Moody's downgrades certain C-Bass Subprime RMBS
New York, April 16, 2008 -- Moody's Investors Service has downgraded the ratings of 139 tranches from
17 subprime RMBS transactions issued by C-BASS. 46 downgraded
tranches remain on review for possible further downgrade. The collateral
backing these transactions consists primarily of first-lien,
fixed and adjustable-rate, subprime residential mortgage
loans.
The ratings were downgraded, in general, based on higher than
anticipated rates of delinquency, foreclosure, and REO in
the underlying collateral relative to credit enhancement levels.
The actions described below are a result of Moody's on-going surveillance
process.
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2005-CB5
Cl. B-1, Downgraded to Baa3 from Baa1
Cl. B-2, Downgraded to B1 from Baa2
Cl. B-3, Downgraded to B2 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. B-4, Downgraded to Caa1 from Ba1
Cl. B-5, Downgraded to Caa3 from Ba2
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2005-CB6
Cl. B-1, Downgraded to B1 from Baa1
Cl. B-2, Downgraded to B3 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. B-3, Downgraded to Caa1 from Baa3
Cl. B-4, Downgraded to Caa3 from Ba1
Cl. B-5, Downgraded to Ca from B2
Cl. M-6, Downgraded to Baa2 from A3
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2005-CB7
Cl. B-4, Downgraded to B1 from Ba1
Cl. B-5, Downgraded to Caa1 from Ba2
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2006-CB2
Cl. B-1, Downgraded to Caa1 from Ba1
Cl. B-2, Downgraded to Caa2 from Ba3
Cl. B-3, Downgraded to Caa3 from B3
Cl. B-4, Downgraded to C from Ca
Cl. M-5, Downgraded to Baa2 from A2
Cl. M-6, Downgraded to B2 from A3
Cl. M-7, Downgraded to B3 from Baa1; Placed Under
Review for further Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2006-CB4
Cl. M-2, Downgraded to A3 from Aa2
Cl. M-3, Downgraded to Ba1 from Aa3
Cl. M-4, Downgraded to B2 from A1; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B3 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to Caa1 from Baa2
Cl. B-1, Downgraded to Caa2 from Ba2
Cl. B-2, Downgraded to Caa3 from B2
Cl. B-3, Downgraded to Ca from Caa3
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2006-CB5
Cl. M-2, Downgraded to A1 from Aa2
Cl. M-3, Downgraded to Baa3 from Aa3
Cl. M-4, Downgraded to B1 from A1; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B2 from A2; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B3 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. B-1, Downgraded to Caa2 from Ba1
Cl. B-2, Downgraded to Caa3 from B1
Cl. B-3, Downgraded to Ca from B3
Cl. B-4, Downgraded to C from Ca
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2006-CB6
Cl. M-4, Downgraded to Baa1 from A1
Cl. M-5, Downgraded to Ba2 from A3
Cl. M-6, Downgraded to B1 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. M-7, Downgraded to B2 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to B3 from Ba1; Placed Under
Review for further Possible Downgrade
Cl. B-1, Downgraded to Caa1 from Ba3
Cl. B-2, Downgraded to Caa2 from B3
Cl. B-3, Downgraded to Caa3 from B3
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2006-CB7
Cl. M-2, Downgraded to Baa2 from Aa2
Cl. M-3, Downgraded to Ba3 from Aa3
Cl. M-4, Downgraded to B1 from A2; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B2 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B2 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. M-7, Downgraded to B3 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to B3 from Ba1; Placed Under
Review for further Possible Downgrade
Cl. B-1, Downgraded to Caa1 from Ba3
Cl. B-2, Downgraded to Caa2 from B2
Cl. B-3, Downgraded to Caa3 from B3
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2006-CB8
Cl. M-2, Downgraded to A3 from Aa1
Cl. M-3, Downgraded to Ba1 from Aa2
Cl. M-4, Downgraded to B1 from Aa2
Cl. M-5, Downgraded to B1 from A2; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B2 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-7, Downgraded to B3 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. M-8, Downgraded to Caa1 from Ba1
Cl. B-1, Downgraded to Caa2 from B1
Cl. B-2, Downgraded to Caa3 from B3
Cl. B-3, Downgraded to Ca from Caa3
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2006-CB9
Cl. A-3, Downgraded to Aa1 from Aaa
Cl. A-4, Downgraded to Aa3 from Aaa
Cl. M-1, Downgraded to Ba1 from Aa1
Cl. M-2, Downgraded to B1 from Aa2; Placed Under
Review for further Possible Downgrade
Cl. M-3, Downgraded to B1 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B2 from A2; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B3 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B3 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. M-7, Downgraded to Caa1 from Ba2
Cl. M-8, Downgraded to Caa2 from Ba3
Cl. M-9, Downgraded to Caa3 from B2
Cl. B-1, Downgraded to Ca from Caa1
Cl. B-2, Downgraded to Ca from Caa1
Cl. B-3, Downgraded to C from Caa3
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB1
Cl. M-1, Downgraded to A2 from Aa1
Cl. M-2, Downgraded to Ba2 from Aa2
Cl. M-3, Downgraded to B1 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B2 from A2; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B3 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to Caa1 from Ba2
Cl. M-7, Downgraded to Caa2 from B1
Cl. M-8, Downgraded to Caa3 from B3
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB2
Cl. M-2, Downgraded to Baa1 from Aa2
Cl. M-3, Downgraded to Baa2 from Aa3
Cl. M-4, Downgraded to Ba3 from A1
Cl. M-5, Downgraded to B1 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B2 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. B-1, Downgraded to B3 from Ba1; Placed Under
Review for further Possible Downgrade
Cl. B-2, Downgraded to Caa1 from Ba2
Cl. B-3, Downgraded to Caa2 from B3
Cl. B-4, Downgraded to C from Ca
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB3
Cl. M-1, Downgraded to A3 from Aa1
Cl. M-2, Downgraded to Ba2 from Aa2
Cl. M-3, Downgraded to B1 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B1 from A2; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B2 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B3 from Baa3; Placed Under
Review for further Possible Downgrade
Cl. B-1, Downgraded to B3 from Ba1; Placed Under
Review for further Possible Downgrade
Cl. B-2, Downgraded to Caa1 from Ba2
Cl. B-3, Downgraded to Caa2 from B3
Cl. B-4, Downgraded to C from Ca
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB4
Cl. M-1, Downgraded to A2 from Aa1
Cl. M-2, Downgraded to Ba1 from Aa2
Cl. M-3, Downgraded to Ba3 from Aa3
Cl. M-4, Downgraded to B1 from A1; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B1 from A2; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B2 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. B-1, Downgraded to B3 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. B-2, Downgraded to Caa1 from Baa3
Cl. B-3, Downgraded to Caa2 from Ba3
Cl. B-4, Downgraded to Caa3 from B3
Cl. B-5, Downgraded to C from Ca
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2007-CB5
Cl. A-3, Downgraded to Aa2 from Aaa
Cl. M-1, Downgraded to A3 from Aa1
Cl. M-2, Downgraded to Ba2 from Aa2
Cl. M-3, Downgraded to B1 from Aa3; Placed Under
Review for further Possible Downgrade
Cl. M-4, Downgraded to B1 from A1; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B2 from A3; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to B3 from Baa2; Placed Under
Review for further Possible Downgrade
Cl. M-7, Downgraded to Caa1 from Baa3
Cl. M-8, Downgraded to Caa2 from Ba3
Cl. M-9, Downgraded to Caa3 from B2
Cl. B-1, Downgraded to C from Ca
Issuer: Citigroup Mortgage Loan Trust 2006-CB3
Cl. B-1, Downgraded to Caa2 from B1
Cl. B-2, Downgraded to Caa3 from B3
Cl. B-3, Downgraded to C from Ca
Cl. M-2, Downgraded to A2 from Aa2
Cl. M-3, Downgraded to Ba1 from Aa3
Cl. M-4, Downgraded to B2 from A2; Placed Under
Review for further Possible Downgrade
Cl. M-5, Downgraded to B3 from Baa1; Placed Under
Review for further Possible Downgrade
Cl. M-6, Downgraded to Caa1 from Baa3
Issuer: Citigroup Mortgage Loan Trust, Series 2005-CB8
Cl. B-3, Downgraded to Ba3 from Baa3
Cl. B-4, Downgraded to B2 from Ba1; Placed Under
Review for further Possible Downgrade
Cl. B-5, Downgraded to Caa1 from Ba2
A list of these actions including CUSIP identifiers may be found at:
PDF: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF129645
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF129646
For more information please see www.moodys.com.
New York
Navneet Agarwal
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Gulmira Karaguishiyeva
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653