DBRS Ratings Limited Assigns Provisional Ratings to GAMMA - Sociedade de Titularização de Créditos, S.A. (Atlantes Finance No. 6)

DBRS Ratings Limited (“DBRS”) has assigned a provisonal rating of ‘A’ (sf) to the Class A Notes issued by GAMMA - Sociedade de Titularização de Créditos, S.A. (Atlantes Finance No. 6). The Notes are backed by a pool of receivables on auto loans/leases, consumer loans, long term rental contracts and motorbike loans originated in Portugal by Banco Banif Mais, SA and Banif-Banco International do Funchal, SA. The portfolio of receivables represent payment obligations of corporates and individuals in some cases relating to new or used vehicles.

The ratings are based upon DBRS review of the following analytical considerations:

• The transaction’s capital structure and the form and sufficiency of available credit enhancement.
• The credit quality of the receivables backing the notes and the ability of the servicer to perform collection activities on the collateral.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is the European Consumer and Commercial Asset-Backed Securitisations.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/

The sources of information used for this rating include Banco Banif Mais, SA and Banif-Banco International do Funchal, SA, Whitestar Asset Solutions, SA and their agents. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality. The information upon which DBRS ratings and reports are based, and any other content displayed on the Site, is obtained by DBRS from sources DBRS believes to be accurate and reliable.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance. The extent of any factual investigation or independent verification depends on facts and circumstances.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

• Base Case Probability of Default (PD) of 12.76%, a 25% and 50% increase on the base case PD.
• Base case Recovery Rate of 37.04% (or a Loss Given Default (LGD) of 62.96%), a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A Notes:

• A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).
• A hypothetical increase of the base case PD by 50% or a hypothetical increaseof the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to A (low) (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (low) (sf).
• A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BBB (low) (sf).
• A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to BB (sf).

For further information on DBRS historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Initial Lead Analyst: David Sanchez Rodriguez
Initial Rating Date: 26/11/2013
Initial Rating Committee Chair: Chuck Weilamann
Last Rating Date: Not applicable; no last rating date.

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Chuck Weilamann

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The rating methodologies and criteria used in the analysis of this transaction can be found at:
http://www.dbrs.com/about/methodologies

• Rating European Consumer and Commercial Asset Backed Securitisations.
• Legal Criteria for European Structured Finance Transactions.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model Methodology for European Securitisations.