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Rating Action:

Moody's Assigns a Rating of Aaa.mx to BBVA Bancomer's BACOMCB 08-2 Residential Mortgage-Backed Certificates

 The document has been translated in other languages

18 Dec 2008
Moody's Assigns a Rating of Aaa.mx to BBVA Bancomer's BACOMCB 08-2 Residential Mortgage-Backed Certificates

Mexico City, December 18, 2008 -- Moody's de Mexico S.A. de C.V. ("Moody's") has assigned a rating of Aaa.mx (Mexican National Scale) and a rating of Baa1 (Global Scale, Local Currency) to BBVA Bancomer, S.A.'s (BBVA Bancomer) BACOMCB 08-2 Residential Mortgage-Backed Certificates. The certificates were issued by Banco Invex, S.A., Institución de Banca Múltiple, Invex Grupo Financiero, Fiduciario, acting solely in its capacity as trustee.

The previous rating action on the BACOMCB 08-2 certificates occurred on November 10, 2008, when Moody's assigned provisional ratings of (P)Aaa.mx (Mexican National Scale) and (P)Baa1 (Global Scale, Local Currency) to BBVA Bancomer's BACOMCB 08-2 Residential Mortgage-Backed Certificates.

Interest and principal to certificate holders will be primarily payable with cash flow from mortgage loans originated by BBVA Bancomer and assigned to the trust, which was established under the laws of Mexico.

The rating is based upon the following factors:

-- The credit quality of the pool, which is comprised of Mexican Peso-denominated, first-lien, fixed-rate mortgage loans secured by residential houses located in Mexico.

-- An initial credit enhancement of 5.4% in the form of overcollateralization and a target credit enhancement of 5.7%, also in the form of overcollateralization.

-- The availability of excess spread, which is expected to help offset losses on the underlying collateral and to amortize the certificates until the target overcollateralization of 5.7% of the current pool balance (excluding loans delinquent over 90 days) is reached.

-- The partial credit guarantee provided by Sociedad Hipotecaria Federal, S.N.C. (SHF -- Aaa global long-term issuer rating, local currency), which covers the payment of interest and principal on the certificates up to an amount equivalent to 15% of the certificates' outstanding balance.

-- The first loss mortgage insurance from SHF, representing an aggregate coverage of 3.45% of the pool balance, and covering a certain percentage of the outstanding balance plus any unpaid interest of any covered loan that defaults over the life of the transaction.

-- The strong mortgage origination standards of BBVA Bancomer and its capability in its role as servicer.

-- The well-established Mexican laws governing mortgage securitization.

SECURITIZED MORTGAGE POOL

The securitized pool is comprised of Mexican Peso-denominated first-lien mortgage loans secured by residential houses located in Mexico. The portfolio is comprised of 18,766, fixed-rate mortgage loans with an aggregate outstanding balance of MXP$5,823,482,176 as of the cut-off date (October 31, 2008). As of the same date, the pool's weighted average current loan-to-value (LTV) was 65.5%, the weighted average current combined LTV was 72.3% and the weighted average debt-to-income (DTI) was 19.1%. The weighted average seasoning of the pool was 28 months and the portfolio has exhibited a strong payment history. As of the cut-off date, 100% of the loans were current on their payments.

STRUCTURE

The certificates are denominated in Mexican Pesos and have a fixed interest rate. As of the closing date, the certificates represented 94.6% of the pool balance and the residual accounted for the remaining 5.4%. The certificates have a target credit enhancement of 5.7% which is expected to be built through excess spread.

The partial credit guarantee provided by SHF covers the payment of principal and interest on the certificates up to an amount equivalent to 15% of the outstanding certificates' balance. The guarantee can be drawn to cover shortfalls on the payment of interest on the certificates on any monthly payment date, and to cover shortfalls on the payment of principal at the maturity of the certificates. Additionally, in the event that the current pool balance (excluding loans delinquent over 90 days) were less than the certificates' balance, the guarantee can be drawn to amortize the certificates for such difference.

RATING METHODOLOGY

Moody's considered the characteristics and historical performance of the collateral backing this transaction, which had a weighted average seasoning of 28 months as of the cut-off date of October 31, 2008, as well as 5 years worth of reported performance data (including default and prepayment experience by vintage) for BBVA Bancomer's overall Mexican Peso denominated, fixed-rate, first-lien serviced portfolio. Moody's assessed the collateral characteristics, considering key credit metrics such as original and actual loan-to-value, combined loan-to-value for co-financed loans, documentation type, payment-to-income, seasoning, current delinquency status, payment history, and geographic concentrations, among other factors, and used this information to estimate the pool's future performance over the life of the transaction. In determining potential performance trends for this transaction, Moody's also took into consideration the performance of similar mortgages securitized by this issuer as well as other players in the Mexican market.

Moody's also analyzed BBVA Bancomer's origination, collections, customer service and reporting practices as well as its quality and stability as a servicer. In Moody's opinion, BBVA Bancomer exhibits strong mortgage origination standards and strong capability in its role as servicer. While Moody's does not rate BBVA Bancomer's servicing capabilities, Moody's has assigned a Aa2 rating to BBVA Bancomer's Global Local Currency Bank Deposits. In determining the alignment of interests of the key parties to the transaction, Moody's considered that BBVA Bancomer is the initial holder of the residual interests and that while the company has the right to assign and divide its residual interest, BBVA Bancomer is required to maintain a minimum investment of 2.16% of the rated certificate balance as of the date that the residual interest is partially assigned to a third party.

When rating mortgage backed securitizations in Mexico, Moody's prepares a loan-by-loan cash flow analysis that considers scheduled interest and principal collections on the mortgages, a distribution of cumulative gross default scenarios on the mortgage portfolio, severity and recovery rate assumptions, an assumed cumulative prepayment percentage, the priority of payments due to investors, and the particular characteristics of the transaction such as credit enhancement levels, reserves, and any type of guarantee benefiting the certificate holders.

The main assumptions underlying Moody's expectations of the future performance of the collateral are the cumulative gross default percentage, the cumulative prepayment percentage, and the severity of loss given a loan default. For cumulative gross defaults, Moody's uses a normal distribution, such that the mortgage cash flows are stressed using a range of default scenarios. The normal distribution is centered on a most likely cumulative gross default scenario (in this case 25%); defaults are timed along a default curve. Moody's assumed that the cumulative prepayment percentage over the life of this transaction equals 25% and that those prepayments are timed along a prepayment curve. The assumed severity of loss on defaulted loans (in this case, an average of 46%) considers numerous variables, including, but not limited to, the balance of the loan at the time of default, any benefit derived from mortgage insurance, costs associated with the foreclosure process, recovery lags, and downward adjustments to the original property value to stress the value of the property at the time of liquidation.

For each one of the cumulative gross default scenarios, Moody's allocates the available cash flows according to the priority of payments described in the transaction documents. Moody's applies varying weights, or probabilities of occurrence, to each of the cumulative gross default scenarios according to the normal distribution to arrive at an aggregate weighted average expected loss on the certificates. Moody's also calculates a weighted average life (WAL) for the certificates, which together with its weighted average loss and Moody's idealized loss tables, are utilized to assign a rating to the certificates.

The transaction's performance is heavily dependent on the Mexican economy and on the stability of inflation and employment. Currently, Moody's sovereign risk group rates Mexico's foreign currency debt obligations Baa1 and its local currency debt obligations Baa1. These ratings indicate that the Mexican economy and inflation could be subject to significant variation over time. However, the quality of the originator's underwriting standards, the credit quality of the collateral, and the credit enhancement, mitigate to some extent the potential effects of adverse performance in the Mexican economy and housing markets.

The transaction has been structured as a valid sale of the securitized assets to the issuing trust.

Other methodologies and factors that may have been considered in the process of rating this transaction can also be found at www.moodys.com on the Rating Methodology & Performance page.

RATING ACTION

The complete rating action is as follows:

Banco Invex, S.A., Institución de Banca Múltiple, Invex Grupo Financiero, Fiduciario, acting solely as trustee.

BACOMCB 08-2 Residential Mortgage-Backed Certificates for MXP$5,509,014,100, rated Aaa.mx (Mexican National Scale) and Baa1 (Global Scale, Local Currency).

More details about the transaction will be published in Moody's upcoming report on this transaction which will be available on Moody's website, www.moodys.com. Please use Quick Search, found in the upper right hand corner of the home page, to locate the issuer and associated research.

New York
Maria Muller
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Karen Ramallo
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
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