Fitch Dwngrs & Removes from Watch Negative 4 classes of C-BASS CBO XVII LTD.

NEW YORK--(BUSINESS WIRE)--Fitch downgrades and removes from Rating Watch Negative four classes of notes issued by C-BASS CBO XVII LTD. (C-BASS XVII). The following rating actions are effective immediately:

--$339,733,690 class A to 'CCC' from 'BBB',;

--$26,500,000 class B to 'CC' from 'BBB-';

--$29,000,000 class C to 'C' from 'BB';

--$12,180,000 class D to 'C' from 'B+''.

C-BASS XVII is a structured finance (SF) collateralized debt obligation (CDO) that closed on Oct. 17, 2006 and is managed by C-BASS Investment Management, LLC. As of the trustee report dated June 27, 2008, approximately 72.8% of the portfolio was comprised of 2005 and 2006 vintage U.S. subprime residential mortgage-backed securities (RMBS), 13.4% consists of 2005-2007 vintage U.S. Alternative-A (Alt-A) RMBS, while the remaining portfolio consists of asset backed securities (ABS) and other structured finance assets (8.8% and 5%, respectively).

Fitch's rating actions reflect the significant collateral deterioration within the portfolio, specifically with regard to subprime RMBS and Alt-A RMBS. Since the review in November 2007, approximately 62% of the portfolio has been downgraded to ratings of 'CCC+' or lower. The negative credit migration experienced since closing has resulted in the Fitch Weighted Average Rating Factor deteriorating to 36.76 as of the June 27, 2008 trustee report, breaching its covenant of 5.00.

The credit deterioration that has occurred to date is such that almost all of the credit support to all of the rated classes of notes is comprised of assets rated 'CCC+' or lower. Due to the current state of the portfolio, it is expected that the class A notes may receive some future principal distributions, while no further principal distributions are expected for all of the other rated classes. The class A and B notes are expected to continue to receive interest given that they are timely classes, while the class C and D notes are currently not receiving interest or principal payments due to coverage test failures.

The ratings of the class A and B notes address the timely receipt of scheduled interest payments and the ultimate receipt of principal as per the transaction's governing documents. The ratings on the class C and D notes address the ultimate receipt of interest payments and ultimate receipt of principal as per the transaction's governing documents.

Fitch will continue to monitor and review this transaction for future rating adjustments. Additional transaction information and historical data are available on the Fitch Ratings web site at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.