OREANDA-NEWS. Fitch Ratings has assigned Sunrise S.r.l. - Series 2015-3's (Sunrise 2015-3) notes expected ratings, as follows:

Class A1, due May 2035: 'AA+(EXP)sf'; Outlook Stable
Class A2, due May 2035: 'AA+(EXP)sf'; Outlook Stable
Class M, due May 2035: 'A+(EXP)sf'; Outlook Stable
Class J, due May 2035: not rated

Final ratings are contingent upon the receipt of final documents and legal opinions conforming to the information already received.

The proceeds from the issuance of the notes (including the unrated junior notes) will be applied to purchase the EUR950m underlying loan portfolio and fund the transaction's reserves at closing. Initial credit enhancement will be 42% for the class A notes and 25% for the class M notes.

This EUR983.3m transaction is the ninth securitisation of unsecured consumer loans originated to Italian residents by Agos Ducato S.p.A. (Agos, BBB+/Positive/F2). It is the sixth securitisation rated by Fitch after Sunrise 2012, Sunrise 2014-1, Sunrise 2014-2, Sunrise 2015-1 and Sunrise 2015-2. The transaction will have a one-year revolving period like Sunrise 2015-2.

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. The assumed recovery haircut was 50% at 'AA+sf' and 38.5% at 'A+sf'. They are equal to those used for Sunrise 2015-2, which has the same revolving period length and very similar portfolio characteristics. Fitch considers the concentration limits and purchase termination events in the documentation adequately address the risks posed by the revolving period.

High Excess Spread
During the revolving period, the transaction will benefit from a minimum positive excess spread of 7.25% over the swap rate to be paid to hedge class A and M notes, 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 defaulted. Fitch analysed the exposure against available credit enhancement, taking into account the maximum permitted exposure under the transaction documentation.

Sovereign Cap
The expected 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
Rating sensitivity to increased default rate assumptions (class A / class M)
Current expected rating: 'AA+sf' / 'A+sf'
Increase in default rate by 10%: 'AA+sf' / 'A+sf'
Increase in default rate by 25%: 'AAsf' / 'A-sf'
Increase in default rate by 50%: 'A+sf' / 'BBB+sf'

Rating sensitivity to reduced recovery rate assumptions (class A / class M)
Current expected rating: 'AA+sf' / 'A+sf'
Decrease in recovery rate by 50%: 'AA+sf' / 'A+sf'

Rating sensitivity to multiple factors (class A / class M)
Current expected rating: 'AA+sf' / 'A+sf'
Increase in default rate by 10%, decrease in recovery rate by 10%: 'AA+sf' / 'A+sf'
Increase in default rate by 25%, decrease in recovery rate by 25%: 'AAsf' / 'A-sf'
Increase in default rate by 50%, decrease in recovery rate by 50%: 'A+sf' / 'BBB+sf'

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 in April 2015 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 Agos as at 30 September 2015
-Historical performance data provided by Agos up to June 2015
-Transaction legal documentation
-Performance information from the investor reports of Sunrise S.r.l. - Series 2012, Series 2014-1, Series 2014-2, Series 2015-1 and Series 2015-2