Our 'A- (sf)' rating on the class A notes reflects our assessment of the subordination of the class B notes, liquidity support provided by the cash reserve, excess spread available to the transaction, and the presence of payment-acceleration mechanisms triggered by default and delinquency levels. We consider that the transaction documents adequately mitigate the counterparty risk of the bank account provider, Citibank N.A.'s London branch (A/Negative/A-1) to an 'A-' rating level, in line with our 2012 counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on May 31, 2012).
In our credit analysis of the pool, we have also considered our sovereign credit ratings on the Republic of Portugal (BB/Negative/B) by further increasing the multiple applied to the default rate base case. Since our ratings on Portugal are speculative-grade, our ratings on securitizations in this jurisdiction are limited to a five-notch uplift above our rating on the sovereign (see "Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions," published on June 14, 2011).
-- New Issue: GAMMA Sociedade de Titularizacao de Creditos, S.A. (Atlantes Finance No. 5), July 16, 2012
-- Presale: GAMMA Sociedade de Titularizacao de Creditos, S.A. (Atlantes Finance No. 5), July 2, 2012
-- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012
-- Ratings List For Portuguese RMBS And ABS Rating Actions Following Revised Assessment Of Portuguese Country Risk, March 7, 2012
-- Various Rating Actions Taken On Portuguese RMBS And ABS Tranches Following Revised Assessment Of Portuguese Country Risk, March 7, 2012
-- Portugal's Ratings Lowered To 'BB/B'; Recovery Rating Of 4 Assigned; Outlook Negative, Jan. 13, 2012
-- 270 European Structured Finance Tranches Placed On CreditWatch Negative After Eurozone Sovereign CreditWatch Placements, Dec. 9, 2011
-- Portugal's 'BBB-/A-3' Ratings Placed On CreditWatch Negative, Dec. 5, 2011
-- Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions, June 14, 2011
-- Principles Of Credit Ratings, Feb. 16, 2011
-- Methodology: Credit Stability Criteria, May 3, 2010
-- Scenario Analysis: Gross Default Rates And Excess Spread Hold The Answer To Future European Auto ABS Performance, May 12, 2009
-- European Legal Criteria For Structured Finance Transactions, Aug. 28, 2008
-- A Listing Of S&P's New Actions Aimed At Strengthening The Ratings Process, Feb. 7, 2008
-- European Consumer Finance Criteria, March 10, 2000
GAMMA Sociedade de Titularizacao de Creditos, S.A.
EUR226.4 Million Floating-Rate Notes Split Between EUR197.9 Million Floating-Rate Asset-Backed Notes, EUR9.9 Million Floating-Rate Notes, And EUR18.6 Million Exposure Amount Notes
Class Rating Amount
A A- (sf) 158.3