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

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

--U.S. $326,000,000 class A first priority senior secured floating-rate notes due 2034 are rated 'AAA';

--U.S. $14,000,000 class B second priority senior secured floating-rate notes due 2040 are rated 'AA';

--U.S. $24,000,000 class C third priority secured floating-rate deferrable interest notes due 2040 are rated 'A';

--U.S. $12,000,000 class D fourth priority secured floating-rate deferrable interest notes due 2040 are rated '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 four years of the transaction.

At closing, the quality of the collateral is evidenced by a current Fitch weighted average rating factor (WARF) of 3.76 ('BBB/BBB-'). Additionally, the ratings address the experience and capabilities of C-BASS Investment Management LLC (C-BASS) as the collateral 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 of approximately 89% residential mortgage-backed securities (RMBS), 5% asset-backed securities (ABS), 2% commercial mortgage-backed securities (CMBS) and 3% collateralized debt obligations (CDOs).

The collateral 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's total capital has grown from less than $50 million in 1996 to its current $556 million as of Sept. 30, 2004. C-BASS is rated 'CAM1' by Fitch as a manager of structured finance CDOs.

For more information, please refer to the presale report titled 'C-BASS CBO XII Ltd.', available on the Fitch Ratings web site at www.fitchratings.com. Additional information about the collateral manager is also available on the Fitch Ratings web site.