SAO PAULO--(BUSINESS WIRE)--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 revision of Brazil's Outlook to Negative from Stable on April 9, 2015.
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 March 2015. Average payment term is 31 days, which consequently generates very high monthly payment rates (MPRs). Although structure allows the top 13 obligors to reach 33% of the portfolio, surveillance data shows that top 14 has been around 22% 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 MPR trigger of 30%.
Rating of GM: GM is rated 'BB+' with a Positive 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 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 ratings as the assets and rated notes are denominated in BRL. Furthermore, the short-term nature of Banco GMAC's receivables (historical MPRs of approximately 60%) 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 Positive 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; IDR of 'BB+'; Outlook Positive). The current eligible portfolio is composed of 134 pre-selected dealership groups, of which approximately 55% are considered multi-franchise.
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 rating of the Government of Brazil. A change in Fitch's assessment of the credit quality of this sovereign might result in a change in the rating of the rated notes.
Additional information is available at 'www.fitchratings.com'.
The information and documentation used to assess the rating was provided by Banco GMAC and Citibank, the fund administrator.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' dated March 31, 2015;
--'Global Criteria for Dealer Floorplan ABS' dated Jan. 6, 2015;
--'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' dated Dec. 19, 2014;
--'Counterparty Criteria for Structured Finance and Covered Bonds' dated May 14, 2014;
--'Criteria for Rating Securitizations in Emerging Markets' dated Nov. 6, 2014.
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
Global Rating Criteria for Dealer Floorplan ABS
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds
Counterparty Criteria for Structured Finance and Covered Bonds
Criteria for Rating Securitizations in Emerging Markets