OREANDA-NEWS. Fitch Ratings has affirmed the ratings of the 4th Series of Senior Quotas issued by Fundo de Investimento em Direitos Creditorios Banco GMAC - Financiamento a Concessionarias (FIDC Banco GMAC) as follows:

--Local currency rating at 'A-sf'; Outlook Stable;
--National scale rating at 'AAAsf(bra)'; Outlook Stable.

The affirmation reflects transaction performance within Fitch's expectations. It also reflects some structural changes.

Changes in the structure are: increase of the revolving period to 36 months, from 24 months (expected to end December 2016); increase of senior spread to 0.5%, from 0.4%; and inclusion of eligibility criteria that establishes a minimum of 50% of the transaction's capital structure invested in credits from multi-franchise or single-franchise dealers with absorption rates equal to or above 65%.

Additionally, the balance of the senior quotas will be amortized to BRL400 million from BRL500 million. The downsizing is an adjustment to current origination, which has decreased over the recent years. At the end of August 2015, transaction already had approximately BRL250 million in cash, more than sufficient to make the payment.

Changes were implemented after prior approval of investors.

KEY RATING DRIVERS

Good and Stable Performance of Receivables

The receivables pool shows good and stable performance, with no losses or delinquencies above 60 days as of June 2015. Average payment term is 43 days, which consequently generates very high monthly payment rates (MPRs). Although the structure allows the top 13 obligors to reach 33% of the portfolio, surveillance data shows that the top 14 has been around 25% at most. This places the risk profile within 'A-sf' standards.

Available Credit Enhancement

Credit enhancement (CE) available for the senior class notes is 30% in the form of subordination of initial note balance. However, a step-up trigger increases CE to 55% if General Motors is downgraded to 'BB-' or below. Such CE level is expected to be sufficient to cover default stresses associated with higher rating levels above the 'Asf' category. In case CE is not increased, the transaction goes into early amortization and all principal is expected to pay off within four to five months given the current MPR levels and the trigger of 30%.

Rating of GM

Fitch currently rates General Motors Company (GM) 'BBB-' with a Stable Outlook, but its potential for liquidation is considered lower than the risk of senior debt default, as assessed by the rating.

Sovereign Rating of Brazil

The transaction is rated above the sovereign Issuer Default Rating (IDR) of 'BBB', Outlook Negative and the country ceiling of 'BBB+' assigned to Brazil. The transaction is not explicitly capped by the sovereign country ceiling as the assets and rated notes are denominated in BRLs. Furthermore, the short-term nature of Banco GMAC's receivables (historical MPRs of approximately 50%) and the various triggers limit the transaction's exposure to the potentially severe macroeconomic stresses (including increase in interest rates among others) during a sovereign crisis.

Lower Exposure to Domestic Risks vs. Other Local Transactions

Dealership payment performance and MPR levels are expected to decline in the event of a local economic downturn. Nevertheless, the CE levels were assessed in the context of catastrophic dealership default assumptions related to a scenario of liquidation of GM globally. Such exposure overrides stresses related to the emerging market characteristics of Brazil, and therefore, common exposures related to other transactions rated above the sovereign.

FIDC Banco GMAC is a securitization of General Motors do Brasil Ltda. (GM do Brasil; manufacturer) franchised dealer network loans originated by Banco GMAC S.A. (Banco GMAC; National Scale rating of 'AA+(bra)', Outlook Stable) to finance the acquisition of new and used vehicles from the manufacturer. GM do Brasil is a subsidiary of GM.

RATING SENSITIVITIES
The ratings of the 4th Series of Senior Quotas are sensitive to decreases in available CE as a result of higher default rates and lower recoveries on the loans than those assumed in Fitch's analysis. The ratings are also sensitive to the ratings of the government of Brazil. A significant change in Fitch's assessment of the credit quality of the sovereign might result in a change in the rating of the rated notes.

DUE DILIGENCE USAGE
No third-party due diligence was provided to or reviewed by Fitch in relation to this rating action.