Fitch Downgrades 10 & Affirms 1 Class of U.S. RMBS Re-REMIC Deal C-Bass 1999-3

Fitch Ratings has taken various rating actions on the C-Bass 1999-3 RMBS resecuritization trust (Re-REMIC) as a result of actions taken on the underlying classes, some of which have taken losses. The affected trust represents a beneficial ownership interest in a separate trust fund, which includes bonds that have been affirmed, assigned a Negative Rating Outlook or downgraded.

Fitch has taken the following actions on the C-Bass 1999-3 Re-Remic transaction:

--Class A (cusip 124860CB1) downgraded to 'BBB' from 'AA'; assigned Outlook Negative;

--Class M1 (cusip 124860CC9) downgraded to 'BB' from 'A-'; assigned Outlook Negative;

--Class M2 (cusip 124860CD7) downgraded to 'BB' from 'BBB'; assigned Outlook Negative;

--Class M3 (cusip 124860CE5) downgraded to 'BB' from 'BBB'; assigned Outlook Negative;

--Class M4 (cusip 124860CF2) downgraded to 'CCC/RR2' from 'BB';

--Class M5 (cusip 124860CG0) downgraded to 'CCC/RR2' from 'BB+';

--Class B1 (cusip 124860CH8) downgraded to 'CCC/RR2' from 'BB-';

--Class B2 (cusip 124860CJ4) Recovery Rating (RR) revised to 'CCC/RR3' from 'CCC/DR1';

--Class B3 (cusip 124860CK1) downgraded to 'D/RR4' from 'CC/DR3';

--Class B4 (cusip 124860CL9) affirmed at 'D/RR6';

--Class B5 (cusip 124860CM7) downgraded to 'D/RR6' from 'B-'.

The underlying deals consist of:

Wisconsin Avenue Securities Trust 1998-W2

--Class B4 (cusip 31359UPK5);

--Class B5 (cusip 31359UPL3);

Wisconsin Avenue Securities Trust 1998-W3

--Class B4 (cusip 31359UPZ2);

Wisconsin Avenue Securities Trust 1998-W5

--Class B4 (cusip 31359UWH4);

--Class B5 (cusip 31359UWJ0);

Golden National Mortgage Loan Asset Backed Cert. 1998-GN3

--Class M1 (cusip 589929SF6);

--Class M2 (cusip 589929SG4);

Prudential Home Mortgage Securities Inc. 1992-A

--Class B2_4 (cusip 743948H4);

--Class B3_1 (cusip 743948AR2);

--Class B3_2 (cusip 743948AJ0);

--Class B3_3 (cusip 743948AK7);

--Class B3_4 (cusip 743948AL5).

To review ratings on the Re-REMIC transactions, Fitch first determined each collateral pool's group level projected base-case and rating stressed default and loss severity assumptions for the underlying transactions. Fitch uses a proprietary loan-level loss model as described in its May 7, 2009 report 'ResiLogic: U.S. Residential Mortgage Loss Model Criteria'.

After determining each underlying pools' projected base-case and stressed scenario loss assumptions, Fitch performs cash flow analysis to ascertain the amount of collateral loss that the Re-REMIC transaction takes in the 'AAA-B' rating stresses. Fitch's cash flow assumptions are described in the reports 'U.S. Prime RMBS Surveillance Criteria' (March 30, 2009) and 'U.S. RMBS Alt-A Surveillance Criteria' (Dec. 15, 2008). Fitch's Cash flow Criteria is described in 'U.S RMBS Cash Flow Analysis Criteria' published on Aug. 20, 2009.

Following a review of Re-REMIC cash flows, Fitch took various rating actions on the Re-REMIC classes, which included affirmations, downgrades, Rating Outlook revisions and RR revisions based on Fitch's Aug. 20, 2009 report, 'U.S. Residential Mortgage Re-REMIC Criteria'.

In addition to the long-term credit rating on each rated class, Fitch has also assigned or revised approximately 115 RRs on bonds expected to incur impairment. Fitch assigned an 'RR2' rating to the majority of Re-REMIC classes that are currently rated below 'B', implying a discounted projected cash flow of 70%-90% of the current par amount. The methodology used to assign RRs is described in Fitch's Aug. 17, 2009 report 'Criteria for Structured Finance Recovery Ratings' and Fitch's Dec. 16, 2009 report 'Criteria for Recovery Ratings'.

Additional details are available in the following research, also available at 'www.fitchratings.com':

--'Global Structured Finance Rating Criteria' (Sept. 30, 2009).

--'U.S. Residential Mortgage Re-REMIC Criteria' (Aug. 20, 2009);

--'U.S RMBS Cash Flow Analysis Criteria' (Aug. 20, 2009);

--'U.S. Prime RMBS Surveillance Criteria' (March 30, 2009);

--'U.S. Prime RMBS: Performance Update' (March 23, 2009);

--'ResiLogic: U.S. Residential Mortgage Loss Model Criteria' (May 7, 2009)

--'U.S. RMBS Alt-A Surveillance Criteria' (Dec. 15, 2008).

--'U.S. RMBS Rating Criteria' (Dec. 03, 2009).

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

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Contacts:

Fitch Ratings, New York
Grant Bailey, [phone]
Tara Sweeney, [phone]
Sandro Scenga, [phone] (Media Relations)
[e-mail]