C-BASS ABS Classes Downgraded

Two classes from C-BASS mortgage loan asset-backed certificates series 2003-RP1 have been downgraded by Fitch Ratings.Class B-1 was downgraded from BBB-plus to BBB, and class B-2 was downgraded from BBB to BB. Fitch also affirmed the ratings on four classes in the transaction. The downgrades reflect deterioration in the relationship between credit enhancement and loss expectations, the rating agency said. Losses have exceeded excess spread for the past 12 months, which has caused the overcollateralization to decline steadily. The trust consists primarily of one-to four-family, adjustable-rate and fixed-rate mortgage loans, FHA-insured and VA-guaranteed mortgage loans, manufacturing housing installment contracts, and installment loan agreements secured by first and second liens on residential properties. Fitch said the mortgages include loans that had defaulted and are re-performing or performing under the provisions of a bankruptcy or forbearance plan, or loans that are performing under the terms of the related original notes or such notes as modified. Fitch can be found online at http://www.fitchratings.com.