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,
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).
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
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
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.
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.
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's de Mexico S.A. de C.V
Moody's downgrades four certificates from GMAC Financiera Mexican RMBS
Ave. Paseo de las Palmas
No. 405 - 502
Col. Lomas de Chapultepec
Mexico, DF 11000