UNITED STATES
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) : September 25, 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 September 25, 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 September 25, 2002
as Exhibit 99.1.
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<page>
ASSET BACKED FUNDING CORPORATION
2002-CB1 Trust
C-BASS Mortgage Loan Asset-Backed Certificates, Series 2002-CB1
- -------------------------------------------------------------------------------
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: October 1, 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
September 25, 2002
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Exhibit 99.1
Statement to Certificateholders
September 25, 2002
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<page>
<table>
CREDIT-BASED LOAN ASSET-BACKED CERTIFICATES, SERIES 2002-CB1
STATEMENT TO CERTIFICATEHOLDERS
September 25, 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 43,246,964.65 887,996.53 78,482.98 966,479.51 0.00 0.00 42,358,968.12
A2A 117,592,000.00 100,775,766.98 2,211,265.87 180,367.36 2,391,633.23 0.00 0.00 98,564,501.11
A2B 20,751,000.00 18,882,529.66 245,696.21 36,310.78 282,006.99 0.00 0.00 18,636,833.45
M1 15,891,000.00 15,891,000.00 0.00 35,849.57 35,849.57 0.00 0.00 15,891,000.00
M2 12,950,000.00 12,950,000.00 0.00 34,604.95 34,604.95 0.00 0.00 12,950,000.00
B1 7,063,000.00 7,063,000.00 0.00 22,695.51 22,695.51 0.00 0.00 7,063,000.00
B2 8,240,000.00 8,240,000.00 0.00 38,824.60 38,824.60 0.00 0.00 8,240,000.00
N 12,900,000.00 8,678,613.25 877,073.11 69,067.30 946,140.41 0.00 0.00 7,801,540.14
R 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
TOTALS 245,387,000.00 215,727,874.54 4,222,031.72 496,203.05 4,718,234.77 0.00 0.00 211,505,842.82
AIO 73,130,000.00 73,130,000.00 0.00 255,686.76 255,686.76 0.00 0.00 73,130,000.00
X 235,429,185.40 209,992,126.11 0.00 0.00 0.00 0.00 0.00 206,647,167.50
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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 864.93929300 17.75993060 1.56965960 19.32959020 847.17936240 A1A 2.180000 %
A2A 12489WEN0 856.99509303 18.80456043 1.53384040 20.33840083 838.19053260 A2A 2.150000 %
A2B 12489WEP5 909.95757602 11.84021059 1.74983278 13.59004337 898.11736543 A2B 2.310000 %
M1 12489WEJ9 1,000.00000000 0.00000000 2.25596690 2.25596690 1,000.00000000 M1 2.710000 %
M2 12489WEK6 1,000.00000000 0.00000000 2.67219691 2.67219691 1,000.00000000 M2 3.210000 %
B1 12489WEL4 1,000.00000000 0.00000000 3.21329605 3.21329605 1,000.00000000 B1 3.860000 %
B2 12489WEM2 1,000.00000000 0.00000000 4.71172330 4.71172330 1,000.00000000 B2 5.660000 %
N N/A 672.76071705 67.99016357 5.35405426 73.34421783 604.77055349 N 9.550000 %
TOTALS 879.13326517 17.20560470 2.02212444 19.22772914 861.92766047
AIO 12489WEH3 1,000.00000000 0.00000000 3.49633201 3.49633201 1,000.00000000 AIO 4.200000 %
X N/A 891.95452022 0.00000000 0.00000000 0.00000000 877.74660201 X 0.000000 %
- ------------------------------------------------------------------------------------------- ------------------------------------
If there are any questions or problems with this statement, please contact the Administrator listed below:
---------------------------------------
Gouri Mukherjee
JPMorgan Chase Bank - Structured Finance Services
450 West 33rd Street,, 14th floor,
New York, New York 10036
Email: Gouri.s.mukherjee@jpmchase.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
September 25, 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 957,067.71
Sec. 4.06(iii) Monthly Excess Cash Flow Amount 957,067.71
Sec. 4.06(iii) Extra Principal Distribution Amount 24,030.72
Sec. 4.06(iv) Servicing Compensation 0.00
Sec. 4.06(iv) Servicing Fee 87,279.45
Sec. 4.06(iv) PMI Premium 0.00
Sec. 4.06(iv) Special Servicing Fee Accrued 46,350.00
Sec. 4.06(iv) Previous Unpaid Special Servicing Fees 0.00
Sec. 4.06(iv) Special Servicing Fee Paid 46,350.00
Sec. 4.06(v) Current Advances 0.00
Sec. 4.06(vi) Ending Collateral Balance Group 1 Total 73,233.967.13
Sec. 4.06(vi) Ending Collateral Balance Group 2 Total 133,413,200.37
Sec. 4.06(vii) Total Beginning Number of Loans 2,312.00
Sec. 4.06(vii) Total Group 1 Beginning Number of Loans 1,018.00
Sec. 4.06(vii) Total Group 2 Beginning Number of Loans 1,294.00
Sec. 4.06(vii) Total Ending Number of Loans 2,280.00
Sec. 4.06(vii) Total Group 1 Ending Number of Loans 1,010.00
Sec. 4.06(vii) Total Group 2 Ending Number of Loans 1,270.00
Sec. 4.06(vii) Weighted Average Mortgage Rate for All Loans 9.96%
Sec. 4.06(vii) Group 1 Weighted Average Mortgage Rate 10.08%
Sec. 4.06(vii) Group 2 Weighted Average Mortgage Rate 9.90%
Sec. 4.06(vii)Group 1 Weighted Average Term to Maturity 264.00
Sec. 4.06(vii)Group 2 Weighted Average Term to Maturity 330.00
Sec. 4.06(viii)Loans Delinquent
Group 1
- -----------------------------
Category Number Principal Balance Percentage
1 Month 93 6,296,480.03 8.60 %
2 Month 55 3,907,233.02 5.34 %
3 Month 286 18,823,141.04 25.70 %
Total 434 29,026,854.09 39.64 %
Group 2
- -----------------------------
Category Number Principal Balance Percentage
1 Month 101 11,277,241.20 8.45 %
2 Month 51 5,663,595.55 4.25 %
3 Month 185 19,482,061.89 14.60 %
Total 337 36,422,898.64 27.30 %
Group Totals
- -----------------------------
Category Number Principal Balance Percentage
1 Month 194 17,573,721.23 8.50 %
2 Month 106 9,570,828.57 4.63 %
3 Month 471 38,305,202.93 18.54 %
Total 771 65,449,752.73 31.67 %
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
September 25, 2002
Sec. 4.06(viii)Loans in Foreclosure
Group 1
- -------------
Number Principal Balance Percentage
52 4,284,058.81 5.85 %
Group 2
- --------------
Number Principal Balance Percentage
64 7,250,068.46 5.43 %
Group Totals
- --------------
Number Principal Balance Percentage
116 11,534,127.27 5.58 %
Sec. 4.06(viii)Loans in Bankruptcy
Group 1
- --------------
Number Principal Balance Percentage
198 12,281,080.29 16.77 %
Group 2
- --------------
Number Principal Balance Percentage
93 9,033,815.51 6.77 %
Group Totals
- --------------
Number Principal Balance Percentage
291 21,314,895.80 10.31 %
Sec. 4.06(ix)Loans in REO
Group 1
- -----------------
Number Principal Balance Percentage
9 521,382.71 0.71 %
Group 2
- -----------------
Number Principal Balance Percentage
10 1,194,755.93 0.90 %
Group Totals
- -----------------
Number Principal Balance Percentage
19 1,716,138.64 0.83 %
Sec. 4.06(x) Reperforming Loans 217
Sec. 4.06(x) Reperforming Loan Balances 18,363,071.66
Sec. 4.06(xi) Principal Prepayments
Principal Prepayments Group 1 510,874.48
Principal Prepayments Group 2 2,667,042.26
Sec. 4.06(xii) Prepayment Penalties/Premiums 59,453.41
Sec. 4.06(xiii) Realized Losses
Current Realized Losses Incurred in Group 1 -11,249.55
Current Realized Losses Incurred in Group 2 14.58
Cummulative Realized Losses Incurred in Group 1 158,305.52
Cummulative Realized Losses Incurred in Group 2 17,688.86
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<page>
CREDIT-BASED LOAN ASSET-BACKED CERTIFICATES, SERIES 2002-CB1
STATEMENT TO CERTIFICATEHOLDERS
September 25, 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 82.34
Class A2A Interest Accrual Relief Act Reduction 189.22
Class A2B Interest Accrual Relief Act Reduction 38.09
Class AIO Interest Accrual Relief Act Reduction 268.24
Class M1 Interest Accrual Relief Act Reduction 37.61
Class M2 Interest Accrual Relief Act Reduction 36.30
Class B1 Interest Accrual Relief Act Reduction 23.81
Class B2 Interest Accrual Relief Act Reduction 40.73
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 1,574.94
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 yes
Sec. 4.06 Rolling 6 Month Prior Delinquency Percentage 11.5070%
Sec. 4.06 Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.0000%
Sec. 4.06(xxv) Available Funds
Available Funds 4,962,393.05
Interest Remittance Amount 1,641,465.16
Principal Remittance Amount 3,320,927.89
Sec 4.06 Repurchased Principal 0.00
Sec 4.06 Class X Distributable Amount 0.00