Mexico, February 02, 2011 -- Moody's de México (Moody's) has confirmed the Ba1(sf) (Global Scale,
Local Currency) and A1.mx (sf) (Mexican National Scale) ratings
of Class A certificates CREYCB 06U. Moody's also downgraded
from Caa1(sf) to Ca(sf) (Global Scale, Local Currency) and from
Caa1.mx(sf) to Ca.mx(sf) (Mexican National Scale) the ratings
of Class B certificates CREYCB 06-2U of Hipotecaria Crédito
y Casa, S.A. de C.V., Sociedad
Financiera de Objeto Limitado. This concludes the review for possible
downgrade that was initiated on April 30, 2009.
Originator: Hipotecaria Crédito y Casa, S.A.
de C.V., Sociedad Financiera de Objeto Limitado
Servicer: ABC Capital, S.A. de C.V.,
Sociedad Financiera de Objeto Múltiple, Entidad No Regulada.
Issuer: Banco Invex, S.A., acting only
in its capacity as trustee.
-- Class A certificates CREYCB 06U ratings of Ba1 (sf) (Global
Scale, Local Currency) and A1.mx (sf) (National Scale Rating)
-- Class B certificates CREYCB 06-2U ratings downgraded
to Ca (sf) (Global Scale, Local Currency) from Caa1 (sf) and to
Ca.mx (sf) (National Scale Rating) from Caa1.mx (sf).
Today's rating action is based on the expected performance of the transaction's
underlying collateral and the available credit enhancement. As
of November 2010 (48 months after the transaction closing), delinquencies
greater than 90 days, including real estate owned (REO), as
a percentage of the original pool balance were 26.3%.
Based on historical performance information of this transaction,
Moody's expects lifetime cumulative gross defaults to be around 39%
as a percentage of the original pool (or 43% as a percentage of
the current pool). Moody's determined the pool's expected
loss by applying a severity of loss assumption on the projected defaulted
loan balance (assumed severity is 50%). Moody's updated
expected net loss projection is 25% of the current pool balance.
This compares with the estimated lifetime available credit enhancement
(including any subordination, overcollateralization, and remaining
excess spread) of 29% and 18% of the current balance for
Class A and Class B certificates, respectively.
Regarding the variability of the ratings of Class B certificates CREYCB
06-2U which were downgraded to Ca (sf)/Ca.mx (sf) Moody's
notes that as of this date it does not foresee further rating downgrades.
Certificates with expected recoveries of 35% to 65% are
generally rated Ca (sf), while certificates are generally rated
C (sf) if their expected recoveries are below 35%. However,
a one notch benefit is generally applied for at risk Mexican RMBS certificates
that do not experience write-downs in principal balance and are
expected to continue receiving coupon payments for many years, as
is the case for the affected certificates. As a result, Moody's
does not foresee further ratings downgrades on the affected certificates
under this approach.
The primary sources of assumption uncertainty are related to the macroeconomic
environment, the timing of recovery of the Mexican economy and labor
market, and the severity of loss assumption given the limited market
data related to historical recoveries for REOs.
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.
Moody's National Scale Ratings (NSRs) are intended as relative measures of creditworthiness among debt issues and issuers within a country, enabling market participants to better differentiate relative risks. NSRs differ from Moody's global scale ratings in that they are not globally comparable to the full universe of Moody's rated entities, but only with NSRs for other rated debt issues and issuers within the same country. NSRs are designated by a “.nn” country modifier signifying the relevant country, as in “.mx” for Mexico. For further information on Moody's approach to national scale ratings, please refer to Moody's Rating Implementation Guidance August 2010 "Mapping Moody’s National Scale Ratings to Global Scale Ratings.”
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 de Mexico S.A. de C.V
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's de Mexico S.A. de C.V
Moody's takes rating actions on Crédito y Casa's mortgage backed certificates CREYCB 06U and CREYCB 06-2U in Mexico
Ave. Paseo de las Palmas
No. 405 - 502
Col. Lomas de Chapultepec
Mexico, DF 11000