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

DBRS Ratings Limited (DBRS) has today confirmed its A (sf) rating on the EUR 54,696,124.61 Class A Notes issued by GAMMA - Sociedade de Titularização de Créditos, S.A. (Atlantes Finance No. 6) (the Issuer).

The confirmation of the rating on the Class A Notes is based upon the following analytical considerations:
-- Portfolio Performance, in terms of delinquencies and defaults, as of 31 August 2015.
-- 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 notes to cover expected losses assumed in line with the A (sf) rating level.

The Issuer is a bankruptcy-remote, limited liability company incorporated in accordance with Portuguese law. The transaction is a securitisation collateralised by a portfolio of auto loans/leases, consumer loans, long-term rental contracts and personal loans granted by Banif – Banco Internacional do Funchal, S.A. (Banif) and Banco Banif Mais, S.A. (Banif Mais) to corporate entities and individuals.

As of the September 2015 payment date, 30-60 day delinquencies and 60-90 day delinquencies were 1.48% and 0.94% of the principal outstanding balance, respectively, while delinquencies greater than 90 days were 1.39%. The gross cumulative default ratio was 1.87% of the original portfolio balance with cumulative recoveries of 26.17%, while cumulative written-off loans were at 0.75%.

Credit Enhancement for the Class A Notes (51.94%) is provided by the subordination of the junior obligations and the Cash Reserve Account.

The Cash Reserve (CR) is available to cover senior expenses and missed interest payments on the Class A Notes. The CR was funded at the Issue Date with EUR 10.9 million with the proceeds of the issuance of the Class C Notes. The balance of the CR has been at its target level since the closing date.

The Exposure Amount Ledger is available to mitigate any set-off risk that may arise from Banif’s deposit holders. This account was funded at closing with the proceeds of the Class S Notes, fully detained by Banif.

Banif and Banif Mais are the Originators and Servicers, Whitestar Asset Solutions S.A. is the Back-up Servicer, and Citibank International plc, Sucursal em Portugal is the Paying Agent for this transaction. In June 2015, Cofidis Participations, SA acquired 85.92% of Banif Mais’ share capital from Banif. However, Banif and Banif Mais continue with the servicing of their own pools, delivering the collections to the Issuer, as was the practice when they were part of the same Group.

Citibank N.A., London Branch acts as the Accounts Bank. The DBRS private rating complies with the Minimum Institution Rating given the rating assigned to the Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable is “Master European Structured Finance Surveillance Methodology”.

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted, as the documents have remained unchanged since the most recent rating action.

Other methodologies referenced in this transaction are listed at the end of this press release. This may be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

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

The sources of information used for this rating include information provided by Citibank N.A., London Branch and Banif Banco de Investimento, S.A.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was not supplied with third-party assessments; however, this did not impact the rating analysis.

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 13 November 2014, when DBRS confirmed the rating assigned to the Class A Notes at A (sf).

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

To assess the impact of the changing transaction parameters on the rating, DBRS considered the following stress scenarios compared with 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 portfolio based on a review of the current assets. 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 11.06% and 64.03%, 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 assumptions. For example, if the LGD increases by 50%, the rating for the Class A Notes would be maintained at A (sf), all else being equal. If the PD increases by 50%, the rating for the Class A Notes would be maintained at A (sf), all else being equal. Furthermore, if both the PD and LGD increase by 50%, the rating for the Class A Notes would be maintained at A (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)
-- 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, 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 (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: 28 November 2013
Initial Rating Committee Chair: Chuck Weilamann

Lead Surveillance Analyst: Antonio Di Marco
Rating Committee Chair: Chuck Weilamann

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

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

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrs.com/research/278375.