Credit-Based Asset Servicing and Securitization LLC (C-BASS) and lead underwriter Credit Suisse First Boston were glowing last Monday on the news that Fitch Ratings had upgraded several tranches on C-Bass CBO Ltd 1, a rare event in the sector.

"The fact that the double-B's were upgraded to triple-B in this deal is impressive," noted a market source. C-Bass retains all of the non-investment grade tranches including the equity in its CDOs because the firm uses the transactions as a source of financing for its business.

The assets backing the CDO are 70% RMBS (residential A, residential B/C, HLTV, and MH, respectively), with the remainder made up of CMBS and ABS.

Since the deal uses a static pool structure with no reinvestment period, any principal from assets paying down go toward retiring the rated notes in sequential order from triple-A down. The following bullet points detail Fitch's rationale for the upgrade:

*Increase in the credit enhancement of the rated notes;

*excess interest available to service the interest payments;

*steady increase in O/C and interest coverage;

*steady improvement in the WARF from 30.0 at closing to 29.4 as of 2/28/02

*paydown of the CBO of approx 16% as of 3/31/02 (the deal closed March 5, 2001);

*overall improvement in pool, including 70% RMBS;

*increase of the weighted-average seasoning to approx 2.61y;

*increase in the weighted-average pay down of the underlying pools of the bonds to approximately 46% as of Feb. 28, 2002.

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