OREANDA-NEWS. Fitch Ratings has taken multiple rating actions on the Sunrise S.r.l series as follows:

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

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

Sunrise S.r.l. - Series 2014-2 (Sunrise 2014-2)
Class A1 notes: affirmed at 'AA+sf'; Outlook Stable
Class A2 notes: affirmed at 'AA+sf'; Outlook Stable
Class M notes: affirmed at 'A+sf'; Outlook revised to Positive from Stable

Sunrise S.r.l. - Series 2015-1 (Sunrise 2015-1)
Class A notes: affirmed at 'AA+sf'; Outlook Stable
Class M notes: affirmed at 'A+sf'; Outlook revised to Positive from Stable

Sunrise S.r.l. - Series 2015-2 (Sunrise 2015-2)
Class A notes: affirmed at 'AA+sf'; Outlook Stable
Class M1 notes: affirmed at 'A+sf'; Outlook Stable
Class M2 notes: affirmed at 'A+sf'; Outlook Stable

Sunrise S.r.l. - Series 2015-3 (Sunrise 2015-3)
Class A1 notes: affirmed at 'AA+sf'; Outlook Stable
Class A2 notes: affirmed at 'AA+sf'; Outlook Stable
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. While Sunrise 2014-1 and Sunrise 2015-1 have been backed by a static portfolio since closing, Sunrise 2012 and Sunrise 2014-2 went through a revolving period that ended in May 2014 and May 2015, respectively. Sunrise 2015-2 and Sunrise 2015-3 are still in their revolving period which will end in June 2016 and November 2016, respectively.

KEY RATING DRIVERS
Performances in Line with Expectation
The transactions that are in their amortising phase (Sunrise 2012, Sunrise 2014-1, Sunrise 2014-2 and Sunrise 2015-1) are showing an increasing trend in arrears, with Sunrise 2012 currently having the highest 90dpd arrears ratio (2.4%). Annualised default rates are also on the rise as they peaked in the second half of 2015 for both Sunrise 2012 and Sunrise 2014-1, at 3.7% and 2.3%, respectively. Despite the slight deterioration the overall lifetime performance of those transactions is still within Fitch's expectations.

In particular, for Sunrise 2012 and Sunrise 2014-1 Fitch amended its lifetime default expectation to 7.25% and 7.5%, respectively, from9%, to take into account the seasoning of their collateral pools. Fitch is maintaining the lifetime default assumption of the other transactions of the Sunrise series at 9%. These transactions are either still in the revolving phase (Sunrise 2015-2 and Sunrise 2015-3) or have started to amortise more recently (Sunrise 2014-2 and Sunrise 2015-1). The shorter seasoning of the latter pools still leaves room for an unexpected performance deterioration.

Rapid Deleveraging
All transactions in the Sunrise series have shown a rapid pace of amortisation from closing or from the end of the revolving period, depending on the initial structure of the transaction. The rapid deleveraging was driven by high annualised constant prepayment rates, which have ranged from 10% to 20% for the past two years.

The resulting build-up of credit enhancement (CE) of the class A notes across the series drives the affirmation of such notes. At the same time, the increased CE of the class M notes is the driver of today's positive rating actions: the upgrade to 'AA+sf' in Sunrise 2014-1 (60% at the November 2015 payment date) and the Outlook revision to Positive in Sunrise 2014-2 (33.4% at the November 2015 payment date) and in Sunrise 2015-1 (28.5% at the January 2016 payment date).

Unchanged Quality of Collateral
Despite going through a revolving period, Sunrise 2012's and Sunrise 2014-2's portfolio features have remained similar to those at closing. Fitch does not expect material changes to the portfolio composition of the Sunrise 2015-2 and Sunrise 2015-3 that will be in a revolving phase for the next four months and nine months, respectively. The portfolio limits set in the transaction documentation reviewed at closing were also taken into account for the purpose of this review.

RATING SENSITIVITIES
Given the low lifetime recovery assumptions for the Sunrise series, Fitch's expectations are much more sensitive to a higher default assumption than to a higher recovery assumption. Unexpected performance deterioration is more likely to affect the ratings of the class A notes of Sunrise 2015-2 and Sunrise 2015-3, which are still in their revolving period, and the ratings of the mezzanine notes across the series, with the less seasoned transactions being more exposed.

Assuming a loss that is 25% greater than Fitch's current expectations, the senior notes of all the reviewed transactions would still be within the 'AAsf' category rating. Additionally, the mezzanine notes ratings in such a stressed scenario would not fall below investment-grade.

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

DATA ADEQUACY
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 portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Prior to the transactions' closing, 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.

Prior to the 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 portfolio.

Overall and together with the assumptions referred to above, 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.

SOURCES OF INFORMATION
The information below was used in the analysis.
-Loan-by-loan data provided by the servicer, as uploaded on the European Data Warehouse as at 31 October 2015
-Servicer and payment reports provided by Agos Ducato S.p.A and Credit Agricole Corporate and Investment Banking, dated 4 February 2016, referring to a pool cut-off date of 31 January 2016
-Investor reports provided by Credit Agricole Corporate and Investment Banking as of the latest payment dates of each transaction.