Fitch Downgrades 4 Classes of Notes Issued by C-BASS CBO XI, LTD.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch Ratings downgrades four classes of notes issued by C-BASS C-BASS Credit-Based Asset Servicing and Securitization CBO CBO See: Collateralized Bond Obligation. XI, LTD LTD 1 Laron-type dwarfism 2 Leukotriene D 3 Long-term depression, see there 4. Long-term disability (C-BASS XI). A detailed list of ratings follows at the end of this press release. These rating actions are the result of severe credit deterioration among 2004 vintage residential mortgage-backed securitizations since Fitch's last rating action in February 2009. Approximately 58.4% of the portfolio has been downgraded since the last review, with about 35% of the portfolio downgraded since June 1, 2009. The main drivers for the downgrades in the underlying residential mortgage-backed securitizations during the summer were the continued deterioration of home prices and employment rates causing an increase in delinquencies despite significant seasoning in the loans. The credit deterioration has resulted in a portfolio with an average rating of 'B-' compared to 'BB+' at the last review. In addition, approximately 23.2% of the portfolio is defaulted per the governing documents of the transaction and 55.8% of the portfolio has a Fitch derived rating below investment grade, compared to 5.7% and 25.2%, respectively, in February 2009. The significant credit deterioration has caused all overcollateralization (OC) tests to fail, resulting in interest proceeds being diverted to redeem the class A notes in order to cure the failing A/B A/B Airborne A/B Afterburner (jet engines) A/B Air Blast A/B Answerback A/B Auto-brake A/B Air Bus A/B Afterburning OC test. The class A and B notes will be reliant on the performance of assets rated 'CCC' and below for full principal repayment. Due to the placement of the A/B OC test the class C and D notes are not receiving interest payments. Future payments to the class C notes will be dependent on the performance of the performing portfolio and ultimate recoveries received on defaulted assets. The class D notes are not expected to receive any future distributions. In Fitch's opinion, based on the percentage of defaulted assets and the performance expectations for the remainder of the portfolio, the class A and B notes are downgraded to 'CCC' to reflect the high possibility of default at or prior to maturity. The classes C notes are downgraded to 'CC' which reflects that there is a high probability the notes will default, and the class D notes are downgraded to 'C', indicating Fitch's belief that default is inevitable at or prior to maturity. C-BASS XI is a cashflow collateralized debt obligation Collateralized Debt Obligation (CDO) A general inclusive term which covers Collateralized Bond Obligations, Collateralized Loan Obligations, and Collateralized Mortgage Obligations, (CDO (Collaborative Data Objects) A programming interface from Microsoft for accessing MAPI-based e-mail, calendaring and scheduling servers. Originally called "OLE Messaging" and "Active Messaging," CDO wraps the Enhanced MAPI library into a COM object that provides the ) that closed on Sept. 14, 2004 and is managed by C-BASS Investment Management. The portfolio is composed of 80.7% RMBS RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities , 6.8% structured finance CDOs, 10.3% asset-backed securities and 2.2% commercial mortgage backed securities, with 93.7% of these assets originated in 2004. Fitch has downgraded the following: C-BASS CBO XI, LTD --$169,354,001 class A notes to 'CCC' from 'A', Outlook Stable; --$17,500,000 class B notes to 'CCC' from 'BBB+', Outlook Stable; --$ 20,000,000 class C notes to 'CC' from 'BBB-', Outlook Stable; --$14,250,000 class D notes to 'C' from 'BB-', Outlook Stable'. 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 Rating Criteria for Structured Finance CDOs' (Dec. 16, 2008); --'Counterparty Risk in Structured Finance Transactions: Hedge Criteria' (Aug. 1, 2007). Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. of such ratings are available on the agency's public site, 'www.fitchratings.com'. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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