2008-08-22 23:47:01 -

- Fitch has downgraded and removed from Rating Watch Negative five classes of notes issued by C-BASS CBO XIX Ltd. (C-BASS XIX). These rating actions are the result of Fitch's review process and are effective immediately:

--$277,495,224 Class A-1 Notes downgraded to 'CCC' from 'BBB-' and removed from Rating Watch Negative;

--$100,000,000 Class A-2 Notes downgraded to 'CC' from 'BB' and removed from Rating Watch Negative;

--$42,000,000 Class B Notes downgraded to 'CC' from 'B+' and removed from Rating Watch Negative;

--$23,000,000 Class C Notes downgraded to 'C' from 'B-' and removed from Rating Watch Negative;

--$9,960,000.00 Class D Notes downgraded to 'C' from 'CCC' and removed from Rating Watch Negative.

Fitch's rating actions

reflect the collateral deterioration within the portfolio, specifically subprime residential mortgage backed securities (RMBS), and structured finance (SF) collateralized debt obligations (CDO) with underlying exposure to subprime RMBS.

C-BASS XIX is a static CDO, which closed on June 28, 2007 and is managed by C-BASS Investment Management LLC. Presently, 75.1% of the portfolio is comprised of 2005, 2006 and 2007 vintage U.S. subprime RMBS, 10.9% is comprised of 2005, 2006, and 2007 vintage U.S. Alternative-A RMBS, and 3.7% consists of 2006, and 2007 vintage U.S. SF CDOs. Additionally, 4.3% of the portfolio is comprised of prime RMBS and 4.1% of the portfolio consists of commercial asset-backed securities (ABS).

Since the last rating action in November 2007, 62.6% of the portfolio has been downgraded with an additional 19.8% of the portfolio currently on Rating Watch Negative. Approximately 69% of the portfolio is now rated below investment grade, of which 60.1% is rated 'CCC+' or below. As per the latest trustee report dated July 31, 2008, defaulted and deferred interest payment in kind securities constituted 29%, or $142.3 million, of the portfolio total. The negative credit migration experienced since the last review has resulted in the Weighted Average Rating Factor deteriorating to 'B+' as of the last trustee report from 'BBB/BBB-'during the last review, breaching its covenant of 'BB/BB-'.

The collateral deterioration has caused each of the overcollateralization (OC) and interest coverage (IC) ratios to fall below their respective trigger levels. As of the latest trustee report, the Class A/B OC ratio was 84.6%, the Class C OC ratio was 80.0%, and the Class D OC ratio was 78.2% versus triggers of 110.21%, 105.41%, and 104.07%, respectively. The Class A/B IC ratio was 73.0%, the Class C IC ratio was 67.1%, and the Class D IC ratio was 63.6% versus triggers of 110.0%, 109.0%, and 102.0%, respectively.

At present, the transaction continues to make scheduled quarterly interest distributions to the class A-1, A-2, and B notes. Pursuant to the indenture, interest payments received from assets that are deemed to be defaulted based on their current rating are treated as principal proceeds. As a result, on the July 7, 2008 payment date, a portion of the interest distribution to the class B notes was made using principal proceeds. Fitch expects only the class A-1 notes to receive future principal distributions. The class A-2 and B notes have little prospect of any principal recovery. The class C and D notes are currently not receiving any interest or principal payments. Fitch does not expect these classes to receive any payments in the future.

The ratings on the class A-1, A-2, 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 of principal as per the transaction's governing documents. The ratings are based upon the capital structure of the transaction, the quality of the collateral, and the protections incorporated within the structure.

Fitch is reviewing its SF CDO approach and will comment separately on any changes and potential rating impact at a later date.

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.

Fitch Ratings
Brian Vorderbrueggen, +1-212-908-9102 (New York)
Alina Pak, +1-312-368-3184 (Chicago)
Julian Dennison, +44 020 7682 7480
(Media Relations, London)
Sandro Scenga, +1-212-908-0278
(Media Relations, New York)