Subprime-Linked CDO Classes Downgraded

Four classes of notes issued by C-Bass CBO XIII Ltd., a cash flow collateralized debt obligation linked to subprime residential mortgage-backed securities, have been downgraded by Fitch Ratings. The downgrades were as follows: class A, from AAA to BBB-plus; class B, from AA to BB-plus; class C, from A to BB-minus; and class D, from BBB to B-minus. Classes B, C, and D were removed from Rating Watch Negative. The downgrades were attributed to credit deterioration in the portfolio and underlying exposure to subprime RMBS. More than half, 51.6%, of the portfolio consists of subprime RMBS, while the remainder consists of alternative-A RMBS, 22.2%; prime RMBS, 7.1%; commercial MBS, 5.3%; commercial real estate CDOs, 4.8%; manufactured housing RMBS, 3.9%; commercial asset-backed securities, 2.4%; U.S. structured finance CDOs, 2.0%; and high-yield bond CDOs, 0.7%.