SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-K
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
(Mark One)
[ x] Annual Report Pursuant to Section 13 or 15(d) of the Securities
Exchange Act of 1934
For the fiscal year ended DECEMBER 31, 2002
or
[ ] Transition Report Pursuant to Section 13 or 15d of the Securities
Exchange Act of 1934
For the transition period from _____________ to ________
Commission file Number 333-90830-01
ASSET BACKED FUNDING CORPORATION
(Exact name of registrant as specified in its charter)
Delaware 75-2533468
(State or other jurisdiction (I.R.S. Employer
of incorporation or organization) Identification No.)
100 North Tryon St.
Charlotte, NC 28255
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code: 704-386-2400
C-Bass Mortgage Loan Asset-Backed Certificates
Series 2002-CB5
(Title of each class of securities covered by this Form)
Securities registered pursuant to Section 12(b) of the Act: NONE
Securities registered pursuant to Section 12(g) of the Act: NONE
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Act of 1934
during the preceding 12 months (or for such shorter period that the registrant
was required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.
Yes X - No *
* The closing date for the transaction was 11/6/02
PART I
Item 1. Business
Not applicable.
Item 2. Properties
Not applicable on reliance of Relief Letters
Item 3. Legal Proceedings
There were no legal proceedings.
Item 4. Submission of Matters to a Vote of Security Holders
There were no matters submitted to a vote of the Security Holders.
PART II
Item 5. Market for Registrant's Common Equity and Related Stockholder matters
There is no established public trading market for the notes.
Below are the number of Noteholders or Certificateholders
of record as of the end of the reporting year.
C-Bass Mortgage Loan Asset-Backed Certificates
Series 2002-CB5 Class AV-1 3
Series 2002-CB5 Class AV-2 1
Series 2002-CB5 Class AF-1 22
Series 2002-CB5 Class AF-2 2
Series 2002-CB5 Class AF-3 2
Series 2002-CB5 Class M-1 2
Series 2002-CB5 Class M-2 3
Series 2002-CB5 Class B-1 2
Series 2002-CB5 Class B-2 1
Series 2002-CB5 Class B-3 1
Series 2002-CB5 Class A-IO* 1
Series 2002-CB5 Class N* 1
Series 2002-CB5 Class X 1
Item 6. Selected Financial Data.
Not applicable.
Item 7. Management's Discussion and Analysis of Financial Condition and
Results of Operations.
Not applicable.
Item 8. Financial Statements and Supplementary Data.
Not applicable.
Item 9. Changes in and Disagreements with Accountants on Accounting and
Not applicable.
PART III
Item 10. Directors and Executive Officers of the Registrant
Not applicable.
Item 11. Executive Compensation
Not applicable.
Item 12. Security Ownership of Certain Beneficial Owners and Management
Not applicable.
Item 13. Certain Relationships and Related Transactions.
Not applicable.
PART IV
Item 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K
(a) 1. Not Applicable
2. Not Applicable
3. Exhibits
99.1 Annual Summary Statement
99.2 Annual Statement as to Compliance.
99.3 Annual Independent Public
Accountant's Servicing Report.
99.4 Management Assertation on USAP
(b) Reports on Form 8-K
The registrant has filed Current Reports on Form 8-K with the
Securities and Exchange Commission dated:
November 25, 2002; December 26, 2002
(c) See (a) 3 above
(d) Not Applicable
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be
signed on its behalf by the undersigned thereunto duly authorized.
Litton Loan Servicing LLP
/s/ Larry B. Litton, Sr.
Name: Larry B. Litton, Sr.
Title: President & CEO
Date: March 14, 2003
Sarbanes-Oxley Certification
I, Larry B.Litton, Sr., President & CEO, certify that:
1. I have reviewed this annual report on Form 10-K, and all reports on Form 8-K
containing distribution or servicing reports filed in respect of periods
included in the year covered by this annual report, of
C-Bass Mortgage Loan Asset-Backed Certificates
Series 2002-CB5
2. Based on my knowledge, the information in these reports, taken as a whole,
does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the
circumstances under which such statements were made, not misleading
as of the last day of the period covered by this annual report;
3. Based on my knowledge, the distribution or servicing information required
to be provided to the trustee by the servicer under the pooling and servicing,
or similar, agreement, for inclusion in these reports is included
in these reports;
4. I am responsible for reviewing the activities performed by the servicer
under the pooling and servicing, or similar, agreement and based upon my
knowledge and the annual compliance review required under that agreement,
and except as disclosed in the reports, the servicer has fulfilled its
obligations under that agreement; and
5. The reports disclose all significant deficiencies relating to the servicer's
compliance with the minimum servicing standards based upon the report
provided by an independent public accountant, after conducting a review
in compliance with the Uniform Single Attestation Program for Mortgage
Bankers or similar procedure, as set forth in the pooling and servicing,
or similar, agreement, that is included in these reports.
In giving the certifications above, I have reasonably relied on information
provided to me by the following unaffiliated parties:
U.S. Bank, National Association, as Trustee
Date: March 14, 2003
Signature: /s/ Larry B. Litton, Sr.
Larry B. Litton, Sr.
Company: Litton Loan Servicing LP
Title: President & CEO
EXHIBIT INDEX
Exhibit NumberDescription
99.1 Annual Summary Statement
99.2 Annual Statement of Compliance
99.3 Report of Independent Accountants
99.4 Management Assertion on USAP
EXHIBIT 99.1 -- Summary of Aggregate Amounts or End of Year
Amounts for the period ending December 31, 2002
C-Bass Mortgage Loan Asset-Backed Certificates
Series 2002-CB5
STATEMENT TO CERTIFICATEHOLDERS
Class Cusip Beg Bal Prin
AV-1 12489WFQ2 67,565,000 2,457,027
AV-2 12489WFW9 16,500,000 0
AF-1 12489WFM1 45,000,000 4,551,373
AF-2 12489WFN9 24,200,000 0
AF-3 12489WFP4 18,922,000 0
M-1 12489WFS8 11,410,000 0
M-2 12489WFT6 9,854,000 0
B-1 12489WFU3 9,335,000 0
B-2 12489WFV1 2,074,000 0
B-3 12489WFX7 2,593,000 0
A-IO* 12489WFR0 162,000,000 0
N* NA 6,700,000 729,811
X NA N/A 0
*Notional
Class Int Total Losses End Bal
AV-1 158,595 2,615,622 0 65,107,973
AV-2 47,748 47,748 0 16,500,000
AF-1 103,530 4,654,903 0 40,448,627
AF-2 147,620 147,620 0 24,200,000
AF-3 170,298 170,298 0 18,922,000
M-1 38,882 38,882 0 11,410,000
M-2 47,676 47,676 0 9,854,000
B-1 58,130 58,130 0 9,335,000
B-2 15,796 15,796 0 2,074,000
B-3 19,748 19,748 0 2,593,000
A-IO* 717,292 717,292 0 142,000,000
N* 92,302 822,113 0 5,970,189
X 0 0 0 N/A
AMOUNTS PER $1,000 UNIT
Class Principal Interest Total
AV-1 36.36537971 2.34729535 38.71267505
AV-2 0.00000000 2.89381939 2.89381939
AF-1 101.14161978 2.30067333 103.44229311
AF-2 0.00000000 6.10000000 6.10000000
AF-3 0.00000000 9.00000000 9.00000000
M-1 0.00000000 3.40770815 3.40770815
M-2 0.00000000 4.83826365 4.83826365
B-1 0.00000000 6.22715265 6.22715265
B-2 0.00000000 7.61604147 7.61604147
B-3 0.00000000 7.61603934 7.61603934
A-IO 0.00000000 4.42772840 4.42772840
N 108.92700597 13.77643284 122.70343881
X 0.00000000 0.00000000 0.00000000
Remaining
Class Losses Int Carryover End Bal Rate
AV-1 0.00000000 0.00000000 963.63462029 1.60000%
AV-2 0.00000000 0.00000000 1000.00000000 1.98000%
AF-1 0.00000000 0.00000000 898.85838022 1.58000%
AF-2 0.00000000 0.00000000 1000.00000000 3.66000%
AF-3 0.00000000 0.00000000 1000.00000000 5.40000%
M-1 0.00000000 0.00000000 1000.00000000 2.35000%
M-2 0.00000000 0.00000000 1000.00000000 3.38000%
B-1 0.00000000 0.00000000 1000.00000000 4.38000%
B-2 0.00000000 0.00000000 1000.00000000 5.38000%
B-3 0.00000000 0.00000000 1000.00000000 5.38000%
A-IO 0.00000000 0.00000000 876.54320988 2.75000%
N 0.00000000 0.00000000 891.07299403 8.50000%
X 0.00000000 0.00000000 0.00000000 NA
Interest
Class Interest Carryover Remain Int
Class Shortfalls Carryover Amt
AV-1 0 0
AV-2 0 0
AF-1 0 0
AF-2 0 0
AF-3 0 0
M-1 0 0
M-2 0 0
B-1 0 0
B-2 0 0
B-3 0 0
A-IO 0 0
N 0 0
X 0 0
Total 0 0
Reduction from the Allocation of:
Class Realized Losses PPIS RAIS
AV-1 0 0 0
AV-2 0 0 0
AF-1 0 0 0
AF-2 0 0 0
AF-3 0 0 0
M-1 0 0 0
M-2 0 0 0
B-1 0 0 0
B-2 0 0 0
B-3 0 0 0
A-IO 0 0 0
N 0 0 0
X 0 0 0
Total 0 0 0
Overcollateralization Amount (before distributions) 176
Overcollateralization Release Amount 0
Overcollateralization Deficiency (after distributions) 268,191
Overcollateralization Target Amount 1,037,265
Overcollateralization Amount (after distributions) 769,075
Amount of Excess Interest 1,537,797
Amount of Excess Cashflow 1,537,797
Servicing Fees Group 1 Group 2 Total
Servicing Fees 87,970 83,998 171,968
Accrued & Unpaid Special Serv. Fee 0 0 0
Special Servicing Fees 3,450 2,100 5,550
Advances 234,791
Ending Pool Balance 102,211,254 99,002,420 201,213,675
Loan Count 1237 800 2037
Wt'd avg Rem Term 290 338 314
Wt'd avg Mortage Rate 9.36639% 9.47052% 9.41763%
viii) Delinquency And Foreclosure Information:
Group 1 All Categories Bankruptcy
Number Balance Number Balance
Current 1,073 89,559,659 0 0
30 days delq: 101 7,946,202 9 648,948
60 days delq: 42 2,603,131 3 479,105
90+ days delq: 21 2,102,262 2 201,563
Foreclosure
Number Balance
Current 0 0
30 days delq: 0 0
60 days delq: 1 129,658
90+ days delq: 3 460,631
Group 2 All Categories Bankruptcy
Number Balance Number Balance
Current 685 85,675,366 0 0
30 days delq: 75 7,845,787 5 387,640
60 days delq: 26 3,863,688 1 187,976
90+ days delq: 14 1,617,580 2 314,993
120+ days delq: 0 0 0 0
Foreclosure
Number Balance
Current 0 0
30 days delinquent: 0 0
60 days delinquent: 0 0
90 days delinquent: 0 0
120+ days delinquent: 0 0
Loans that became REO properties
Total Book Value of REO Properties:
Loan Num Unpaid Prin. Bal Sched Bal Book Value
0 0 0 0
Group 1 Group 2 Total
Prepayments 3,816,392 2,040,083 5,856,476
Aggregate Prepayment Penalties 58,764.47
Prepayment Penalties allocable to Classes N and X 58,764.47
Group 1 Group 2 Total
Cumulative Realized Losses 0 0 0
Prepayment Interest Shortfall not covered by the servicer
0 0 0
Trustee Fees 2,292 2,184 4,476
Cap Carryover Amounts LIBOR Carryover Amounts
Distribuiont Amt. Remaining Distribution Amounts Remaining
AV-1 0 0 0 0
AF-1 0 0 0 0
AF-2 0 0 0 0
AF-3 0 0 0 0
AF-4 0 0 0 0
M-1 0 0 0 0
M-2 0 0 0 0
B-1 0 0 0 0
B-2 0 0 0 0
Overcollateralization Deficiency (after distribution) 268,191
Has Trigger Event has occurred? NO
Cummulative Realized Losses Percentage 0.00000%
Available Funds Group 1 Group 2 Total
Scheduled Int. Net of Serv. Fees 1,558,489 1,509,099 3,067,589
Scheduled Principal 253,484 129,542 383,025
Unscheduled Principal 3,816,392 2,040,083 5,856,476
Available Funds 5,628,366 3,678,724 9,307,090
Liquidation Report
Loan Num Unpaid Prin. Bal Sch. Principal Liq. Proceeds Losses
0 0 0 0 0
Mortgage Loans Purchased by Servicer 0
Mortgage Loans Re-Purchased by Servicer 0
EXHIBIT 99.2 -- Servicer's Annual Statement of Compliance
Litton Loan Servicing LP.
An Affiliate of C-BASS
4828 Loop Central Drive
Houston, TX 77081
Telephone (713) 960-9676
Fax (713) 960-0539
March 12, 2003
Structured Finance, C-BASS 2002-5
US Bank National Association
180 East Fifth Street
St. Paul, MN 55101
RE: Asset Backed Certificates Series 2002-CB5
To Whom it May Concern:
The undersigned officer of Litton Loan Servicing LP provides the
Annual Statement as to Compliance as required by the Pooling and
Servicing Agreement for the above referenced security and certifies
that (i) a review of the activities of the Servicer during such
preceding fiscal year (or such shorter period in the case of the
first such report)and of performance under this Agreement has
been made under my supervision, and (ii) to the best of my
knowledge, based on such review, the Servicer has fulfilled
all its obligations under this Agreement for 2002.
Sincerely,
/s/ Janice McClure
Janice McClure
Senior Vice President
Litton Loan Servicing, LLP
EXHIBIT 99.3 -- Report of Independent Auditors
Deloitte & Touche LLP
Suite 2300
333 Clay Street
Houston, TX 77002-4196
Tel.(713) 982-2000
Fax (713) 982-2001
www.deloitte.com
Independent Auditors' Report
To the Partners of Litton Loan Servicing LP:
We have examined management's assertion about Litton Loan
Servicing LP's (the "Company") compliance with the minimum
servicing standards identified in the Mortgage Bankers
Association of America's Uniform Single Attestation Program
for Mortgage Bankers as of and for the year ended December 31,
2002, included in the accompanying management assertion.
Management is responsible for the Company's compliance with
those minimum servicing standards. Our responsibility is to
express an opinion on management's assertion about the
Company's compliance based on our examination.
Our examination was made in accordance with standards
established by the American Institute of Certified Public
Accountants and accordingly, included examining, on a test
basis, evidence about the Company's compliance with minimum
servicing standards and performing such other procedures
as we considered necessary in the circumstances.
We believe that our examination provides a reasonable
basis for our opinion. Our examination does not provide
a legal determination of the Company's compliance
with the minimum servicing standards.
In our opinion, management's assertion that the Company
complied with the aforementioned minimum servicing
standards as of and for the year ended December 31, 2002
is fairly stated, in all material respects.
/s/ Deloitte & Touche
January 10, 2003
99.4 Management Assertion on USAP
Litton Loan Servicing LP
An Affiliate of C-Bass
4828 Loop Central Drive, Suite 600
Houston, TX 77081
Telephone (713) 960-9676
Fax (713) 966-8830
January 10, 2003
As of December 31, 2002, Litton Loan Servicing LP
(the Company) has complied in all material respects with
the minimum servicing standards set forth in the Mortgage
Bankers Association of America's Uniform Single Attestation
Program for Mortgage Bankers. As of and for this same
period, Litton Loan Servicing LP had in effect a fidelity
bond in the amount of $15,000,000 and an errors and
omissions policy in the amount of $15,000,000.
In January 2003, the Company identified certain custodial
accounts that had not been reconciled timely during the
year ended December 31, 2002. Upon notification of this
issue, management immediately began an effort to bring these
custodial accounts current. The Company has currently
reconciled all custodial accounts, and has implemented
controls to ensure the timely and accurate reconciliation
of custodial accounts.
\s\ Larry B. Litton
Larry B. Litton
President & CEO
\s\ Janice McClure
Janice McClure
Senior Vice President