OREANDA-NEWS. Fitch Ratings has assigned Sunrise S.r.l. - Series 2015-2's notes final ratings, as follows:

Class A, due December 2032: 'AA+sf'; Outlook Stable
Class M1, due December 2032: 'A+sf'; Outlook Stable
Class M2, due December 2032: 'A+sf'; Outlook Stable
Class J, due December 2032: 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 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 transaction's reserves at closing.

This EUR1.11bn transaction is the eighth securitisation of unsecured consumer loans originated to Italian individuals by Agos. It is the fifth such securitisation rated by Fitch after Sunrise 2012, Sunrise 2014-1, Sunrise 2014-2 and Sunrise 2015-1. The transaction will have a one-year revolving period.

KEY RATING DRIVERS
Mainly Unsecured Personal Loans
Most of the portfolio (limited to 75% by concentration limits through the revolving period) is personal loans, which have a higher historical loss rate than other consumer loan products. As is standard for the Italian consumer lending market, the originator (and issuer) only has unsecured recourse against the obligor upon default.

Performance in Line with Peers
Fitch expects a weighted-average (WA) lifetime portfolio default rate of 9.2% and a WA recovery rate of 15%. The assumptions - derived over the worst portfolio composition at the end of the revolving period - are based on the originator's historical performance, which is comparable with Italian peers.

Revolving Period Risk Mitigated
Fitch has applied a WA stress multiple of 4.6x at 'AA+sf' and 3.6x at 'A+sf' to the expected default rate, higher than that used for Sunrise 2015-1, to account for the revolving features of the deal. The assumed recovery haircut was 50% at 'AA+sf' and 38.5% at 'A+sf'. Fitch considers the concentration limits and purchase termination events in the documentation adequately address the risks posed by the one-year revolving period.

High Excess Spread
The transaction will benefit from positive excess spread of 7.2% over the swap rate paid to hedge class A and M notes after the revolving period ends, supporting 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 default. Fitch analysed the exposure against available credit enhancement, taking into account the maximum permitted exposure under the transaction documentation.

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%: 'AA-sf'
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%: 'BBB+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 50%: 'AA+sf'

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

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%: 'AA-sf'
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%: 'BBB+sf'
Increase in default rate by 50%, decrease in recovery rate by 50%: 'BBB-sf'

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 received an agreed-upon procedures (AUP) report regarding the preliminary pool data provided by the originator, which included loans securitised under Sunrise 2015-1 and 2015-2. An independent Italian certified auditor conducted the AUP which included the examination of 461 loan files with respect to a provisional portfolio (cut-off date 31 March 2015) with a 99:1 level of confidence. Fitch believes the sample size and relevance of the tested fields suggest the originator provided an acceptable quality of data. The data provided was considered as being adequate for assigning the ratings.

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