Fitch Ratings has taken the following rating action on the fourth series of senior quotas issued by Fundo de Investimento em Direitos Creditorios Banco GMAC - Financiamento a Concessionarias (FIDC Banco GMAC):

--Local currency long-term rating downgraded to 'BBB+sf' from 'A-sf'; maintained on Rating Watch Negative.

Fitch has also affirmed the national scale long-term rating on the quotas at 'AAAsf(bra)' with a Stable Rating Outlook.

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). Citibank Distribuidora de Titulos e Valores Mobiliarios S.A. (Citibank DTVM) acts as trustee, while Credit Agricole Brasil S.A. Distribuidora de Titulos e Valores Mobiliarios (Credit Agricole Brasil) as co-manager to the transaction. Banco GMAC is hired as servicer of any delinquent loans.

The rating downgrade reflects the transaction's exposure to direct support counterparties in relation to the maximum achievable rating on the notes, following the recent downgrade of Brazil's sovereign ratings to 'BB+' from 'BBB-'.

Removal of the rating from Watch Negative is conditioned upon execution of the revised qualified investment provisions in the transaction documents as presented by the transaction parties.

KEY RATING DRIVERS

Counterparty Exposure

The recent sovereign downgrade increases counterparty risks in the transaction as various banks have been downgraded. The transaction bank account is domiciled at Citibank Brazil, but collections are invested on a daily basis in a money market fund, which is managed by Citibank DTVM. The fund invests in overnight federal government securities and this is not considered an eligible qualified investment commensurate with the local currency long-term rating of the quotas.

The co-manager to the transaction is restricting permitted investments of cash collections and reserve account proceeds, thereby minimizing investment in overnight Brazil federal government securities. Qualified investments will be limited to repurchase agreements (repos) issued by any foreign-owned financial institution (FIs) in Brazil whose controlling parent is rated at least 'A-' by Fitch. Investments in money market funds managed by the trustee will be limited to 5% of the transaction's capital structure.

While these measures aim to reduce direct counterparty exposures related to qualified investments considered speculative grade, Fitch views that the credit quality of these eligible investments by FIs to be capped at up to two notches above the local currency sovereign rating of Brazil.

Brazil's Sovereign Rating

The transaction is rated above Brazil's sovereign IDR of 'BB+'/Outlook Negative and country ceiling of 'BBB-'. The transaction is not explicitly capped by the sovereign IDR and country ceiling as the assets and rated notes are denominated in BRL; however, structured finance transactions cannot be completely delinked and are ultimately constrained by the overall sovereign environment. The short-term nature of Banco GMAC's receivables (historical average 33-day payment term) and the various triggers limit the transaction's exposure to the potentially severe macroeconomic stresses during a sovereign crisis (including increase in interest rates among others).

No Commingling Risk

In the beginning of December 2015, collection mechanism was changed to one where dealers make principal payments directly into the transaction account, which is domiciled at Citibank. Interest is charged separately, as it depends on the timing of payment, and also because a portion of it is owed by GM due to subsidies that might apply.

General Motors Company's (GM) Rating

The credit quality of GM Brasil dealerships and the value of Chevrolet/GM vehicles are dependent on the on-going provision of services, parts, accessories, customer warranties, and the continued manufacturing of new vehicles by GM. GM is assigned an IDR of 'BBB-'/Stable Outlook.

Lower Exposure to Domestic Risks vs. Other Local Transactions

Dealership payment performance and MPR levels have declined in the event of a local economic downturn. Nevertheless, the credit enhancement 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.

Good and Stable Performance of Receivables

The receivables pool shows good and stable performance, with no losses or delinquencies above 30 days as of December 2015. Average payment term in 2015 was 34 days, which resulted in modest monthly payment rates (MPRs) varying between 34% and 57%. 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.

RATING SENSITIVITIES

The ratings of the fourth series of senior quotas are sensitive to decreases in available credit enhancement 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 further downgrade on the credit quality of the sovereign and/or direct counterparties would likely 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.

Additional information is available at www.fitchratings.com.

Sources of Information:

In addition to the sources of information identified in Fitch's master criteria, this action was additionally informed by information from the trustee, Citibank DTVM and trust co-manager, Credit Agricole Brasil.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Criteria for Rating Securitizations in Emerging Markets (pub. 06 Nov 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=809588

Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586

Global Rating Criteria for Dealer Floorplan ABS (pub. 06 Jan 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=833468

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Related Research

FIDC Banco GMAC - Financiamento a Concessionarias - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=736576

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=998577

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=998577

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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