DBRS Assigns AAA (sf) Rating to Class A Notes Issued by GAMMA - Sociedade de Titularização de Créditos, S.A. (ATLANTES No. 1)

DBRS Ratings Limited (“DBRS”) has today assigned a rating of AAA (sf) to the €555.30 million Class A Notes issued by GAMMA - Sociedade de Titularização de Créditos, S.A. (the “Issuer”). The transaction is a cashflow securitisation collateralised by a portfolio of term loans originated by Banif - Banco Internacional do Funchal, S.A. (“Banif”) to Portuguese corporates and small-and medium-sized enterprises (“SMEs”). As of 11 January 2011, the transaction had a current portfolio notional amount of €1,110.60 million and included 3,175 receivables. The portfolio will be serviced by Banif.

These ratings are based upon DBRS’ review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.
-- The credit enhancement for the Class A Notes is in the form of subordination provided by the Class B Notes and the Cash Reserve Account, funded by the issuance of the Class C Notes. A total current credit enhancement level of €577.512 million is sufficient to support AAA (sf) rating for the Class A Notes. Additional credit enhancement is provided by interest diversions.
-- The Cash Reserve Account provides additional credit enhancement for the Class A Notes and can be used to pay interest or principal shortfalls of the Class A Notes. The fees and expenses due will be paid prior to the replenishment of the Cash Reserve Account in the Priorities of Payment. It is funded at the beginning of the transaction through the issuance of the Class C Notes. The characteristics of the Cash Reserve Account are:
---- The initial level is set at €22.212 million.
---- While the Class A Notes are still outstanding, the Cash Reserve Account must be funded to the level as defined by the Cash Reserve Account Required Balance, which is greater of €11.106 million or 4.0% of the principal outstanding balance of SME portfolio.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. For this transaction, the rating of the Class A Notes addresses the timely payments, as defined in the transaction documents, of principal and interest. Interest and principal payments on the Notes will be made quarterly, generally on the 25th day of February, May, August and November, with the first payment date on 25 May 2011.

• The static nature of the transaction resulting in immediate amortization of the Class A Notes.

• The transaction parties’ financial strength and capabilities to perform their respective duties, and the quality of origination, underwriting and servicing practices.

• Soundness of the legal structure and presence of legal opinions which address the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle, as well as the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

The principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on our website under Methodologies.

DBRS determined key inputs used in our analysis based on historical performance data provided for the originator and servicer as well as analysis of the current economic environment. Further information on DBRS’s analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

The sources of information used for these ratings include parties involved in the rating, including but not limited to GAMMA - Sociedade de Titularização de Créditos, S.A., Banif - Banco Internacional do Funchal, S.A., Banif - Banco de Investimento, S.A. and The Royal Bank of Scotland plc. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

For additional information on DBRS European SME CLOs, please see European Disclosure Requirements, located at http://www.dbrs.com/research/235269.

Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 21 April 2011

Note:
All figures are in Euro unless otherwise noted.