Fitch Rates FIDC Banco GMAC's Brazilian Floorplan ABS

SAO PAULO--()--Fitch Ratings has assigned ratings to the 3rd Series of Senior Quotas issued by Fundo de Investimento em Direitos Creditorios Banco GMAC - Financiamento a Concessionarias (FIDC Banco GMAC):

--BRL250 million 3rd Series of Senior Quotas 'A-sf'; Outlook Stable.

The 3rd Series of Senior Quotas have also been assigned a National Scale Rating of 'AAA(bra)'; Outlook Stable.

FIDC Banco GMAC is a securitization of loans originated by Banco GMAC S.A. (Banco GMAC; rated 'A(bra)', Rating Watch Positive by Fitch in the Brazilian national scale) to finance the acquisition of new and used vehicles for the General Motors do Brasil Ltda. (GM do Brasil) franchised dealer network. GM do Brasil is a subsidiary of General Motors Company (GM; Issuer Default Rating [IDR] of 'BB+'; Outlook Stable).

Key rating drivers include: (i) available credit enhancement, (ii) quality of the collateral pool, (iii) GM's credit quality, (iv) Banco GMAC's abilities as originator and primary servicer of the portfolio, (v) non-perfection of security interests over the underlying vehicles, (vi) the overall transaction structure, and (vii) Brazil's sovereign ratings.

The 3rd Series of Senior Quotas, which benefits from total initial 30% credit enhancement, has a 12-month revolving period and legal final maturity of 24 months. Fitch did not assign ratings to the previous two series of Senior Quotas, both of which were supported by 12% credit enhancement.

During an initial 12-month revolving period, the transaction will purchase receivables related to 137 pre-selected dealership groups, approximately 40% of which are considered multifranchise dealerships. The receivables pool shows good and stable performance, with no losses and only 0.3% of inventory being paid in delinquency. New and used vehicle sales average 36 and 45 days, respectively, and consequently generate very high monthly payment rates. Loans related to used vehicles are capped at 10% of the total pool. Individual dealership concentration limits are set, and the top 10 and 14 dealership groups are limited to 27% and 35% of the pool, respectively.

Credit enhancement levels are sufficient to cover default stresses associated with the 'Asf' category under the 'Category B' approach of the 'Global Criteria for Dealer Floorplan ABS.' 'Category B' approach applies to transactions characterized by low product and manufacturer diversification and heavy dependency on the manufacturer, in this case, GM. A credit enhancement step-up trigger has been included in the transaction structure: minimum credit enhancement increases to 55% if GM is downgraded to 'BB-' or below. Credit enhancement is more than sufficient to cover 'Asf' stresses under a 'Category A' approach of the criteria given historical losses, even after adjusting stresses to reflect a transaction rating above that of the Brazilian Sovereign (IDR of 'BBB; Stable Outlook).

Lower recovery assumptions were considered due to non-perfection of security interests over the underlying vehicles. In Brazil, floorplan lenders generally do not require vehicles as security collateral, a process which is determined as costly and operationally unpractical. This results in lower recovery expectations, and consequently higher credit enhancement levels when compared to floorplan transactions in other jurisdictions.

Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.

Applicable Criteria and Related Research:

--'Global Rating Criteria for Dealer Floorplan ABS' (Jan. 25, 2012);

--'Criteria for Existing Asset Securitization in Emerging Markets: Sovereign Constraints (June 28, 2012);

--'Global Structured Finance Rating Criteria' (June 6, 2012).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Global Rating Criteria for Dealer Floorplan ABS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=666405

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Contacts

Fitch Ratings
Primary Analyst
Bernardo Costa, +55-11-4504-2607
Senior Director
Fitch Ratings do Brasil Ltda.
Al. Santos 700, 7 Andar
Sao Paulo - SP
or
Secondary Analyst
Benjamin Tano, +55-11-4504-2619
Director
or
Committee Chairperson
Jayme Bartling, +55-11-4504-2602
Senior Director
or
Media Relations
Elizabeth Fogerty, New York, +1-212-908-0526
elizabeth.fogerty@fitchratings.com

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Contacts

Fitch Ratings
Primary Analyst
Bernardo Costa, +55-11-4504-2607
Senior Director
Fitch Ratings do Brasil Ltda.
Al. Santos 700, 7 Andar
Sao Paulo - SP
or
Secondary Analyst
Benjamin Tano, +55-11-4504-2619
Director
or
Committee Chairperson
Jayme Bartling, +55-11-4504-2602
Senior Director
or
Media Relations
Elizabeth Fogerty, New York, +1-212-908-0526
elizabeth.fogerty@fitchratings.com