DBRS Confirms Rating on GAMMA - Sociedade de Titularização de Créditos, S.A. (Atlantes Finance No. 6)

DBRS has today confirmed the rating of A (sf) on the Class A Notes (the Notes) of GAMMA - Sociedade de Titularização de Créditos, S.A. (Atlantes Finance No. 6) (Atlantes No.6 or the Issuer).

The Notes are backed by a pool of receivables on auto loans and 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 represents payment obligations of corporates and individuals, in some cases relating to new or used vehicles.

Confirmation of the ratings for the Notes is based upon the following analytical considerations:

-- Portfolio performance, in terms of level of delinquencies and defaults, as of 22 September 2014 payment date.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
-- Current available credit enhancement to the Class A Notes to cover expected losses assumed in line with an A (sf) rating level.

The current level of delinquencies and defaults are low and stable. Delinquencies more than 90 days were 0.20%. As of the recent reporting date, the cumulative default ratio was 0.51%. As per the documentation, the receivables are considered defaulted after remaining unpaid for more than 180 days.

Credit enhancement for the Class A Notes is provided by subordinated Class B Notes and a Cash Reserve Fund. Current credit enhancement for the Class A Notes as a percentage of the collateral balance is 33.32%.

The transaction benefits from two Principal Deficiency Legers (PDLs) for each of the Class A and Class B Notes. The Class A PDL is senior to the replenishment of the Cash Reserve Fund within the interest priority of payment, hence bringing credit support to the Class A Notes. As of the last payment date, the PDLs were cleared.

Citibank N.A./London Branch is the account bank for the transaction. The DBRS private rating of Citibank N.A./London Branch complies with the DBRS Legal Criteria for European Structured Finance Transactions, given the rating of the Class A Notes.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release and can be found 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” at http://www.dbrs.com/research/239786/the-effect-of-sovereign-risk-on-securitisations-in-the-euro-area.pdf.

The sources of information used for this rating include investor reports provided by Citibank N.A./London Branch (the Cash Manager). DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

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 last rating action on this transaction took place on 16 December 2013, when DBRS finalised the provisional ratings of A (sf) assigned to the Class A Notes.

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

To assess the impact of 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):

• DBRS expected a base case probability of default (PD) and loss given default (LGD) for the pool based on a review of the transaction performance. Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
• The base case PD and LGD of the current pool of receivables are 9.95% and 62.96%, respectively.
• The Risk Sensitivity overview below illustrates the ratings expected for the Class A Notes if the PD and LGD increase by a certain percentage over the base case assumption. For example, if the LGD increases by 50%, the rating for the Class A Notes would be expected to be at A (sf), all else being equal. If the PD increases by 50%, the rating for the Class A Notes would be expected to be at A (sf), all else being equal. If both the LGD and PD increase by 50%, the rating of the Class A Notes would be expected to be at A (low) (sf), all else being equal.

Class A Notes Risk Sensitivity:
• 25% increase in LGD, expected rating of A (sf)
• 50% increase in LGD, expected rating of A (sf)
• 25% increase in PD, expected rating of A (sf)
• 50% increase in PD, expected rating of A (sf)
• 25% increase in PD and 25% increase in LGD, expected rating of A (sf)
• 25% increase in PD and 50% increase in LGD, expected rating of A (sf)
• 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
• 50% increase in PD and 50% increase in LGD, expected rating of A (low) (sf)

For further information on DBRS historic default rates published by the European Securities and Markets Administration 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: 28 November 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Diana Turner

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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 and are as follows:

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