SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 10-K
(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, 1997
OR
|_| TRANSITION REPORT PURSUANT TO SECTION 13 or 15(D) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the transition period from __________ to __________.
Commission File number 33-99340
ContiMortgage Home Equity Loan Trust 1997-2
------------------------------------------------------
(Exact name of registrant as specified in its charter)
16-1521364
New York 16-1521366
- ------------------------------- -------------------
(State of other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o Manufacturers and Traders Trust Company
Corporate Trust Department
One M&T Plaza
Buffalo, New York 14240-2599
- ---------------------------------------- ----------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code: (716) 842-5589
Securities registered pursuant to Section 12(b) of the Act:
Title of each class: Name of each exchange on which registered:
None None
Securities registered pursuant to Section 12(g) of the Act:
None
- --------------------------------------------------------------------------------
(Title of class)
Indicated by check mark whether the registrant (1) has filed all reports
required to be file by Section 13 or 15(d) of the Securities Exchange 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 |_|.
Indicate by check mark if disclosure of delinquent filers pursuant to Item
405 of Regulation S-K (e 229.405 of this chapter) is not contained herein, and
will not be contained, to the best of registrant's knowledge, in definitive
proxy or information statements incorporated by reference in Part III of this
Form 10-K or any amendment to this Form 10-K. |X|
State the aggregate market value of the voting stock held by
non-affiliates of registrant. The aggregate market value shall be computed by
reference to the price at which the stock was sold, or the average bid and asked
prices of such stock, as of specified date within 60 days prior to the date of
filing:
Not Applicable
<PAGE>
Documents Incorporated by Reference:
None
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-2
INDEX
Page
PART 1.................................................................... 3
ITEM 1 - Business..................................................... 3
ITEM 2 - Properties................................................... 3
ITEM 3 - Legal Proceedings............................................ 3
ITEM 4 - Submission of Matters to a Vote of Security Holders ......... 3
PART II ................................................................. 3
ITEM 5 - Market for Registrant's Common Stock and
Related Stockholder Matters.................................. 3
ITEM 6 - Selected Financial Data .................................... 4
ITEM 7 - Management's Discussion and Analysis of
Financial Condition and Results of Operations ............... 4
ITEM 7A - Quantitative and Qualitative Disclosures about Market Risk .. 4
ITEM 8 - Financial Statements and Supplementary Data.................. 4
ITEM 9 - Changes in and Disagreements with Accountants
on Accounting and Financial Disclosure....................... 4
PART III.................................................................. 4
ITEM 10 - Directors and Executive Officers of the Registrant........... 4
ITEM 11 - Executive Compensation....................................... 4
ITEM 12 - Security Ownership of Certain Beneficial
Owners and Management........................................ 4
ITEM 13 - Certain Relationships and Related Transactions...............12
PART IV...................................................................12
ITEM 14 - Exhibits, Financial Statement Schedules and
Reports on Form 8-K..........................................12
SIGNATURES ..........................................................14
INDEX TO EXHIBITS.........................................................15
-1-
<PAGE>
PART I
ITEM 1 - Business
Not Applicable.
ITEM 2 - Properties
Not Applicable.
ITEM 3 - Legal Proceedings
The Depositor is not aware of any material pending legal proceedings
involving either the ContiMortgage Home Equity Loan Trust 1997-2 (the "Trust")
established pursuant to the Pooling and Servicing Agreement (the "Agreement")
dated March 1, 1997, among Manufacturers and Traders Trust Company, as trustee
(the "Trustee"), ContiSecurities Asset Funding Corp., as depositor (the
"Depositor") and ContiMortgage Corporation, as servicer (the "Servicer"), the
Trustee, the Depositor or the Servicer which relates to the Trust.
ITEM 4 - Submission of Matters to a Vote of Security Holders
No matter has been submitted to a vote of the holders of beneficial
interests in the Trust through the solicitation of proxies or otherwise.
PART II
ITEM 5 - Market for Registrants Common Stock and Related Stockholder Matters
To the best knowledge of the Depositor, there is no established public
trading market for any beneficial interests in the Trust.
All of the Class A-1 Certificates, Class A-2 Certificates, Class A-3
Certificates, Class A-4 Certificates, Class A-5 Certificates, Class A-6
Certificates, Class A-7 Certificates, Class A-8 Certificates, Class A-9
Certificates, Class M-1F Certificates, Class M-2F Certificates, Class B-1F
Certificates, Class C Certificates, Class A-10 Certificates, Class M-1A
Certificates, Class M-2A Certificates, Class B-1A Certificates ad Class A-11IO
Certificates issued by the Trust are held by the Depository Trust Company
("DTC") which in turn maintains records of holders of beneficial interests in
such Certificates. Based on information obtained by the Trust from DTC, as of
March 6, 1998, there were no holders of the Class A-1 Certificates, 12 holders
of the Class A-2 Certificates, 8 holders of the Class A-3 Certificates, 5
holders of the Class A-4 Certificates, 5 holders of the Class A-5 Certificates,
8 holders of the Class A-6 Certificates, 3 holders of the Class A-7
Certificates, 6 holders of the Class A-8 Certificates, 12 holders of the Class
A-9 Certificates, 2 holders of the Class M-1F Certificates, 3 holders of the
Class M-2F Certificate, 2 holders of the Class B-1F Certificate, 1 holder of
the Class C Certificate, 7 holders of the Class A-10 Certificates, 3 holders of
the Class M-1A Certificates, 1 holder of the Class M-2A Certificate, 3 holders
of the Class B-1A Certificates and 1 holder of the Class A-11IO Certificate.
-3-
<PAGE>
ITEM 6 - Selected Financial Data
Not applicable.
ITEM 7 - Management's Discussion and Analysis of Financial Condition and Results
of Operations
Not applicable.
ITEM 7A- Quantitative and Qualitative Disclosures About Market Risk
Not applicable.
ITEM 8 - Financial Statements and Supplementary Data
In addition to the information included in the Annual Compilation of
Monthly Trustee's Statements attached as Exhibit 99.3 hereto, the gross
servicing compensation paid to the Servicer for the year ended December 31, 1997
was $3,040,889.
ITEM 9 - Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure
There were no changes of accountants or disagreements on accounting or
financial disclosures between the Issuer and its accountants.
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
The following table sets forth (i) the name and address of each entity
owning more than 5% of the outstanding principal amount of each Class of
Certificates of the Trust; (ii) the principal amount of the Class of
Certificates owned by each and (iii) the percent that the principal amount of
the Class of Certificates owned by such entity represents of the outstanding
principal amount of such Class of Certificates. The information set forth in the
table for the Certificates is based upon information obtained by the Trust from
DTC and represents ownership of beneficial interest in the Certificates held by
DTC. The Depositor is not aware of any Schedules 13D or 13G filed with the
Securities and Exchange Commission in respect of the Certificates.
-4-
<PAGE>
Amount Owned
------------
Name and Address All Dollar Amounts Are in Thousands
---------------- -----------------------------------
Principal Percent
--------- -------
Class A-1 Certificates
- - none -
Class A-2 Certificates
Bankers Trust Company $10,100 15.35%
c/o BT Services Tennessee Inc.
648 Grassmere Park Drive
Nashville, TN 37211
Chase Manhattan Bank/Chemical 5,000 7.60
4 New York Plaza
Proxy Department, 13th Floor
New York, NY 10004
Citibank 6,750 10.26
P.O. Box 30576
Tampa, FL 33630-3576
Investors Fiduciary Trust Company/SSB 6,050 9.19
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
Investors Bank and Trust/M.F. Custody 6,000 9.12
200 Clarendon Street
15th Floor Hancock Tower
Boston, MA 02116
Northern Trust Company 3,750 5.70
801 S. Canal C-IN
Chicago, IL 60607
SSB - Custodian 21,850 33.21
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
Union Bank of California, N.A. 4,300 6.53
Safekeeping Department
475 Sansome Street, 11th Floor
San Francisco, CA 94145
-5-
<PAGE>
Class A-3 Certificates
Chase Manhattan Bank $55,925 49.32%
4 New York Plaza
13th Floor
New York, NY 10004
Chase Manhattan Bank/Chemical 43,000 37.92
4 New York Plaza
Proxy Department, 13th Floor
New York, NY 10004
Citibank, N.A. 5,900 5.20
P.O. Box 30576
Tampa, FL 33630-3576
Class A-4 Certificates
Bankers Trust Company $20,000 46.73%
c/o BT Services Tennessee, Inc.
648 Grassmere Park Road
Nashville, TN 37211
Chase Manhattan Bank 10,000 23.26
4 New York Plaza
13th Floor
New York, NY 10004
Citibank, N.A. 8,500 19.86
P.O. Box 30576
Tampa, FL 33630-3576
First National Bank of Maryland 2,800 6.54
Trust Division-Operations Dept. 101-62
25 S. Charles Street
Baltimore, MD 21201
Class A-5 Certificates
Bank of New York $6,200 15.82%
925 Patterson Plank Rd.
Secaucus, NJ 07094
Bankers Trust Company 32,000 81.63
Corporate Clearance
130 Liberty Street
-6-
<PAGE>
New York, NY 10006
Class A-6 Certificates
- ----------------------
Bank of New York $12,050 56.57%
925 Patterson Plank Road
Secaucus, NJ 07094
First National Bank of Maryland 1,600 7.51
Trust Division-Operations Dept. 101-62
25 S. Charles Street
Baltimore, MD 21201
SSB Custodian 3,100 14.55
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
Class A-7 Certificates
Bank of New York $18,500 52.11%
925 Patterson Plank Road
Secaucus, NJ 07094
Chase Manhattan Bank 12,000 33.80
4 New York Plaza
13th Floor
New York, NY 10004
LBI-Lehman Government Securities Inc. 5,000 14.09
200 Vesey Street
New York, NY 10285
Class A-8 Certificates
Bank of New York $6,000 22.85%
925 Paterson Plank Rd.
Secaucus, NJ 07094
Bankers Trust Company 5,000 19.05
c/o BT Services Tennessee, Inc.
-7-
<PAGE>
648 Grassmere Park Drive
Nashville, TN 37211
Chase Manhattan Bank 2,000 7.62
4 New York Plaza
13th Floor
New York, NY 10004
Citibank, N.A. 3,250 12.38
P.O. Box 30576
Tampa, FL 33630-3576
Morgan Stanley & Co. Incorporated 5,000 19.05
One Pierrepont Plaza, 7th Floor
Brooklyn, NY 11201
Fifth Third Bank 5,000 19.05
Dept. 00850- Proxy
38 Fountain Square Plaza
Cincinnati, OH 45263
Class A-9 Certificates
Bank of New York $11,000 27.94%
925 Patterson Plank Road
Secaucus, NJ 07094
Boston Safe Deposit and Trust Company 2,000 5.08
c/o Mellon Bank N.A.
Three Mellon Bank Center, Room 153-3015
Pittsburgh, PA 15259
Corestates Bank, N.A. 8,195 20.81
P.O Box 7618 F.C. #1-9-1-21
Philadelphia, PA 19106-7618
SSB-Custodian 15,405 39.12
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
-8-
<PAGE>
Class M-1F Certificates
Boston Safe Deposit and Trust Company $9,000 38.10%
c/o Mellon Bank N.A.
Three Mellon Bank Center, Room 153-3015
Pittsburgh, PA 15259
Citibank, N.A. 14,625 61.90
P.O. Box 30576
Tampa, FL 33630-3576
Class M-2F Certificates
Boston Safe Deposit and Trust Company $7,187 23.81%
c/o Mellon Bank N.A.
Three Mellon Bank Center, Room 153-3015
Pittsburgh, PA 15259
Citibank, N.A. 19,500 64.60
P.O. Box 30576
Tampa, FL 33630-3576
Salomon Brothers Inc. 3,500 11.59
8800 Hidden River Parkway
Tampa, FL 33637
Class B-1F Certificates
Salomon Brothers Inc. $4,563 70.00%
8800 Hidden River Parkway
Tampa, FL 33637
SSB-Custodian 2,000 30.00
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
Class C Certificates
Contisecurities Residual Funding Corp $835,000(1) 100.00%
277 Park Avenue
New York, NY 10172
(1) Represents the "Notional Principal Amount" of the Class C Certificates which
is based on the aggregate outstanding Certificate Principal Balance of the
Certificates.
-9-
<PAGE>
Class A-10 Certificates
Bankers Trust Company $97,600 38.87%
c/o BT Services Tennessee Inc.
648 Grassmere Park Drive
Nashville, TN 37211
Chase Manhattan Bank/Chemical 45,000 17.92
4 New York Plaza
Proxy Department 13th Floor
New York, NY 10004
Merrill Lynch, Pierce, Fenner & Smith, Inc. 66,500 26.48
Debt Securities
4 Corporate Place
Corporate Park 287
Piscataway, NJ 08855
Republic National Bank of New York 15,000 5.97
Investment Account
One Hanson Place, Lower Level
Brooklyn, NY 11243
SSB-Custodian 13,000 5.18
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
Class M-1A Certificates
Bankers Trust Company $15,000 60.49%
c/o BT Services Tennessee Inc.
648 Grassmere Park Drive
Nashville, TN 37211
Boston Safe Deposit and Trust Company 4,800 19.35
c/o Mellon Bank N.A.
Three Mellon Bank Center, Room 153-3015
Pittsburgh, PA 15259
NBD Bank Municipal Bond Department 5,000 20.16
Attn: Securities Dept.
611 Woodward Avenue
Detroit, MI 48266
-10-
<PAGE>
Class M-2A Certificates
Bankers Trust Company $19,375 100.00%
c/o BT Services Tennessee Inc.
648 Grassmere Park Drive
Nashville, TN 37211
Class B-1A Certificates
Chase Manhattan Bank $7,725 52.46%
4 New York Plaza
13th Floor
New York, NY 10004
Credit Suisse First Boston Corporation 5,900 40.07
c/o ADP Proxy Services
Donaldson, Lufkin and Jenrette 1,100 7.47
Securities Corporation
1 Pershing Plaza
Jersey City, NJ 07399
Class A-11IO Certificates
Contisecurities Residual Holding Corporation $524,923(1) 100.00%
277 Park Avenue
New York, NY 10172
(1) Represents the "Notional Principal Amount" of the Certificates which is
based on the aggregate outstanding Certificate Principal Balance of the
Certificates.
-11-
<PAGE>
ITEM 13 - Certain Relationships and Related Transactions
None
PART IV
ITEM 14 - Exhibits, Financial Statement Schedules and Reports on Form 8-K
(a) The following documents are filed as part of this report:
1. Financial Statements:
Not applicable.
2. Financial Statement Schedules:
Not applicable.
3. Exhibits:
Exhibit No. Description
----------- -----------
99.1 Statement of Compliance of the
Servicer.
99.2 Annual Report of Independent Accountants
with respect to the Servicer's overall
servicing operations.
99.3 Annual compilation of Monthly
Trustee's Statement.
-12-
<PAGE>
b) Reports on Form 8-K.
10 reports on Form 8-K has been filed by the Issuer during the period covered by
this report.
Items Reported/Financial
Date of Report on Form 8-K Statements Filed
April 15, 1997 Trustee's Monthly Report for the March
Monthly Period.
May 15, 1997 Trustee's Monthly Report for the
April Monthly Period.
June 15, 1997 Trustee's Monthly Report for the May
Monthly Period.
July 15, 1997 Trustee's Monthly Report for the
June Monthly Period.
August 15, 1997 Trustee's Monthly Report for the July
Monthly Period.
September 15, 1997 Trustee's Monthly Report for the
August Monthly Period.
October 15, 1997 Trustee's Monthly Report for the
September Monthly Period.
November 15, 1997 Trustee's Monthly Report for the
October Monthly Period.
December 15, 1997 Trustee's Monthly Report for the
November Monthly Period.
January 15, 1998 Trustee's Monthly Report for the
December Monthly Period.
-13-
<PAGE>
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the Depositor has duly caused this Report to be signed on
its behalf by the undersigned, thereunto duly authorized.
By: CONTISECURITIES ASSET FUNDING CORP.,
AS DEPOSITOR
By: /s/ Peter Abeles
-------------------------
Name: Peter Abeles
Title: President
By: /s/ Robert Riedl
-------------------------
Name: Robert Riedl
Title: Vice President, Secretary & Treasurer
Date: March 31, 1998
-14-
<PAGE>
INDEX TO EXHIBITS
Item 14(a)3.
Exhibit No. Description
99.1 Statement of Compliance of the Servicer.
99.2 Annual Report of Independent Accountants
with respect to the Servicer's overall
servicing operations.
99.3 Annual compilation of Monthly
Trustee's Statement.
-15-
<PAGE>
Exhibit 99.1
CONTIMORTGAGE
One Contipark
338 Warminster Road
Hatboro, PA 19040-3430
(215) 347-3000
March 17, 1998
ContiSecurities Asset Funding Corporation
277 Park Avenue
New York, NY 10172
RE: CMC Home Equity Loan Trust 1997-2
Dear Sirs:
In accordance with Section 8.16 of the Pooling and Servicing Agreement,
ContiMortgage Corporation, as Servicer, confirms that as of December 31, 1997:
(i) we have completed a review of the activities of the Servicer during
the year ended December 31, 1997, and of performance under the
Pooling and Servicing Agreement has been made under my supervision;
(ii) to the best of my knowledge, based on such review, the Servicer has
fulfilled all its obligations under the Pooling and Servicing
Agreement for the year ended December 31, 1997.
Sincerely yours,
/s/ Margaret M. Curry
------------------------------
Margaret M. Curry
Sr. Vice President - Servicing
Exhibit 99.2
ARTHUR ANDERSEN
CONTIMORTGAGE CORPORATION
UNIFORM SINGLE ATTESTATION PROGRAM
FOR MORTGAGE BANKERS
FOR THE YEAR ENDED DECEMBER 31, 1997
TOGETHER WITH AUDITORS' REPORT
<PAGE>
ARTHUR ANDERSEN LLP
Independent Accountants' Report
To the Board of Directors of ContiMortgage Corporation:
We have examined management's assertion about ContiMortgage Corporation's
compliance with the minimum servicing standards identified in the Mortgage
Bankers Association of America's Uniform Single Attestation Program for Mortgage
Bankers (USAP) and that ContiMortgage Corporation had in effect a fidelity bond
and errors and omissions policy in the amount of $14,000,000 and $6,000,000 as
of December 31, 1997, included in the accompanying management assertion.
Management is responsible for ContiMortgage Corporation's compliance with those
minimum servicing standards and for maintaining a fidelity bond and errors and
omissions policy. Our responsibility is to express an opinion on management's
assertion about the entity's compliance with the minimum servicing standards and
maintenance of a fidelity bond and errors and omissions policy 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 ContiMortgage Corporation's
compliance with the 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 on ContiMortgage Corporation's compliance with
the minimum servicing standards.
In our opinion, management's assertion that ContiMortgage Corporation complied
with the aforementioned minimum servicing standards and that ContiMortgage
Corporation had in effect a fidelity bond and errors and omissions policy in the
amount of $14,000,000 and $6,000,000 as of December 31, 1997, is fairly stated,
in all material respects.
/s/ Arthur Andersen LLP
New York, New York
March 11, 1998
<PAGE>
ContiMortgage
One ContiPark
338 S. Warminster Road
Hatboro, PA. 19040-3430
(215) 347-3000
As of and for the year ended December 31, 1997, ContiMortgage Corporation has
complied with the minimum servicing standards set forth in the Mortgage Bankers
Association of America's Uniform Single Attestation Program for Mortgage
Bankers. As of December 31,1997 ContiMortgage Corporation had in effect
fidelity bond and errors and omissions policy in the amounts of $14,000,000 and
$6,000,000, respectively.
/s/ Margaret M. Curry /s/ William P. Higgins
- -------------------------------- ----------------------------------
Margaret M.Curry William P. Higgins
Sr. Vice President - Servicing Vice President and Controller
March 11, 1998 March 11, 1998
ContiMortgage Corporation
Home Equity Loan Pass-Through Certificates
Series 1997-2
CERTIFICATE HOLDER'S REPORT
ANNUAL STATEMENT
Year Ending: December 31, 1997
<TABLE>
<CAPTION>
Original Beginning Ending Planned
Certificate Certificate Principal Interest Total Certificate Principal
CUSIP Class Face Value Balance Distribution Distribution Distribution Balance Balance
<S> <C> <C> <C> <C> <C> <C> <C> <C>
21075WFT7 A-1 235,000,000.00 235,000,000.00 43,683,203.28 3,083,378.96 46,766,582.24 191,316,796.72 188,491,295.50
21075WFU4 A-2 166,000,000.00 166,000,000.00 0.00 2,255,110.00 2,255,110.00 166,000,000.00 166,000,000.00
21075WFV2 A-3 307,000,000.00 307,000,000.00 0.00 4,163,943.34 4,163,943.34 307,000,000.00 307,000,000.00
21075WFW0 A-4 100,000,000.00 100,000,000.00 0.00 1,365,000.00 1,365,000.00 100,000,000.00 100,000,000.00
21075WFX8 A-5 132,000,000.00 132,000,000.00 0.00 1,841,840.00 1,841,840.00 132,000,000.00 132,000,000.00
21075WFY6 A-6 39,000,000.00 39,000,000.00 0.00 550,095.00 550,095.00 39,000,000.00 39,000,000.00
21075WFZ3 A-7 95,250,000.00 95,250,000.00 0.00 1,368,266.25 1,368,266.25 95,250,000.00 95,250,000.00
21075WGA7 A-8 137,500,000.00 137,500,000.00 0.00 1,804,993.06 1,804,993.06 137,500,000.00
21075WGC3 A-9 267,500,000.00 267,500,000.00 0.00 3,396,135.42 3,396,135.42 267,500,000.00
21075WGB5 B 45,750,000.00 45,750,000.00 0.00 726,586.25 726,586.25 45,750,000.00
C 0.00 0.00 0.00 11,983,733.88 11,983,733.88 0.00
R 0.00 0.00 0.00 0.00 0.00 0.00
Total 1,525,000,000.00 1,525,000,000.00 43,683,203.28 32,539,082.16 76,222,285.44 1,481,316,796.72
</TABLE>
<TABLE>
<CAPTION>
Notional Notional Principal Interest Total Notional
Class Amount Amount Distribution Distribution Distribution Amount
<S> <C> <C> <C> <C> <C> <C> <C>
21075WGD1 A-7IO 95,250,000.00 95,250,000.00 0.00 1,754,187.50 1,754,187.50 95,250,000.00
</TABLE>
<TABLE>
<CAPTION>
AMOUNTS PER $1,000 UNIT PASS THROUGH RATES
Ending
Principal Interest Total Certificate Original Pass Current Pass
CUSIP Class Distribution Distribution Distribution Balance Class Thru Rate Thru Rate
<S> <C> <C> <C> <C> <C> <C> <C> <C>
21075WFT7 A-1 185.88597140 13.12076153 199.00673294 814.11402860 A-1 6.37000% 6.37000%
21075WFU4 A-2 0.00000000 13.58500000 13.58500000 1,000.00000000 A-2 6.27000% 6.27000%
21075WFV2 A-3 0.00000000 13.56333336 13.56333336 1,000.00000000 A-3 6.26000% 6.26000%
21075WFW0 A-4 0.00000000 13.65000000 13.65000000 1,000.00000000 A-4 6.30000% 6.30000%
21075WFX8 A-5 0.00000000 13.95333333 13.95333333 1,000.00000000 A-5 6.44000% 6.44000%
21075WFY6 A-6 0.00000000 14.10500000 14.10500000 1,000.00000000 A-6 6.51000% 6.51000%
21075WFZ3 A-7 0.00000000 14.36500000 14.36500000 1,000.00000000 A-7 6.63000% 6.63000%
21075WGA7 A-8 0.00000000 13.12722225 13.12722225 1,000.00000000 A-7IO 8.50000% 8.50000%
21075WGC3 A-9 * 0.00000000 317.39583364 317.39583364 25,000.00000000 A-8 5.83625% 5.86750%
21075WGB5 B 0.00000000 15.88166667 15.88166667 1,000.00000000 A-9 5.63000% 5.69000%
B 7.33000% 7.33000%
Total 28.64472346 13.47891690 42.12364037 971.35527654
* Class A-9 Amounts Per $25,000 Unit. LIBOR: 5.68750%
AUCTION RATE: 5.69000%
</TABLE>
<TABLE>
<CAPTION>
Ending
Principal Interest Total Notional
CUSIP Class Distribution Distribution Distribution Amount
<S> <C> <C> <C> <C> <C>
21075WGD1 A-7IO 0.00000000 18.41666667 18.41666667 1,000.00000000
</TABLE>
PLEASE DIRECT ANY QUESTIONS OR COMMENTS TO THE FOLLOWING ADMINISTRATOR:
Neil Witoff
M & T Corporate Trust Department
One M & T Plaza-7th Floor
Buffalo, NY 14240
<TABLE>
<CAPTION>
Total Principal Scheduled Overcollateralization
Distribution Principal Prepayments Liquidations Inc/(Red) Total
<S> <C> <C> <C> <C> <C> <C>
SEC. 7.09(a)(ii) Class A-1 2,292,681.67 40,681,116.28 677,685.00 31,720.33 43,683,203.28
Per $1000 Unit 9.75609221 173.11113311 2.88376596 0.13498013 185.88597140
Class A-2 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-3 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-4 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-5 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-6 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-7 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-8 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-9 * 0.00 0.00 0.00 0.00 0.00
Per $25,000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class B 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Total 2,292,681.67 40,681,116.28 677,685.00 31,720.33 43,683,203.28
Per $1000 Unit 1.50339782 26.67614182 0.44438361 0.02080022 28.64472346
* Class A-9 Amounts Per $25,000 Unit.
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
SEC. 7.09(a)(iv) Total Certificate Interest Carry-Forward Amount 0.00
Class A-1 Interest Carry-Forward Amount 0.00
Class A-2 Interest Carry-Forward Amount 0.00
Class A-3 Interest Carry-Forward Amount 0.00
Class A-4 Interest Carry-Forward Amount 0.00
Class A-5 Interest Carry-Forward Amount 0.00
Class A-6 Interest Carry-Forward Amount 0.00
Class A-7 Interest Carry-Forward Amount 0.00
Class A-7IO Interest Carry-Forward Amount 0.00
Class A-8 Interest Carry-Forward Amount 0.00
Class A-9 Interest Carry-Forward Amount 0.00
Class B Interest Carry-Forward Amount 0.00
</TABLE>
<TABLE>
<CAPTION>
Group I Group II Total
<S> <C> <C> <C> <C>
SEC. 7.09(a)(vi) Outstanding Loan Balance: 1,085,798,074.20 395,518,722.52 1,481,316,796.72
Prepayments (including Curtailments and Purchased Principal) 28,054,558.09 6,627,498.70 34,682,056.79
Liquidation Proceeds applied to principal 4,544,246.00 2,581,009.72 7,125,255.72
SEC. 7.09(a)(vii) Code Section 6049(d)(7)(C) Information-Required Market
Discount Information Provided at Calendar Year End.
<CAPTION>
Group I Group II Total
<S> <C> <C> <C> <C>
SEC. 7.09(a)(viii) Loan Purchase Prices 277,219.74 20,756.40
Substitution Amounts 0.00 0.00
SEC. 7.09(a)(ix) Weighted Average Coupon 11.3481% 10.3438% 11.0812%
SEC. 7.09(a)(x) Delinquency Trigger Event Occurrence NO
Cumulative Realized Loss Trigger Event Occurrence NO
SEC. 7.09(a)(xi) Senior Enhancement Percentage 3.0885%
SEC. 7.09(a)(xii) Overcollateralization Amount 0.00
<CAPTION>
SEC. 7.09(a)(xiii) Applied Realized Realized Loss Unpaid Realized
Loss Amount Amortization Amount Loss Amount
Class B 0.00 0.00 0.00
SEC. 7.09(a)(xv) Available Funds Cap 9.43690%
SEC. 7.09(a)(xvi) Insured Payment 0.00
SEC. 7.09(a)(xvii) Reimbursement Amount Paid 0.00
Remaining Reimbursement Amount Unpaid 0.00
SEC. 7.09(a)(xix) Largest Home Equity Loan Balance Outstanding 449,720.37
SEC. 7.09(a)(xx) Amount Remaining in the Auction Remainder Account 0.00
</TABLE>
<PAGE>
Page 2
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SEC. 7.09(b)(ii) Delinquencies(1) Period Number Percentage Prin. Balance Percentage
30-59 Days 624 3.45840% 35,357,354.05 3.25635%
Group I 60-89 Days 202 1.11955% 11,999,493.00 1.10513%
90+ Days 175 0.96991% 10,084,210.70 0.92874%
30-59 Days 110 2.59924% 8,732,888.23 2.20796%
Group II 60-89 Days 32 0.75614% 2,983,837.85 0.75441%
90+ Days 25 0.59074% 2,553,818.37 0.64569%
30-59 Days 734 3.29517% 44,090,242.28 2.97642%
TOTAL 60-89 Days 234 1.05051% 14,983,330.85 1.01149%
90+ Days 200 0.89787% 12,638,029.07 0.85316%
Total Fixed 18043 100.00000% 1,085,798,074.20 100.00000%
Total Adjust. 4232 100.00000% 395,518,722.52 100.00000%
Total 22275 100.00000% 1,481,316,796.72 100.00000%
</TABLE>
(1) Includes Bankruptcies, Foreclosures and REOs ; Based on each respective
Group's loan count and balance.
<TABLE>
<CAPTION>
Group I Group II Total
<S> <C> <C> <C> <C>
SEC. 7.09(b)(iii) Loans in Foreclosure (LIF): Count 59 7 66
Loans in Foreclosure (LIF): Balance 3,638,779.41 838,000.77 4,476,780.18
Newly Commenced LIF: Count 29 5 34
Newly Commenced LIF: Balance 1,884,634.36 584,374.14 2,469,008.50
SEC. 7.09(b)(iv)(a) Loans in Bankruptcy: Count 25 6 31
Loans in Bankruptcy: Balance 1,511,857.70 445,445.27 1,957,302.97
SEC. 7.09(b)(iv)(b) Balloon Loans: Count 10718 4 10722
Balloon Loans: Balance 754,094,475.04 398,661.31 754,493,136.35
SEC. 7.09(b)(v&vi) REO Properties: Count 1 0 1
REO Properties: Balance 106,780.77 0.00 106,780.77
SEC. 7.09(b)(vii) Cumulative Realized Losses 39,243.95 10,300.00 49,543.95
SEC. 7.09(b)(viii) Loan Balance of 60+ Day Delinquent Loans 27,621,359.92
SEC. 7.09(b)(ix) Three-Month Rolling Average of 60+ Day Delinquency Rate 1.03633%
SEC. 7.08(a)(1) Amount on Deposit in the Certificate Account 78,372,421.60
</TABLE>
<TABLE>
<CAPTION>
SEC. 7.08(a)(2)(4) Amount Due Amount Paid
<S> <C> <C> <C>
Class A-1 Allocation 46,766,582.24 46,766,582.24
Class A-2 Allocation 2,255,110.00 2,255,110.00
Class A-3 Allocation 4,163,943.34 4,163,943.34
Class A-4 Allocation 1,365,000.00 1,365,000.00
Class A-5 Allocation 1,841,840.00 1,841,840.00
Class A-6 Allocation 550,095.00 550,095.00
Class A-7 Allocation 1,368,266.25 1,368,266.25
Class A-7IO Allocation 1,754,187.50 1,754,187.50
Class A-8 Allocation 1,804,993.06 1,804,993.06
Class A-9 Allocation 3,396,135.42 3,396,135.42
Class A Distribution Amount 65,266,152.81 65,266,152.81
Class B Allocation 726,586.25 726,586.25
SEC. 7.08(a)(3) Insured Payment made by the Certificate Insurer 0.00
</TABLE>
<TABLE>
<CAPTION>
SEC. 7.08(a)(5) Beginning Principal Ending
Class Balance * Distribution Balance *
<S> <C> <C> <C> <C>
A-1 235,000,000.00 43,683,203.28 191,316,796.72
A-2 166,000,000.00 0.00 166,000,000.00
A-3 307,000,000.00 0.00 307,000,000.00
A-4 100,000,000.00 0.00 100,000,000.00
A-5 132,000,000.00 0.00 132,000,000.00
A-6 39,000,000.00 0.00 39,000,000.00
A-7 95,250,000.00 0.00 95,250,000.00
A-7IO 95,250,000.00 NA 95,250,000.00
A-8 137,500,000.00 0.00 137,500,000.00
A-9 267,500,000.00 0.00 267,500,000.00
B 45,750,000.00 0.00 45,750,000.00
* Denotes Notional Amounts for Class A-7IO.
SEC. 7.08(a)(6) Current Period Realized Losses (Recoveries) 18,231.32
Cumulative Realized Losses 49,543.95
SEC. 7.08(a)(7) Loan Balance of 60+ Day Delinquent Loans 27,621,359.92
Three-Month Rolling Average of 60+ Day Delinquency Rate 1.03633%
</TABLE>
<PAGE>
REO Status
SEC. 7.09(b)(v&vi) Loan Number Book Value Status
8195764 $324,080.77 Listed
3821188 $ 36,940.28 Listed
4272340 $ 33,673.67 Eviction
4431532 $ 62,218.98 New File (Setup)
4435384 $ 23,831.90 New File (Setup)
4463048 $106,780.77 List Pending
4526018 $ 26,232.00 Listed
4912549 $103,275.00 Not Provided
4532933 $197,124.95 New File (Setup)
<PAGE>
Insurer's Report
Distribution Period:
* Monthly Excess Cashflow Amount 11,977,355.80
* Premium paid from cash flow (1) 218,196.00
* Trustee Fee paid from cash flow (1) 4,974.88
* Auction Agent Fee
(Incl. Broker Dealer Fee) 172,777.78
* Interest Collected on Mortgage
Loans (net of Service Fee) 34,682,840.24
* Current Period Realized Losses:
Principal 30,688.69
Interest 18,855.26
(1) Allocated based upon the related Certificate Balances.