Morningstar DBRS Confirms Credit Ratings on Three Atlantes Mortgage Transactions

DBRS Ratings GmbH (Morningstar DBRS) confirmed its credit ratings on the notes issued by GAMMA Sociedade de Titularização de Créditos, S.A. (the Issuer) with respect to three Atlantes Mortgage transactions, as follows:

Atlantes Mortgage N º 2 (AM2):
-- Class A Notes confirmed at AAA (sf)

Atlantes Mortgage N º 3 (AM3):
-- Class A Notes confirmed at AAA (sf)

Atlantes Mortgage N º 4 (AM4):
-- Class A Notes confirmed at AAA (sf)

All credit ratings address the timely payment of interest and the ultimate payment of principal on or before the respective final maturity dates.

CREDIT RATING RATIONALE
The confirmations follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performances, in terms of delinquencies, defaults, and losses, as of the latest payment date for each transaction (August 2024 for AM3 and September 2024 for AM2 and AM4);
-- Updated probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancement to the Class A Notes to cover the expected losses at the AAA (sf) credit rating level.

The transactions are securitisations of Portuguese residential mortgage loans originated by Banco Internacional do Funchal S.A. (Banif). Banco Santander Totta S.A. (Santander Totta) services the mortgage portfolios and Banco BPI S.A. acts as backup servicer for AM3 and AM4 only. The transactions closed between March 2008 and February 2009 and are structured with separate interest and principal waterfalls, principal deficiency ledger (PDL) mechanisms, and several performance-based pro rata tests that, if breached, trigger the sequential amortisation of the notes.

PORTFOLIO PERFORMANCE
The three portfolios are performing within Morningstar DBRS' expectations. Delinquencies are low, with 60- to 90-day and 90+-day arrears ratios as follows:
-- AM2: 0.1% and 0.8%, respectively, as of August 2024 cut-off date;
-- AM3: 0.3% and 0.4%, respectively, as of July 2024 cut-off date; and
-- AM4: 0.4% and 0.4%, respectively, as of August 2024 cut-off date.

The gross cumulative principal write-offs as of the latest portfolio cut-off dates for each transaction are as follows:
-- AM2: 5.2%, stable from the latest annual review of the transaction;
-- AM3: 4.8%, stable from the latest annual review of the transaction; and
-- AM4: 4.1%, stable from the latest annual review of the transaction.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case annualised PD and LGD assumptions as follows:
-- AM2: 3.2% and 10.0%, respectively;
-- AM3: 3.6% and 10.0%, respectively; and
-- AM4: 3.7% and 10.7%, respectively.

CREDIT ENHANCEMENT
Overcollateralisation of the outstanding collateral portfolios and the cash reserves provide credit enhancement to the Class A Notes across all transactions.

As of the latest payment date for each transaction, credit enhancement levels were as follows:
-- AM2: 28.5%, up from 26.5% as of the latest annual review of the transaction;
-- AM3: 39.6%, up from 36.5% as of the latest annual review of the transaction; and
-- AM4: 39.9%, up from 38.9% as of the latest annual review of the transaction.

The cash reserve of AM2 is available to cover senior fees and expenses, swap payments, and interest payments on the Class A, Class B, and Class C Notes as well as to clear the Class A, Class B, and Class C Notes' PDL. As of September 2024, the cash reserve was at its floor of EUR 8.1 million.

The cash reserves of AM3 and AM4 are available to cover senior fees and expenses, swap payments, and interest payments on the Class A Notes as well as to clear the Class A Notes' PDL, respectively. As of the respective last payment dates, the cash reserves of AM3 and AM4 were equal to their floors of EUR 33.0 million and EUR 37.1 million, respectively.

HSBC Bank plc (HSBC) acts as the account bank for the transactions. Based on Morningstar DBRS' private rating on the account bank, the downgrade provisions outlined in the transaction documents, and structural mitigants inherent in the transaction structures, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the Class A Notes, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology.

In December 2022, the swap counterparty for the transactions became Banco Santander S.A. Morningstar DBRS gives no credit to the interest rate swaps in its analysis, as the swap documentations are not in line with Morningstar DBRS' "Derivative Criteria for European Structured Finance Transactions" methodology.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the "Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings" at https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transactions structures in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is the "Master European Structured Finance Surveillance Methodology" (6 August 2024), https://dbrs.morningstar.com/research/437540.

Other methodologies referenced in these transactions are listed at the end of this press release.

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

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

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for these credit ratings include investor reports provided by HSBC, additional performance information provided by Santander Totta, and loan-level data provided by the European DataWarehouse GmbH.

Morningstar DBRS did not rely upon third-party due diligence to conduct its analysis.

At the time of the initial credit ratings, Morningstar DBRS was not supplied with third-party assessments. However, this did not impact the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing these credit ratings to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating actions on these transactions took place on 27 October 2023, when Morningstar DBRS confirmed its credit ratings on the Class A Notes of AM2, AM3 and AM4 at AAA (sf).

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com.

Sensitivity Analysis: To assess the impact of changing the transactions parameters on the ratings, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit ratings (the base case):

-- Morningstar DBRS expected a lifetime base case PD and LGD for the pool 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 loans for the Issuer are as follows:
-- AM2: 3.2% and 10.0%, respectively;
-- AM3: 3.6% and 10.0%, respectively; and
-- AM4: 3.7% and 10.7%, respectively.

AM2
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AA (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AA (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AA (high) (sf)

AM3
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

AM4
Class A Notes Risk Sensitivity:
-- 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD, expected credit rating of AAA (sf)
-- 50% increase in PD, expected credit rating of AAA (sf)
-- 25% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 25% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 25% increase in LGD, expected credit rating of AAA (sf)
-- 50% increase in PD and 50% increase in LGD, expected credit rating of AAA (sf)

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Pascale Kallas, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Date: 17 May 2012

DBRS Ratings GmbH
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60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

-- Master European Structured Finance Surveillance Methodology (6 August 2024),
https://dbrs.morningstar.com/research/437540.
-- Legal Criteria for European Structured Finance Transactions (28 June 2024),
https://dbrs.morningstar.com/research/435165.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024), https://dbrs.morningstar.com/research/439571.
-- European RMBS Insight Methodology (18 September 2024) and European RMBS Insight model v 10.0.0.0,
https://dbrs.morningstar.com/research/439573.
-- European RMBS Insight: Portuguese Addendum (19 April 2024),
https://dbrs.morningstar.com/research/431376
-- Derivative Criteria for European Structured Finance Transactions (6 September 2024),
https://dbrs.morningstar.com/research/439043.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781.

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.