C-BASS MBS Class Downgraded

Class B-2 of C-BASS's series 2000-CB4 issue of mortgage-backed securities has been downgraded from BBB to BBB-minus by Fitch Ratings.In addition, Fitch affirmed the ratings on four other classes in the deal as well as four classes in a separate deal. The downgrade "reflects some level of concern with the high level of losses incurred to date and the high delinquencies in relation to diminished credit support levels," the rating agency said. However, the losses are "somewhat mitigated" by the fact that about 10% of the pool consists of loans guaranteed by the Federal Housing Administration or the Department of Veterans Affairs, and therefore class B-2 can maintain an investment-grade rating, Fitch said. The rating agency can be found on the Web at http://www.fitchratings.com.