USD 31.9 million of debt securities affected
New York, September 24, 2013 -- Moody's Investors Service announced today that it has upgraded the ratings
of the following notes issued by C-Bass CBO IX, Limited:
U.S.$20,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes, Due 2039 (current outstanding
balance of $9,899,235), Upgraded to Caa1 (sf);
previously on June 4, 2010 Downgraded to Caa3 (sf);
U.S.$10,000,000 Class B Third Priority
Senior Secured Floating Rate Notes, Due 2039, Upgraded to
Caa3 (sf); previously on March 4, 2010 Downgraded to Ca (sf);
U.S.$12,000,000 Class C Fourth Priority
Secured Floating Rate Deferrable Interest Notes, Due 2039 (current
outstanding balance of $12,483,955), Upgraded
to Ca (sf); previously on March 4, 2010 Downgraded to C (sf).
RATINGS RATIONALE
According to Moody's, the rating upgrades today are primarily a
result of deleveraging of the Class A-2 Notes and an increase in
the transaction's overcollateralization ratio since February 2013.
Moody's notes that the Class A-2 Notes have been paid down by approximately
44.5% or $8 million since February 2013. Based
on the Moody's calculation, the Class A-2 and A/B overcollateralization
ratios are at 225.6% and 112.2%, respectively,
versus February 2013 level of 168.9% and 108.2%.
Moody's also notes that Class C Notes are currently receiving their
periodic interest due along with a repayment of the deferred interest
to the extent interest proceeds are available.
C-BASS CBO IX, Limited is a collateralized debt obligation
issuance backed by a portfolio of RMBS and ABS, the majority of
which were originated in 2003 and 2004.
The principal methodology used in this rating was "Moody's Approach to
Rating SF CDOs" published in May 2012. Please see the Credit Policy
page on www.moodys.com for a copy of this methodology.
Moody's applied the Monte Carlo simulation framework within CDOROMv2.8-9
to model the loss distribution for SF CDOs. Within this framework,
defaults are generated so that they occur with the frequency indicated
by the adjusted default probability pool (the default probability associated
with the current rating multiplied by the Resecuritization Stress) for
each credit in the reference. Specifically, correlated defaults
are simulated using a normal (or "Gaussian") copula model that applies
the asset correlation framework. Recovery rates for defaulted credits
are generated by applying within the simulation the distributional assumptions,
including correlation between recovery values.
Together, the simulated defaults and recoveries across each of the
Monte Carlo scenarios define the loss distribution for the reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss distribution
is associated with the interest and principal received by the rated liability
classes via the CDOEdge cash-flow model . The cash flow
model takes into account the following: collateral cash flows,
the transaction covenants, the priority of payments (waterfall)
for interest and principal proceeds received from portfolio assets,
reinvestment assumptions, the timing of defaults, interest-rate
scenarios and foreign exchange risk (if present). The Expected
Loss (EL) for each tranche is the weighted average of losses to each tranche
across all the scenarios, where the weight is the likelihood of
the scenario occurring. Moody's defines the loss as the shortfall
in the present value of cash flows to the tranche relative to the present
value of the promised cash flows. The present values are calculated
using the promised tranche coupon rate as the discount rate. For
floating rate tranches, the discount rate is based on the promised
spread over Libor and the assumed Libor scenario.
Moody's notes that in arriving at its ratings of SF CDOs, there
exist a number of sources of uncertainty, operating both on a macro
level and on a transaction-specific level. Primary sources
of assumption uncertainty are the extent of the slowdown in growth in
the current macroeconomic environment . Among the uncertainties
in the residential real estate property market are those surrounding future
housing prices, pace of residential mortgage foreclosures,
loan modification and refinancing, unemployment rate and interest
rates.
Moody's rating action today factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are shown
in terms of the number of notches' difference versus the current model
output, where a positive difference corresponds to lower expected
loss, assuming that all other factors are held equal:
Moody's Caa1 and below rated assets notched up by 2 rating notches:
Class A-2: +4
Class B: +2
Class C: 0
Class D: 0
Class E: 0
Moody's Caa1 and below rated assets notched down by 2 rating notches:
Class A-2: -2
Class B: 0
Class C: 0
Class D: 0
Class E: 0
REGULATORY DISCLOSURES
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments related to the monitoring of this transaction
in the past six months.
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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
Aileen Wang
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
Ramon O Torres
Senior Vice President/Manager
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
Moody's upgrades the ratings of three classes of notes issued by C-Bass CBO IX, Limited, an SF CDO
