Correction: Fitch Upgrades C-BASS' Structured Finance CDO Asset Manager Rating.

Business Editors

NEW YORK--(BUSINESS WIRE)--Feb. 20, 2004

(This is an amended version of a press release issued earlier today, containing revised information in the fourth paragraph.)

Fitch Ratings upgrades Credit-Based Asset Servicing and Securitization, LLC's (C-BASS) structured finance CDO asset manager rating to 'CAM1' from 'CAM2'. This upgrade is based on the performance of C-BASS CDOs, the company's cumulative experience as CDO asset manager, and expansions in infrastructure to support the company's growing CDO platform. Infrastructure developments include additions to staff consistent with the growth in assets under management, improved CDO administration capabilities as reflected in enhanced modeling tools, and technology developments that include web-based investor reporting. The 'CAM1' rating is a composite of the scores issued to the company for each of Fitch's nine rating categories. C-BASS' scores in each of the rating categories is summarized as follows:

Rating Category/Score

Company and Management Experience/1.25

Financial Condition/2.00

Staffing/1.75

Procedures and Controls/1.75

Credit Underwriting/Asset Selection/1.00

Portfolio Management/1.50

CDO Administration/1.50

Technology/1.50

Portfolio Performance/1.50

These category scores, weighted in accordance with Fitch's CDO asset manager rating scorecard, result in a composite score of 1.47 for C-BASS, making it a 'CAM1' for structure finance CDOs. The composite rating is used to establish a systematically applied quantitative link between asset manager ratings and CDO rating criteria. On all future structured finance CDOs managed by C-BASS, Fitch Ratings will use the composite rating to calibrate the maximum allowable adjustment to its modeled rating default rate at each rating level with a Fitch rating. The adjustment will be made in accordance with the approach outlined in Fitch Research on 'Rating CDO Asset Managers', February 13, 2004, available on Fitch's web site at 'www.fitchratings.com'.

C-BASS' 'CAM1' rating is supported by the company's proven asset underwriting and credit selection capabilities and the quality of the match between the company's organizational competencies and the structure of CDO's the company manages; namely static pool, cash flow CDO's collateralized predominantly by RMBS assets. Further, the performance of C-BASS' more seasoned CDOs (C-BASS CBO I through IV) provide strong evidence of the company's asset selection and asset/liability management competencies. All four deals have seen Fitch upgrades, due primarily to increases in credit enhancement and maintenance of portfolio credit quality with upgrades in underlying collateral consistently exceeding downgrades. More detailed performance information on C-BASS CDOs is available at FitchResearch.com.

C-BASS, a Delaware limited liability company headquartered in New York City, is a joint venture between C-BASS management, Mortgage Guaranty Insurance Corporation, and Radian Group Inc. - two of the largest private mortgage insurers in the United States. The company's central business activity is the acquisition, securitization, and servicing of credit sensitive, single-family, residential mortgage assets (whole loans and mezzanine RMBS). Since March 2001, when C-BASS issued its first CDO backed by structured finance collateral, C-BASS has also established itself as a regular issuer of static pool, cash flow CDOs. The company's eighth transaction, C-BASS CDO VIII, closed on November 10, 2003, bringing its total CDO portfolios issued to over $2.8 billion.

The fact that the company invests predominantly in its areas of expertise provides the basis for Fitch's confidence in C-BASS' capabilities as a structured finance CDO asset manager. The CDOs under C-BASS management are tailored to match the company's demonstrated operational competencies in credit analysis, portfolio surveillance, and value-added servicing of the underlying collateral which is performed by its wholly owned subsidiary, Litton Loan Servicing, LP (Litton). Litton is a top, Fitch-rated special and primary residential mortgage servicer. The company's noted strengths in the RMBS sector are complimented with strong personnel resources focused on non-RMBS structured finance asset selection and surveillance.

Fitch rates CDO asset managers, by asset class, on a five tier scale, 'CAM1' through 'CAM5', with 'CAM1' representing the highest rating. These ratings are based on a standardized scorecard methodology.