Fitch Upgrades 2 Classes of C-BASS CBO V, Ltd./Corp

Wed Jan 23, 2013 5:50pm EST

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NEW YORK--(Business Wire)--
Fitch Ratings has upgraded and assigned Rating Outlooks to two classes of notes
issued by C-BASS CBO V, Ltd./Corp. (C-BASS V) as follows: 

--$0 class C notes marked 'PIF'; 

--$2,903,961 class D-1 notes upgraded to 'Bsf' from 'CCCsf'; Outlook Stable; 

--$2,782,963 class D-2 notes upgraded to 'Bsf' from 'CCCsf'; Outlook Stable. 

This review was conducted under the framework described in the report 'Global
Rating Criteria for Structured Finance CDOs' using the Structured Finance
Portfolio Credit Model (SF PCM) for projecting future default levels for the
underlying portfolio. These default levels were then compared to the breakeven
levels generated by Fitch's cash flow model of the CDO under various default
timing and interest rate stress scenarios, as described in the report 'Global
Criteria for Cash Flow Analysis in CDOs'. Fitch also considered additional
qualitative factors into its analysis, as described below, to conclude the
rating affirmations for the rated notes. 

SENSITIVITY/RATING DRIVERS 

Since the last review in 2012, the negative rating momentum in the underlying
portfolio has somewhat abated, with 25.3% of the pool upgraded a weighted
average of 4.3 notches and 14.2% downgraded a weighted average of 2.2 notches.
Approximately 84.5% of the portfolio now has a Fitch derived rating below
investment grade and 82.9% has a rating in the 'CCC' rating category or lower,
compared to 57.7% and 48.9%, respectively, at previous review. 

However, this additional deterioration has been successfully offset by the
ongoing amortization of the capital structure, with $4.3 million of the class C
notes' remaining balance paid in full on the June 22, 2012 payment date. Since
then, the class D-1 and D-2 (together, class D) notes have also received all of
their previously deferred interest amounts and approximately $11.8 million in
payments towards reduction of their principal. Consequently, the credit
enhancement (CE) levels available to the class D notes have increased
meaningfully, providing cushion to thse notes to withstand potential further
negative migration in the portfolio. 

Although, the cash flow model indicates the class D notes pass rating levels
higher than 'Bsf' in all scenarios, they rely on the performance of only five
non-distressed assets and recoveries realized on the distressed assets,
currently at 82.9% of the portfolio. 

C-BASS V is a static structured finance collateralized debt obligation (SF CDO)
that closed on Dec. 20, 2002. The initial portfolio was selected by C-BASS
Investment Management LLC and as of Feb. 14, 2011 it is monitored by NIC
Management LLC, an affiliate of Newcastle Investment Corp. As of the Dec. 24,
2012 Trustee report, the portfolio is comprised primarily of residential
mortgage-backed securities (92.3%) from 1997 through 2002 vintage transactions
and of one SF CDO (7.7%). 

Additional information is available at 'www.fitchratings.com'. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings. 

The information used to assess these ratings was sourced from the asset manager,
periodic servicer reports, note valuation reports, and the public domain. 

Applicable Criteria and Related Research: 

--'Global Structured Finance Rating Criteria' (June 6, 2012); 

--'Global Rating Criteria for Structured Finance CDOs' (Oct. 3, 2012); 

--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 13, 2012); 

--'Criteria for Interest Rate Stresses in Structured Finance Transactions'
(March 20, 2012). 

Applicable Criteria and Related Research: 

Global Structured Finance Rating Criteria 

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Global Rating Criteria for Structured Finance CDOs 

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=690203

Global Criteria for Cash Flow Analysis in CDOs 

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=688518

Criteria for Interest Rate Stresses in Structured Finance Transactions 

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=673560

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS.
PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK:
HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING
DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S
PUBLIC WEBSITE '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.

Fitch Ratings
Primary Surveillance Analyst:
Barbara M. Burdzy, +1-212-908-0813
Director
Fitch, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson:
Alina Pak, CFA, +1-312-368-3184
Senior Director
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
sandro.scenga@fitchratings.com

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