Five classes of notes issued by C-Bass CBO IV Ltd. were upgraded yesterday by Fitch Ratings, a not-often seen occurrence in the market. The CBO is supported by a static pool of residential mortgage-backed securities which comprise the majority of the deal at 74.5%. Also found in the CBO are asset-backed securities (22.8%) and CDOs (2.7%). C-Bass CBO Ltd is the fourth of six static pool CBOs managed by C-Bass. C-Bass CBO IV Ltd. closed June 27, 2002.
According to the agency the following classes were effected: $27 million class B-1 second priority senior secured floating-rate notes, due June 2032, was upgraded to 'AA+' from 'AA'; the $15 million class B-2 second priority senior secured fixed-rate notes, due June 2032, was upgraded to 'AA+' from 'AA'; the $5 million class C third priority secured floating rate notes due June 2032 were upgraded to 'A+' from 'A-'; the $2.71 million class D-1 fourth priority secured floating-rate notes due June 2032 were upgraded to 'BBB+' from 'BBB'; and the $15.3 million class D-2 fourth priority secured fixed-rate notes due June 2032 were upgraded to 'BBB+' from 'BBB'.
Fitch cited increased credit enhancement of the rated notes, excess interest available to service the interest payments on the rated notes and the paydown of the class A and D notes as factors contributing to the upgrade.