Moody's downgrades C-BASS certificates

June 13, 2007, 12:00 a.m. EDT 1 Min Read

Moody's Investor Services downgraded two certificates issued for one C-BASS deal in 2002. The underlying assets in the transaction consist of subprime residential mortgage loans. The downgrade is a result of a decrease in available credit enhancement, which is attributed to a decrease in losses and a reduction in subordination as a result of passing performance triggers and overcollateralization stepping down. As of May 25, the underlying pools in the transaction were below the 50 basis points OC floor.

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