both Agos and an insurer defaulted. Fitch considered the sensitivity of the ratings to different loss assumptions with respect to this exposure to be sufficient for the assigned ratings.

Sovereign Cap
The rating of the class A notes is equal to the cap on Italian structured finance transactions, ie six notches above the rating of Italy (BBB+/Stable/F2).

RATING SENSITIVITIES
Unexpected Deterioration in Portfolio Performance
Unexpected increases in the default rate and loss severity on defaulted loans could produce loss levels greater than Fitch's assumptions and could result in negative rating actions on the notes.

Rating sensitivity to increased default rate assumptions
Class A notes
Current rating: 'AA+sf'
Increase in default rate by 10%: 'AA+sf'
Increase in default rate by 25%: 'AAsf'
Increase in default rate by 50%: 'A+sf'

Class M notes
Current rating: 'A+sf'
Increase in default rate by 10%: 'Asf'
Increase in default rate by 25%: 'A-sf'
Increase in default rate by 50%: 'BBBsf'

Rating sensitivity to reduced recovery rate assumptions
Class A notes
Current rating: 'AA+sf'
Decrease in recovery rate by 10%: 'AA+sf'
Decrease in recovery rate by 25%: 'AA+sf'
Decrease in recovery rate by 50%: 'AA+sf'

Class M notes
Current rating: 'A+sf'
Decrease in recovery rate by 10%: 'A+sf'
Decrease in recovery rate by 25%: 'A+sf'
Decrease in recovery rate by 50%: 'A+sf'

Rating sensitivity to multiple factors
Class A notes
Current rating: 'AA+sf'
Increase in default rate by 10%, decrease in recovery rate by 10%: 'AA+sf'
Increase in default rate by 25%, decrease in recovery rate by 25%: 'AAsf'
Increase in default rate by 50%, decrease in recovery rate by 50%: 'A+sf'

Class M notes
Current rating: 'A+sf'
Increase in default rate by 10%, decrease in recovery rate by 10%: 'Asf'
Increase in default rate by 25%, decrease in recovery rate by 25%: 'A-sf'
Increase in default rate by 50%, decrease in recovery rate by 50%: 'BBBsf'

Key Rating Drivers and Rating Sensitivities are further described in the new issue report, which is available at www.fitchratings.com or by clicking the link above.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Fitch conducted a review of a small targeted sample of Agos'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 portfolio.

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

SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by the originator as at 30 April 2015
- Historical performance data provided by the originator
- Transaction legal documentation
- Performance information from the reports of Sunrise S.r.l. - Series 2012, Sunrise S.r.l. - Series 2014-1, and Sunrise S.r.l. - Series 2014-2

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see Sunrise S.r.l. - Series 2015-1 - Appendix, dated 1 June 2015 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 26 March 2015 available on the Fitch website.