Fitch Upgrades 1 Class of C-BASS CBO VII

CHICAGO--()--Fitch Ratings has upgraded one class issued by C-BASS CBO VII, Ltd./CORP. (C-BASS VII) as follows:

--$10,430,444 class D notes upgraded to 'BBsf' from 'CCCsf'.

Fitch has also assigned a Stable Outlook to the class D notes.

The class C notes paid in full on May 12, 2014. Prior to Fitch's last annual review the class A and B notes were paid in full.

KEY RATING DRIVERS

The upgrade of the class D notes is attributed to the increased credit enhancement (CE) available following the transaction's deleveraging over the last year. After the full repayment of principal to the class C notes, the class D notes received approximately $4.1 million or 28.4% of their previous balance. The CE to the notes has subsequently increased to 76.9% from 59.3%. According to Fitch's Structured Finance Portfolio Credit Model (SF PCM) analysis, the class is now able to withstand losses projected at the 'BBsf' rating stress.

The Outlook reflects Fitch's expectation of stable performance until the notes are paid in full.

RATING SENSITIVITIES

The class D notes have limited rating sensitivity given the substantial CE available and the likelihood for the tranche to fully amortize within the next two years.

C-BASS VII is a cash flow structured finance collateralized debt obligation that closed on July 30, 2003. The portfolio is currently comprised of residential mortgage-backed securities (81.8%), commercial and consumer asset-backed securities (16.5%), and SF CDOs (1.7%) from 1998 through 2003 vintage transactions.

This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the SF PCM for projecting future default levels for the underlying portfolio. The cash flow model framework was not used to analyze the transaction given the note's short remaining life and the expectation of limited excess spread in the near term.

Contact:

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 20, 2014);

--'Global Rating Criteria for Structured Finance CDOs' (Sept. 12, 2013);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014);

--'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions' (June 12, 2013).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=718027

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709840

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=831383

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Contacts

Fitch Ratings
Primary Surveillance Analyst
Geoffrey Ostosh, +1-312-368-2072
Analyst
Fitch Ratings, Inc.
70 W. Madison Street
Chicago, IL 60602
or
Committee Chairperson
Alina Pak, CFA, +1-312-368-3184
Senior Director
or
Media Relations, New York
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com

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Contacts

Fitch Ratings
Primary Surveillance Analyst
Geoffrey Ostosh, +1-312-368-2072
Analyst
Fitch Ratings, Inc.
70 W. Madison Street
Chicago, IL 60602
or
Committee Chairperson
Alina Pak, CFA, +1-312-368-3184
Senior Director
or
Media Relations, New York
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com