New York, March 24, 2011 -- Moody's Investors Service has downgraded the ratings of 76 tranches from
15 subprime deals issued by ABFC. The collateral backing these
deals primarily consists of first lien, fixed and adjustable rate
Subprime residential mortgages.
RATINGS RATIONALE
The actions are a result of deteriorating performance of Subprime pools
securitized before 2005. Although most of these pools have paid
down significantly, the remaining loans are affected by the housing
and macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on Subprime pools
issued from prior 2005.
The principal methodology used in these ratings was "Pre-2005 US
RMBS Surveillance Methodology" published in January 2011.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-level
loss expectations relative to current level of credit enhancement.
Moody's took into account credit enhancement provided by seniority,
cross-collateralization, excess spread, time tranching,
and other structural features within the senior note waterfalls.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Overall, Moody's
assumes a further 5% decline in home prices with stabilization
in late 2011, accompanied by continued stress in national employment
levels through that timeframe.
For more information please see www.moodys.com.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating actions are as follows:
Issuer: ABFC 2002-NC1 Trust
Cl. M-1, Downgraded to A3 (sf); previously on
Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC 2002-OPT1 Trust
Cl. AIO-INV, Downgraded to Ba3 (sf); previously
on Oct 15, 2002 Assigned Aaa (sf)
Cl. M-1, Downgraded to Ba3 (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to B2 (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC 2003-OPT1 Trust
Cl. A-1, Downgraded to A1 (sf); previously on
Aug 27, 2003 Assigned Aaa (sf)
Cl. A-1A, Downgraded to A1 (sf); previously on
Aug 27, 2003 Assigned Aaa (sf)
Cl. A-3, Downgraded to Baa1 (sf); previously
on Aug 27, 2003 Assigned Aaa (sf)
Cl. M-1, Downgraded to B2 (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Asset-Backed Certificates, Series 2003-AHL1
Cl. AI, Downgraded to Aa1 (sf); previously on May 28,
2003 Assigned Aaa (sf)
Cl. M-1, Downgraded to Baa1 (sf); previously
on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to B2 (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Ca (sf); previously on
Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Asset-Backed Certificates, Series 2003-WMC1
Cl. M-1, Downgraded to Ba2 (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa1 (sf); previously
on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Asset-Backed Certificates, Series 2004-AHL1
Cl. M-1, Downgraded to B3 (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Ca (sf); previously on
Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Asset-Backed Certificates, Series 2004-HE1
Cl. M-1, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C (sf); previously on
Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to C (sf); previously on
Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to C (sf); previously on
Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Asset-Backed Certificates, Series 2004-OPT1
Cl. M-1, Downgraded to Baa3 (sf); previously
on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Ca (sf); previously on
Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to Ca (sf); previously on
Apr 8, 2010 B2 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Asset-Backed Certificates, Series 2004-OPT2
Cl. M-1, Downgraded to Ba3 (sf); previously on
Apr 8, 2004 Assigned Aa2 (sf)
Cl. M-2, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to Ca (sf); previously on
Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Asset-Backed Certificates, Series 2004-OPT3
Cl. A-1, Downgraded to Aa1 (sf); previously on
May 11, 2004 Assigned Aaa (sf)
Cl. A-4, Downgraded to Aa2 (sf); previously on
May 11, 2004 Assigned Aaa (sf)
Cl. M-1, Downgraded to Ba2 (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Asset-Backed Certificates, Series 2004-OPT4
Cl. A-1, Downgraded to Aa2 (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Aa2 (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Ba1 (sf); previously on
Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Ca (sf); previously on
Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to Ca (sf); previously on
Apr 8, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Mortgage Loan Asset-Backed Certificates,
Series 2001-AQ1
Cl. A-6, Downgraded to Ba1 (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to Ba1 (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to C (sf); previously on Apr 8,
2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Mortgage Loan Asset-Backed Certificates,
Series 2002-WF1
Cl. M-1, Downgraded to B2 (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Mortgage Loan Asset-Backed Certificates,
Series 2002-WF2
Cl. A-2, Downgraded to Aa3 (sf); previously on
Oct 8, 2002 Assigned Aaa (sf)
Cl. M-1, Downgraded to B2 (sf); previously on
Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Mortgage Loan Asset-Backed Certificates,
Series 2003-WF1
Cl. A-2, Downgraded to Aa2 (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Baa1 (sf); previously
on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba3 (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B2 (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF240649
A list of updated estimated pool losses and sensitivity analysis is being
posted on an ongoing basis for the duration of this review period and
may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, and confidential
and proprietary Moody's Analytics 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.
New York
Edward Hou
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Amelia (Amy) Tobey
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades $438 million of Subprime RMBS issued by ABFC in 2001 through 2004