Structured Finance. Mexican RMBS Performance. Update. Residential Mortgage Mexico Special Report

Transcription

1 Residential Mortgage Mexico Special Report Analysts Juan Manuel Sánchez juan.sanchez@fitchratings.com Roberto Guzmán roberto.guzman@fitchratings.com Eduardo Dibildox eduardo.dibildox@fitchratings.com Bernardo Costa bernardo.costa@fitchratings.com Sam Fox samuel.fox@fitchratings.com Greg Kabance greg.kabance@fitchratings.com Related Research Mexican RMBS Performance Quarterly Report, March 9, 9 Mexican RMBS Performance Quarterly Report, Nov. 1, Mexican RMBS Performance Quarterly Report, Sept., Mexican RMBS Performance Quarterly Report, May 13, Mexican RMBS Performance and Outlook for, March, Mexican RMBS Rating Criteria, Oct., 7 Mexican RMBS Performance Update Summary Fitch Ratings has continued to see a fairly large increase in delinquencies over the past six months in the Mexican residential mortgage-backed securities (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 9, 13 RMBS tranches and two bonds backed by RMBS have been downgraded, while six tranches were placed on Rating Watch Negative (RWN). Five transactions originated by Metrofinanceria have remained on RWN since the end of November. As a part of a global initiative, Fitch assigned Rating Outlooks to RMBS tranches in Mexico, of which 37 were assigned a Stable Rating Outlook and 3 were assigned a Negative Rating Outlook. For more information related to Rating Outlooks, see the Fitch special report on Introducing Rating Outlooks for Latin American Structured Finance Bonds, dated Jan., 9, available on Fitch s web site at Some trends remain unchanged from previous quarterly 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. Fitch presents metrics related to 9-day and 1-day delinquencies through March 31, 9 as part of its review of its Mexican RMBS rated portfolio. While Fitch believes delinquencies greater than 1 days are the best indicator of loss for Mexican mortgages, 9-day delinquency numbers provide a good, early warning for transaction performance. As can be seen in the charts in the Appendix (see pages 31), there continues to be a rise in the 9-day delinquencies over the past several months, and these increases tend to lead to an increase in overall 1-day delinquencies. For more information related to performance in 7 and, see Fitch s previously issued quarterly reports as listed at left, all of which are available on Fitch s web site at June 3, 9

2 Below is a list of rating actions taken by Fitch in 9. Recent Rating Actions Type of Action Transaction Name Current Rating Previous Rating Downgrade MXMACCB -U AA+(mex) AAA(mex) Downgrade MXMACCB U AA+(mex) AAA(mex) Downgrade MXMACFW U BBB(mex) A(mex) Downgrade MXMACFW -U BB(mex) BBB+(mex) Downgrade MXMACFW 7U A+(mex) AA(mex) Downgrade MXMACFW 7-U A (mex) A(mex) Downgrade MXMACFW7-U A (mex) A(mex) Downgrade MXMACFW7-U BBB(mex) A(mex) Downgrade BRHSCCB U A (mex) A+(mex) Downgrade BRHSCCB U A (mex) A+(mex) Downgrade CREYCB AA (mex) AAA(mex) Downgrade CREYCB -U A (mex) A+(mex) Downgrade CREYCCB U AA+(mex) AAA(mex) Downgrade DBCB 7U AA (mex) AAA(mex) Downgrade DBCB 7-U AA (mex) AAA(mex) Macroeconomic Conditions Remain Weak While the origination, underwriting, and servicing of the Mexican mortgage companies play an important role in the performance of the various RMBS transactions, since most of the loans in RMBS pools are given to low- and middle-income borrowers, one of the main factors influencing performance relates to the health of the economic environment in Mexico. In light of the current economic crisis and as part of a global review of 17 major investment-grade emerging market economies, Fitch revised Mexico s Sovereign Rating Outlook to Negative from Stable in November. The three main factors driving this change in Rating Outlook were: the U.S. recession; reduced capital and financial market flows; and oil prices. For further information, see Fitch s special report on Rating Review of Emerging Markets, dated Nov. 1,, available on Fitch s web site at The Mexican macroeconomic outlook is grim due to a diverse array of negative factors. GDP and other macroeconomic variables and statistics have recently been under constant revision due to the volatility in the economy. GDP for first-quarter 9 was estimated to be negative.%, and Fitch notes the real GDP is forecast to contract by.% in 9 and to grow at just over 1.% in 1. Exchange rates have been under particular stress at the end of the third quarter of. However, rates have stabilized in recent months and are currently range from USD13. USD13.; current market expectations that these rates will be around USD13. at the end of the year. The Mexican central bank also lowered reference rates; however, the effectiveness of this measure will be curbed by the bleak employment prospects and a low level of financial intermediation. The economic slowdown continues to have negative effects on employment and real salaries. Some of the most affected economic sectors were construction and manufacturing, which experienced the highest employment reductions. It is expected that 9 will end with formal jobs declining by almost,. It is likely that the tourism industry will see greater-than-expected declines as a result of the H1N1 flu outbreak, but with current information, it is difficult quantify its impact on the economy and, even more so, to Mexican RMBS portfolios. As expected, the northern states where industrial activity dominates the total work force occupation presented the most severe unemployment rates. From April to Mexican RMBS Performance Update June 3, 9

3 April 9,, formal jobs were lost. The most affected states were Chihuahua, Tlaxcala, Baja California Norte, Baja California Sur, Coahuila, and Tamaulipas. In, rising inflation resulted in lower purchasing capacity as salaries increased at a slower pace. Even though inflation is expected to fall in 9, real wages will remain depressed due to weak negotiation power of employees in the face of rising unemployment and weak growth prospects. These adverse macro-environment conditions suggest increased pressures on consumers debt service capability, and therefore, 9 s asset performance expectations should be viewed cautiously. Fitch will continue to monitor the impact of certain macroeconomic indicators, as they will affect the overall mortgage performance; these indicators include, but are not limited to, inflation and unemployment levels, U.S. remittances flows, and exchange rates. Fallout on Mexican Housing and Mortgage Market The accumulated effects of the global credit crisis and its impact in the Mexican market have caused two Sofoles involved in the housing industry Metrofinanciera and Crédito y Casa to default on their unsecured debt obligations during April and May. Both Sofoles faced the contraction of the credit markets, deterioration of assets, and a lack of support from Sociedad Hipotecaria Federal (SHF). As a result, these institutions were unable to meet their financial obligations on a timely basis. SHF support, the nature of which remains uncertain, is considered essential to successfully complete their restructuring processes. For more information, see the Fitch press releases on Fitch Ratings degrada a RD las calificaciones globales de Metrofinanciera; escala nacional a D(mex), dated April, 9, and Fitch modificó a D(mex) las calificaciones en escala nacional de Hipotecaria Crédito y Casa, dated April 9, 9, both of which are available on Fitch s web site at RMBS Transactions by Year RMBS Transactions by Quarter, (USD Mil.) Sofoles and Banks Cedevis 1, (USD Mil.) Sofoles and Banks Cedevis, 1, 1, 1, 3 7 1Q9 1Q7 Q7 3Q7 Q7 1Q Q 3Q Q 1Q9 Source: SHF, Infonavit. Source: SHF, Infonavit. Despite the recent Credito y Casa and Metrofinanciera cases, the government is taking actions to help address liquidity concerns for Sofoles. In addition to previous funding and support programs, on May 11, the Mexican federal government through Secretaría de Hacienda y Crédito Público (SHCP) and SHF, jointly with the Asociación de Bancos de México (ABM) and Asociación Mexicana de Entidades Financieras Especializadas (AMFE) signed an agreement. This agreement mostly consists of a partial guarantee program, which has allowed six participating Sofoles to roll over their short-term commercial paper programs. This recent funding program has partially mitigated one of the more pressing near term issues facing Sofoles today. Mexican RMBS Performance Update June 3, 9 3

4 Overall, public RMBS issuance in the first quarter was limited to one small retapping of Bonhitos and two transactions, with a combined total of approximately USD9 million, which are based on the Bonhito macro-credit program. Early in May 9, Infonavit issued its first transaction, Cedevis 9U, for a total of about USD17 million. Fitch believes public issuance will continue to be difficult to place for the rest of 9, with frequent issuers like Infonavit leading. It is also expected Hito will play a major role in the issuance through its macro-credit platform Recent Market Developments On May 9, SHF launched its partial credit guarantee (PCG) program to mitigate the liquidity concerns in the Mexican housing industry. The agreement has allowed Casa Mexicana, Crédito Inmobiliairio, Fincasa, Su Casita, Patrimonio, and Vértice to refinance their short-term obligations and also allows them to refinance their unsecured debt due in 9 and 1. Refinancing, estimated in MXN1 billion, has been done through the issuance of debt, which has a % PCG provided by SHF and can be prepaid without associated prepayment fees. On May, 9, Fitch increased some of the participating Sofoles short-term ratings reflecting their lower exposure to liquidity risk and refinancing derived from the benefits of the agreement. For more information, see the Fitch press release on Fitch incrementa las calificaciones de corto plazo de algunas Sofoles/Sofomes hipotecarias, dated May, 9, and available on Fitch s web site at In May 9, RMBS servicers started to request investor s assemblies to introduce the various mortgage restructuring initiatives sponsored by the Asociación Hipotecaria Mexicana (AHM). The framework consists of four different alternatives: deferred payments; temporary payment discounts; permanent payment discounts; and judicial agreements. These products could potentially alleviate concerns over the borrowers current debt service burden, thus allowing them to continue to make payments on their home. Fitch analyzed these products and found that for the majority of scenarios, these products offer greater recovery values (measured by the net present values of cash flows) relative to initial recovery assumptions. Fitch does not expect the modifications to legal documents will, by themselves, impact the securities ratings, but rating actions will be taken according to portfolios performance. It is important to note that a non-performing loan definition considers that a restructured loan needs to demonstrate sustained payment after the loan s original conditions are modified. A loan will once again be classified as performing after the borrower has made three consecutive complete payments post restructuring. According to AHM, despite this classification, restructured loans will be included in OC formulas after 1 months of sustained payment. In addition, release of cash flow to equity holders can be prohibited once a material portion of restructured loans in the securitized portfolios has been reached. Drivers of Collateral Performance Fitch defines defaults when arrears are more than 1 days or when seven or more payments are not made. The charts on pages 7 show the overall performance of this metric for various RMBS transactions originated by Sofoles, banks, and Infonavit for the past several years. In addition, included in the Appendix are charts for various transactions showing 9-days or more delinquencies, which provide a good early warning mechanism for future performance. All of this data reflects the servicing and trustee reports provided to Fitch as of March 31, 9. It is important to note that the delinquency information provided in these charts is on a dynamic basis, and the denominator is declining due to amortizations and, more importantly, prepayments. When comparing these levels to the original static loss numbers, the delinquency rates are overstated to some degree. Mexican RMBS Performance Update June 3, 9

5 Collateral performance has been affected by unemployment and inflation. Most of the Sofoles and bank securitized pools present concentrations in states with unemployment rates higher than the national average (e.g. Baja California Norte, Tamaulipas, Nuevo León, and Coahuila). However, there are significant differences in the performance of pools securitized by Sofoles and those securitized by banks. Borrower profiles differ, as bank borrowers belong to middle- to high-income segments (average monthly income from MXN, MXN1,) and work in the formal sector, while Sofoles borrowers belong to low- to middle-income segments (average monthly income from MXN1, MXN,) and employment concentrations in the informal economy accounts for up to 3% of the pool. The difference in performance is in line with Fitch s expectations that low-income borrowers are more vulnerable to stressed economic environment. Another trend that can be observed is that the performance of UDI-denominated loans is worse than that of peso-denominated loans. UDI loans are characterized by monthly payments denominated in minimum wages. This means payments increase annually as opposed to peso-denominated loans, which, in most cases, either remain fixed or get a reduction due to timely payment. It should be highlighted that the majority of pesodenominated pools have been originated by banks, but this trend can be observed even when comparing peso pools versus UDI pools securitized by the same originator. This difference in performance is in line with Fitch s original default expectations for each type of currency loan, as Fitch s analysis indicates the default rates for these transactions will be lower for two specific reasons. In a base case scenario, these loans will perform better since they are targeted at higher income individuals. In a stress case scenario, Fitch s analysis estimates the borrowers capacity to make payments on a peso loan will be better than an inflation-linked loan or minimum wage loan since the debt service will not increase (see charts in the Appendix, pages 31). SHF s minimum wage UDI swap mitigates the risk of mismatches between the increase in the minimum wage and inflation; however, the borrowers payments for UDI loans still increase on an annual basis. Another cause that could explain the different performance between peso loans and UDI loans is the loan-to-value (LTV) evolution during the life of the loan through scenarios of low and high inflation. In a base case scenario, in which property prices increase at the same pace as inflation or even above inflation, LTV decreases for both types of loans, increasing the borrower s willingness to pay. On the other hand, scenarios of high inflation cause the outstanding balance of UDI loans to increase above property prices, pressuring the borrower s equity; however, during the same high inflation scenario, a peso loan balance cannot increase. Therefore, LTV decreases under both scenarios for the peso loan. Regarding Sofoles pools, there continues to be signs that the earlier vintages of and continue to perform better than those of, 7, and. Some of this may be due to a deterioration in credit quality of the borrowers, but the difference in seasoning for the earlier transactions is an important contributing factor as well. Many of the and vintages had a minimum seasoning of two years prior to the transaction closing, and some were as long as four years. This compares to the, 7, and transactions, which contained loans that were typically seasoned between one and two years at closing (for more information, see Appendix, pages 31). In addition to general increases in delinquencies caused by mounting economic pressures, the transactions that are performing worse than expected have specific characteristics that need to be highlighted. Some of these include concentrations in certain states, problem projects related to a few specific developers, greater concentrations in the informal sector, and poor servicing. Mexican RMBS Performance Update June 3, 9

6 The performance of Infonavit loans continue to present higher delinquencies and extensions (prórrogas) during the first quarter of 9.This is a direct consequence of the reduction of formal economy employment during this period Delinquencies 1+ Days SOFOLES Issued, and METROCBU MXMACCBU BRHSCCBU MXMACCBU MXMACCBU BRHSCCB BRHSCCBU_U CREYCCB U METROCBU BRHSCCB3U_U MXMACFWU_U FCASACBU BRHSCCB_3 PATRICBU CREYCB U_U Recent transactions have suffered a greater impact in rising extensions. This is due to the concentrations in states like Chihuahua, Coahuila, and Tamaulipas, which have registered larger losses of formal jobs. In terms of delinquencies, these are not yet observed in recent transactions as a consequence of short seasoning and the grace period provided by extensions. Delinquencies 1+ Days SOFOLES Issued 7 and BRHSCCB7_7 MXMACFW7U_7U MTROCB7U PATRICB7U PATRICB7 MXMACFW7U Su Casita Trust MXMACFW7U BRHCCB7U_7U_73U BRHCCB7_7_73 MTROCBU MTROFCB BRHCCB U_U_3U BRHCCB -U_-U With that said, it is clear to see that overall default rates in Mexico continue to increase, and the second half of and the first quarter of 9 experienced more dramatic increases than in past periods. While each transaction will vary, these recent increases seem to be consistent and widespread between Sofoles, banks, and Infonavit. Given recent projections related to the Mexican GDP decline and increasing unemployment during 9, the delinquencies may continue to increase at similar rates during the rest of 9. It will be important to monitor the various servicers abilities to contain these delinquencies. Mexican RMBS Performance Update June 3, 9

7 Delinquencies 1+ Days Banks BNORCB_ HSBCCB7_7 HSBCCB73_7 BACOMCB7 BACOMCB SCOTICB HSBCCB_ Not illustrated in the charts in this report, but still part of the RMBS market, is the repackaging issued by Deutsche Bank DBCB7U_U, which was downgraded to AA (mex) from AAA(mex) and placed on Negative Rating Outlook by Fitch on June, 9. This repackaging is backed by five RMBS transactions, of which CREYCBU, issued by Crédito y Casa, represents more than % of the underlying collateral. For further information, see Fitch s press release on Fitch Ratings modifica a la baja las calificaciones de bonos respaldados por BORHIS, dated June, 9 and available on Fitch s web site at Prepayment One of the main credit enhancements within Mexican RMBS transactions is excess spread, which covers a significant percentage of the expected losses a portfolio may face. Under high prepayment scenarios excess spread would decrease, causing less coverage on future losses. Constant Prepayment Rate SOFOLES Issued,, and METROCBU MXMACCBU BRHSCCBU MXMACCBU MXMACCBU BRHSCCB BRHSCCBU_U CREYCCB U METROCBU BRHSCCB3U_U MXMACFWU_U FCASACBU BRHSCCB_3 PATRICBU CREYCB U_U Trends for the first quarter of 9 are an increase in prepayments from bonds issued by banks, whereas prepayments in Sofoles-issued transactions have decreased. Overall, during the past 1 months, prepayments have stabilized at % %. Mexican RMBS Performance Update June 3, 9 7

8 Constant Prepayment Rate SOFOLES Issued 7 and BRHSCCB7_ 7 MXMACFW7U_7U MTROCB7U PATRICB7U PATRICB 7 MXMACFW 7 U Su Casita Trust MXMACFW7 U BRHCCB 7 3U BRHCCB7_7_73 MTROCBU MTROFCB BRHCCB U_U_3U BRHCCB -U_-U Constant Prepayment Rate Banks BNORCB_ HSBCCB7_7 HSBCCB73_7 BACOMCB7 BACOMCB SCOTICB HSBCCB _ CPR Index / 3/ / 9/ 1/ 3/ / 9/ 1/ 3/7 /7 9/7 1/7 3/ / 9/ 1/ 3/9 Mexican RMBS Performance Update June 3, 9

9 GMAC GMAC Closing Information Current Performance Closing WA OLTV WA Seasoning Top Three Current Collateral Delinquent Deal Name Date Initial C/E (Months) States Balance a Current Rating MXMACCBU //.% 3%, IFC GPO 1.%, SHF GPI % NL, EM, BCN AAA(mex) RON MXMACCBU 1//.% 3%, IFC GPO 7%, SHF GPI % 3 DF, BCN, EM AA+(mex) RON MXMACCBU 3/3/.% 3%, IFC GPO 1.9%, SHF GPI % 73 3 DF, QTO, NL AA+(mex) RON MXMACFWU_U 1//.% 1.% FGIC GPO b 1% 1 BCN, EM, JAL BBB(mex) RON/ BB(mex) RON MXMACFW7U_7U 3/3/7 1% % FGIC GPO b 1% DF, NL, EM A+(mex) RON/ A (mex) RON MXMACFW 7U 7/7/7 1% % MBIA GPO b 1% 9 BCN, EM, QR A (mex) RON MXMACFW 7U 1/1/7 1.% %, MBIA(mex) GPO b 1% 19 BCN, EM, QR BBB(mex) RON a Millions of UDIs. b Full wrap applies to senior notes. Mex Mexico. C/E Credit enhancement. OLTV Original loan to value. WA Weighted average. RWN Rating Watch Negative. RON Rating Outlook Negative. Delinquencies 1+ Days MXMACCBU MXMACCBU MXMACCBU MXMACFWU_U MXMACFW7U_7U MXMACFW 7U MXMACFW 7U In April 9, Fitch conducted a detailed analysis of all GMAC transactions rated by Fitch. This detailed analysis included the review of the monthly surveillance data, as well as a re-evaluation of delinquency and loss assumptions and a break-even scenario by re-running Fitch s cash flow model. The re-running of the cash flow model determines the maximum level of defaults each structure could sustain without suffering a loss. These results were compared to Fitch s new delinquency and loss numbers assumed for each portfolio and at each given rating category. The cash flow model incorporates all credit enhancements for each issuance, as well as their structural characteristics like the waterfall of payments described in the legal documents. The cash flow model also incorporates Fitch s analysis on CPR, delayed proceeds due to delinquencies, excess spread, and mortgage insurance, and Fitch s view on the recovery proceeds of any houses yet to be sold within the trust. As a result of this full analysis, eight tranches were downgraded, and nine were placed on Negative Rating Outlook. The only transaction that was not downgraded was MXMACCBU; however, it was also placed on Negative Rating Outlook. For further information, please see Fitch s press release on Fitch Ratings modifica a la baja las Mexican RMBS Performance Update June 3, 9 9

10 calificaciones de bonos respaldados por hipotecas de GMAC, dated April, 9, and available on Fitch s web site at Constant Prepayment Rate MXMACCBU MXMACCBU MXMACCBU MXMACFWU_U MXMACFW7U_7U MXMACFW 7U MXMACFW 7U Mexican RMBS Performance Update June 3, 9

11 Su Casita Su Casita Closing Information Current Performance Closing WA WA Seasoning Top Three Current Collateral Delinquent Deal Name Date Initial C/E OLTV (Months) States Balance a Current Rating BRHSCCBU 9/3/ 1.% 3%, SHF GPO 1.%, 3 1 DF, NL, EM AAA(mex) ROS GPI % BRHSCCB /17/.% %, IFC GPO 1%, SHF GPI % DF, QTO, NL AAA(mex) ROS BRHSCCB_3 11/1/ 1% 3.%, 7 1 DF, EM, NL AAA(mex) ROS/ Genworth GPI % A(mex) ROS BRHSCCBU_U /9/ 1% 3.%, SHF GPI % DF, EM, QR AAA(mex) RWN/ A (mex) RON BRHSCCB3U_U // 1% 3.%, 3 BCN, DF, QR AAA(mex) RWN/ Genworth GPI % A (mex) RON BRHSCCB7_7 1//7.7% 3.% Genworth 7 1 DF, NL, EM AAA(mex) ROS/ GPI %, SHF GPI % A(mex) ROS BRHCCB73U 1//7 1%.%, MBIA (mex) 77 1 BCN, EM, QR A(mex) RWN GPO b 1% BRHCCB7_7_73 1/1/7 1.7% %, Genworth GPI %, SHF GPI % 7 13 EM, DF, GRO AAA(mex) ROS/ AAA (mex) ROS/ A(mex) ROS BRHCCB U_U _3U /17/ 1.9% 3., Genworth 3%, SHF 3% 7 BCN, QR, JAL AAA(mex) RWN/ AAA(mex) RWN/ A(mex) RWN Su Casita Trust //7 1% %, MBIA b BCN, CHI, EM BBB RON/ BRHCCB U_ U 1//.%.%, Genworth 3%, SHF 3%, FMO 1% A+(mex) RON 1 BCN, EM, QR.1..1 AAA(mex) ROS/ AAA(mex) ROS amillions of UDIs. bfull wrap applies to senior notes. Mex Mexico. C/E Credit enhancement. OLTV Original loan to value. WA Weighted average. RWN Rating Watch Negative. RON Rating Outlook Negative. ROS Rating Outlook Stable. Delinquencies 1+ Days BRHSCCBU BRHSCCB BRHSCCB_3 BRHSCCBU_U BRHSCCB3U_U BRHSCCB7_7 BRHCCB73U BRHCCB7_7_73 BRHCCB U_U_3U Su Casita Trust BRHCCB -U_-U As mentioned in past reports, Su Casita is one of the main players in the Mexican RMBS market and has more transactions issued than any other Sofol. Of the 11 transactions rated by Fitch, none have been immune to the current macroeconomic environment, and Fitch believes that of these, BRHSCCBU_U and BRHSCCB3U_U stand out in terms of poor collateral performance. Mexican RMBS Performance Update June 3, 9 11

12 Fitch completed its full analysis (similar to what was mentioned in the GMAC section, page 9) on these two transactions during April 9. The mezzanine tranches of these transactions were downgraded to A (mex) and placed on Rating Outlook Negative, while the senior notes were placed on Rating Watch Negative. In addition to the adverse economic environment, delinquencies in these transactions can be attributed to some degree to two residential developments in Cancun. Several factors in these two developments caused borrowers to halt payments on their loans. Another issue affecting these transactions is that the foreclosure process in the state of Quintana Roo, where Cancun is located, takes longer than average. For further information, see Fitch s press release on Fitch Ratings modifica a la baja la calificación de Bonos respaldados por créditos hipotecarios originados por Su Casita, dated April 7, 9, and available on Fitch s web site at In an unprecedented event, there was an unusually large spike in delinquencies, with one missed payment for Su Casita deals in February. While some of this was attributed to an error in their system, this trend persisted in the following collection reports, though to a lesser extent. With collection reports with a cutoff date of March 31, 9, there are cases in which the number of borrowers with one, two, and three missed payments for some transactions increased up to three times historical averages. To varying degrees, this has affected all transactions issued by Su Casita and rated by Fitch. Since OC levels are calculated using only the performing balance (loans with up to three missed payments), this migration in delinquency buckets would make OC levels to decrease in future months. Upcoming collection reports will help Fitch determine a migration trend, as well as possible causes for this issue. Other transactions closely watched by Fitch are: BRHCCB 7U_7U_73U, of which Fitch only rates the mezzanine tranche; and BRHCCB U_ U_3U. Both of these transactions have been showing a rise in delinquencies at a faster pace when compared to other transactions issued by Su Casita or other Sofoles. This rise in delinquencies has deteriorated the OC of both transactions. According to collection reports with a cut-off date of March 31, 9, OC levels for BRHCCB 7U_7U_73U have decreased from negative.% as of Jan. 1, 9 to negative.1% as of March 31, 9, while for transaction BRHCCB U_ U_3U it decreased from negative.% to negative.% for the same period. Constant Prepayment Rate BRHSCCBU BRHSCCB BRHSCCB_3 BRHSCCBU_U BRHSCCB3U_U BRHSCCB7_7 BRHCCB73U BRHCCB7_7_73 BRHCCB U_U_3U Su Casita Trust BRHCCB -U_-U Mexican RMBS Performance Update June 3, 9

13 Metrofinanciera Metrofinanciera Closing Information Current Performance WA OLTV WA Seasoning Top Three Current Collateral Delinquent Deal Name Closing Date Initial C/E (Months) States Balance a Current Rating METROCBU 1/1/ 1.% 3%, SHF GPO 9%, 3. JAL, BCN, TAM AAA(mex) RWN GPI % METROCBU // 1.% 3%, SHF GPO 11%, GPI.9 JAL, BCN, TAM AAA(mex) RWN % MTROCB7U //7.% 9.%, SHF GPI, Genworth 1. BCN, JAL, GTO...3 AAA(mex) RWN SC MTROCBU /1/ % 1%, GPI SHF, 7 3. JAL, BCN, GTO AAA(mex) RWN Genworth, United Guaranty.% MTROFCB //.1% 3.1%, GPO SHF 3%, GPI Genworth/United 1.9% 7 1. JAL, DF, GTO AAA(mex) RWN a Millions of UDIs. Mex Mexico. C/E Credit enhancement. OLTV Original loan to value. WA Weighted average. RWN Rating Watch Negative. Delinquencies 1+ Days METROCBU METROCBU MTROCB7U MTROCBU MTROFCB All of Metrofinanciera s RMBS transactions except for METROCB U have shown an increasing trend on delinquencies during the past few months. As mentioned in prior quarterly reports, besides deteriorating delinquency levels, Fitch has concerns with the quality of information that is reported and the overall servicing capability given Metrofinanciera s financial difficulties. Fitch has maintained the entire RMBS portfolio on Rating Watch Negative and is conducting a full review of all the pools that serve as collateral for these transactions. In its January servicer reports, Metrofinanciera began to quote real estate owned (REO) figures, both in units and outstanding balance. Unlike the usual practice done by other servicers, Metrofinanciera includes REO as part of the outstanding balance of the mortgages. While Fitch recognizes REO as property of the trust, it also considers this inventory of houses as an illiquid asset. Therefore, Fitch believes that it should not be included in any of the buckets that compose the mortgage pool and should be only reported separately from the pool balance, as most of the servicers do. Mexican RMBS Performance Update June 3, 9 13

14 Constant Prepayment Rate METROCBU METROCBU MTROCB7U MTROCBU MTROFCB Mexican RMBS Performance Update June 3, 9

15 Hipotecaria Crédito y Casa Hipotecaria Crédito y Casa Closing Information Current Performance WA OLTV WA Seasoning Top Three Current Collateral Delinquent Deal Name Closing Date Initial C/E (Months) States Balance a Current Rating CREYCCB U // 1.% 3%, SHF GPO. BCN, EM, JAL AA+(mex) RON 9.%, GPI % CREYCB U_U 1/13/ 1.%.7%, SHF GPI.9% 1. BCN, JAL, BCS AA (mex) RON/ A (mex) RON a Millions of UDIs. Mex Mexico. C/E Credit enhancement. OLTV Original loan to value. WA Weighted average. RWN Rating Watch Negative. RON Rating Outlook Negative. Delinquencies 1+ Days 1 1 CREYCCB U CREYCB U_U On June 3,, after a detailed analysis (similar to that described in the GMAC section on page 9), Fitch downgraded the tranches in the table above backed by mortgages originated by Credito y Casa. Although in different levels, the more recent performance of these portfolios shows a significant decrease in collateral and ability to absorb losses. As shown in the chart above and in the Appendix on page 31, both 9- days or more and 1-days or more delinquencies continue to increase. The 9-days or more delinquencies for the portfolio backing CREYCBU_ U increased to 1.7% as of March 31, 9 from 1.% on Dec. 31,, while the 1-days or more delinquencies increased to 1.1% from.7% over the same period. CREYCCBU s 9- days or more delinquencies reached 1.33% from 7.%, and 1-days or more delinquencies increased to.% from 3.93%. These three tranches have been removed from RWN, but have been assigned Negative Rating Outlooks. For further information, see the Fitch press release on Fitch Ratings modifica a la baja las calificaciones de tres bonos respaldados por créditos hipotecarios originados por Crédito y Casa, dated June 3,, available on Fitch s web site at The 1-days or more delinquencies have not increased at the same rate as the 9-days or more delinquencies, which would indicate an attempt to control rising delinquencies by the servicer. It is important to mention that, given CREYCB U_U fungible nature, delinquencies were understated by the addition of loans to the pool until its last retapping, which was on July 3, 7. Increases in delinquencies can be partially attributed to changes and adjustments the originator has made in their collection practices early in. It is important to closely monitor these two transactions to determine a migration trend. Mexican RMBS Performance Update June 3, 9 1

16 Constant Prepayment Rate CREYCCB U CREYCB U_U Mexican RMBS Performance Update June 3, 9

17 Fincasa Fincasa Closing Information Current Performance WA OLTV WA Seasoning Top Three Current Collateral Delinquent Deal Name Closing Date Initial C/E (Months) States Balance a Current Rating FCASACBU 1/1/ 1.% 3%, SHF GPO 1.%, GPI % 7 BCN, EM, CHIS AAA(mex) RON a Millions of UDIs. Mex Mexico. C/E Credit enhancement. OLTV Original loan to value. WA Weighted average. RON Rating Outlook Negative. Delinquencies 1+ Days FCASACBU FCASACBU, the only RMBS bond placed by Fincasa, has been experiencing an increasing trend during the past year in both 9-days or more and 1-days or more delinquencies; 1-days or more delinquencies almost doubled in six months. As of March 31, 9, 1- days delinquencies rose to.1% from.7% at the end of third-quarter, while 9-days or more delinquencies rose to.73% from.9% during the same period. Despite reaching its highest CPR level since issuance at 1.% in October, the CPR has been at an average of 9.% for the first quarter of 9. Constant Prepayment Rate FCASACBU Mexican RMBS Performance Update June 3, 9 17

18 Patrimonio Patrimonio Closing Information Current Performance WA OLTV WA Seasoning Top Three Current Collateral Delinquent Deal Name Closing Date Initial C/E (Months) States Balance a Current Rating PATRICBU 1// 1.%.%, AMBAC 9. NL, EM, BCN NR GPO b PATRICB7U /1/7 %.%, AMBAC GPO b 1 3. EM, NL, BCN NR PATRICB 7 7//7 1% 3.7%, AMBAC GPO b 3. NL, JAL, EM A(mex) ROS a Millions of UDIs. b Full wrap applies to senior notes. NR Not rated. Mex Mexico. C/E Credit enhancement. OLTV Original loan to value. WA Weighted average. ROS Rating Outlook Stable. Delinquencies 1+ Days PATRICBU PATRICB7U PATRICB Patrimonio currently has three transactions in the market, of which Fitch rates the mezzanine piece of the peso-denominated transaction PATRICB 7_7. This transaction was structured with a ramp-up period, which ended in the middle of. New and current loans were periodically added during this period and, therefore, were driving delinquency percentages down. Due to this structural issue, 1-days or more delinquencies are under average and are situated at 1.39% at the end of first-quarter 9. Despite its current good performance, Fitch will continue to monitor this transaction given that the ramp-up period is over, and, as with Fitch s entire portfolio, this transaction is not exempt of the adverse current macroeconomic environment. Constant Prepayment Rate PATRICBU PATRICB7U PATRICB Mexican RMBS Performance Update June 3, 9

19 Banorte Banorte Closing Information Current Performance WA OLTV WA Seasoning Top Three Current Collateral Delinquent Deal Name Closing Date Initial C/E (Months) States Balance a Current Rating BNORCB_ 1/1/ 1.%.% 3 3. NL, DF, JAL AAA(mex) ROS/ A+(mex) ROS a Millions of UDIs. Mex Mexico. C/E Credit enhancement. OLTV Original loan to value. WA Weighted average. ROS Rating Outlook Stable. Delinquencies 1+ Days BNORCB_ Banorte s transaction was the first bank-issued RMBS deal in the market, which closed in December. The 1-days or more delinquencies increased to 3.9% at March 31, 9 from.% at Sept. 3,. Despite this increase in delinquencies, the transaction still maintains its target OC of.%. Fitch will continue to monitor delinquency trends in the following months. Constant Prepayment Rate BNORCB_ Mexican RMBS Performance Update June 3, 9 19

20 BBVA Bancomer BBVA Bancomer Closing Information Current Performance WA OLTV WA Seasoning Top Three Current Collateral Delinquent Deal Name Closing Date Initial C/E (Months) States Balance a Current Rating BACOMCB7 1/1/7 3.9%.3% DF, NL, EM AAA(mex) ROS BACOMCB 3/1/ 3.%.% JAL, DF, NL AAA(mex) ROS a Millions of UDIs. Mex Mexico. C/E Credit enhancement. OLTV Original loan to value. WA Weighted average. ROS Rating Outlook Stable. Delinquencies 1+ Days BACOMCB7 BACOMCB For both of BBVA Bancomer s transactions, 1-days or more delinquencies remain under.%, which further reaffirms Fitch s position that peso-denominated transactions are performing better than UDI-denominated transactions (for more information, see Appendix, pages 31). As with some other bank-issued transactions, BBVA Bancomer s transactions rely on excess spread; as a result, Fitch pays special attention to CPR levels, which, given a higher income borrower pool, tend to be higher in bank transactions. As with Fitch s entire bank and Sofoles portfolio, surveillance is done on a monthly basis for each transaction. Constant Prepayment Rate 1 1 BACOMCB7 BACOMCB Mexican RMBS Performance Update June 3, 9

21 HSBC HSBC Closing Information Current Performance Current Closing WA OLTV WA Seasoning Top Three Collateral Delinquent Deal Name Date Initial C/E (Months) States Balance a Current Rating HSBCCB 7_7 3/3/7 1% 3.%, Genworth GPI 9% 7 19 DF, EM, NL AAA(mex) RON/ A(mex) RON HSBCCB 73_7 1//7 1% 3.%, SHF GPI 9% 7 17 DF, EM, NL AAA(mex) RON/ A(mex) RON HSBCCB _ 9// 9.% 1.%, SHF GPI 1%, 1 DF, EM, JAL AAA(mex) ROS/ GPO.7% A(mex) ROS a Millions of UDIs. Mex Mexico. C/E Credit enhancement. OLTV Original loan to value. WA Weighted average. RON Rating Outlook Negative. ROS Rating Outlook Stable. Delinquencies 1+ Days HSBCCB 7_7 HSBCCB 73_7 HSBCCB _ Out of the three mezzanine-enhanced transactions issued by HSBC, Fitch focused on HSBCCB 73_7 since the OC of this transaction has decreased to negative 1.1% from its initial OC of 1.%. HSBCCB 7_7 has also showed some deterioration in its OC, which was 1.% at the end of first-quarter 9, down from its peak of.% achieved with February 9 s coupon payment. This decrease made it slide down from its 3.% OC target. Though delinquencies are not as high as levels observed in Sofoles, this transaction still has slightly higher-than-average delinquencies when compared to others issued by banks. The other two HSBC deals have been performing in line with Fitch s expectations. Constant Prepayment Rate HSBCCB 7_7 HSBCCB 73_7 HSBCCB _ Mexican RMBS Performance Update June 3, 9 1

22 Scotiabank Scotiabank Closing Information Current Performance WA OLTV WA Seasoning Top Three Current Collateral Delinquent Deal Name Closing Date Initial C/E (Months) States Balance a Current Rating SCOTICB 3/1/.11%.3% 9 1 DF, NL, EM AAA(mex) ROS a Millions of UDIs. Mex Mexico. C/E Credit enhancement. OLTV Original loan to value. WA Weighted average. ROS Rating Outlook Stable. Delinquencies 1+ Days SCOTICB Scotiabank s sole transaction in the Mexican market was issued in the end of the first quarter of ; as of March 31, 9, 1-days or more transactions reached.%. The OC target of.3% was reached with November s coupon payment; however, it fell slightly to.97% with the most recent coupon payment. This transaction features an interest reserve, which could currently cover more than two months of interest payments. Constant Prepayment Rate SCOTICB Mexican RMBS Performance Update June 3, 9

23 Infonavit Infonavit Closing Information Current Performance WA OLTV WA Seasoning Top Three Current Collateral Delinquent Deal Name Closing Date Initial C/E (Months) States Balance a Current Rating CEDEVIS 3/19/ 1.% 7 NL, EM, JAL AAA(mex) ROS CEDEVISU 11/1/ 3.% 9 BCN, NL, JAL 1, AAA(mex) ROS CEDEVIS_U 1/7/.% NL, COA,GTO 1, AAA(mex) ROS CEDEVISU //.% 9 NL, COA, CHIH 1,.7.1 AAA(mex) ROS CEDEVIS_3U 1/13/.% 7 3 DF, EM, CHIH 1, AAA(mex) ROS CEDEVIS7U //7.% 19 NL, COA, CHIH 3, 3.7. AAA(mex) ROS CEDEVIS7_3U 1/1/7 19.% 9 NL, CHIH, COA, AAA(mex) ROS CEDEVISU_U /11/ 1.1% 9 NL, CHIH, COA 3,9..19 AAA(mex) ROS CEDEVIS3U_U /1/ 3.% 1 NL, COL, TAMPS,.1.11 AAA(mex) ROS CEDEVISU_U /9/.7% NL, CHIH, TAMPS,.19. AAA(mex) ROS CEDEVIS7U_U 1// 3.% NL, CHIH, TAMPS,97..1 AAA(mex) ROS CEDEVIS9U_1U 1/3/ 9.1% 7 NL, CHIH, TAMPS 3,17.. AAA(mex) ROS a Millions of pesos. Mex Mexico. C/E Credit enhancement. OLTV Original loan to value. WA Weighted average. ROS Rating Outlook Stable Delinquencies 1+ Days by Transaction CEDEVIS CEDEVISU CEDEVIS_U CEDEVISU CEDEVIS_3U CEDEVIS7U CEDEVIS7_3U CEDEVISU_U CEDEVIS3U_U CEDEVISU_U CEDEVIS 7U_U CEDEVIS 9U_1U As opposed to the rest of the Mexican RMBS deals, which report collections information on a monthly basis, Cedevis transactions report on a bimonthly basis; therefore, all information in this report concerning Cedevis deals are as of March 31, 9. One of the main distinctions between Cedevis transactions originated by Infonavit and those originated by other RMBS transactions is that mortgage payments are deducted directly from the borrower s paycheck (provided that the borrower maintains a job in the formal sector). This feature virtually eliminates the borrowers willingness to pay variable, which burdens other RMBS deals, even in spite of a tough economic environment. However, due to rising unemployment levels, Fitch will continue to closely monitor these transactions, as unemployment in the formal sector is a key variable that could adversely affect the entire Cedevis portfolio. Delinquency levels, both 9-days or more and 1-days or more, have risen at a higher pace during the past periods. This can be mostly attributed to rising unemployment in the formal sector. Extensions (prórrogas) are also on the rise, and though extensions Mexican RMBS Performance Update June 3, 9 3

24 under the Cedevis scheme are not considered delinquent loans, they do have an impact on the cash flows received by the trusts. This increase in extensions is more prominent in transactions issued during. Despite this increasing trend in delinquency levels as well as in prórrogas, the performing balances of the portfolios have not been highly affected as of Match 31, 9. Current levels of performing balances range between % and % for those transactions issued 7 and more than 91.% for those that closed in. Percentage of Extensions by Transaction CEDEVIS CEDEVISU CEDEVIS_U CEDEVISU CEDEVIS_3U CEDEVIS7U CEDEVIS7_3U CEDEVISU_U CEDEVIS3U_U CEDEVISU_U CEDEVIS 7U_U CEDEVIS 9U_1U Principal Payment Rate by Transaction The most recent minimum wage increase was not as high as s inflation. Fitch considers minimum wage inflation mismatch equal to.1% during a transaction s legal maturity term. This mismatch will have a short- to medium-term impact on the deleveraging of the transaction. CEDEVIS CEDEVISU CEDEVIS_U CEDEVISU CEDEVIS_3U CEDEVIS7U CEDEVIS7_3U CEDEVISU_U CEDEVIS3U_U CEDEVISU_U CEDEVIS 7U_U CEDEVIS 9U_1U Given the nature of the Cedevis collection reports, which do not differentiate between scheduled principal payments and principal prepayments, it is not possible to compute a standard CPR for the Cedevis. In the previous edition, Fitch introduced the principal payment rate (PPR) as an attempt to provide an idea of the velocity of principal payments on these bonds. Unlike the CPR calculation, PPR includes all the principal Mexican RMBS Performance Update June 3, 9

25 payments received during a collection whether it was scheduled or not and must not be compared to CPR computed for the rest of Fitch s portfolio. The PPR levels for those bonds issued between 7 and range from.%.%, while the levels of the rest of the portfolio issued before 7 equal 7.%.%. One exception would be in CEDEVIS, with a PPR level of 1.7% as of March 31, 9. In the previous edition of this report, the chart presented above was mistakenly titled Principal Prepayment Rate when it should have been Principal Payment Rate. As mentioned before, the PPR metric includes all principal payments received by the trust and should not be compared to CPR metrics presented in the rest of this report. Mexican RMBS Performance Update June 3, 9

26 Appendix Delinquencies 9+ Days SOFOLES Issued,, and 1 1 METROCBU MXMACCBU BRHSCCBU MXMACCBU MXMACCBU BRHSCCB BRHSCCBU_U CREYCCB U METROCBU BRHSCCB3U_U MXMACFWU_U FCASACBU BRHSCCB_3 PATRICBU CREYCB U_U Delinquencies 9+ Days SOFOLES Issued 7 and 1 1 BRHSCCB7_7 MXMACFW7U_7U MTROCB7U PATRICB7U PATRICB7 MXMACFW7U Su Casita Trust MXMACFW7U BRHCCB73U BRHCCB7_7_73 MTROCBU MTROFCB BRHCCB U_U_3U BRHCCB -U_-U Delinquencies 9+ Days Banks 3 1 BNORCB_ HSBCCB7_7 HSBCCB73_7 BACOMCB7 BACOMCB SCOTICB HSBCCB_ Mexican RMBS Performance Update June 3, 9

27 Delinquencies 1+ Days (% Over Original Balance) SOFOLES Issued,, and Base Case METROCBU MXMACCBU BRHSCCBU MXMACCBU MXMACCBU BRHSCCB BRHSCCBU_U CREYCCB U METROCBU BRHSCCB3U_U MXMACFWU_U FCASACBU BRHSCCB_3 PATRICBU CREYCB U_U Base Default 1 Base Default Delinquencies 1+ Days (% Over Original Balance) SOFOLES Issued,, and Stressed METROCBU MXMACCBU BRHSCCBU MXMACCBU MXMACCBU BRHSCCB BRHSCCBU_U CREYCCB U METROCBU BRHSCCB3U_U MXMACFWU_U FCASACBU BRHSCCB and 3 PATRICBU CREYCB U_U Stress Default 1 Stress Default Mexican RMBS Performance Update June 3, 9 7

28 Delinquencies 1+ Days (% Over Original Balance) SOFOLES Issued 7 and Base Case BRHSCCB7_7 MXMACFW7U_7U MTROCB7U PATRICB7U PATRICB7 MXMACFW7U Su Casita Trust MXMACFW7U BRHCCB73U BRHCCB7_7_73 MTROCBU MTROFCB BRHCCB U_U_3U BRHCCB-U_-U Base Default 1 Base Default Delinquencies 1+ Days (% Over Original Balance) SOFOLES Issued 7 and Stressed BRHSCCB7_7 MXMACFW7U_7U MTROCB7U PATRICB7U PATRICB7 MXMACFW7U Su Casita Trust MXMACFW7U BRHCCB73U BRHCCB7_7_73 MTROCBU MTROFCB BRHCCB U_U_3U BRHCCB-U_-U Stress Default 1 Stress Default Mexican RMBS Performance Update June 3, 9

29 Delinquencies 1+ Days (% Over Original Balance) Banks Base Case BNORCB& HSBCCB7&7 HSBCCB73&7 BACOMCB7 BACOMCB SCOTICB HSBCCB& Base Default 1 Base Default Delinquencies 1+ Days (% Over Original Balance) Banks Stressed BNORCB& HSBCCB7&7 HSBCCB73&7 BACOMCB7 BACOMCB SCOTICB HSBCCB& Stress Default 1 Stress Default Mexican RMBS Performance Update June 3, 9 9

30 Delinquencies 1+ Days SOFOLES Issued and (Yellow) vs. 7 (Blue) BRHSCCB7_7 MXMACFW7U_7U MTROCB7U PATRICB7U PATRICB7 MXMACFW7U Su Casita Trust MXMACFW7U BRHCCB7U_7U_73U BRHCCB7_7_73 METROCBU MXMACCBU BRHSCCBU MXMACCBU Delinquencies 1+ Days Peso (Yellow) vs. UDI (Blue) METROCBU MXMACCBU BRHSCCBU MXMACCBU MXMACCBU BRHSCCBU_U CREYCCB U METROCBU BRHSCCB3U_U MXMACFWU_U FCASACBU PATRICBU CREYCB U_U MXMACFW7U_7U MTROCB7U PATRICB7U MXMACFW7U Su Casita Trust MXMACFW7U BRHCCB7U_7U_73U MTROCBU BRHCCB U_U_3U BRHCCB U_ BRHSCCB BRHSCCB_3 BRHSCCB7_7 PATRICB7 BRHCCB7_7_73 MTROFCB BNORCB_ HSBCCB7_7 HSBCCB73_7 BACOMCB7 BACOMCB SCOTICB HSBCCB_ Mexican RMBS Performance Update June 3, 9

31 Delinquencies 1+ Days (% Over Original Balance) by Cedevis Transaction CEDEVIS CEDEVISU CEDEVIS_U CEDEVISU CEDEVIS_3U CEDEVIS7U CEDEVIS7_3U CEDEVISU_U CEDEVIS3U_U CEDEVISU_U CEDEVIS 7U & U CEDEVIS 9U & 1U Note: Losses over original balance for Cedevis were calculated using minimum wage (VSM) balances; this practice avoids distortion due to VSM reset. Copyright 9 by Fitch, Inc., Fitch Ratings Ltd. and its subsidiaries. One State Street Plaza, NY, NY 1. Telephone: , (1) 9-. Fax: (1) -3. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. All of the information contained herein is based on information obtained from issuers, other obligors, underwriters, and other sources which Fitch believes to be reliable. Fitch does not audit or verify the truth or accuracy of any such information. As a result, the information in this report is provided as is without any representation or warranty of any kind. A Fitch rating is an opinion as to the creditworthiness of a security. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed, suspended, or withdrawn at anytime for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from USD1, to USD7, (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from USD1, to USD1,, (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of of Great Britain, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. Mexican RMBS Performance Update June 3, 9 31