DBRS Upgrades Rating on GAMMA - Sociedade de Titularização de Créditos, S.A. (Atlantes Finance No. 6) and Removes UR-Positive

DBRS Ratings Limited (DBRS) has today upgraded the rating on the Class A Notes to AA (sf) from A (sf) issued by GAMMA - Sociedade de Titularização de Créditos, S.A. (Atlantes Finance No. 6) (the Issuer) and has removed the Under Review with Positive Implications (UR-Pos.) status.

The rating action reflects an annual review of the transaction and concludes the UR-Pos. status of the rating. The Class A Notes rating was placed UR-Pos. following a material update to the methodology DBRS applies to monitor the counterparty risks of the transaction (see “Legal Criteria for European Structured Finance Transactions,” published on 19 February 2016). This methodology incorporates DBRS’s new Critical Obligations Ratings (CORs), which were introduced in the “Critical Obligations Rating Criteria” methodology published on 2 February 2016, and provides more granular rating levels for Account Bank institution replacements and eligible investments.

The rating on the Class A Notes has been upgraded based on the following analytical considerations:
-- Updated and more granular rating levels introduced by the “Legal Criteria for European Structured Finance Transactions” for account bank institution replacement triggers.
-- Portfolio Performance, in terms of delinquencies and defaults, as of the June 2016 payment date.
-- Default, recovery and loss assumptions on the collateral pool.
-- Current available credit enhancement to the notes to cover expected losses assumed in line with the AA (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. On 20 December 2015, the contractual position of Banif in this transaction has been transferred to Banco Santander Totta, S.A. following the resolution measure applied to Banif and the consequent acquisition by Banco Santander Totta, S.A. of a set of rights and obligations of Banif. Banif has confirmed that there has not been any disruption on servicing activity. DBRS considers the origination and servicing practices of Banco Santander Totta S.A. to be consistent with those observed among other Portuguese residential mortgage lenders.

As of the June 2016 payment date, 30-60 day delinquencies and 60-90 day delinquencies were 1.80% and 1.20% of the principal outstanding balance, respectively, while delinquencies greater than 90 days were 1.77%. The gross cumulative default ratio was 2.56% of the original portfolio balance with cumulative recoveries of 26.90%, while cumulative Written-Off loans are at 1.25%.

Credit Enhancement for the Class A Notes (73.23%) is provided by the subordination of the junior obligations and the Cash Reserve Account.

The Cash Reserve is available to cover senior expenses and interest payments shortfall on the Class A Notes. The Cash Reserve 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 Cash Reserve is at its target level of EUR 6,364,971.

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

Notes:
All figures are in Euro 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.

These 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 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 investor reports provided by Citibank N.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 to be 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 19 February 2016, when the rating on the Class A Notes was placed Under Review with Positive Implications.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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”):

-- DBRS expected a lifetime 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 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 for the Issuer are 10.79% (including sovereign stress) and 64.29% (including sovereign stress), respectively.
-- The Risk Sensitivity overview below illustrates the ratings expected 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 of the Class A notes would be expected to remain at AA (sf), assuming no change in the PD. If the PD increases by 50%, the rating for the Class A notes would be expected to remain at AA (sf), assuming no change in the LGD. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A notes would be expected to remain at AA (sf).

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

For further information on DBRS historical default rates published by the European Securities and Markets Authority (“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, Vice President
Initial Rating Date: 28 November 2013
Initial Rating Committee Chair: Chuck Weilamann, Managing Director

Lead Surveillance Analyst: Antonio Di Marco, Senior Financial Analyst
Rating Committee Chair: Chuck Weilamann, Managing Director

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY United Kingdom
Registered in England and Wales: No. 7139960

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 analysis structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375