C-BASS CBO X Ltd. Rated 'AAA/AA/A/BBB' by Fitch Ratings.

Business Editors

NEW YORK--(BUSINESS WIRE)--June 1, 2004

Fitch has rated the following notes issued by C-BASS CBO X Ltd. and co-issuer C-BASS CBO X Corp. (collectively referred to as the co-issuers):

-- $357,500,000 class A first priority senior secured

floating-rate notes due June 2039 'AAA';

-- $25,000,000 class B second priority senior secured

floating-rate notes due June 2039 'AA';

-- $20,000,000 class C third priority secured floating-rate

deferrable interest notes due June 2039 'A';

-- $21,500,000 class D fourth priority secured floating-rate

deferrable interest notes due June 2039 'BBB';

The ratings on the class A and B notes address the timely payment of interest and ultimate payment of principal as outlined in the governing documents. The ratings on the class C and D notes address the ultimate payment of interest and principal as outlined in the governing docs.

The ratings are based upon the capital structure of the transaction, the quality of the collateral, and the overcollateralization (OC) and interest coverage tests provided for within the indenture. A notable feature of the structure includes the use of excess interest to prepay principal on the class D notes according to a fixed schedule during the first five years of the transaction. 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 an investment portfolio consisting of approximately 77% residential mortgage-backed securities (RMBS), 10% commercial mortgage-backed securities (CMBS), 6% asset-backed securities (ABS), 2% manufactured housing, 3% collateralized debt obligations (CDOs) and 2% corporate guarantee. The portfolio will be 100% ramped at closing. This is the first C-BASS CBO in which there will be a limited reinvestment period. During the limited reinvestment period, C-BASS will reinvest principal proceeds. The maximum Fitch weighted average rating factor (WARF) of the collateral is 7 ('BBB/BBB-').

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 Mortgage Guaranty Investment Corp. (MGIC) and Radian Group Inc. (Radian). These entities enjoy ratings from Fitch for financial insurer strength of 'AA+' and 'AA', respectively. Each of MGIC and Radian owns a 46% interest in the company with the remaining 8% owned by C-BASS management. C-BASS' total capital has grown from less than $50 million in 1996 to its current $475 million as of Dec. 31, 2003.

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