Fitch Rates C-BASS CBO XV Ltd. 'AAA/AA/A/BBB'.

NEW YORK -- Fitch Ratings assigns the following ratings to C-BASS CBO XV Ltd. and C-BASS CBO XV Corp. (collectively C-BASS CBO XV):

--$565,800,000 class A first priority senior secured floating-rate notes due 2041 'AAA';

--$39,100,000 class B second priority senior secured floating-rate notes due 2041 'AA';

--$44,800,000 class C third priority secured floating-rate deferrable interest notes due 2041 'A';

--$19,500,000 class D fourth priority secured floating-rate deferrable interest notes due 2041 'BBB'.

The ratings of the class A and B notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. The ratings of the class C and D notes address the likelihood that investors will receive ultimate interest payments, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date.

The ratings are based upon the capital structure of the transaction, the quality of the collateral, and the overcollateralization 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 three and one-quarter years of the transaction. The ratings on the notes also reflect the experience and capabilities of C-BASS Investment Management LLC (CIM) as the collateral manager and Litton Loan Servicing as servicer of a substantial portion of the underlying collateral.

Proceeds from the issuance will be invested in a static portfolio of residential mortgage-backed securities (RMBS), asset-backed securities (ABS), commercial mortgage-backed securities (CMBS), and collateralized debt obligations (CDOs). The collateral supporting the capital structure will have a maximum Fitch weighted average rating factor (WARF) of 3.9 ('BBB/BBB-'). The collateral manager will purchase all investments for the portfolio on behalf of C-BASS CBO XV Ltd. and C-BASS CBO XV Corp., which are special-purpose companies incorporated under the laws of the Cayman Islands and Delaware, respectively.

For C-BASS CBO XV, the collateral will be selected and monitored by CIM, a registered investment adviser established by Credit-Based Asset Servicing and Securitization LLC (C-BASS) to act as collateral manager for its collateralized bond obligations (CBOs). All employees of C-BASS previously involved with its CBO business are employees of CIM as well. CIM will conduct the C-BASS CBO business in the same manner as C-BASS previously conducted it.

C-BASS, which has been acquiring and managing mortgage assets since 1996, is a joint venture among Mortgage Guaranty Investment Corp. (MGIC, insurer financial strength rated 'AA+' by Fitch) and Radian Group Inc. (Radian, long term debt rated 'A' by Fitch). MGIC and Radian each own 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 $35 million in 1996 to its current $740.9 million as of November 2005. C-BASS is rated 'CAM1' by Fitch as a manager of structured finance CDOs.

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

Fitch's rating definitions and the terms of use 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 are also available from the 'Code of Conduct' section of this site.