Fitch Places FIDC Banco GMAC's Senior Quotas on Negative Watch Due to Counterparty Risk

OREANDA-NEWS. 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 rating of 'A-sf' placed 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.

KEY RATING DRIVERS
The rating actions reflect the transaction's exposure to Brazil's sovereign economic environment and increase in counterparty risks following the sovereign downgrade to 'BB+' from 'BBB-' (see 'Fitch Downgrades Brazil to 'BB+'; Outlook Negative' dated Dec. 16, 2015 at www.fitchratings.com).

While the transaction is not explicitly capped by the sovereign country ceiling as the assets and rated notes are denominated in BRL, no structured finance transaction can be completely delinked, and it is ultimately constrained by the overall sovereign environment. Resolution of the Rating Watch Negative and the magnitude of the potential downgrade will depend upon the implementation of appropriate remedial action regarding counterparty exposure.

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 may 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.