Fitch Rates ABACUS 2005-CB1, Ltd.

NEW YORK -- Fitch Ratings assigns the following ratings to ABACUS 2005-CB1, Ltd.

--$132,187,500 class A-1 floating-rate notes due 2045 'AAA';

--$22,500,000 class A-2 floating-rate notes due 2045 'AAA';

--$22,500,000 class B floating-rate notes due 2045 'AA';

--$23,437,500 class C floating-rate notes due 2045 'A';

--$6,562,500 class D floating-rate notes due 2045 'A';

--$15,000,000 class E-1 floating-rate notes due 2045 'BBB+';

--$6,562,500 class E-2 floating-rate notes due 2045 'BBB';

--$9,375,000 class F floating-rate notes due 2041 'BBB'.

The issuer is incorporated as a collateralized debt obligation (CDO) to issue $238.1 million of mezzanine securities in the form of funded notes. The portfolio adviser will assume exposure to the credit tranches related to the class G notes and the class H notes through an unfunded synthetic transaction. At closing, the issuer will enter into a CDS with GSCM. Through the CDS, investors in the securities will be providing the protection buyer loss protection with respect to credit events and the removal of credit risk reference obligations from the reference portfolio by the portfolio adviser. The credit default swap is guaranteed by Goldman Sachs Group, Inc. (GS Group). The scheduled termination date of the CDS is in 2045.

The issuer will receive the swap premium in return for the reimbursement of losses in the reference portfolio in excess of the class G and class H amounts. Structural protection for the securities is derived primarily from the subordination of lower rated classes to higher rated ones and the related prioritization of the cash flows. Following a credit event on a reference obligation in the portfolio or upon a removal of a credit risk reference obligation from the portfolio, a credit loss amount is determined. When the cumulative credit loss amount exceeds the class H amount, the class G securities will be written down. If the cumulative loss amount then exceeds the class G amount, classes F, E-2, E-1, D, C, B, A-2, and A-1 will be written down, sequentially, by the loss amount up to the respective class amount.

The $750 million reference portfolio, with a weighted average rating of 'BBB/BBB-', is composed of nearly 79% RMBS, 16% CMBS, and 5% consumer ABS. The portfolio contains 82 securities, of which 94% are investment grade and 6% are rated 'BB+' or 'BB' by Fitch. During the first six months of the transaction, replacement of reference obligations from a predetermined 8% bucket of the reference portfolio could be made at the full discretion of the third-party portfolio adviser, C-BASS Investment Management LLC (C-BASS), subject to replacement criteria. Following this period, the reference portfolio will become static, subject to removals of credit risk reference obligations considered credit impaired, which can be traded at the discretion of the portfolio adviser, subject to restrictions.

The proceeds of the issuance of the notes will be invested in a pool of U.S. dollar-denominated collateral securities, consisting of high quality senior-most obligations, maturing no later than on the stated maturity of the notes. The issuer has entered into a basis swap with Goldman Sachs Mitsui Marine Derivative Products, L.P. (GSMMDP), the basis swap counterparty. The basis swap is jointly guaranteed by Mitsui Sumitomo Insurance Co. Ltd. and GS Group. Pursuant to the basis swap agreement, GSMMDP will pay the LIBOR portion of interest on the notes. Additionally, the issuer has entered into a collateral put agreement with Goldman Sachs International (GSI), which is guaranteed by GS Group. Under the collateral put agreement, GSI agrees to purchase the collateral securities at 100% of their principal amount under certain circumstances, thereby protecting the value of the principal of the notes. The counterparty risk is mitigated through structural features that require counterparties to post collateral, obtain guarantees, or replace themselves when such counterparties no longer satisfy the criteria.

The rating is based upon the credit quality of the reference portfolio, the legal structure of the transaction, the financial strength of the counterparties and their guarantors, and the investment capabilities of the portfolio advisor, as well as on the credit quality of the trust assets. The rating assigned to the notes addresses the timely payment of interest and the ultimate payment of principal of the notes at maturity.

Fitch will monitor the performance of this transaction. Deal information and historical data on ABACUS 2005-CB1, Ltd. is available on the Fitch Ratings web site at www.fitchratings.com.

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.