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Rating Action:

Moody's Places The Ratings of Several Mexican Mortgage-Backed Transactions On Review For Possible Downgrade

 The document has been translated in other languages

08 Jan 2009
Moody's Places The Ratings of Several Mexican Mortgage-Backed Transactions On Review For Possible Downgrade

Mexico City, January 08, 2009 -- Moody's de México (Moody's) has placed the ratings of eleven certificates from seven mortgage-backed securitizations on review for possible downgrade. The affected certificates include transactions from Hipotecaria Crédito y Casa, S.A. de C.V., GMAC Financiera, S.A. de C.V., and Hipotecaria Su Casita, S.A. de C.V:

- Class A certificates CREYCB 06U and Class B certificates CREYCB 06-2U

- Class B certificates MXMACFW07-6U

- Class A certificates MXMACFW07-3U and Class B certificates MXMACFW07-4U

- Class A certificates MXMACFW 07U and Class B certificates MXMACFW 07-2U

- Class A certificates MXMACFW 06U

- Class A certificates MXMACCB 06U

- Class A2 certificates BRHCCB08-2U and Class B certificates BRHCCB08-3U

Moody's rating actions are primarily based on the performance of the mortgage portfolios backing the transactions. The underlying pools of the affected transactions have displayed a sharp ramp-up of delinquencies greater than 90 days that is beyond our initial expectations considering the seasoning of the transactions. In addition, delinquencies greater than 90 days in each of the affected transactions are above the average level of delinquencies for comparable transactions in the Mexican market given similar seasoning.

As of November 30, 2008, and after 24 months of seasoning, delinquencies greater than 90 days were 12.3% for the CREYCB 06U/CREYCB 06-2U transaction. For the MXMACFW and MXMACCB shelves, delinquencies greater than 90 days were as follows: MXMACFW07-6U (6.8% after 15 months of seasoning), MXMACFW07-3U/MXMACFW07-4U (7.5% after 17 months of seasoning), MXMACFW 07U/MXMACFW 07-2U (8.3% after 21 months of seasoning), MXMACFW 06U (16.2% after 26 months of seasoning), and MXMACCB 06U (11.4% after 33 months of seasoning). Delinquencies greater than 90 days represented 2.6% of BRHCCB08-2U/BRHCCB08-3U after 8 months of seasoning. Several of these transactions have also accumulated a real estate owned (REO) pipeline that is excluded from these delinquency figures, thereby representing additional potential losses to the respective trusts.

Moody's ongoing review of these transactions will focus on the performance of the affected mortgage-backed securitizations and any steps that the servicers and/or master servicer may take to improve the collateral's performance.

RATING METHODOLOGY

When rating mortgage backed securitizations in Mexico, Moody's considers the characteristics and historical performance of the collateral backing a given transaction. Moody's assesses the collateral characteristics, considering key credit metrics such as original and actual loan-to-value, documentation type, payment-to-income, seasoning, current delinquency status, payment history, and geographic concentrations, among other factors, and uses this information to estimate the pool's future performance over the life of the transaction. In determining potential performance trends for a given transaction, Moody's also takes into consideration the performance of similar mortgages securitized by different players in the Mexican market.

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 distribution such that the mortgage cash flows are stressed using a range of default scenarios. The distribution is centered on a most likely cumulative gross default scenario; defaults are timed along a default curve. Moody's assumes that prepayments are timed along a prepayment curve. The assumed severity of loss on defaulted loans considers numerous variables, including, but not limited to, the balance of the loan at the time of default, 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 a distribution to arrive at an aggregate weighted average expected loss on the certificates. Moody's also calculates a weighted average life 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.

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

RATING ACTION

The complete rating action is as follows:

Originator and Servicer: Hipotecaria Crédito y Casa, S.A. de C.V., Sociedad Financiera de Objeto Limitado.

Issuer: Banco Invex, S.A., acting only in its capacity as trustee.

-- Class A certificates CREYCB 06U ratings of Baa1 (Global Scale, Local Currency) and Aaa.mx (National Scale Rating) placed on review for possible downgrade; the last rating action occurred on April 20, 2007, when the respective ratings were affirmed.

-- Class B certificates CREYCB 06-2U ratings of Ba2 (Global Scale, Local Currency) and A1.mx (National Scale Rating) placed on review for possible downgrade; the last rating action occurred on April 20, 2007, when the respective ratings were affirmed.

Master Servicer: GMAC Financiera S.A. de C.V., Sociedad Financiera de Objeto Limitado.

Issuer: HSBC México, S.A., Institución de Banca Múltiple, Grupo Financiero HSBC, División Fiduciaria, acting only in its capacity as trustee.

-- Class B certificates MXMACFW07-6U ratings of Ba2 (Global Scale, Local Currency) and A2.mx (National Scale Rating) placed on review for possible downgrade; the last rating actions occurred on October 26, 2007, when the Ba2 and the A2.mx ratings were changed from provisional ratings to definitive ratings.

-- Class A certificates MXMACFW07-3U underlying rating ("shadow rating") of Baa3 (Global Scale, Local Currency) placed on review for possible downgrade; the last rating action occurred on July 27, 2007, when the Baa3 underlying rating was originally assigned.

-- Class B certificates MXMACFW07-4U ratings of Ba2 (Global Scale, Local Currency) and A2.mx (National Scale Rating) placed on review for possible downgrade; the last rating actions occurred on July 27, 2007 when the Ba2 rating and the A2.mx ratings were changed from provisional ratings to definitive ratings.

-- Class A certificates MXMACFW 07U ratings of Baa3 (Global Scale, Local Currency) and Aa3.mx (National Scale Rating) placed on review for possible downgrade; the last rating actions occurred on March 31, 2008, when the rating was downgraded to Baa3 from A3 and to Aa3.mx from Aaa.mx.

-- Class B certificates MXMACFW 07-2U ratings of Ba2 (Global Scale, Local Currency) and A1.mx (National Scale Rating) placed on review for possible downgrade; the last rating action occurred on March 30, 2007, when the Ba2 and the A1.mx ratings were originally assigned.

-- Class A certificates MXMACFW 06U ratings of Baa3 (Global Scale, Local Currency) and Aa3.mx (National Scale Rating) placed on review for possible downgrade; the last rating action occurred on July 25, 2008, when the Baa3 and the Aa3.mx ratings were confirmed.

Master Servicer: GMAC Financiera S.A. de C.V., Sociedad Financiera de Objeto Limitado.

Issuer: Banco J.P. Morgan, S.A. Institución de Banca Múltiple, J.P. Morgan Grupo Financiero, División Fiduciaria, acting only in its capacity as trustee.

-- Class A certificates MXMACCB 06U ratings of Baa1 (Global Scale, Local Currency) and Aaa.mx (National Scale Rating) placed on review for possible downgrade; the last rating action occurred on March 31, 2006, when the Baa1 and the Aaa.mx ratings were originally assigned.

Originator and Servicer: Hipotecaria Su Casita, S.A. de C.V. Sociedad Financiera de Objeto Múltiple E.N.R.

Issuer: HSBC México, S.A., Institución de Banca Múltiple, Grupo Financiero HSBC, División Fiduciaria, acting solely as trustee.

-- Class A2 certificates BRHCCB08-2U ratings of Baa1 (Global Scale, Local Currency) and Aaa.mx (National Scale Rating) placed on review for possible downgrade; the last rating action occurred on April 21, 2008, when the Baa1 and the Aaa.mx ratings were originally assigned.

-- Class B certificates BRHCCB08-3U ratings of Ba2 (Global Scale, Local Currency) and A2.mx (National Scale Rating) placed on review for possible downgrade; the last rating action occurred on April 21, 2008, when the Ba2 and the A2.mx ratings were originally assigned.

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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