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Rating Action:

Moody's takes action on $412 Million of Subprime RMBS issued by ABFC from 2005-2008

15 Jul 2011

New York, July 15, 2011 -- Moody's Investors Service has downgraded the ratings of 11 tranches from 3 RMBS transactions, backed by subprime mortgage loans, issued by ABFC.

RATINGS RATIONALE

The collateral backing these transactions consists primarily of first-lien, subprime residential mortgage loans. The actions are a result of the recent performance review of subprime pools and reflect Moody's updated loss expectations on subprime pools issued from 2005 to 2008.

The principal methodology used in these ratings is described in the Monitoring and Performance Review section in "Moody's Approach to Rating US Residential Mortgage-Backed Securities" published in December 2008. Other factors used in these ratings are described in "2005 -- 2008 US RMBS Surveillance Methodology " published in July 2011, which accounts for the updated performance and outlook. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

To assess the rating implications of the updated loss levels on Subprime RMBS, each individual pool was run through a variety of scenarios in the Structured Finance Workstation® (SFW), the cash flow model developed by Moody's Wall Street Analytics. This individual pool level analysis incorporates performance variances across the different pools and the structural features of the transaction including priorities of payment distribution among the different tranches, average life of the tranches, current balances of the tranches and future cash flows under expected and stressed scenarios. The scenarios include ninety-six different combinations comprising of six loss levels, four loss timing curves and four prepayment curves. The volatility in losses experienced by a tranche due to extended foreclosure timelines by servicers is taken into consideration when assigning ratings.

The primary source of assumption uncertainty is the current macroeconomic environment, in which unemployment levels remain high, and weakness persists in the housing market. Moody's now projects house price index to reach a bottom in the first quarter of 2012, with a 2% remaining decline between the first quarter of 2011 and 2012, and unemployment rate to start declining by fourth quarter of 2011.

Complete rating actions are as follows:

Issuer: ABFC Asset Backed Certificates, Series 2005-WF1

Cl. A-2C, Downgraded to Aa1 (sf); previously on Jun 3, 2010 Confirmed at Aaa (sf)

Cl. M-1, Downgraded to Baa3 (sf); previously on Jun 3, 2010 Downgraded to A3 (sf)

Cl. M-2, Downgraded to B3 (sf); previously on Jun 3, 2010 Downgraded to Ba3 (sf)

Cl. M-4, Downgraded to C (sf); previously on Jun 3, 2010 Downgraded to Caa3 (sf)

Cl. M-5, Downgraded to C (sf); previously on Jun 3, 2010 Downgraded to Ca (sf)

Issuer: ABFC Asset-Backed Certificates, Series 2005-HE1

Cl. M-1, Downgraded to A2 (sf); previously on Jun 3, 2010 Confirmed at Aa1 (sf)

Cl. M-2, Downgraded to Caa2 (sf); previously on Jun 3, 2010 Downgraded to B3 (sf)

Cl. M-3, Downgraded to C (sf); previously on Jun 3, 2010 Downgraded to Caa2 (sf)

Issuer: ABFC Asset-Backed Certificates, Series 2005-WMC1

Cl. M-1, Downgraded to A3 (sf); previously on Jun 3, 2010 Confirmed at Aa2 (sf)

Cl. M-2, Downgraded to Caa2 (sf); previously on Jun 3, 2010 Confirmed at Baa3 (sf)

Cl. M-3, Downgraded to C (sf); previously on Jun 3, 2010 Downgraded to Caa1 (sf)

A list of these actions including CUSIP identifiers may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF255513

A list of updated estimated pool losses, sensitivity analysis, and tranche recovery details is being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF198689

For more information please see www.moodys.com.

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

Information sources used to prepare the rating are the following: parties involved in the ratings, parties not involved in the ratings, public information, confidential and proprietary Moody's Investors Service information, and confidential and proprietary Moody's Analytics information.

Moody's received and took into account one or more third party assessments on the due diligence performed regarding the underlying assets or financial instruments in this transaction and the assessments had a neutral impact on the rating.

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Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's 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 www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

New York
Minxi Qiu
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Amita Shrivastava
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's takes action on $412 Million of Subprime RMBS issued by ABFC from 2005-2008
No Related Data.
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