Mexico, September 21, 2010 -- Moody's de México (Moody's) has taken rating actions on four
residential mortgage backed securitizations (RMBS) issued by GMAC Financiera
S.A. de C.V., Sociedad Financiera de
Objeto Múltiple, Entidad No Regulada (GMAC Financiera) in
Mexico. The underlying collateral consists of first-lien,
fixed-rate loans denominated in UDIS and granted primarily to low-income
borrowers.
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 only in its capacity as trustee.
-- MXMACFW 06U Class A Certificates: Caa1.mx
(sf) (National Scale) and Caa1 (sf) (Global Scale, Local Currency)
ratings placed on review for possible downgrade; the last rating
action occurred on April 1, 2009, when the ratings were downgraded
to Caa1.mx (sf) from Aa3.mx (sf) and to Caa1 (sf) from Baa3
(sf).
-- MXMACFW 07-2U Class B Certificates: ratings
downgraded to Ca.mx (sf) from Caa1.mx (sf) (National Scale)
and to Ca (sf) from Caa1 (sf) (Global Scale, Local Currency);
the last rating action occurred on May 7, 2010, when the Caa1.mx
(sf) and Caa1 (sf) ratings were placed on review for possible downgrade.
-- MXMACFW 07-3U Class A Certificates: ratings
downgraded to Ba2.mx (sf) from A3.mx (sf) (National Scale)
and to B2 (sf) from Ba3 (sf) (Global Scale, Local Currency);
the ratings remain on review for further possible downgrade. The
last rating action occurred on April 30, 2009, when the A3.mx
(sf) and Ba3 (sf) ratings were placed on review for possible downgrade.
-- MXMACFW 07-4U Class B Certificates: ratings
downgraded to Ca.mx (sf) from Caa1.mx (sf) (National Scale)
and to Ca (sf) from Caa1 (sf) (Global Scale, Local Currency);
the last rating action occurred on May 7, 2010, when the Caa1.mx
(sf) and Caa1 (sf) ratings were placed on review for possible downgrade.
-- MXMACFW 07-6U Class B Certificates: ratings
downgraded to Ca.mx (sf) from Caa3.mx (sf) (National Scale)
and to Ca (sf) from Caa3 (sf) (Global Scale, Local Currency);
the last rating action occurred on May 7, 2010, when the Caa3.mx
(sf) and Caa3 (sf) ratings were placed on review for possible downgrade.
RATINGS RATIONALE
MXMACFW 07-2U, MXMACFW 07-3U, MXMACFW 07-4U,
MXMACFW 07-6U
Today's downgrades impacting the MXMACFW 07-2U, MXMACFW 07-3U/MXMACFW
07-4U, and MXMACFW 07-6U transactions are primarily
based on the weak performance of the underlying mortgage portfolios and
Moody's projection of lifetime cumulative gross defaults and expected
losses on the pools. The underlying pools continue to display a
sharp ramp-up of delinquencies greater than 90 days that is significantly
above Moody's initial expectations considering the seasoning of
the transactions.
As of August 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:
-- MXMACFW 07-2U: 22.3% after
41 months since closing, versus 13.9% as of 12 months
ago
-- MXMACFW 07-3U, 07-4U: 26.2%
after 37 months since closing, versus 14.9% as of
12 months ago
-- MXMACFW07-6U: 33.3% after
35 months since closing, versus 17.9% as of 12 months
ago
The month-to-month deterioration in performance has been
considerable over the past year, with delinquencies greater than
90 days (including REOs) almost doubling for most of the underlying pools.
Accumulated net losses, however, represent less than 2%
of the original pool balance in all cases given the relatively low number
of reported REO sales to date. Further, all of the transactions
have relatively high outstanding pool balances (including REOs) ranging
from 79% to 84% of the original balance. Given the
weak performance trends to date and the high pool factors for each of
the transactions, Moody's expects significantly higher lifetime
cumulative gross defaults as a percent of the original pool as compared
to the level of gross defaults observed to date.
Moody's projected the lifetime cumulative gross defaults in each
transaction is as follows:
-- MXMACFW 07-2U: 38% of original balance,
or 49% of current balance
-- MXMACFW 07-3U, 07-4U: 44%
of original balance, or 54% of current balance
-- MXMACFW 07-6U: 51% of original balance,
or 61% of current balance
After estimating projected lifetime gross default rates as a percent of
the current pool balance including REOs, Moody's determined the
expected losses by applying a severity of loss assumption on the projected
defaulted loan balance (assumed severities range between 68-69%
across the three transactions). Moody's updated expected net loss
projections are as follows:
-- MXMACFW 07-2U: 33% of current balance
-- MXMACFW 07-3U, 07-4U: 37%
of current balance
-- MXMACFW 07-6U: 42% of current balance
Moody's then compares these net loss projections with the estimated
lifetime available credit enhancement by certificate (including subordination,
overcollateralization, and remaining excess spread, ),
which is as follows:
-- MXMACFW 07-2U Class B: 29% of current
balance
-- MXMACFW 07-3U Class A: 33% of current
balance
-- MXMACFW 07-4U Class B: 26% of current
balance
-- MXMACFW 07-6U Class B: 19% of current
balance
Regarding the variability of the ratings of the Class B certificates downgraded
to Ca (sf)/Ca.mx (sf) (MXMACFW 07-2U, MXMACFW 07-4U,
MXMACFW 07-6U), Moody's notes that as of this date
it does not foresee further rating downgrades on the certificates.
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.
Regarding the variability of the Ba2.mx (sf)/B2.mx (sf)
ratings of the MXMACFW 07-3U Class A certificates, if expected
losses on the underlying pool were to increase by approximately 10%
(from the 37% projected currently to approximately 41%),
the certificates would likely be downgraded by one notch on the global
rating scale.
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.
MXMACFW 06U AND MXMACFW 07-3U
The decision to place or maintain the ratings of MXMACFW 06U (86%
serviced by Su Casita) and MXMACFW 07-3U (43% serviced by
Su Casita) on review for possible downgrade reflects heightened concerns
with respect to: i) Su Casita's stability as servicer of these
RMBS transactions following Moody's recent downgrades of the company's
issuer ratings and its servicer quality rating, and ii) future collateral
performance given that an increased risk of a servicer disruption may
result in weakening of collections activities, leading to increased
delinquencies, lower recoveries, and ultimately higher losses
on the securitized pools
On September 13, 2010, Moody's downgraded Su Casita's
global scale local currency issuer rating to Caa2 from B2 (national scale
issuer rating downgraded to Caa2.mx from Baa3.mx),
and placed these ratings on review for further possible downgrade.
These rating actions follow the announcement on September 10th that negotiations
with BBVA Bancomer to purchase a portion of Su Casita's loan portfolio
had ceased due to an inability to reach agreement on valuation.
Su Casita's current liquidity position is weak, as the company has
sufficient funds available to cover existing debt only through the middle
of 1Q 2011, at which time the company would suffer a liquidity shortfall.
On September 15, 2010, Moody's also downgraded the servicer
quality (SQ) rating of Su Casita as servicer of residential mortgage loans
to SQ4 from SQ3+; the rating remains on review for further possible
downgrade, based on concerns about its stability as servicer.
During economic downturns a servicer´s financial strength becomes
even more important in connection with the performance of the portfolio
under management. There is a risk that a company with a weakened
financial strength may have a limited ability to devote sufficient resources
to sustain its servicing capabilities in a difficult economic environment.
Moody's ongoing review of these two certificates will focus on the
performance of the transactions and the risk of a potential servicing
disruption. Moody's will also focus on Su Casita's ability
to repay its short-term obligations, in light of the company's
limited access to external sources of capital. In addition,
Moody's will also closely monitor the company's capital structure
as well any additional support it may receive from Sociedad Hipotecaria
Federal.
The primary source of assumption uncertainty is Su Casita's ultimate
strategic direction and solvency, and the extent of any potential
servicing disruptions.
The principal methodology used in rating these securities was "Moody's
Approach to Monitoring Residential Mortgage-Backed Securitizations
in Mexico" published August, 2009. Other methodologies and
factors that may have been considered can also be found on Moody's website.
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 6 months.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings and public information.
Moody's 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
Moody's takes rating actions on four GMAC Financiera Mexican RMBS Transactions
