Fitch Downgrades 4 Classes of C-BASS XIII, Ltd./Corp.

NEW YORK -- Fitch Ratings has downgraded four classes of notes issued by C-BASS CBO XIII, Ltd./Corp. (C-BASS XIII) as a result of continued credit deterioration in the portfolio since Fitch's last rating action in August 2008. Approximately 83.5% of the portfolio has been downgraded since the last review. The details of the rating action follow at the end of this press release.

The downgrades to the portfolio have left approximately 74.2% of the portfolio with a Fitch derived rating below investment grade and 58.4% with a rating in the 'CCC' rating category or lower, compared to 36% and 8%, respectively at last review. Defaulted securities, per the transaction's governing documents, now comprise 40.9% of the portfolio, compared to 2.1% at last review.

This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. Due to the significant collateral deterioration, even the 'CCC' rating loss rate, the lowest rating level loss projected by PCM, exceeds the credit enhancement levels available to all classes of notes. For these classes, Fitch compared the respective credit enhancement levels to the amount of underlying assets considered distressed (rated 'CCC' and lower).

The class A notes are downgraded to 'CC' and the class B notes are downgraded to 'C' due to the degree of deterioration within the underlying portfolio. While these classes are still receiving timely interest distributions, Fitch believes that based on the current credit quality of the portfolio and the credit enhancement levels of 33% and 17%, respectively, default is probable for the class A notes and inevitable for the class B notes at or prior to maturity.

The class C and D notes are no longer receiving interest distributions and are not expected to receive any proceeds going forward. Therefore the notes are downgraded to 'C' to indicate Fitch's belief that default is inevitable at or prior to maturity.

C-BASS XIII is a structured finance collateralized debt obligation (SF CDO) that closed on March 17, 2005 and is monitored by C-BASS Investment Mangement LLC. The portfolio is composed of RMBS (81.9%), CDOs (9.5%), commercial mortgage-backed securities (6.4%), and asset-backed securities (2.2%).

Fitch has downgraded the following classes of C-BASS XIII:

--$158,452,434 class A notes to 'CC' from 'BBB+';

--$39,500,000 class B notes to 'C' from 'BB+';

--$12,000,000 class C notes to 'C' from 'BB-';

--$18,186,132 class D notes to 'C' from 'B-'.

These rating actions reflect the application of Fitch's current criteria which are available at 'www.fitchratings.com' and specifically include the following reports:

--'Global Structured Finance Rating Criteria' (Sept. 30, 2009);

--'Global Rating Criteria for Structured Finance CDOs' (Dec. 16, 2008);

--'Global Criteria for Cash Flow Analysis in Corporate CDOs' (April 30, 2008).

Additional information is available at 'www.fitchratings.com'.

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