New York, July 25, 2016 -- Moody's Investors Service has upgraded the ratings on notes issued by
C Bass CBO VIII Ltd.:
U.S. $20,700,000 Class C Fourth Priority
Secured Floating Rate Deferrable Interest Notes Due 2038 (current outstanding
balance $1,807,352.63), Upgraded to Baa1
(sf); previously on August 26, 2015 Upgraded to Ba1 (sf)
U.S. $12,000,000 Class D-1 Fifth
Priority Secured Floating Rate Deferrable Interest Notes Due 2038 (current
outstanding balance $6,651,025.93), Upgraded
to B3 (sf); previously on August 26, 2015 Upgraded to Caa1
(sf)
U.S. $4,950,000 Class D-2 Fifth
Priority Secured Fixed Rate Deferrable Interest Notes Due 2038 (current
outstanding balance $3,099,191.67), Upgraded
to B3 (sf); previously on August 26, 2015 Upgraded to Caa1
(sf)
C-Bass CBO VIII Ltd., issued in November 2003,
is a collateralized debt obligation backed primarily by a portfolio of
ABS and RMBS assets originated in 2002 and 2003.
RATINGS RATIONALE
These rating actions are due primarily to the deleveraging of the senior
notes and an increase in the transaction's over-collateralization
ratios since August 2015. The Class C notes have been paid down
by approximately 56.2% or $2.3 million,
since then. Based on trustee's July 2016 report, the
over-collateralization ratio of the Class C and Class D notes are
reported at 963.7% and 137.4% versus 432.9
% and 116.5% in August 2015. The paydown of
the Class C notes is partially the result of interest payments/principal
prepayments from certain assets treated as defaulted by the trustee in
amounts materially exceeding expectations. Additionally,
the credit quality of the underlying assets remains stable. Based
on the trustee's July 2016 report, the weighted average rating
factor (WARF) of the performing assets is reported at 3900, compared
to 3923 in August 2015.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "Moody's Approach
to Rating SF CDOs," published in July 2015. Please see the
Ratings Methodologies page on www.moodys.com for a copy
of this methodology.
Factors That Would Lead To an Upgrade or Downgrade of the Ratings:
This transaction is subject to a number of factors and circumstances that
could lead to either an upgrade or downgrade of the ratings, as
described below:
1) Macroeconomic uncertainty: Primary causes of uncertainty about
assumptions are the extent of any deterioration in either consumer or
commercial credit conditions and in the residential real estate property
markets. The residential real estate property market's uncertainties
include housing prices; the pace of residential mortgage foreclosures,
loan modifications and refinancing; the unemployment rate; and
interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from principal proceeds, recoveries from defaulted
assets, and excess interest proceeds will continue and at what pace.
Faster than expected deleveraging could have a significantly positive
impact on the notes' ratings.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted as well as the timing of these recoveries
create additional uncertainty. Moody's analyzed defaulted
assets assuming limited recoveries, and therefore, realization
of any recoveries exceeding Moody's expectation in the future would
positively impact the notes' ratings.
Loss and Cash Flow Analysis:
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM™ to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios define the
reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge™ cash flow model.
In addition to the base case analysis, Moody's also conducted sensitivity
analyses to test the impact of a number of default probabilities on the
rated notes. Below is a summary of the impact of different default
probabilities (expressed in terms of WARF) on all of the rated notes (by
the difference in the number of notches versus the current model output,
for which a positive difference corresponds to lower expected loss):
Caa ratings notched up by two rating notches (2883):
Class C: +1
Class D-1: +2
Class D-2: +2
Caa ratings notched down by two notches (4675):
Class A-1: 0
Class D-1: 0
Class D-2: 0
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
Moody's describes its loss and cash flow analysis in the section
"Ratings Rationale" of this press release.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain regulatory
disclosures in relation to the provisional rating assigned, and
in relation to a definitive rating that may be assigned subsequent to
the final issuance of the debt, in each case where the transaction
structure and terms have not changed prior to the assignment of the definitive
rating in a manner that would have affected the rating. For further
information please see the ratings tab on the issuer/entity page for the
respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Gunjan Bothra
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
David Ham
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
