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. The current rating is not affected by the downgrade of Brazil's sovereign rating to 'BBB-' from 'BBB' on Oct. 15, 2015. The sovereign's Rating Outlook remains Negative.

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 September 2015. Average payment term is 29 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 top 14 has been around 26% 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, which 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: GM is rated 'BBB-' with a Stable Outlook, but its potential for liquidation is considered lower than the risk of senior debt default, as assessed by rating.

Sovereign Rating of Brazil: The transaction is rated above Brazil's sovereign Issuer Default Rating (IDR) of 'BBB-'/Outlook Negative and country ceiling of 'BBB'. The transaction is not explicitly capped by the sovereign rating country ceiling as the assets and rated notes are denominated in BRL. Furthermore, the short-term nature of Banco GMAC's receivables (historical MPRs between 34% and 74%) 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 by Fitch) to finance the acquisition of new and used vehicles from the manufacturer. GM do Brasil is a subsidiary of General Motors Company (GM; Issuer Default Rating [IDR] of 'BBB-'; Outlook Stable).

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 for 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 or reviewed in relation to this rating action.