Fitch Releases Mexican RMBS Performance Update Report

Business Wire, June 23, 2009

CHICAGO & MONTERREY, Mexico -- Today, Fitch Ratings released an updated version of its 'Mexican RMBS Performance Update Report'. This report provides an update to Fitch Ratings' review of the Mexican residential mortgage-backed securities (RMBS) market in the first quarter of 2009. As part of this update, Fitch has presented performance data for each transaction as of March 31, 2009.

Fitch Ratings has continued to see a fairly large increase in delinquencies over the past six months in the Mexican RMBS market. While some of these increases can be attributed to specific events for particular portfolios, much of this relates to the macroeconomic pressures impacting Mexico. During 2009, 13 RMBS tranches and two bonds backed by RMBS have been downgraded, while six tranches were placed on Rating Watch Negative. Five transactions originated by Metrofinanceria have remained on Rating Watch Negative since the end of November 2008. As a part of a global initiative, Fitch assigned Rating Outlooks to 60 RMBS tranches in Mexico, of which 37 were assigned a Stable Rating Outlook and 23 were assigned a Negative Rating Outlook.

Some trends remain unchanged from previous performance reviews published by Fitch. Based on Fitch's review, general observations can be made as follows:

-- Loss levels for older vintages are projected to be lower than those for newer vintages based on a static pool analysis.

-- Loss levels for transactions backed by Sofoles originations are projected to be larger than those from banks or Infonavit.

-- As expected, peso portfolios continue to outperform UDI portfolios; certain states are performing worse than others, and transactions with larger percentages concentrated in the informal economy are performing worse than portfolios with lower concentrations.

-- Most transactions related to banks and Infonavit continue to perform better than Fitch's original expectations. Given Infonavit's loan nature, where loans are granted to borrowers in the formal economy and in which mortgage payments are deducted directly from a borrower's paycheck, Cedevis transactions have been particularly affected by rising unemployment, causing higher-than-average increases in delinquencies.

New issues of Fitch's 'Mexican RMBS Performance Update Report' will continue to be published and can be found on the Fitch Ratings web site at www.fitchratings.com, under the following headers:

Structured Finance >> International >> Special Reports

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.