NEW YORK--()--Fitch Ratings has downgraded seven and affirmed four classes of one C-Bass RMBS resecuritization trust (Re-REMIC). This Re-REMIC is collateralized with underlying scratch and dent, subprime and prime transactions from the 1990-1998 vintages.
Fitch's rating actions are as follows:
C-Bass ABS, L.L.C 1999-3:
--Class A (CUSIP 124860CB1) downgraded to 'CCCsf/RE75%' from 'Bsf'; removed from Rating Watch Negative;
--Class M1 (CUSIP 124860CC9) downgraded to 'CCsf/RE30%' from 'CCCsf/RE65%';
--Class M2 (CUSIP 124860CD7) downgraded to 'CCsf/RE25%' from 'CCCsf/RE60%';
--Class M3 (CUSIP 124860CE5) downgraded to 'CCsf/RE25%' from 'CCCsf/RE60%';
--Class M4 (CUSIP 124860CF2) downgraded to 'CCsf/RE25% from 'CCCsf/RE55%';
--Class M5 (CUSIP 124860CG0) downgraded to 'CCsf/RE20%' from 'CCCsf/RE55%';
--Class B1 (CUSIP 124860CH8) downgraded to 'Csf/RE15% from 'CCsf/RE40%';
--Class B2 (CUSIP 124860CJ4) affirmed at 'Csf/RE10%';
--Class B3 (CUSIP 124860CK1) affirmed at 'Dsf/RE10%';
--Class B4 (CUSIP 124860CL9) affirmed at 'Dsf/RE0%';
--Class B5 (CUSIP 124860CM7) affirmed at 'Dsf/RE0%'.
The Re-REMIC rating actions reflect revised expected loss assumptions from Fitch's recently released prime and non-prime loan loss models as well as recently enhanced cash flow assumptions.
Fitch ran cash flow analysis on the Re-REMIC to determine the percent of principal and interest recovery in the 'Bsf-AAAsf' rating stresses. For Fitch rated underlying transactions, the same projected base-case and rating-stressed loss and cash flow assumptions that were used for the underlying transaction analysis were used for the Re-REMIC analysis. For underlying transactions that were not rated by Fitch, Fitch projected the base-case and rating-stressed loss and cash flow assumptions using sector and vintage average assumptions. In addition, Fitch assumed 100% expected loss on all underlying transactions with less than five remaining loans. For further information on the analysis that was run on the underlying transactions please refer to the applicable criteria and related research listed below.
Following a review of Re-REMIC cash flows, Fitch either affirmed or downgraded the Re-REMIC classes based on each bond's principal and interest recovery in the 'Bsf-AAAsf' stressed scenarios.
These actions were reviewed by a committee of Fitch analysts.
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria and Related Research:
--'U.S. RMBS Surveillance Criteria' (Oct. 11, 2012);
--'U.S. Residential Mortgage Re-REMIC Criteria' (Aug. 10, 2012);
--'U.S. RMBS Loan Loss Model Criteria' (Aug. 10, 2012);
--'Structured Finance Recovery Estimates for Distressed Securities' (Nov. 18, 2011);
--'Counterparty Criteria for Structured Finance Transactions' (May 30, 2012);
--'Criteria for Interest Rate Stresses in Structured Finance Transactions' (March 20, 2012);
--'U.S. Prime Pre-2005 RMBS: Not What It Used to Be' (Sep. 6, 2012);
--'Fitch Takes Various Rating Actions on 144 U.S. RMBS Scratch & Dent Transactions' (Nov. 16, 2012).