New York, March 10, 2011 -- Moody's Investors Service has downgraded the ratings of 119 tranches and
confirmed the rating of 5 tranches from 23 Subprime deals issued by C-BASS.
The collateral backing these deals primarily consists of first-lien,
fixed and adjustable rate Subprime residential mortgages.
RATINGS RATIONALE
The actions are a result of deteriorating performance of Subprime pools
securitized before 2005. Although most of these pools have paid
down significantly, the remaining loans are affected by the housing
and macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on Subprime pools
securitized before 2005.
The principal methodology used in these ratings was " Pre-2005
US RMBS Surveillance Methodology" published in January 2011.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-level
loss expectations relative to current level of credit enhancement.
Moody's took into account credit enhancement provided by seniority,
cross-collateralization, excess spread, time tranching,
and other structural features within the senior note waterfalls.
Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor,
the rating on the securities is the higher of (i) the guarantor's financial
strength rating and (ii) the current underlying rating (i.e.,
absent consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same methodology
for rating securities that do not have a financial guaranty and is as
described earlier.
The primary source of assumption uncertainty is the current macroeconomic
environment, in which unemployment levels remain high, and
weakness persists in the housing market. Overall, Moody's
assumes a further 5% decline in home prices with stabilization
in late 2011, accompanied by continued stress in national employment
levels through that timeframe.
For more information please see www.moodys.com.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Complete rating actions are as follows:
Issuer: C-BASS 2002-CB2 Trust
Cl. A-1, Downgraded to Ba3 (sf); previously on
May 31, 2002 Assigned Aaa (sf)
Cl. A-2, Downgraded to B2 (sf); previously on
May 31, 2002 Assigned Aaa (sf)
Cl. M-1, Downgraded to Ca (sf); previously on
May 31, 2002 Assigned Aa2 (sf)
Cl. M-2, Downgraded to Ca (sf); previously on
Nov 19, 2007 Downgraded to Baa1 (sf)
Cl. B-1, Downgraded to Ca (sf); previously on
Nov 19, 2007 Downgraded to Caa2 (sf)
Issuer: C-BASS 2002-CB4 Trust
Cl. AV-1, Confirmed at Aaa (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to A2 (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba1 (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS 2002-CB5 Trust
Cl. AF-3, Downgraded to A3 (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to B2 (sf); previously on
Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS 2002-CB6 Trust
Cl. M-2V, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2F, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Apr 8, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS 2003-CB2 Trust
Cl. M-1, Downgraded to Ba1 (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS 2003-CB3 Trust
Cl. AF-1, Downgraded to A2 (sf); previously on
Jul 31, 2003 Assigned Aaa (sf)
Cl. M-1, Downgraded to Ba1 (sf); previously on
Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS 2003-CB4 Trust
Cl. M-1, Downgraded to B3 (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS 2003-CB6 Trust
Cl. AF-5, Downgraded to Aa2 (sf); previously
on Jan 27, 2004 Assigned Aaa (sf)
Cl. AF-6, Downgraded to Aa2 (sf); previously
on Jan 27, 2004 Assigned Aaa (sf)
Cl. M-1, Downgraded to Ba3 (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to Ca (sf); previously on
Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-5, Downgraded to Ca (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Issuer: C-Bass Mortgage Loan Asset Backed Notes, Series
2001-CB4
Cl. IA-1, Downgraded to B2 (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. IM-1, Downgraded to C (sf); previously on
Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. IM-2, Downgraded to C (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. IB-1, Downgraded to C (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: C-Bass Mortgage Loan Asset-Backed Certificates,
Series 2001-CB3
Cl. M-2, Confirmed at Aa2 (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2002-CB1
Cl. B-1, Downgraded to Baa1 (sf); previously
on Jul 1, 2009 Upgraded to A2 (sf)
Cl. B-2, Confirmed at Ca (sf); previously on
Apr 8, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2004-CB1
Cl. M-1, Downgraded to Baa2 (sf); previously
on Nov 9, 2007 Confirmed at Aa2 (sf)
Cl. M-2, Downgraded to B1 (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B2 (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to Ca (sf); previously on
Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2004-CB2
M-1, Downgraded to Ba3 (sf); previously on Apr 8,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
M-2, Downgraded to Caa3 (sf); previously on Apr 8,
2010 A1 (sf) Placed Under Review for Possible Downgrade
M-3, Downgraded to Ca (sf); previously on Apr 8,
2010 A3 (sf) Placed Under Review for Possible Downgrade
B-1, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
B-2, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
B-3, Downgraded to Ca (sf); previously on Apr 8,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2004-CB4
Cl. A-5, Downgraded to Baa3 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to Baa2 (sf); previously
on Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Caa2 (sf); previously
on Apr 8, 2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C (sf); previously on
Apr 8, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C (sf); previously on
Apr 8, 2010 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2004-CB5
Cl. M-1, Downgraded to Ba1 (sf); previously on
Aug 30, 2004 Assigned Aa2 (sf)
Cl. M-2, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to C (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C (sf); previously on
Apr 8, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2004-CB6
Cl. AF-3, Downgraded to Aa1 (sf); previously
on Dec 14, 2007 Confirmed at Aaa (sf)
Underlying Rating: Downgraded to Aa1 (sf); previously on Oct
12, 2004 Assigned Aaa (sf)
Financial Guarantor: Syncora Guarantee Inc. (Downgraded to
Ca, Outlook Developing on Mar 9, 2009)
Cl. AF-4, Downgraded to Aa1 (sf); previously
on Oct 12, 2004 Assigned Aaa (sf)
Cl. M-1, Downgraded to Ba1 (sf); previously on
Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to B3 (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to Ca (sf); previously on
Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2004-CB7
Cl. M-1, Downgraded to Baa2 (sf); previously
on Apr 8, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to B2 (sf); previously on
Apr 8, 2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-4, Downgraded to C (sf); previously on
Apr 8, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2004-CB8
Cl. M-1, Downgraded to B1 (sf); previously on
Nov 10, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously
on Nov 10, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Nov 10, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Nov 10, 2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2005-CB1
Cl. M-1, Downgraded to Ba1 (sf); previously on
Jan 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously
on Jan 13, 2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Jan 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Jan 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on
Jan 13, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2005-CB2
Cl. M-1, Downgraded to Baa1 (sf); previously
on Jan 13, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa1 (sf); previously
on Jan 13, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Jan 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Jan 13, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Mar 16, 2009 Downgraded to B2 (sf)
Cl. B-3, Downgraded to C (sf); previously on
Jan 13, 2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2005-CB3
Cl. AF-4, Confirmed at Aaa (sf); previously on
Jan 13, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-1, Confirmed at Aa2 (sf); previously on
Jan 13, 2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba1 (sf); previously on
Jan 13, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to B3 (sf); previously on
Jan 13, 2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. M-4, Downgraded to C (sf); previously on
Jan 13, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to C (sf); previously on
Jan 13, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on
Jan 13, 2010 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2003-CB5,
C-Bass Mortgage Loan Asset-Backed Certificates
Cl. M-1, Downgraded to Ba1 (sf); previously on
Apr 8, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Caa3 (sf); previously
on Apr 8, 2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to Ca (sf); previously on
Apr 8, 2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to Ca (sf); previously on
Apr 8, 2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. B-3, Downgraded to Ca (sf); previously on
Nov 19, 2007 Downgraded to B3 (sf)
Issuer: Salomon Mortgage Loan Trust, Series 2003-CB1
Cl. AF, Downgraded to Ba1 (sf); previously on Mar 18,
2003 Assigned Aaa (sf)
Cl. M-1, Downgraded to Caa3 (sf); previously
on Mar 18, 2003 Assigned Aa2 (sf)
Cl. M-2, Downgraded to Ca (sf); previously on
Mar 18, 2003 Assigned A2 (sf)
Cl. B-1, Downgraded to Ca (sf); previously on
Mar 18, 2003 Assigned Baa1 (sf)
A list of these actions including CUSIP identifiers may be found at:
Excel: http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF238848
A list of updated estimated pool losses and sensitivity analysis is being
posted on an ongoing basis for the duration of this review period and
may be found at:
Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, and confidential
and proprietary Moody's Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Edward Hou
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Amelia (Amy) Tobey
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes action on $781 million of Subprime RMBS issued by C-BASS from 2001 through 2005
