New York, June 16, 2009 -- Moody's Investors Service has downgraded the rating of 38 securities from
10 transactions issued by Asset Backed Funding Corporation. These
actions are part of an ongoing review of subprime RMBS transactions.
The rating actions are the result of an analysis of credit enhancement
relative to updated collateral loss projections. The revised loss
projections generally result from deterioration in collateral performance
in recent months. Additionally, most affected transactions
have, at some point, passed performance triggers and released
portions of credit enhancement.
Moody's approach to analyzing seasoned subprime pools (i.e.
prior to 2H 2005) takes into account the annualized loss rate from last
12 months ("Recent Losses") and the projected loss rate over next 12 months
("Pipeline Losses"), and then translates these measures into lifetime
losses based on a deal's expected remaining life. Recent Losses
are calculated by assessing cumulative losses incurred over the past 12-months
as a percentage of the average pool factor in the last year. For
Pipeline Losses, Moody's uses an annualized roll rate of 15%,
30%, 65% and 90% for loans that are delinquent
60-days, 90+ days, are in foreclosure, and
REO respectively. Moody's then applies deal-specific severity
assumptions, in this case ranging from 55% to 80%.
The results of these two calculations - Recent Losses and Pipeline
Losses - are weighted to arrive at the lifetime cumulative loss
projection.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory.
The complete rating actions follow:
ABFC 2001-AQ1 Trust
Cl. M-1, Downgraded to Baa1; previously on 3/30/2001
Assigned Aa2
Cl. B, Downgraded to Ca; previously on 8/4/2005 Downgraded
to Caa2
ABFC 2002-NC1 Trust
Cl. M-2, Downgraded to B2; previously on 5/1/2009
Downgraded to Ba3
Cl. M-3, Downgraded to C; previously on 5/1/2009
Downgraded to Ca
ABFC 2002-OPT1 Trust
Cl. M-1, Downgraded to A3; previously on 9/23/2005
Upgraded to Aaa
Cl. M-2, Downgraded to Baa2; previously on 9/23/2005
Upgraded to Aaa
Cl. M-3, Downgraded to B1; previously on 9/23/2005
Upgraded to Aa3
Cl. M-4, Downgraded to C; previously on 10/15/2002
Assigned Baa1
Cl. M-5, Downgraded to C; previously on 10/15/2002
Assigned Baa2
ABFC 2002-WF1 Trust
Cl. M-1, Downgraded to A2; previously on 4/1/2002
Assigned Aa2
Cl. M-2, Downgraded to Baa3; previously on 4/1/2002
Assigned A2
Cl. M-3, Downgraded to Ba1; previously on 4/1/2002
Assigned Baa2
ABFC 2002-WF2 Trust
Cl. M-1, Downgraded to A1; previously on 10/8/2002
Assigned Aa2
Cl. M-2, Downgraded to Baa3; previously on 10/8/2002
Assigned A2
Cl. M-3, Downgraded to Ba1; previously on 10/8/2002
Assigned Baa2
ABFC 2003-AHL1 Trust
Cl. M-4, Downgraded to Baa3; previously on 5/28/2003
Assigned Baa2
Cl. M-5, Downgraded to Ba2; previously on 1/22/2008
Baa3 Placed Under Review for Possible Downgrade
ABFC 2003-WMC1 Trust
Cl. M-2, Downgraded to Aa3; previously on 11/16/2006
Upgraded to Aaa
Cl. M-3, Downgraded to A2; previously on 2/13/2008
Aa2 Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Baa1; previously on 2/13/2008
A1 Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Baa2; previously on 2/13/2008
A2 Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to Baa3; previously on 2/13/2008
A3 Placed Under Review for Possible Downgrade
ABFC 2004-AHL1 Trust
Cl. M-1, Downgraded to Aa2; previously on 3/19/2007
Upgraded to Aaa
Cl. M-2, Downgraded to Baa1; previously on 3/19/2007
Upgraded to Aa2
Cl. M-3, Downgraded to Baa2; previously on 5/20/2004
Assigned A3
Cl. M-4, Downgraded to Baa3; previously on 5/20/2004
Assigned Baa1
Cl. M-5, Downgraded to Ba2; previously on 5/20/2004
Assigned Baa2
Cl. M-6, Downgraded to B1; previously on 5/20/2004
Assigned Baa3
Cl. M-7, Downgraded to B1; previously on 5/20/2004
Assigned Ba1
ABFC 2004-HE1
Cl. M-2, Downgraded to Baa2; previously on 9/7/2004
Assigned A2
Cl. M-3, Downgraded to Baa3; previously on 9/7/2004
Assigned A3
Cl. M-4, Downgraded to Ba1; previously on 9/7/2004
Assigned Baa1
Cl. M-5, Downgraded to Ba2; previously on 9/7/2004
Assigned Baa2
Cl. M-6, Downgraded to B3; previously on 9/7/2004
Assigned Baa3
ABFC 2004-OPT4 Trust
Cl. M-1, Downgraded to A1; previously on 7/15/2004
Assigned Aa2
Cl. M-2, Downgraded to Baa1; previously on 7/15/2004
Assigned A2
Cl. M-3, Downgraded to Baa2; previously on 7/15/2004
Assigned A3
Cl. M-4, Downgraded to Baa3; previously on 7/15/2004
Assigned Baa1
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF168689
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Joseph DiMiceli
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades $145 million of ABFC subprime RMBS