SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(D) OF THE
SECURITIES EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported) : July 25, 2000
ASSET BACKED FUNDING CORPORATION, (as depositor under the Pooling and
Servicing Agreement, dated May 1, 2000, providing for the issuance of C-BASS
2000-CB2 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series
2000-CB2).
ASSET BACKED FUNDING CORPORATION
(Exact name of registrant as specified in its charter)
Delaware 333-32857-03 75-2533468
(State or other (Commission File Number) (IRS Employer
jurisdiction of Identification No.)
incorporation)
100 North Tryon Street
Charlotte, North Carolina 28255
(Address pof principal executive offices) (Zip Code)
Registrant's telephone number, including area code : (704) 386-2400
N/A
(Former name or former address, if changed since last report.)
Item 5. Other Events.
This report and the attached exhibits are being filed pursuant to
"no-action" positions taken by the Securities and Exchange Commission with
respect to alternative means of satisfying the Registrant's reporting
obligations under the Securities Exchange Act of 1934, as amended, with respect
to the Registrant's C-BASS 2000-CB2 Trust, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2000-CB2 (the "Certificates"). The Certificates were
issued, and this report and exhibit is being filed, pursuant to the terms of the
Pooling and Servicing Agreement, dated as of May 1, 2000 ( the "Agreement"),
among Asset Backed Funding Corp., as Depositor, Credit-Based Asset Servicing and
Securitization LLC, as Seller, Litton Loan Servicing LP, as Servicer, and The
Chase Manhattan Bank, as Trustee. On July 25, 2000, August 25, 2000, and
September 25, 2000 distributions were made to the Certificateholders. Specific
information with respect to these distributions are filed as Exhibits 99.1,
99.2, and 99.3. No other reportable transactions or matters have occurred during
the current reporting period.
Item 7. Financial Statements and Exhibits.
(a) Not applicable
(b) Not applicable
(c) The following exhibits are filed as part of this report:
Statement to Certificateholders on July 25, 2000,
as Exhibit 99.1.
Statement to Certificateholders on August 25, 2000,
as Exhibit 99.2.
Statement to Certificateholders on September 25, 2000,
as Exhibit 99.3.
-2-
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
THE CHASE MANHATTAN BANK,
not in its individual capacity but solely
as Trustee under the Agreement referred
to herein
Date: December 11, 2000 By: /s/ Karen Dobres
Karen Dobres
Trust Officer
-3-
INDEX TO EXHIBITS
Exhibit
Number Description of Exhibits
99.1 Statement to Certificateholders
July 25, 2000
99.2 Statement to Certificateholders
August 25, 2000
99.3 Statement to Certificateholders
September 25, 2000
-4-
Exhibit 99.1
Statement to Certificateholders
July 25, 2000
-5-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
STATEMENT TO CERTIFICATEHOLDERS
July 25, 2000
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTION IN DOLLARS
- -----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL PRIOR CURRENT
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
- ----------------------------------------------------------------------------------------------------------------------------------
T11 317,509,303.29 317,509,303.29 0.00 0.00 0.00 0.00 0.00 317,509,303.29
T12 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T13 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T14 15,816,487.26 15,816,487.26 0.00 0.00 0.00 0.00 0.00 15,816,487.26
T15 1,910,699.56 1,910,699.56 0.00 0.00 0.00 0.00 0.00 1,910,699.56
T16 1,525,648.80 1,525,648.80 0.00 0.00 0.00 0.00 0.00 1,525,648.80
T22 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T23 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T24 15,816,487.26 15,816,487.26 0.00 0.00 0.00 0.00 0.00 15,816,487.26
T25 1,910,699.56 1,910,699.56 0.00 0.00 0.00 0.00 0.00 1,910,699.56
- ----------------------------------------------------------------------------------------------------------------------------------
TOTALS 367,464,605.73 367,464,605.73 0.00 0.00 0.00 0.00 0.00 367,464,605.73
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------- -------------------------------------
FACTOR INFORMATION PER $1,000 OF ORIGINAL FACE PASS-THROUGH RATES
- ----------------------------------------------------------------------------------------- -------------------------------------
PRIOR CURRENT CURRENT
PRINCIPAL PRINCIPAL PASS-THRU
CLASS FACTOR PRINCIPAL INTEREST TOTAL FACTOR CLASS RATE
- ------------------------------------------------------------------------------------------- ------------------------------------
T11 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T11 9.318000%
T12 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T12 9.318000%
T13 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T13 9.318000%
T14 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T14 9.318000%
T15 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T15 9.318000%
T16 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T16 9.318000%
T22 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T22 9.318000%
T23 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T23 9.318000%
T24 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T24 9.318000%
T25 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T25 9.295000%
- -------------------------------------------------------------------------------------------
TOTALS 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000
- -------------------------------------------------------------------------------------------
If there are any questions or problems with this statement, please contact the Administrator listed below:
---------------------------------------
KAREN DOBRES
THE CHASE MANHATTAN BANK - STRUCTURED FINANCE SERVICES
450 WEST 33RD STREET, 14TH FLOOR
NEW YORK, NEW YORK 10001
TEL: 212/946-3232
Email: karen.dobres@chase.com
---------------------------------------
-6-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
July 25, 2000
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTION IN DOLLARS
- -----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL PRIOR CURRENT
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
- ----------------------------------------------------------------------------------------------------------------------------------
A1F 76,500,000.00 75,597,276.79 2,137,115.62 418,444.05 2,555,559.67 0.00 0.00 73,460,161.17
A2F 40,303,000.00 40,303,000.00 0.00 278,762.42 278,762.42 0.00 0.00 40,303,000.00
A1A 152,564,000.00 150,829,144.39 1,257,674.49 857,950.74 2,115,625.23 0.00 0.00 149,571,469.90
M1 18,800,000.00 18,800,000.00 0.00 136,613.33 136,613.33 0.00 0.00 18,800,000.00
M2 21,274,000.00 21,274,000.00 0.00 154,591.07 154,591.07 0.00 0.00 21,274,000.00
B 14,950,000.00 14,950,000.00 0.00 108,636.67 108,636.67 0.00 0.00 14,950,000.00
R2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
TOTALS 324,391,000.00 321,753,421.18 3,394,790.11 1,954,998.28 5,349,788.39 0.00 0.00 318,358,631.07
N 14,300,000.00 13,252,533.60 0.00 625,147.65 625,147.65 0.00 0.00 12,715,736.18
X 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------- -------------------------------------
FACTOR INFORMATION PER $1,000 OF ORIGINAL FACE PASS-THROUGH RATES
- ----------------------------------------------------------------------------------------- -------------------------------------
PRIOR CURRENT CURRENT
PRINCIPAL PRINCIPAL PASS-THRU
CLASS FACTOR PRINCIPAL INTEREST TOTAL FACTOR CLASS RATE
- ------------------------------------------------------------------------------------------- ------------------------------------
A1F 988.19969660 27.93615190 5.46985686 33.40600876 960.26354471 A1F 6.871250
A2F 1,000.00000000 0.00000000 6.91666675 6.91666675 1,000.00000000 A2F 8.300000
A1A 988.62866987 8.24358623 5.62354645 13.86713268 980.38508364 A1A 7.061250
M1 1,000.00000000 0.00000000 7.26666649 7.26666649 1,000.00000000 M1 8.720000
M2 1,000.00000000 0.00000000 7.26666682 7.26666682 1,000.00000000 M2 8.720000
B 1,000.00000000 0.00000000 7.26666689 7.26666689 1,000.00000000 B 8.720000
TOTALS 991.86913687 10.46511805 6.02667238 16.49179043 981.40401882
N 926.75060140 0.00000000 43.71661888 43.71661888 889.21232028 N 8.000000
- ------------------------------------------------------------------------------------------ ------------------------------------
If there are any questions or problems with this statement, please contact the Administrator listed below:
---------------------------------------
KAREN DOBRES
THE CHASE MANHATTAN BANK - STRUCTURED FINANCE SERVICES
450 WEST 33RD STREET, 14TH FLOOR
NEW YORK, NEW YORK 10001
TEL: 212/946-3232
Email: karen.dobres@chase.com
---------------------------------------
-7-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
July 25, 2000
Sec. 4.06 Class N Beginning Balance 13,252,533.60
Sec. 4.06 Class N Interest Accrued and Paid 88,350.22
Sec. 4.06 N Class Principal Reduction 536,797.42
Sec. 4.06 Total Payment to the N Class 625,147.65
Sec. 4.06 Class N Ending Balance 12,715,736.18
Sec. 4.06(iii) O/C Amount
Sec. 4.06(iii) Targeted O/C Amount 19,243,835.72
Sec. 4.06(iii) O/C Deficiency Amount 0.00
Sec. 4.06(iii) O/C Release Amount 0.00
Sec. 4.06(iv) Servicing Compensation 0.00
Sec. 4.06(iv) PMI Fee 38,323.91
Sec. 4.06(iv) Servicing Fee 142,082.19
Sec. 4.06(iv) Special Servicing Fee Accrued 107,850.00
Sec. 4.06(iv) Special Servicing Fee Paid 107,850.00
Sec. 4.06(v) Current Advances 0.00
Sec. 4.06(vi) Collateral Balance Group 1 Total 188,030,117.07
Sec. 4.06(vi) Collateral Balance Group 1 Sub-Group 1 7,887,093.65
Sec. 4.06(vi) Collateral Balance Group 1 Sub-Group 2 180,143,023.42
Sec. 4.06(vi) Collateral Balance Group 2 Total 149,572,349.72
Sec. 4.06(vii) Total Beginning Number of Loans 3,875.00
Sec. 4.06(vii) Group 1A Beginning Number of Loans 133.00
Sec. 4.06(vii) Group 1B Beginning Number of Loans 2,247.00
Sec. 4.06(vii) Total Group 1 Beginning Number of Loans 2,380.00
Sec. 4.06(vii) Total Group 2 Beginning Number of Loans 1,495.00
Sec. 4.06(vii) Total Ending Number of Loans 3,834.00
Sec. 4.06(vii) Group 1A Ending Number of Loans 131.00
Sec. 4.06(vii) Group 1B Ending Number of Loans 2,226.00
Sec. 4.06(vii) Total Group 1 Ending Number of Loans 2,357.00
Sec. 4.06(vii) Total Group 2 Ending Number of Loans 1,477.00
Sec. 4.06(vii) Weighted Average Mortgage Rate for All Loans 10.07%
Sec. 4.06(vii) Group 1 Weighted Average Mortgage Rate 10.07%
Sec. 4.06(vii) Group 1A Weighted Average Mortgage Rate 8.24%
Sec. 4.06(vii) Group 1B Weighted Average Mortgage Rate 10.13%
Sec. 4.06(vii) Group 2 Weighted Average Mortgage Rate 10.11%
Sec. 4.06(vii)Group 1A Weighted Average Term to Maturity 280.00
Sec. 4.06(vii)Group 1B Weighted Average Term to Maturity 284.00
Sec. 4.06(vii)Group 1 Weighted Average Term to Maturity 284.00
Sec. 4.06(vii)Group 2 Weighted Average Term to Maturity 330.00
-8-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
July 25, 2000
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 177 11,990,773.05 6.38
2 Months 117 8,002,972.14 4.26
3+Months 256 16,905,071.64 8.99
Total 550 36,898,816.83 19.63
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 106 8,863,859.31 5.93
2 Months 48 5,019,795.47 3.36
3+Months 127 12,815,072.60 8.57
Total 281 26,698,727.38 17.86
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 283 20,854,632.36 6.18
2 Months 165 13,022,767.61 3.86
3+Months 383 29,720,144.24 8.8
Total 831 63,597,544.21 18.84
Sec. 4.06(viii) Number of Loans 30 Days Delinquent in Group 1A 15.00
Sec. 4.06(viii) Balance of Loans 30 Days Delinquent in Group 1A 1,044,686.86
Sec. 4.06(viii) Number of Loans 30 Days Delinquent in Group 1B 162.00
Sec. 4.06(viii) Balance of Loans 30 Days Delinquent in Group 1B 10,946,086.19
Sec. 4.06(viii) Number of Loans 30 Days Delinquent in Group 2 106.00
Sec. 4.06(viii) Balance of Loans 30 Days Delinquent in Group 2 8,863,859.31
Sec. 4.06(viii) Number of Loans 60 Days Delinquent in Group 1A 11.00
Sec. 4.06(viii) Balance of Loans 60 Days Delinquent in Group 1A 793,189.76
Sec. 4.06(viii) Number of Loans 60 Days Delinquent in Group 1B 106.00
Sec. 4.06(viii) Balance of Loans 60 Days Delinquent in Group 1B 7,209,782.38
Sec. 4.06(viii) Number of Loans 60 Days Delinquent in Group 2 48.00
Sec. 4.06(viii) Balance of Loans 60 Days Delinquent in Group 2 5,019,795.47
Sec. 4.06(viii) Number of Loans 90+ Days Delinquent in Group 1A 5.00
Sec. 4.06(viii) Balance of Loans 90+ Days Delinquent in Group 1A 345,209.88
Sec. 4.06(viii) Number of Loans 90+ Days Delinquent in Group 1B 251.00
Sec. 4.06(viii) Balance of Loans 90+ Days Delinquent in Group 1B 16,559,861.76
Sec. 4.06(viii) Number of Loans 90+ Days Delinquent in Group 2 127.00
Sec. 4.06(viii) Balance of Loans 90+ Days Delinquent in Group 2 12,815,072.60
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
39 2,649,998.28 1.14%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
29 2,477,988.86 1.66%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
68 5,127,987.14 1.52%
Sec. 4.06(viii) Number of Foreclosures in Group 1A 6.00
Sec. 4.06(viii) Balance of Foreclosures in Group 1A 541,731.23
Sec. 4.06(viii) Number of Foreclosures in Group 1B 33.00
Sec. 4.06(viii) Balance of Foreclosures in Group 1B 2,108,267.05
Sec. 4.06(viii) Number of Foreclosures in Group 2 29.00
Sec. 4.06(viii) Balance of Foreclosures in Group 2 2,477,988.86
-9-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
July 25, 2000
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
187 11,612,713.34 6.18
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
134 13,049,105.43 8.72
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
321 24,661,818.77 7.3
Sec. 4.06(viii) Number of Bankruptcies in Group 1A 17.00
Sec. 4.06(viii) Balance of Bankruptcies in Group 1A 952,106.01
Sec. 4.06(viii) Number of Bankruptcies in Group 1B 170.00
Sec. 4.06(viii) Balance of Bankruptcies in Group 1B 10,660,607.33
Sec. 4.06(viii) Number of Bankruptcies in Group 2 134.00
Sec. 4.06(viii) Balance of Bankruptcies in Group 2 13,049,105.43
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
Sec. 4.06(viii) Number of Reo's in Group 1A 0.00
Sec. 4.06(viii) Balance of Reo's in Group 1A 0.00
Sec. 4.06(viii) Number of Reo's in Group 1B 0.00
Sec. 4.06(viii) Balance of Reo's in Group 1B 0.00
Sec. 4.06(viii) Number of Reo's in Group 2 0.00
Sec. 4.06(viii) Reo's in Group 2 0.00
Sec. 4.06(x) Sec. 4.06(x) REO Book Value
Sec. 4.06(viii) REO Book Value Group 1A 0.00
Sec. 4.06(viii) REO Book Value Group 1B 0.00
Sec. 4.06(viii) REO Book Value Group 2 119,371.06
Sec. 4.06(xi) Principal Prepayments
Principal Prepayments Group 1A 115,704.33
Principal Prepayments Group 1B 1,820,830.52
Principal Prepayments Group 2 1,149,760.11
Sec. 4.06(xii) Prepayment Penalties/Premiums 28,755.19
Sec. 4.06(xii) Realized Losses
Realized Losses Incurred in Group 1A 0.00
Realized Losses Incurred in Group 1B 0.00
Realized Losses Incurred in Group 3 0.00
Sec. 4.06(xiv) Class M1 Unpaid Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M1 Applied Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M1 Applied Realized Loss Amortization Amount 0.00
Sec. 4.06(xiv) Class M2 Unpaid Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M2 Applied Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M2 Applied Realized Loss Amortization Amount 0.00
Sec. 4.02(xiv) Class B Unpaid Realized Loss Amount 0.00
Sec. 4.02(xiv) Class B Applied Realized Loss Amortization Amount 0.00
-10-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
July 25, 2000
Sec. 4.06(xvi) Net Prepayment Interest Shortfalls 0.00
Sec. 4.06(xix) Trustee Fee Paid 2,273.32
Sec. 4.06(xx)Libor Carryover Amount - Class A-1F 0.00
Sec. 4.06(xx)Unpaid Libor Carryover Amount - Class A-1F 0.00
Sec. 4.06(xx)Libor Carryover Amount - Class A-1A 0.00
Sec. 4.06(xx)Unpaid Libor Carryover Amount - Class A-1A 0.00
Sec. 4.06(xv) Unpaid Interest
Class A1A Unpaid Interest Shortfall 0.00
Class A1F Unpaid Interest Shortfall 0.00
Class A2F Unpaid Interest Shortfall 0.00
Class M1 Unpaid Interest Shortfall 0.00
Class M2 Unpaid Interest Shortfall 0.00
Class B Unpaid Interest Shortfall 0.00
Class N Unpaid Interest Shortfall 0.00
Sec. 4.06(xv) Has the Trigger Event Occured NO
Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.00 %
Sec. 4.06(xxi) Available Funds by Group
Available Funds 6,056,304.16
Interest Remittance Amount 2,661,514.05
Principal Remittance Amount 3,394,790.11
Sec. 4.06(xxvi) HLTV Reserve Account
Beginning Balance 140,878.14
Total Deposits to the HLTV Reserve Account 0.00
Transfer from HLTV Reserve Account 0.00
Ending Balance 140,878.14
Sec. 4.06 Class N Interest Shortfall Account
Beginning Balance 275,000.00
Proceeds from Permitted Investments 0.00
Unpaid Interest Payments Made to the N Class 0.00
Ending Balance 275,000.00
Sec 4.06 Repurchased Principal 0.00
Sec 4.06 Class X Distributable Amount 0.00
-11-
Exhibit 99.1
Statement to Certificateholders
August 25,2000
-12-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
STATEMENT TO CERTIFICATEHOLDERS
August 25,2000
Revised Delinquency Reporting
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTION IN DOLLARS
- -----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL PRIOR CURRENT
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
- ----------------------------------------------------------------------------------------------------------------------------------
T11 317,509,303.29 317,509,303.29 0.00 0.00 0.00 0.00 0.00 317,509,303.29
T12 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T13 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T14 15,816,487.26 15,816,487.26 0.00 0.00 0.00 0.00 0.00 15,816,487.26
T15 1,910,699.56 1,910,699.56 0.00 0.00 0.00 0.00 0.00 1,910,699.56
T16 1,525,648.80 1,525,648.80 0.00 0.00 0.00 0.00 0.00 1,525,648.80
T22 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T23 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T24 15,816,487.26 15,816,487.26 0.00 0.00 0.00 0.00 0.00 15,816,487.26
T25 1,910,699.56 1,910,699.56 0.00 0.00 0.00 0.00 0.00 1,910,699.56
TOTALS 367,464,605.73 367,464,605.73 0 0 0 0 0 367,464,605.73
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------- -------------------------------------
FACTOR INFORMATION PER $1,000 OF ORIGINAL FACE PASS-THROUGH RATES
- ----------------------------------------------------------------------------------------- -------------------------------------
PRIOR CURRENT CURRENT
PRINCIPAL PRINCIPAL PASS-THRU
CLASS FACTOR PRINCIPAL INTEREST TOTAL FACTOR CLASS RATE
- ------------------------------------------------------------------------------------------- ------------------------------------
T11 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T11 9.318000%
T12 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T12 9.318000%
T13 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T13 9.318000%
T14 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T14 9.318000%
T15 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T15 9.318000%
T16 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T16 9.318000%
T22 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T22 9.318000%
T23 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T23 9.318000%
T24 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T24 9.318000%
T25 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T25 9.295000%
TOTALS 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000
- -------------------------------------------------------------------------------------------
If there are any questions or problems with this statement, please contact the Administrator listed below:
---------------------------------------
KAREN DOBRES
THE CHASE MANHATTAN BANK - STRUCTURED FINANCE SERVICES
450 WEST 33RD STREET, 14TH FLOOR
NEW YORK, NEW YORK 10001
TEL: 212/946-3232
Email: karen.dobres@chase.com
---------------------------------------
-13-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
August 25,2000
Revised Delinquency Reporting
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTION IN DOLLARS
- -----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL PRIOR CURRENT
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
- ----------------------------------------------------------------------------------------------------------------------------------
A1F 76,500,000.00 73,460,161.17 1,436,958.30 432,680.35 1,869,638.65 0.00 0.00 72,023,202.87
A2F 40,303,000.00 40,303,000.00 0.00 278,762.42 278,762.42 0.00 0.00 40,303,000.00
A1A 152,564,000.00 149,571,469.90 1,659,794.58 905,447.51 2,565,242.09 0.00 0.00 147,911,675.32
M1 18,800,000.00 18,800,000.00 0.00 136,613.33 136,613.33 0.00 0.00 18,800,000.00
M2 21,274,000.00 21,274,000.00 0.00 154,591.07 154,591.07 0.00 0.00 21,274,000.00
B 14,950,000.00 14,950,000.00 0.00 108,636.67 108,636.67 0.00 0.00 14,950,000.00
R2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
N 14,300,000.00 12,715,736.18 451,805.54 84,771.57 536,577.11 0.00 0.00 12,263,930.64
TOTALS 338,691,000.00 331,074,367.25 3,548,558.42 2,101,502.92 5,650,061.34 0.00 0.00 327,525,808.83
X 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------- -------------------------------------
FACTOR INFORMATION PER $1,000 OF ORIGINAL FACE PASS-THROUGH RATES
- ----------------------------------------------------------------------------------------- -------------------------------------
PRIOR CURRENT CURRENT
PRINCIPAL PRINCIPAL PASS-THRU
CLASS FACTOR PRINCIPAL INTEREST TOTAL FACTOR CLASS RATE
- ------------------------------------------------------------------------------------------- ------------------------------------
A1F 960.26354471 18.78376863 5.65595229 24.43972092 941.47977608 A1F 6.840000%
A2F 1,000.00000000 0.00000000 6.91666675 6.91666675 1,000.00000000 A2F 8.300000%
A1A 980.38508364 10.87933313 5.93487002 16.81420315 969.50575050 A1A 7.030000%
M1 1,000.00000000 0.00000000 7.26666649 7.26666649 1,000.00000000 M1 8.720000%
M2 1,000.00000000 0.00000000 7.26666682 7.26666682 1,000.00000000 M2 8.720000%
B 1,000.00000000 0.00000000 7.26666689 7.26666689 1,000.00000000 B 8.720000%
N 889.21232028 31.59479301 5.92808182 37.52287483 857.61752727 N 8.000000%
TOTALS 977.51155847 10.47727403 6.20477934 16.68205338 967.03428444
- ------------------------------------------------------------------------------------------- ------------------------------------
If there are any questions or problems with this statement, please contact the Administrator listed below:
---------------------------------------
KAREN DOBRES
THE CHASE MANHATTAN BANK - STRUCTURED FINANCE SERVICES
450 WEST 33RD STREET, 14TH FLOOR
NEW YORK, NEW YORK 10001
TEL: 212/946-3232
Email: karen.dobres@chase.com
---------------------------------------
-14-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
August 25,2000
Revised Delinquency Reporting
Sec. 4.06 Class N Beginning Balance 12,715,736.18
Sec. 4.06 Class N Interest Accrued and Paid 84,771.57
Sec. 4.06 N Class Principal Reduction 451,805.54
Sec. 4.06 Total Payment to the N Class 536,577.12
Sec. 4.06 Class N Ending Balance 12,263,930.64
Sec. 4.06(iii) O/C Amount 19,243,835.55
Sec. 4.06(iii) Targeted O/C Amount 19,243,550.79
Sec. 4.06(iii) O/C Deficiency Amount 0.00
Sec. 4.06(iii) O/C Release Amount 0.00
Sec. 4.06(iv) Servicing Compensation 0.00
Sec. 4.06(iv) PMI Fee 37,238.48
Sec. 4.06(iv) Servicing Fee 140,667.69
Sec. 4.06(iv) Special Servicing Fee Accrued 118,200.00
Sec. 4.06(iv) Special Servicing Fee Paid 118,200.00
Sec. 4.06(v) Current Advances 0.00
Sec. 4.06(vi) Collateral Balance Group 1 Total 186,593,158.60
Sec. 4.06(vi) Collateral Balance Group 1 Sub-Group 1 7,728,270.30
Sec. 4.06(vi) Collateral Balance Group 1 Sub-Group 2 178,864,888.30
Sec. 4.06(vi) Collateral Balance Group 2 Total 147,912,555.14
Sec. 4.06(vii) Total Beginning Number of Loans 3,821.00
Sec. 4.06(vii) Group 1A Beginning Number of Loans 131.00
Sec. 4.06(vii) Group 1B Beginning Number of Loans 2,217.00
Sec. 4.06(vii) Total Group 1 Beginning Number of Loans 2,348.00
Sec. 4.06(vii) Total Group 2 Beginning Number of Loans 1,473.00
Sec. 4.06(vii) Total Ending Number of Loans 3,794.00
Sec. 4.06(vii) Group 1A Ending Number of Loans 129.00
Sec. 4.06(vii) Group 1B Ending Number of Loans 2,205.00
Sec. 4.06(vii) Total Group 1 Ending Number of Loans 2,334.00
Sec. 4.06(vii) Total Group 2 Ending Number of Loans 1,460.00
Sec. 4.06(vii) Weighted Average Mortgage Rate for All Loans 10.11 %
Sec. 4.06(vii) Group 1 Weighted Average Mortgage Rate 10.09 %
Sec. 4.06(vii) Group 1A Weighted Average Mortgage Rate 8.25 %
Sec. 4.06(vii) Group 1B Weighted Average Mortgage Rate 10.17 %
Sec. 4.06(vii) Group 2 Weighted Average Mortgage Rate 10.12 %
Sec. 4.06(vii)Group 1A Weighted Average Term to Maturity 280.00
Sec. 4.06(vii)Group 1B Weighted Average Term to Maturity 287.00
Sec. 4.06(vii)Group 1 Weighted Average Term to Maturity 287.00
Sec. 4.06(vii)Group 2 Weighted Average Term to Maturity 328.00
-15-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
August 25,2000
Revised Delinquency Reporting
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 187 12,083,139.44 6.48
2 Months 88 5,882,101.05 3.15
3+Months 326 21,656,447.30 11.61
Total 601 39,621,687.79 21.24
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 91 8,274,176.12 5.59
2 Months 53 4,665,718.62 3.15
3+Months 152 14,764,947.43 9.98
Total 296 27,704,842.17 18.72
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 278 20,357,315.56 6.09
2 Months 141 10,547,819.67 3.15
3+Months 478 36,421,394.73 10.89
Total 897 67,326,529.96 20.13
Sec. 4.06(viii) Number of Loans 30 Days Delinquent in Group 1A 16.00
Sec. 4.06(viii) Balance of Loans 30 Days Delinquent in Group 1A 859,605.84
Sec. 4.06(viii) Number of Loans 30 Days Delinquent in Group 1B 171.00
Sec. 4.06(viii) Balance of Loans 30 Days Delinquent in Group 1B 11,223,533.60
Sec. 4.06(viii) Number of Loans 30 Days Delinquent in Group 2 91.00
Sec. 4.06(viii) Balance of Loans 30 Days Delinquent in Group 2 8,274,176.12
Sec. 4.06(viii) Number of Loans 60 Days Delinquent in Group 1A 7.00
Sec. 4.06(viii) Balance of Loans 60 Days Delinquent in Group 1A 675,326.54
Sec. 4.06(viii) Number of Loans 60 Days Delinquent in Group 1B 81.00
Sec. 4.06(viii) Balance of Loans 60 Days Delinquent in Group 1B 5,206,774.51
Sec. 4.06(viii) Number of Loans 60 Days Delinquent in Group 2 53.00
Sec. 4.06(viii) Balance of Loans 60 Days Delinquent in Group 2 4,665,718.62
Sec. 4.06(viii) Number of Loans 90+ Days Delinquent in Group 1A 12.00
Sec. 4.06(viii) Balance of Loans 90+ Days Delinquent in Group 1A 840,753.11
Sec. 4.06(viii) Number of Loans 90+ Days Delinquent in Group 1B 314.00
Sec. 4.06(viii) Balance of Loans 90+ Days Delinquent in Group 1B 20,815,694.19
Sec. 4.06(viii) Number of Loans 90+ Days Delinquent in Group 2 152.00
Sec. 4.06(viii) Balance of Loans 90+ Days Delinquent in Group 2 14,764,947.43
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
20 1,946,108.05 1.04
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
14 1,322,818.26 0.89
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
34 3,268,926.31 0.98
Sec. 4.06(viii) Number of Foreclosures in Group 1A 5.00
Sec. 4.06(viii) Balance of Foreclosures in Group 1A 620,624.46
Sec. 4.06(viii) Number of Foreclosures in Group 1B 15.00
Sec. 4.06(viii) Balance of Foreclosures in Group 1B 1,325,483.59
Sec. 4.06(viii) Number of Foreclosures in Group 2 14.00
Sec. 4.06(viii) Balance of Foreclosures in Group 2 1,322,818.26
-16-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
August 25,2000
Revised
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
186 11,343,232.81 6.08
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
136 12,993,591.71 8.78
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
322 24,336,824.52 7.28
Sec. 4.06(viii) Number of Bankruptcies in Group 1A 19.00
Sec. 4.06(viii) Balance of Bankruptcies in Group 1A 1,026,928.47
Sec. 4.06(viii) Number of Bankruptcies in Group 1B 167.00
Sec. 4.06(viii) Balance of Bankruptcies in Group 1B 10,316,304.34
Sec. 4.06(viii) Number of Bankruptcies in Group 2 136.00
Sec. 4.06(viii) Balance of Bankruptcies in Group 2 12,993,591.71
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
0 229,472.06 0.08%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
0 229,472.06 0.08%
Sec. 4.06(viii) Number of Reo's in Group 1A 0.00
Sec. 4.06(viii) Balance of Reo's in Group 1A 0.00
Sec. 4.06(viii) Number of Reo's in Group 1B 0.00
Sec. 4.06(viii) Balance of Reo's in Group 1B 0.00
Sec. 4.06(viii) Number of Reo's in Group 2 1.00
Sec. 4.06(viii) Reo's in Group 2 119,371.06
Sec. 4.06(x) Sec. 4.06(x) REO Book Value
Sec. 4.06(viii) REO Book Value Group 1A 0.00
Sec. 4.06(viii) REO Book Value Group 1B 0.00
Sec. 4.06(viii) REO Book Value Group 2 119,371.06
Sec. 4.06(xi) Principal Prepayments
Principal Prepayments Group 1A 145,625.84
Principal Prepayments Group 1B 1,091,481.64
Principal Prepayments Group 2 1,551,583.48
Sec. 4.06(xii) Prepayment Penalties/Premiums 48,469.46
Sec. 4.06(xii) Realized Losses
Realized Losses Incurred in Group 1A 0.00
Realized Losses Incurred in Group 1B 0.00
Realized Losses Incurred in Group 3 0.00
Sec. 4.06(xiv) Class M1 Unpaid Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M1 Applied Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M1 Applied Realized Loss Amortization Amount 0.00
Sec. 4.06(xiv) Class M2 Unpaid Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M2 Applied Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M2 Applied Realized Loss Amortization Amount 0.00
Sec. 4.02(xiv) Class B Unpaid Realized Loss Amount 0.00
Sec. 4.02(xiv) Class B Applied Realized Loss Amortization Amount 0.00
-17-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
August 25,2000
Revised
Sec. 4.06(xvi) Net Prepayment Interest Shortfalls 0.00
Sec. 4.06(xix) Trustee Fee Paid 2,245.93
Sec. 4.06(xx)Libor Carryover Amount - Class A-1F 0.00
Sec. 4.06(xx)Unpaid Libor Carryover Amount - Class A-1F 0.00
Sec. 4.06(xx)Libor Carryover Amount - Class A-1A 0.00
Sec. 4.06(xx)Unpaid Libor Carryover Amount - Class A-1A 0.00
Sec. 4.06(xv) Unpaid Interest
Class A1A Unpaid Interest Shortfall 0.00
Class A1F Unpaid Interest Shortfall 0.00
Class A2F Unpaid Interest Shortfall 0.00
Class M1 Unpaid Interest Shortfall 0.00
Class M2 Unpaid Interest Shortfall 0.00
Class B Unpaid Interest Shortfall 0.00
Class N Unpaid Interest Shortfall 0.00
Sec. 4.06(xv) Has the Trigger Event Occured NO
Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.00 %
Sec. 4.06(xxi) Available Funds by Group
Available Funds 5,722,037.81
Interest Remittance Amount 2,625,284.93
Principal Remittance Amount 3,096,752.88
Sec. 4.06(xxvi) HLTV Reserve Account
Beginning Balance 140,878.14
Total Deposits to the HLTV Reserve Account 0.00
Transfer from HLTV Reserve Account 0.00
Ending Balance 140,878.14
Sec. 4.06 Class N Interest Shortfall Account
Beginning Balance 275,000.00
Proceeds from Permitted Investments 0.00
Unpaid Interest Payments Made to the N Class 0.00
Ending Balance 275,000.00
Sec 4.06 Repurchased Principal 0.00
Sec 4.06 Class X Distributable Amount 0.00
-18-
Exhibit 99.3
Statement to Certificateholders
September 25,2000
-19-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
STATEMENT TO CERTIFICATEHOLDERS
September 25,2000
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTION IN DOLLARS
- -----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL PRIOR CURRENT
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
- ----------------------------------------------------------------------------------------------------------------------------------
T11 317,509,303.29 317,509,303.29 0.00 0.00 0.00 0.00 0.00 317,509,303.29
T12 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T13 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T14 15,816,487.26 15,816,487.26 0.00 0.00 0.00 0.00 0.00 15,816,487.26
T15 1,910,699.56 1,910,699.56 0.00 0.00 0.00 0.00 0.00 1,910,699.56
T16 1,525,648.80 1,525,648.80 0.00 0.00 0.00 0.00 0.00 1,525,648.80
T22 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T23 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T24 15,816,487.26 15,816,487.26 0.00 0.00 0.00 0.00 0.00 15,816,487.26
T25 1,910,699.56 1,910,699.56 0.00 0.00 0.00 0.00 0.00 1,910,699.56
TOTALS 367,464,605.73 367,464,605.73 0.00 0.00 0.00 0.00 0.00 367,464,605.73
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------- -------------------------------------
FACTOR INFORMATION PER $1,000 OF ORIGINAL FACE PASS-THROUGH RATES
- ----------------------------------------------------------------------------------------- -------------------------------------
PRIOR CURRENT CURRENT
PRINCIPAL PRINCIPAL PASS-THRU
CLASS FACTOR PRINCIPAL INTEREST TOTAL FACTOR CLASS RATE
- ------------------------------------------------------------------------------------------- ------------------------------------
T11 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T11 9.318000%
T12 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T12 9.318000%
T13 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T13 9.318000%
T14 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T14 9.318000%
T15 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T15 9.318000%
T16 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T16 9.318000%
T22 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T22 9.318000%
T23 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T23 9.318000%
T24 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T24 9.318000%
T25 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T25 9.295000%
TOTALS 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000
- -------------------------------------------------------------------------------------------
If there are any questions or problems with this statement, please contact the Administrator listed below:
---------------------------------------
KAREN DOBRES
THE CHASE MANHATTAN BANK - STRUCTURED FINANCE SERVICES
450 WEST 33RD STREET, 14TH FLOOR
NEW YORK, NEW YORK 10001
TEL: 212/946-3232
Email: karen.dobres@chase.com
---------------------------------------
-20-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
STATEMENT TO CERTIFICATEHOLDERS
September 25,2000
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTION IN DOLLARS
- -----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL PRIOR CURRENT
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
- ----------------------------------------------------------------------------------------------------------------------------------
A1F 76,500,000.00 72,023,202.87 2,272,994.13 424,216.66 2,697,210.79 0.00 0.00 69,750,208.74
A2F 40,303,000.00 40,303,000.00 0.00 278,762.42 278,762.42 0.00 0.00 40,303,000.00
A1A 152,564,000.00 147,911,675.32 3,936,810.44 895,399.76 4,832,210.20 0.00 0.00 143,974,864.88
M1 18,800,000.00 18,800,000.00 0.00 136,613.33 136,613.33 0.00 0.00 18,800,000.00
M2 21,274,000.00 21,274,000.00 0.00 154,591.07 154,591.07 0.00 0.00 21,274,000.00
B 14,950,000.00 14,950,000.00 0.00 108,636.67 108,636.67 0.00 0.00 14,950,000.00
R2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
N 9,330,000.00 12,263,930.64 555,293.80 120,646.42 675,940.22 0.00 0.00 11,708,636.84
TOTALS 333,721,000.00 327,525,808.83 6,765,098.37 2,118,866.33 8,883,964.70 0.00 0.00 320,760,710.46
X 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------------------- -------------------------------------
FACTOR INFORMATION PER $1,000 OF ORIGINAL FACE PASS-THROUGH RATES
- ----------------------------------------------------------------------------------------- -------------------------------------
PRIOR CURRENT CURRENT
PRINCIPAL PRINCIPAL PASS-THRU
CLASS FACTOR PRINCIPAL INTEREST TOTAL FACTOR CLASS RATE
- ------------------------------------------------------------------------------------------- ------------------------------------
A1F 941.47977608 29.71234157 5.54531582 35.25765739 911.76743451 A1F 6.840000%
A2F 1,000.00000000 0.00000000 6.91666675 6.91666675 1,000.00000000 A2F 8.300000%
A1A 969.50575050 25.80432107 5.86901078 31.67333185 943.70142943 A1A 7.030000%
M1 1,000.00000000 0.00000000 7.26666649 7.26666649 1,000.00000000 M1 8.720000%
M2 1,000.00000000 0.00000000 7.26666682 7.26666682 1,000.00000000 M2 8.720000%
B 1,000.00000000 0.00000000 7.26666689 7.26666689 1,000.00000000 B 8.720000%
N 1,314.46201929 59.51702036 12.93102036 72.44804073 1,254.94499893 N 11.805000%
TOTALS 981.43601640 20.27171910 6.34921485 26.62093395 961.16429730
If there are any questions or problems with this statement, please contact the Administrator listed below:
---------------------------------------
KAREN DOBRES
THE CHASE MANHATTAN BANK - STRUCTURED FINANCE SERVICES
450 WEST 33RD STREET, 14TH FLOOR
NEW YORK, NEW YORK 10001
TEL: 212/946-3232
Email: karen.dobres@chase.com
---------------------------------------
-21-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
September 25,2000
Sec. 4.06 Class N Beginning Balance 12,263,930.64
Sec. 4.06 Class N Interest Accrued and Paid 120,646.42
Sec. 4.06 N Class Principal Reduction 555,293.80
Sec. 4.06 Total Payment to the N Class 675,940.22
Sec. 4.06 Class N Ending Balance 11,708,636.84
Sec. 4.06(iii) O/C Amount 19,243,550.79
Sec. 4.06(iii) Targeted O/C Amount 19,243,550.79
Sec. 4.06(iii) O/C Deficiency Amount 0.00
Sec. 4.06(iii) O/C Release Amount 0.00
Sec. 4.06(iv) Servicing Compensation 0.00
Sec. 4.06(iv) PMI Fee 38,178.75
Sec. 4.06(iv) Servicing Fee 139,377.38
Sec. 4.06(iv) Special Servicing Fee Accrued 0.00
Sec. 4.06(iv) Special Servicing Fee Paid 0.00
Sec. 4.06(v) Current Advances 0.00
Sec. 4.06(vi) Collateral Balance Group 1 Total 184,312,819.64
Sec. 4.06(vi) Collateral Balance Group 1 Sub-Group 1 7,533,515.25
Sec. 4.06(vi) Collateral Balance Group 1 Sub-Group 2 176,779,304.39
Sec. 4.06(vi) Collateral Balance Group 2 Total 143,982,804.77
Sec. 4.06(vii) Total Beginning Number of Loans 3,793.00
Sec. 4.06(vii) Group 1A Beginning Number of Loans 129.00
Sec. 4.06(vii) Group 1B Beginning Number of Loans 2,204.00
Sec. 4.06(vii) Total Group 1 Beginning Number of Loans 2,333.00
Sec. 4.06(vii) Total Group 2 Beginning Number of Loans 1,460.00
Sec. 4.06(vii) Total Ending Number of Loans 3,723.00
Sec. 4.06(vii) Group 1A Ending Number of Loans 127.00
Sec. 4.06(vii) Group 1B Ending Number of Loans 2,174.00
Sec. 4.06(vii) Total Group 1 Ending Number of Loans 2,301.00
Sec. 4.06(vii) Total Group 2 Ending Number of Loans 1,422.00
Sec. 4.06(vii) Weighted Average Mortgage Rate for All Loans 10.09%
Sec. 4.06(vii) Group 1 Weighted Average Mortgage Rate 9.98%
Sec. 4.06(vii) Group 1A Weighted Average Mortgage Rate 8.26%
Sec. 4.06(vii) Group 1B Weighted Average Mortgage Rate 10.06%
Sec. 4.06(vii) Group 2 Weighted Average Mortgage Rate 10.22%
Sec. 4.06(vii)Group 1A Weighted Average Term to Maturity 278.00
Sec. 4.06(vii)Group 1B Weighted Average Term to Maturity 287.00
Sec. 4.06(vii)Group 1 Weighted Average Term to Maturity 287.00
Sec. 4.06(vii)Group 2 Weighted Average Term to Maturity 326.00
-22-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
September 25,2000
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 190 12,736,395.50 6.91 %
2 Months 110 7,665,775.29 4.16 %
3+Months 530 33,685,251.37 18.28 %
Total 830 54,087,422.16 29.35 %
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 103 10,148,881.94 7.05 %
2 Months 46 5,035,385.71 3.5 %
3+Months 320 29,783,257.82 20.69 %
Total 469 44,967,525.47 31.24 %
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 293 22,885,277.44 6.97%
2 Months 156 12,701,161.00 3.87%
3+Months 850 63,468,509.19 19.33%
Total 1299 99,054,947.63 30.17%
Sec. 4.06(viii) Number of Loans 30 Days Delinquent in Group 1A 16.00
Sec. 4.06(viii) Balance of Loans 30 Days Delinquent in Group 1A 867,988.96
Sec. 4.06(viii) Number of Loans 30 Days Delinquent in Group 1B 174.00
Sec. 4.06(viii) Balance of Loans 30 Days Delinquent in Group 1B 11,868,406.54
Sec. 4.06(viii) Number of Loans 30 Days Delinquent in Group 2 103.00
Sec. 4.06(viii) Balance of Loans 30 Days Delinquent in Group 2 10,148,881.94
Sec. 4.06(viii) Number of Loans 60 Days Delinquent in Group 1A 6.00
Sec. 4.06(viii) Balance of Loans 60 Days Delinquent in Group 1A 488,534.52
Sec. 4.06(viii) Number of Loans 60 Days Delinquent in Group 1B 104.00
Sec. 4.06(viii) Balance of Loans 60 Days Delinquent in Group 1B 7,177,240.77
Sec. 4.06(viii) Number of Loans 60 Days Delinquent in Group 2 46.00
Sec. 4.06(viii) Balance of Loans 60 Days Delinquent in Group 2 5,035,385.71
Sec. 4.06(viii) Number of Loans 90+ Days Delinquent in Group 1A 32.00
Sec. 4.06(viii) Balance of Loans 90+ Days Delinquent in Group 1A 2,199,068.15
Sec. 4.06(viii) Number of Loans 90+ Days Delinquent in Group 1B 498.00
Sec. 4.06(viii) Balance of Loans 90+ Days Delinquent in Group 1B 31,486,183.22
Sec. 4.06(viii) Number of Loans 90+ Days Delinquent in Group 2 320.00
Sec. 4.06(viii) Balance of Loans 90+ Days Delinquent in Group 2 29,783,257.82
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
41 3,262,987.11 1.77%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
40 4,152,254.81 2.88%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
81 7,415,241.92 2.26%
Sec. 4.06(viii) Number of Foreclosures in Group 1A 7.00
Sec. 4.06(viii) Balance of Foreclosures in Group 1A 712,115.32
Sec. 4.06(viii) Number of Foreclosures in Group 1B 34.00
Sec. 4.06(viii) Balance of Foreclosures in Group 1B 2,550,871.79
Sec. 4.06(viii) Number of Foreclosures in Group 2 40.00
Sec. 4.06(viii) Balance of Foreclosures in Group 2 4,152,254.81
-23-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
September 25,2000
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
193 11,659,583.56 6.33%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
139 13,199,990.22 9.17%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
332 24,859,573.78 7.57%
Sec. 4.06(viii) Number of Bankruptcies in Group 1A 20.00
Sec. 4.06(viii) Balance of Bankruptcies in Group 1A 1,113,220.39
Sec. 4.06(viii) Number of Bankruptcies in Group 1B 173.00
Sec. 4.06(viii) Balance of Bankruptcies in Group 1B 10,546,363.17
Sec. 4.06(viii) Number of Bankruptcies in Group 2 139.00
Sec. 4.06(viii) Balance of Bankruptcies in Group 2 13,199,990.22
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
3 181,490.00 0.10%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
1 117,936.96 0.08%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
4 299,426.96 0.09%
Sec. 4.06(viii) Number of Reo's in Group 1A 0.00
Sec. 4.06(viii) Balance of Reo's in Group 1A 0.00
Sec. 4.06(viii) Number of Reo's in Group 1B 3.00
Sec. 4.06(viii) Balance of Reo's in Group 1B 181,490.00
Sec. 4.06(viii) Number of Reo's in Group 2 1.00
Sec. 4.06(viii) Reo's in Group 2 117,936.96
Sec. 4.06(x) Sec. 4.06(x) REO Book Value
Sec. 4.06(viii) REO Book Value Group 1A 0.00
Sec. 4.06(viii) REO Book Value Group 1B 181,490.00
Sec. 4.06(viii) REO Book Value Group 2 117,936.96
Sec. 4.06(xi) Principal Prepayments
Principal Prepayments Group 1A 181,432.38
Principal Prepayments Group 1B 1,848,631.02
Principal Prepayments Group 2 3,827,062.48
Sec. 4.06(xii) Prepayment Penalties/Premiums 52,816.01
Sec. 4.06(xii) Realized Losses
Realized Losses Incurred in Group 1A 0.00
Realized Losses Incurred in Group 1B 0.00
Realized Losses Incurred in Group 3 0.00
Sec. 4.06(xiv) Class M1 Unpaid Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M1 Applied Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M1 Applied Realized Loss Amortization Amount 0.00
Sec. 4.06(xiv) Class M2 Unpaid Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M2 Applied Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M2 Applied Realized Loss Amortization Amount 0.00
Sec. 4.02(xiv) Class B Unpaid Realized Loss Amount 0.00
Sec. 4.02(xiv) Class B Applied Realized Loss Amortization Amount 0.00
-24-
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
September 25,2000
Sec. 4.06(xvi) Net Prepayment Interest Shortfalls 37,940.88
Sec. 4.06(xix) Trustee Fee Paid 2,290.90
Sec. 4.06(xx)Libor Carryover Amount - Class A-1F 0.00
Sec. 4.06(xx)Unpaid Libor Carryover Amount - Class A-1F 0.00
Sec. 4.06(xx)Libor Carryover Amount - Class A-1A 0.00
Sec. 4.06(xx)Unpaid Libor Carryover Amount - Class A-1A 0.00
Sec. 4.06(xv) Unpaid Interest
Class A1A Unpaid Interest Shortfall 0.00
Class A1F Unpaid Interest Shortfall 0.00
Class A2F Unpaid Interest Shortfall 0.00
Class M1 Unpaid Interest Shortfall 0.00
Class M2 Unpaid Interest Shortfall 0.00
Class B Unpaid Interest Shortfall 0.00
Class N Unpaid Interest Shortfall 0.00
Sec. 4.06(xv) Has the Trigger Event Occured NO
Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.00 %
Sec. 4.06(xxi) Available Funds by Group
Available Funds 8,833,378.75
Interest Remittance Amount 2,634,710.53
Principal Remittance Amount 6,198,668.22
Sec. 4.06(xxvi) HLTV Reserve Account
Beginning Balance 140,878.14
Total Deposits to the HLTV Reserve Account 0.00
Transfer from HLTV Reserve Account 0.00
Ending Balance 140,878.14
Sec. 4.06 Class N Interest Shortfall Account
Beginning Balance 0.00
Proceeds from Permitted Investments 0.00
Unpaid Interest Payments Made to the N Class 0.00
Ending Balance 275,000.00
Sec 4.06 Repurchased Principal 0.00
Sec 4.06 Class X Distributable Amount 0.00
-25-