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Rating Action:

Moody's downgrades four certificates from GMAC Financiera Mexican RMBS

 The document has been translated in other languages

12 Jan 2011

Mexico, January 12, 2011 -- Moody's de México (Moody's) has downgraded four certificates from Mexican RMBS issued by GMAC Financiera S.A. de C.V., Sociedad Financiera de Objeto Múltiple, Entidad No Regulada (GMAC Financiera). The underlying collateral consists of first-lien, fixed-rate mortgage loans denominated in UDIS and granted primarily to low-income borrowers in Mexico. This concludes the review for possible downgrade for MXMACCB 06U Class A, MXMACFW 07U Class A, and MXMACFW 07-3U Class A that was initiated on April 30, 2009, and for MXMACFW 06U Class A that was initiated on September 21, 2010.

Master Servicer: GMAC Financiera S.A. de C.V., Sociedad Financiera de Objeto Múltiple, Entidad No Regulada.

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

-- MXMACFW 06U Class A, ratings downgraded to Caa3.mx (sf) from Caa1.mx (sf) (Mexican National Scale) and to Caa3 (sf) from Caa1 (sf) (Global Scale, Local Currency).

-- MXMACFW 07U Class A, ratings downgraded to Ba2.mx (sf) from A3.mx (sf) (Mexican National Scale) and to B2 (sf) from Ba3 (sf) (Global Scale, Local Currency).

-- MXMACFW 07-3U Class A, ratings downgraded to B1.mx (sf) from Ba2.mx (sf) (Mexican National Scale) and to B3 (sf) from B2 (sf) (Global Scale, Local Currency); underlying rating downgraded to Caa1 (sf) from B2 (sf) (Global Scale, Local Currency).

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

-- MXMACCB 06U Class A, ratings downgraded to A2.mx (sf) from Aa3.mx (sf) (Mexican National Scale) and to Ba2 (sf) from Baa3 (sf) (Global Scale, Local Currency).

RATINGS RATIONALE

Today's downgrades were based on the continuing deterioration of the collateral's performance and Moody's updated projection of lifetime cumulative gross defaults and expected losses on the pools. These projections consider an additional stress factor to account for possible further deterioration related to servicing quality and the potential for disruptions following servicing transfers. The affected loan pools have varying percentages that are either i) serviced by Hipotecaria Su Casita, which is currently restructuring its operations, or ii) serviced by Patrimonio S.A. de C.V. as of November 1, 2010 following a servicing transfer away from Hipotecaria Crédito y Casa (a servicer that is liquidating its operations).

In addition, the MXMACFW 07-3U Class A certificates benefit from a financial guaranty provided by MBIA Insurance Corporation (B3 insurance financial strength rating) which covers timely payment of interest and ultimate payment of principal on the certificates. The MXMACFW 07-3U Class A certificates' B3 (sf) rating is in-line with MBIA Insurance Corporation's B3 insurance financial strength rating. The certificates' current ratings are consistent with Moody's practice of rating structured finance securities wrapped by financial guarantors at the higher of (1) the guarantor's insurance financial strength rating and (2) the underlying rating (reflecting the intrinsic credit quality of securities absent the guarantee).

As of December 2010, delinquencies greater than 90 days, including real estate owned (REO), as a percent of the original pool balance for each of the underlying pools were as follows:

-- MXMACCB 06U: 20.2% after 57 months since closing, versus 14.5% as of 12 months ago

-- MXMACFW 06U: 38.7% after 50 months since closing, versus 29.8% as of 12 months ago

-- MXMACFW 07U: 24.4% after 45 months since closing, versus 17.5% as of 12 months ago

-- MXMACFW 07-3U: 29.0% after 41 months since closing, versus 19.6% as of 12 months ago

Further, the transactions have relatively high outstanding pool balances (including REOs) ranging between 64% and 80% of the original balances. Given the transactions' weak performance trends to date and their high pool factors, Moody's expects significantly higher lifetime cumulative gross defaults as a percent of the original pools as compared to the level of defaults observed to date.

Moody's projected lifetime cumulative gross defaults in each transaction is as follows:

-- MXMACCB 06U: 31% of original balance, or 49% of current balance

-- MXMACFW 06U: 50% of original balance, or 70% of current balance

-- MXMACFW 07U: 41% of original balance, or 52% of current balance

-- MXMACFW 07-3U: 47% of original balance, or 59% of current balance

After estimating projected lifetime gross default rates as a percent of the current pool balances including REOs, Moody's determined the pool expected losses by applying a severity of loss assumption on the projected defaulted loan balance (assumed severities range between 45-68% across the four transactions). Moody's updated expected net loss projections are as follows:

-- MXMACCB 06U: 22% of current balance

-- MXMACFW 06U: 43% of current balance

-- MXMACFW 07U: 36% of current balance

-- MXMACFW 07-3U: 40% of current balance

Moody's then compared these net loss projections with the estimated lifetime available credit enhancement by certificate (including any subordination, overcollateralization, and remaining excess spread), which is as follows:

-- MXMACCB 06U Class A: 26% of current balance

-- MXMACFW 06U Class A: 20% of current balance

-- MXMACFW 07U Class A: 35% of current balance

-- MXMACFW 07-3U Class A: 31% of current balance

Regarding the variability of the MXMACFW 07-3U Class A certificates' B3 (sf) rating, if Moody's were to downgrade MBIA Insurance Corporation's insurance financial strength rating by one notch to Caa1 from B3, the MXMACFW 07-3U Class A certificates' would also likely experience a one-notch downgrade to Caa1 (sf).

Regarding the variability of the MXMACCB 06U Class A, MXMACFW 06U Class A, and MXMACFW 07U Class A ratings, if Moody's were to instead assume the following cumulative gross defaults as a percent of the current pool balance, the certificates' would also likely experience a one-notch downgrade:

-- MXMACCB 06U Class A, 51% (instead of 49%)

-- MXMACFW 06U Class A, 90% (instead of 70%)

-- MXMACFW 07U Class A, 55% (instead of 52%)

The primary sources of assumption uncertainty are related to the macroeconomic environment, the timing of recovery of the Mexican economy and labor market, the severity of loss assumption given the limited market data related to historical recoveries for REOs, and Su Casita's ultimate strategic direction and solvency and the extent of any potential servicing disruptions resulting from servicing transfers away from Su Casita and Patrimonio.

The principal methodology used in these ratings was "Moody's Approach to Monitoring Residential Mortgage-Backed Securitizations in Mexico" published August, 2009.

Further, Moody's considered that a loan servicer's capabilities can have a significant effect - either positive or negative - on realized loss levels in residential mortgage loan securitizations. Moody's assesses a servicer's ability to affect residential mortgage losses today and into the future. A servicer's financial stability could negatively affect its ability to properly perform its duties as primary servicer of securitized mortgage loans. Furthermore, any negative impact on the servicing function may in turn adversely affect the performance of the loans serviced by the company.

In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

REGULATORY DISCLOSURES

Information sources used to prepare the credit rating are the following: parties involved in the ratings and public information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of maintaining a credit rating.

Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

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

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

Moody's de Mexico S.A. de C.V
Ave. Paseo de las Palmas
No. 405 - 502
Col. Lomas de Chapultepec
Mexico, DF 11000
Mexico
JOURNALISTS: 001-888-779-5833
SUBSCRIBERS:52-55-1253-5700

Moody's downgrades four certificates from GMAC Financiera Mexican RMBS
No Related Data.
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