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) : May 28, 2002
ASSET BACKED FUNDING CORPORATION, (as depositor under the Pooling and
Servicing Agreement, dated February 1, 2002 providing for the issuance of
2002-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series
2002-CB1).
ASSET BACKED FUNDING CORPORATION
(Exact name of registrant as specified in its charter)
Delaware 333-32857-07 75-2533468
(State or other (Commission File Number) (IRS Employer
jurisdiction of Identification No.)
incorporation)
100 North Tyron Sreet
Charlotte, North Carolina 28255
(Address pof principal executive offices) (Zip Code)
Registrant's telephone number, including area code : (703) 386-2400
N/A
(Former name or former address, if changed since last report.)
<page>
Item 5. Other Events.
This report and the attached exhibit is 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
2002-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2002-CB1
(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 February 1, 2002 ( the "Agreement"), among Asset Backed Funding
Corporation, as Depositor, Credit-Based Asset Servicing and Securitization LLC,
as Seller, Litton Loan Servicing LP, as Servicer, U.S. Bank National
Association, as Trustee, and JPMorgan Chase Bank, as Certificate
Administrator. On May 28, 2002 distributions were made to the
Certificateholders. Specific information with respect to these distributions is
filed as Exhibit 99.1. 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 exhibit is filed as part of this report:
Statement to Certificateholders on May 28, 2002
as Exhibit 99.1.
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<page>
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.
JPMorgan Chase Bank,
not in its individual capacity but solely
as Certificate Administrator under the
Agreement referred to herein
Date: June 10, 2002 By: /s/ Diane E. Wallace
------------------------------------
Diane E. Wallace
Assistant Vice President
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<page>
INDEX TO EXHIBITS
Exhibit
Number Description of Exhibits
99.1 Statement to Certificateholders
May 28, 2002
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Exhibit 99.1
Statement to Certificateholders
May 28, 2002
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<page>
<table>
CREDIT-BASED LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB1
STATEMENT TO CERTIFICATEHOLDERS
May 28, 2002
<s> <c> <c>
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTION IN DOLLARS
- -----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL BEGINNING ENDING
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
- ----------------------------------------------------------------------------------------------------------------------------------
A1A 50,000,000.00 48,480,180.54 1,461,445.57 98,590.13 1,560,035.70 0.00 0.00 47,018,734.97
A2A 117,592,000.00 113,807,385.09 3,639,253.75 228,313.07 3,867,566.82 0.00 0.00 110,168,131.34
A2B 20,751,000.00 20,330,487.23 404,361.53 43,765.50 448,127.03 0.00 0.00 19,926,125.70
M1 15,891,000.00 15,891,000.00 0.00 40,031.34 40,031.34 0.00 0.00 15,891,000.00
M2 12,950,000.00 12,950,000.00 0.00 38,553.99 38,553.99 0.00 0.00 12,950,000.00
B1 7,063,000.00 7,063,000.00 0.00 25,233.07 25,233.07 0.00 0.00 7,063,000.00
B2 8,240,000.00 8,240,000.00 0.00 43,024.74 43,024.74 0.00 0.00 8,240,000.00
N 12,900,000.00 11,338,591.22 749,691.00 90,236.29 839,927.29 0.00 0.00 10,588,900.22
R 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
TOTALS 245,387,000.00 238,100,644.08 6,254,751.85 607,748.13 6,862,499.98 0.00 0.00 231,845,892.23
AIO 73,130,000.00 73,130,000.00 0.00 535,922.24 535,922.24 0.00 0.00 73,130,000.00
X 235,429,185.40 229,704,917.68 0.00 0.00 0.00 0.00 0.00 224,199,856.83
- -----------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------- -------------------------------------
FACTOR INFORMATION PER $1,000 OF ORIGINAL FACE PASS-THROUGH RATES
- ----------------------------------------------------------------------------------------- -------------------------------------
CURRENT
BEGINNING ENDING PASS-THRU
CLASS CUSIP PRINCIPAL PRINCIPAL INTEREST TOTAL PRINCIPAL CLASS RATE
- ------------------------------------------------------------------------------------------- ------------------------------------
A1A 12489WEG5 969.60361080 29.22891140 1.97180260 31.20071400 940.37469940 A1A 2.220000 %
A2A 12489WEN0 967.81571102 30.94814060 1.94156975 32.88971035 936.86757041 A2A 2.190000 %
A2B 12489WEP5 979.73530095 19.48636355 2.10907908 21.59544263 960.24893740 A2B 2.350000 %
M1 12489WEJ9 1,000.00000000 0.00000000 2.51912026 2.51912026 1,000.00000000 M1 2.750000 %
M2 12489WEK6 1,000.00000000 0.00000000 2.97714208 2.97714208 1,000.00000000 M2 3.250000 %
B1 12489WEL4 1,000.00000000 0.00000000 3.57257115 3.57257115 1,000.00000000 B1 3.900000 %
B2 12489WEM2 1,000.00000000 0.00000000 5.22144903 5.22144903 1,000.00000000 B2 5.700000 %
N N/A 878.96055969 58.11558140 6.99506124 65.11064264 820.84497829 N 9.550000 %
TOTALS 970.30667509 25.48933664 2.47669245 27.96602909 944.81733845
AIO 12489WEH3 1,000.00000000 0.00000000 7.32835006 7.32835006 1,000.00000000 AIO 8.800000 %
X N/A 975.68581945 0.00000000 0.00000000 0.00000000 952.30273362 X 0.000000 %
- ------------------------------------------------------------------------------------------- ------------------------------------
If there are any questions or problems with this statement, please contact the Administrator listed below:
---------------------------------------
Robert Wainwright
JPMorgan Chase Bank - Structured Finance Services
450 West 33rd Street, 14 floor
New York, New York 10001
Tel: (212) 946-7551
Email: robert.wainwright@chase.com
---------------------------------------
Copyright 2001 J.P. Morgan Chase & Co. All rights reserved.
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<page>
CREDIT-BASED LOAN ASSET-BACKED CERTIFICATES, SERIES 2002-CB1
STATEMENT TO CERTIFICATEHOLDER
May 28, 2002
Sec. 4.06(iii) O/C Amount 2,942,864.82
Sec. 4.06(iii) Targeted O/C Amount 2,942,864.82
Sec. 4.06(iii) O/C Deficiency Amount 0.00
Sec. 4.06(iii) O/C Release Amount 0.00
Sec. 4.06(iii) Monthly Excess Interest 757,888.29
Sec. 4.06(iii) Monthly Excess Cash Flow Amount 757,888.29
Sec. 4.06(iii) Extra Principal Distribution Amount 0.00
Sec. 4.06(iv) Servicing Compensation 0.00
Sec. 4.06(iv) Servicing Fee 95,516.88
Sec. 4.06(iv) PMI Premium 0.00
Sec. 4.06(iv) Special Servicing Fee Accrued 12,450.00
Sec. 4.06(iv) Previous Unpaid Special Servicing Fees 0.00
Sec. 4.06(iv) Special Servicing Fee Paid 12,450.00
Sec. 4.06(v) Current Advances 0.00
Sec. 4.06(vi) Ending Collateral Balance Group 1 Total 76,908,075.76
Sec. 4.06(vi) Ending Collateral Balance Group 2 Total 147,291,781.07
Sec. 4.06(vii) Total Beginning Number of Loans 2,508.00
Sec. 4.06(vii) Total Group 1 Beginning Number of Loans 1,066.00
Sec. 4.06(vii) Total Group 2 Beginning Number of Loans 1,442.00
Sec. 4.06(vii) Total Ending Number of Loans 2,454.00
Sec. 4.06(vii) Total Group 1 Ending Number of Loans 1,059.00
Sec. 4.06(vii) Total Group 2 Ending Number of Loans 1,395.00
Sec. 4.06(vii) Weighted Average Mortgage Rate for All Loans 9.99%
Sec. 4.06(vii) Group 1 Weighted Average Mortgage Rate 10.10%
Sec. 4.06(vii) Group 2 Weighted Average Mortgage Rate 9.93%
Sec. 4.06(vii)Group 1 Weighted Average Term to Maturity 268.00
Sec. 4.06(vii)Group 2 Weighted Average Term to Maturity 334.00
Sec. 4.06(viii)Loans Delinquent
Group 1
- -----------------------------
Category Number Principal Balance Percentage
1 Month 108 7,496,553.97 9.75 %
2 Month 62 4,347,939.10 5.65 %
3 Month 251 15,524,858.02 20.19 %
Total 421 27,369,351.09 35.59 %
Group 2
- -----------------------------
Category Number Principal Balance Percentage
1 Month 125 13,326,553.68 9.05 %
2 Month 44 5,194,113.69 3.53 %
3 Month 146 14,869,474.89 10.10 %
Total 315 33,390,142.26 22.68 %
Group Totals
- -----------------------------
Category Number Principal Balance Percentage
1 Month 233 20,823,107.65 9.29 %
2 Month 106 9,542,052.79 4.26 %
3 Month 397 30,394,332.91 13.56 %
Total 736 60,759,493.35 27.11 %
Please Note: Delinquency Numbers Include Bankruptcies and Foreclosures
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<page>
CREDIT-BASED LOAN ASSET-BACKED CERTIFICATES, SERIES 2002-CB1
STATEMENT TO CERTIFICATEHOLDER
May 28, 2002
Sec. 4.06(viii)Loans in Foreclosure
Group 1
- -------------
Number Principal Balance Percentage
18 1,044,164.32 1.36 %
Group 2
- --------------
Number Principal Balance Percentage
32 3,807,605.07 2.59 %
Group Totals
- --------------
Number Principal Balance Percentage
50 4,851,769.39 2.16 %
Sec. 4.06(viii)Loans in Bankruptcy
Group 1
- --------------
Number Principal Balance Percentage
201 12,029,007.84 15.64 %
Group 2
- --------------
Number Principal Balance Percentage
80 7,527,566.74 5.11 %
Group Totals
- --------------
Number Principal Balance Percentage
281 19,556,574.58 8.72 %
Sec. 4.06(ix)Loans in REO
Group 1
- -----------------
Number Principal Balance Percentage
0 0.00 0.00 %
Group 2
- -----------------
Number Principal Balance Percentage
1 70,419.14 0.05 %
Group Totals
- -----------------
Number Principal Balance Percentage
1 70,419.14 0.03 %
Sec. 4.06(x) Reperforming Loans 321.00
Sec. 4.06(x) Reperforming Loan Balances 23,156,946.52
Sec. 4.06(xi) Principal Prepayments
Principal Prepayments Group 1 439,106.89
Principal Prepayments Group 2 4,872,521.59
Sec. 4.06(xii) Prepayment Penalties/Premiums 94,489.00
Sec. 4.06(xiii) Realized Losses
Current Realized Losses Incurred in Group 1 0.00
Current Realized Losses Incurred in Group 2 0.00
Cummulative Realized Losses Incurred in Group 1 0.00
Cummulative Realized Losses Incurred in Group 2 0.00
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<page>
CREDIT-BASED LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB1
STATEMENT TO CERTIFICATEHOLDERS
May 28, 2002
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 B1 Unpaid Realized Loss Amount 0.00
Sec. 4.02(xiv) Class B1 Applied Realized Loss Amortization Amount 0.00
Sec. 4.02(xiv) Class B2 Applied Realized Loss Amortization Amount 0.00
Sec. 4.02(xiv) Class B2 Unpaid Realized Loss Amount 0.00
Sec. 4.06(xvii) Unpaid Interest
Class A1A Unpaid Interest Shortfall 0.00
Class A2A Unpaid Interest Shortfall 0.00
Class A2b Unpaid Interest Shortfall 0.00
Class M1 Unpaid Interest Shortfall 0.00
Class M2 Unpaid Interest Shortfall 0.00
Class B1 Unpaid Interest Shortfall 0.00
Class B2 Unpaid Interest Shortfall 0.00
Class N Unpaid Interest Shortfall 0.00
Current Period Relief Act Interest Shortfalls 716.34
Class A1A Interest Accrual Relief Act Reduction 67.04
Class A2A Interest Accrual Relief Act Reduction 154.25
Class A2B Interest Accrual Relief Act Reduction 29.76
Class AIO Interest Accrual Relief Act Reduction 364.43
Class M1 Interest Accrual Relief Act Reduction 27.22
Class M2 Interest Accrual Relief Act Reduction 26.22
Class B1 Interest Accrual Relief Act Reduction 17.16
Class B2 Interest Accrual Relief Act Reduction 29,26
Total Class Interest Accrual Relief Act Reduction 716.34
Sec. 4.06(xviii) Net Prepayment Interest Shortfalls 0.00
Sec. 4.06(xxi) Trustee Fee Paid 1,722.79
Sec. 4.06(xxii)Libor Carryover Amount - Class A-1A 0.00
Sec. 4.06(xxii)Unpaid Libor Carryover Amount - Class A-1A 0.00
Sec. 4.06(xxii)Libor Carryover Amount - Class A-2A 0.00
Sec. 4.06(xxii)Unpaid Libor Carryover Amount - Class A-2A 0.00
Sec. 4.06(xxii)Libor Carryover Amount - Class A-2B 0.00
Sec. 4.06(xxii)Unpaid Libor Carryover Amount - Class A-2B 0.00
Sec. 4.06(xxii)Libor Carryover Amount - Class M1 0.00
Sec. 4.06(xxii)Unpaid Libor Carryover Amount - Class M1 0.00
Sec. 4.06(xxii)Libor Carryover Amount - Class M2 0.00
Sec. 4.06(xxii)Unpaid Libor Carryover Amount - Class M2 0.00
Sec. 4.06(xxii)Libor Carryover Amount - Class B1 0.00
Sec. 4.06(xxii)Unpaid Libor Carryover Amount - Class B1 0.00
Sec. 4.06(xxii)Libor Carryover Amount - Class B2 0.00
Sec. 4.06(xxii)Unpaid Libor Carryover Amount - Class B2 0.00
Sec. 4.06(xiv) Has the Trigger Event Occurred no
Sec. 4.06 Rolling 6 Month Prior Delinquency Percentage n/a
Sec. 4.06 Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.0000%
Sec. 4.06(xxv) Available Funds
Available Funds 7,318,106.00
Interest Remittance Amount 1,813,045.15
Principal Remittance Amount 5,505,060.85
Sec 4.06 Repurchased Principal 0.00
Sec 4.06 Class X Distributable Amount 0.00