C-BASS CBO II Rated 'AAA/AA/A/BBB/BBB-' By Fitch.

Business Editors

NEW YORK--(BUSINESS WIRE)--June 26, 2001

C-BASS CBO II, Ltd.'s and its co- issuer C-BASS CBO II Corp.'s (collectively referred to as the co-issuers) $273 million class A floating-rate notes are rated 'AAA'; $71 million class B floating-rate notes are rated 'AA'; $17 million class C -1 floating-rate notes and $12.5 million class C-2 fixed-rate notes are rated 'A'; the $17 million class D-1 floating-rate notes and the $11 million class D-2 fixed-rate notes are rated 'BBB', and $5 million class E floating-rate notes are rated 'BBB-' by Fitch.

The ratings on the class A notes and class B notes address the timely payment of interest and ultimate payment of principal, whereas the ratings on the class C, class D, and class E notes address the ultimate payment of interest and principal.

The ratings are based upon the capital structure of the transaction, the quality of the collateral, and the overcollateralization and interest coverage tests provided for within the indenture. Additionally, the ratings address the experience and capabilities of Credit-Based Asset Servicing and Securitization LLC (C-BASS) as the investment manager and Litton Loan Servicing as servicer of a substantial portion of the underlying collateral.

The proceeds of the notes will be used to purchase a static investment portfolio consisting primarily of approximately 75% of residential mortgage-backed securities, as well as approximately 11% in each of commercial mortgage-backed securities and asset-backed securities, and approximately 3% in collateralized debt obligations. The notes have a legal final maturity of July 2034. Upon the breach of a coverage test as outlined in the indenture, the notes will start the process of paying down principal sequentially beginning with class A principal.

The investment manager, C-BASS, will purchase all investments for the portfolio on behalf of the co-issuers, which are special purpose companies incorporated under the laws of the Cayman Islands and Delaware, respectively. C- BASS, which has been acquiring and managing mortgage assets since 1996, is a joint venture among 'AA+' rated Mortgage Guaranty Investment Corp. (MGIC) and 'AA' rated Radian Group Inc. (Radian). Each of MGIC and Radian owns a 46% interest in the company with the remaining 8% owned by C-BASS management. MGIC is the largest private mortgage insurer in the U.S. with approximately $165 billion of insurance-in- force and a market capitalization of $6.9 billion as of March 31, 2001. Radian is the second largest private mortgage insurer in the U.S. with, as of March 31, 2001, approximately $103 billion of insurance-in-force and a market capitalization of $3.6 billion. C-BASS's total capital has grown from less than $50 million in 1996 to its current $300 million.

For more information, please refer to the presale report titled 'C-BASS CBO II', available on Fitch's web site at 'www.fitchratings.com'.