Fitch Ratings Affirms 4 Classes of C-BASS CBO XII Ltd.

NEW YORK -- Fitch Ratings affirms four classes of notes issued by C-BASS CBO XII Ltd. ('C-BASS XII'). These affirmations are the result of Fitch's review process and are effective immediately:

-- $305,495,586 class A notes at 'AAA';

-- $14,000,000 class B notes at 'AA';

-- $24,000,000 class C notes at 'A';

-- $10,760,000 class D notes 'BBB'.

C-BASS XII is a collateralized debt obligation (CDO) which closed on Dec. 16, 2004 and is managed by Credit-Based Asset Servicing and Securitization LLC (C-BASS). C-BASS is rated 'CAM1' by Fitch for managing structured finance CDOs.

Since the effective date report on March 8, 2005, the collateral has continued to exhibit stable performance. As of the trustee report dated Dec. 30, 2005 the Fitch weighted average rating factor (WARF) improved slightly to 3.63 ('BBB/BBB-') from 3.87 ('BBB/BBB-'). All of the overcollateralization (OC) tests have experienced slight improvement due to de-leveraging of the transaction, and all interest coverage tests are currently passing their required levels. There are no defaulted or distressed assets, and only 0.3% of the assets were rated below 'BB-'.

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 stated balance of principal by the legal final maturity date. The ratings of the class C and D notes address the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the stated balance of principal by the legal final maturity date.

Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Fitch Ratings web site at www.fitchratings.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Sept. 13, 2004, available on Fitch's web site at www.fitchratings.com.

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.