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 33-319427
ContiMortgage Home Equity Loan Trust 1997-3
------------------------------------------------------
(Exact name of registrant as specified in its charter)
16-1528916
New York 16-1528914
- ------------------------------- -------------------
(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
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-3
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
-2-
<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 1997-3 (the "Trust")
established pursuant to the Pooling and Servicing Agreement (the "Agreement")
dated June 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 and 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 Certificate, 12 holders of
the Class A-2 Certificates, 19 holders of the Class A-3 Certificates, 24 holders
of the Class A-4 Certificates, 12 holders of the Class A-5 Certificates, 16
holders of the Class A-6 Certificates, 17 holders of the Class A-7 Certificates,
5 holders of the Class A-8 Certificates, 12 holders of the Class A-9
Certificates, 5 holders of the Class M-1F Certificates, 9 holders of the Class
M-2F Certificates, 2 holders of the Class B-1F Certificates, 1 holder of the
Class C Certificate, 17 holders of the Class A-10 Certificates, 3 holders of
the M-1A Certificates, 2 holders of the M-2A Certificate, 2 holders of the B-1A
Certificates, 1 holder of the A-11IO Certificate.
-3-
<PAGE>
ITEM 6 - Selected Financial Data
Not applicable.
ITEM 7 - Management's Discussion and Analysis of 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 $3,330,041.
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
Chase Manhattan Bank $73,575 54.50%
4 New York Plaza, 13th Floor
New York, NY 10004
Citibank 26,000 19.26
P.O. Box 30576
Tampa, FL 33630-3576
Fiduciary Trust Company International 12,000 8.89
Two World Trade Center, 96th Floor
New York, NY 10048-0772
Class A-3 Certificates
Bank of New York $25,639 11.93%
925 Patterson Plank Rd
Secaucus, NJ 07094
Boston Safe Deposit & Trust Co. 12,000 5.58
c/o Mellon Bank N.A
Three Mellon Bank Center
Room 153-3015
Pittsburgh, PA 15259
Chase Manhattan Bank 28,400 13.21
4 New York Plaza
13th Floor
New York, NY 10004
Chase Manhattan Bank/Chemical 54,461 25.33
4 New York Plaza
Proxy Department, 13th Floor
New York, NY 10004
Corestates Bank, N.A 34,700 16.14
P.O. Box 7618 F.C. #1-9-1-21
Philadelphia, PA 19106-7618
-5-
<PAGE>
Northern Trust Company 16,250 7.56
801 S. Canal C-IN
Chicago, IL 60607
SSB Custodian 11,200 5.21
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
Class A-4 Certificates
Bank of New York $6,086 8.34%
925 Patterson Plank Rd
Secaucus, NJ 07094
Bankers Trust Company 30,105 41.24
c/o BT Services Tennessee, Inc.
648 Grassmere Park Road
Nashville, TN 37211
Boston Safe Deposit & Trust Co. 9,580 13.12
c/o Mellon Bank N.A
Three Mellon Bank Center
Room 153-3015
Pittsburgh, PA 15259
Chase Manhattan Bank 10,654 14.59
4 New York Plaza
13th Floor
New York, NY 10004
Class A-5 Certificates
Bank Boston, N.A $5,000 7.04%
150 Royal Street
Canton, MA 02021
Bankers Trust Company 6,750 9.51
c/o BT Services Tennessee, Inc.
648 Grassmere Park Drive
Nashville, TN 37211
Bank of America Personal Trust 7,000 9.86
Proxy Unit #38432
555 S. Flower Street, Level C
Los Angeles, CA 90071
Chase Manhattan Bank 20,650 29.08
4 New York Plaza
13th Floor
New York, NY 10004
-6-
<PAGE>
Investors Bank & Trust/M.F. Custody 13,055 18.39
200 Clarendon Street
15th Floor
Hancock Tower
Boston, MA 02116
Marine/Treasury Investments 9,000 12.70
140 Broadway - Level A
New York, NY 10015
Class A-6 Certificates
Chase Manhattan Bank $20,000 55.56%
4 New York Plaza
13th Floor
New York, NY 10004
Chase Manattan Bank/Chemical 4,000 11.11
4 New York Plaza
Proxy Department, 13th Floor
New York, NY 10004
Fleet Bank of Massachusetts, N.A 3,425 9.51
Fleet Services Corp
2nd Floor NYROT02B
Rochester, NY 14638
First Union National Bank 3,510 9.75
401 South Tryon Street
Charlotte, NC 28288
Class A-7 Certificates
Bank of New York $18,090 27.83%
925 Patterson Plank Road
Secaucus, NJ 07094
Chase Manhattan Bank 27,600 42.46
4 New York Plaza
13th Floor
New York, NY 10004
Chase Manattan Bank/Chemical 3,500 5.39
4 New York Plaza
Proxy Department, 13th Floor
New York, NY 10004
-7-
<PAGE>
Class A-8 Certificates
Morgan Stanley & Co. Incorporated $30,000 77.72%
One Pierrepont Plaza, 7th Floor
Brooklyn, NY 11201
Fifth Third Bank 4,100 10.62
Dept. 00850 - Proxy
38 Fountain Square Plaza
Cincinnati, OH 45263
Class A-9 Certificates
Bank of New York $27,200 40.00%
925 Patterson Plank Road
Secaucus, NJ 07094
Bankers Trust Company 4,565 6.71
c/o BT Services Tennessee Inc.
648 Grassmere Park Drive
Nashville, TN 37211
Citibank, N.A 12,000 17.65
P.O. Box 30576
Tampa, FL 33630-3576
Morgan Stanely & Co. Incorporated 10,000 14.71
One Pierrepont Plaza, 7th Floor
Brooklyn, NY 11201
Norwest Bank Minnesota, N.A 5,000 7.35
733 Marquette Avenue
Minneapolis, MN 55479-0056
Northern Trust Company 4,200 6.18
801 S. Canal C-IN
Chicago, IL 60607
Class M-1F Certificates
Bankers Trust Company $7,837 14.42%
c/o BT Services Tennessee Inc.
648 Grassmere Park Drive
Nashville, TN 37211
-8-
<PAGE>
Boston Safe Deposit and Trust Company 7,500 13.80
c/o Mellon Bank, N.A
Three Mellon Bank Center, Room 153-3015
Pittsburgh, PA 15259
SSB Custodian 34,000 62.57
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
Wachovia Bank, N.A 4,000 7.36
100 N. Main Street, NC 37121
Winston-Salem, NC 27150
Class M-2F Certificates
Bear Stearns Securities Corp. $2,600 5.24%
One Metrotech Center North
4th Floor
Brooklyn, NY 11201-3862
Citibank, N.A 10,463 21.09
P.O. Box 30576
Tampa, FL 33630-3576
First Union National Bank 25,000 50.39
401 South Tryton Street
Charlotte, NC 28288
Salomon Brothers Inc. 10,000 20.16
8800 Hidden River Parkway
Tampa, FL 33637
Class B-1F Certificates
Bank One Trust Company, N.A. -State $4,450 47.09%
30 West Spring Street
Columbus, OH 43266-0581
Salomon Brothers Inc. 5,000 52.91
8800 Hidden River Parkway
Tampa, FL 33637
-9-
<PAGE>
Class C Certificates
Contisecurities Residual Corporation $1,265,000(1) 100.00%
277 Park Avenue
New York, NY 10172
Class A-10 Certificates
Boston Safe Deposit and Trust Company $91,700 35.38%
c/o Mellon Bank N.A
Three Mellon Bank Center, Room 153-3015
Pittsburgh, PA 15259
Chase Manhattan Bank 65,100 25.12
4 New York Plaza
13th Floor
New York, NY 10004
Chase Manattan Bank/Chemical 24,500 9.45
4 New York Plaza
Proxy Department, 13th Floor
New York, NY 10004
MMB/Midland Bank PLC 15,000 5.79
140 Broadway
Window 11, Lower Level
New York, NY 10015
(1) Represents the "Notional Principal Amount" of the Certificates which is
based on the aggregate outstanding Certificate Principal Balance of the
Certificates.
Class M-1A Certificates
Bank of New York $5,000 19.53%
925 Patterson Plank Rd
Secaucus, NJ 07094
-10-
<PAGE>
Boston Safe Deposit and Trust Company 15,000 58.59
c/o Mellon Bank N.A
Three Mellon Bank Center, Room 153-3015
Pittsburgh, PA 15259
Chase Manhattan Bank 5,600 21.88
4 New York Plaza
13th Floor
New York, NY 10004
Class M-2A Certificates
Bankers Trust Company $10,000 50.00%
c/o BT Services Tennessee Inc.
648 Grassmere Park Drive
Nashville, TN 37211
SSB Custodian 10,000 50.00%
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
Class B-1A Certificates
Chase Manhattan Bank $7,600 50.00%
4 New York Plaza
13th Floor
New York, NY 10004
Morgan Stanley & Co. Incorporated 7,600 50.00%
One Pierrepont Plaza, 7th Floor
Brooklyn, NY 11201
Class A-11IO Certificates
Citibank, N.A $68,000(1) 100.00%
P.O. Box 30576
Tampa, FL 33630-3576
(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.
992. 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.
7 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
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
-13-
<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
Voperations.
99.3 Annual compilation of Monthly
Trustee's Statement.
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 1997-3
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 1997-3
CERTIFICATE HOLDER'S REPORT
ANNUAL STATEMENT
Year Ending: December 31, 1997
<TABLE>
<CAPTION>
Original Beginning Ending
Certificate Certificate Principal Interest Total Certificate
CUSIP Class Face Value Balance Distribution Distribution Distribution Balance
<S> <C> <C> <C> <C> <C> <C> <C>
21075WFA8 A-1 130,000,000.00 130,000,000.00 89,021,667.79 3,073,420.90 92,095,088.69 40,978,332.21
21075WFB6 A-2 135,000,000.00 135,000,000.00 0.00 4,394,250.00 4,394,250.00 135,000,000.00
21075WFC4 A-3 215,000,000.00 215,000,000.00 0.00 7,180,999.98 7,180,999.98 215,000,000.00
21075WFD2 A-4 73,000,000.00 73,000,000.00 0.00 2,489,299.98 2,489,299.98 73,000,000.00
21075WFE0 A-5 71,000,000.00 71,000,000.00 0.00 2,488,549.98 2,488,549.98 71,000,000.00
21075WFF7 A-6 36,000,000.00 36,000,000.00 0.00 1,283,400.00 1,283,400.00 36,000,000.00
21075WFG5 A-7 65,000,000.00 65,000,000.00 0.00 2,365,999.98 2,365,999.98 65,000,000.00
21075WFH3 A-8 38,600,000.00 38,600,000.00 0.00 1,462,939.98 1,462,939.98 38,600,000.00
21075WFJ9 A-9 68,000,000.00 68,000,000.00 0.00 2,420,800.02 2,420,800.02 68,000,000.00
21075WFK6 M-1F 54,337,000.00 54,337,000.00 0.00 1,986,017.34 1,986,017.34 54,337,000.00
21075WFL4 M-2F 49,613,000.00 49,613,000.00 0.00 1,872,890.76 1,872,890.76 49,613,000.00
21075WFM2 B-1F 9,450,000.00 9,450,000.00 0.00 372,802.50 372,802.50 9,450,000.00
21075X1L7 C 0.00 0.00 0.00 8,965,541.90 8,965,541.90 0.00
R 0.00 0.00 0.00 367,685.99 367,685.99 0.00
Total 945,000,000.00 945,000,000.00 89,021,667.79 40,724,599.31 129,746,267.10 855,978,332.21
</TABLE>
<TABLE>
<CAPTION>
Original Beginning Ending
Certificate Certificate Principal Interest Total Certificate
CUSIP Class Face Value Balance Distribution Distribution Distribution Balance
<S> <C> <C> <C> <C> <C> <C> <C>
21075WFN0 A-10 259,200,000.00 259,200,000.00 31,149,872.48 7,569,161.83 38,719,034.31 228,050,127.52
21075WFP5 M-1A 25,600,000.00 25,600,000.00 0.00 794,156.75 794,156.75 25,600,000.00
21075WFQ3 M-2A 20,000,000.00 20,000,000.00 0.00 645,234.95 645,234.95 20,000,000.00
21075WFR1 B-1A 15,200,000.00 15,200,000.00 0.00 523,362.57 523,362.57 15,200,000.00
Total 320,000,000.00 320,000,000.00 31,149,872.48 9,531,916.10 40,681,788.58 288,850,127.52
</TABLE>
<TABLE>
<CAPTION>
Notional Notional Principal Interest Total Notional
Class Amount Amount Distribution Distribution Distribution Amount
<S> <C> <C> <C> <C> <C> <C> <C>
21075WFS9 A-11IO 68,000,000.00 68,000,000.00 0.00 2,890,000.02 2,890,000.02 68,000,000.00
</TABLE>
<TABLE>
<CAPTION>
AMOUNTS PER $1,000 UNIT PASS THROUGH RATES
Principal Interest Total Ending Certificate Original Pass Current Pass
Class Distribution Distribution Distribution Balance Class Thru Rate Thru Rate
<S> <C> <C> <C> <C> <C> <C> <C> <C>
21075WFA8 A-1 684.78205992 23.64169923 708.42375915 315.21794008 A-1 6.42000% 6.42000%
21075WFB6 A-2 0.00000000 32.55000000 32.55000000 1,000.00000000 A-2 6.51000% 6.51000%
21075WFC4 A-3 0.00000000 33.39999991 33.39999991 1,000.00000000 A-3 6.68000% 6.68000%
21075WFD2 A-4 0.00000000 34.09999973 34.09999973 1,000.00000000 A-4 6.82000% 6.82000%
21075WFE0 A-5 0.00000000 35.04999972 35.04999972 1,000.00000000 A-5 7.01000% 7.01000%
21075WFF7 A-6 0.00000000 35.65000000 35.65000000 1,000.00000000 A-6 7.13000% 7.13000%
21075WFG5 A-7 0.00000000 36.39999969 36.39999969 1,000.00000000 A-7 7.28000% 7.28000%
21075WFH3 A-8 0.00000000 37.89999948 37.89999948 1,000.00000000 A-8 7.58000% 7.58000%
21075WFJ9 A-9 0.00000000 35.60000029 35.60000029 1,000.00000000 A-9 7.12000% 7.12000%
21075WFK6 M-1F 0.00000000 36.54999982 36.54999982 1,000.00000000 A-11IO 8.50000% 8.50000%
21075WFL4 M-2F 0.00000000 37.75000020 37.75000020 1,000.00000000 M-1F 7.31000% 7.31000%
21075WFM2 B-1F 0.00000000 39.45000000 39.45000000 1,000.00000000 M-2F 7.55000% 7.55000%
Total 94.20282306 33.21838246 127.42120551 905.79717694 B-1F 7.89000% 7.89000%
</TABLE>
<TABLE>
<CAPTION>
AMOUNTS PER $1,000 UNIT PASS THROUGH RATES
Principal Interest Total Ending Certificate Original Pass Current Pass
Class Distribution Distribution Distribution Balance Class Thru Rate Thru Rate
<S> <C> <C> <C> <C> <C> <C> <C> <C>
21075WFN0 A-10 120.17697716 29.20201323 149.37899039 879.82302284 A-10 5.89750% 5.89750%
21075WFP5 M-1A 0.00000000 31.02174805 31.02174805 1,000.00000000 M-1A 6.02750% 6.02750%
21075WFQ3 M-2A 0.00000000 32.26174750 32.26174750 1,000.00000000 M-2A 6.26750% 6.26750%
21075WFR1 B-1A 0.00000000 34.43174803 34.43174803 1,000.00000000 B-1A 6.68750% 6.68750%
Total 97.34335150 29.78723781 127.13058931 902.65664850 *Based on a LIBOR of: 5.68750%
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Total Ending Notional
Class Distribution Distribution Distribution Balance
<S> <C> <C> <C> <C> <C>
21075WFS9 A-11IO 0.00000000 42.50000029 42.50000029 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 Page 1
<PAGE>
<TABLE>
<CAPTION>
Total Principal Scheduled Overcollateralization Grp II
Distribution Principal Prepayments Liquidations Grp I Inc/(Red) Inc/(Red) Total
<S> <C> <C> <C> <C> <C> <C> <C>
SEC. 7.09(a)(ii) Class A-1 3,891,617.94 75,290,587.21 315,468.74 9,523,993.90 0.00 89,021,667.79
Per $1000 Unit 29.93552262 579.15836315 2.42668262 73.26149154 0.00000000 684.78205992
Class A-2 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-3 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-4 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-5 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-6 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-7 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-8 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-9 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class M-1F 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class M-2F 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class B-1F 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class A-10 651,508.42 26,891,022.03 306,414.99 0.00 3,300,927.04 31,149,872.48
Per $1000 Unit 2.51353557 103.74622697 1.18215660 0.00000000 12.73505802 120.17697716
Class M-1A 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class M-2A 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Class B-1A 0.00 0.00 0.00 0.00 0.00 0.00
Per $1000 Unit 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Total 4,543,126.36 102,181,609.24 621,883.73 9,523,993.90 3,300,927.04 120,171,540.27
Per $1000 Unit 3.59140424 80.77597568 0.49160769 7.52884893 2.60942849 94.99726504
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-8 Interest Carry-Forward Amount 0.00
Class A-9 Interest Carry-Forward Amount 0.00
Class A-10 Interest Carry-Forward Amount 0.00
Class A-11IO Interest Carry-Forward Amount 0.00
Class M-1F Interest Carry-Forward Amount 0.00
Class M-1A Interest Carry-Forward Amount 0.00
Class M-2F Interest Carry-Forward Amount 0.00
Class M-2A Interest Carry-Forward Amount 0.00
Class B-1F Interest Carry-Forward Amount 0.00
Class B-1A 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 Group Balance: 865,428,332.21 292,050,127.52 1,157,478,459.73
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
SEC. 7.09(a)(viii) Loan Purchase Prices 1,768,584.86 77,264.45
Substitution Amounts 0.00 0.00
SEC. 7.09(a)(ix) Weighted Average Coupon 11.5374% 10.4617%
SEC. 7.09(a)(x) Trigger Event Occurrence NO NO
Cumulative Realized Loss Trigger Event Occurrence NO
SEC. 7.09(a)(xi) Extra Principal Distribution Amount 9,523,993.90 3,300,927.04
SEC. 7.09(a)(xii) Senior Enhancement Percentage 14.1953% 21.9140%
SEC. 7.09(a)(xiii) Overcollateralization Amount 9,450,000.00 3,200,000.00
</TABLE>
Page 2
<PAGE>
<TABLE>
<CAPTION>
SEC. 7.09(a)(xiv) Applied Realized Realized Loss Unpaid Realized
Loss Amount Amortization Amount Loss Amount
<S> <C> <C> <C> <C>
Class M-1F 0.00 0.00 0.00
Class M-1A 0.00 0.00 0.00
Class M-2F 0.00 0.00 0.00
Class M-2A 0.00 0.00 0.00
Class B-1F 0.00 0.00 0.00
Class B-1A 0.00 0.00 0.00
</TABLE>
<TABLE>
<CAPTION>
SEC. 7.09(b)(i) Delinquencies(1) Period Number Percentage (2) Prin. Balance Percentage (2)
<S> <C> <C> <C> <C> <C> <C>
30-59 Days 667 4.53433% 36,524,335.02 4.22038%
Group I 60-89 Days 201 1.36642% 11,558,792.18 1.33562%
90+ Days 454 3.08634% 26,818,356.81 3.09885%
30-59 Days 121 3.42388% 8,623,240.49 2.95266%
Group II 60-89 Days 47 1.32994% 4,066,731.09 1.39248%
90+ Days 90 2.54669% 8,729,973.25 2.98920%
Total Fixed 14710 100.00000% 865,428,332.21 100.00000%
Total Adjust. 3534 100.00000% 292,050,127.52 100.00000%
</TABLE>
(1) Includes Bankruptcies, Foreclosures and REOs; Based upon each respective
Group's loan count and balance.
<TABLE>
<CAPTION>
Group I No. Grp. I Bal. Group II No. Grp. II Bal. Total Balance
<S> <C> <C> <C> <C> <C> <C>
SEC. 7.09(b)(ii) Loans in Foreclosure (LIF): 223 13,026,663.50 41 3,880,733.19 16,907,396.69
Newly Commenced LIF: 44 2,686,752.80 10 925,207.74 3,611,960.54
SEC. 7.09(b)(iii)(a) Loans in Bankruptcy 86 4,814,452.58 31 2,999,757.29
SEC. 7.09(b)(iii)(b) Balloon Loans 8752 601,182,934.00 7 422,723.56
SEC. 7.09(b)(iv&v) REO Properties 6 483,183.42 0 0.00
SEC. 7.09(b)(vi) Cumulative Realized Losses 163,139.36 55,951.24 219,090.60
SEC. 7.09(b)(vii) Loan Balance of 60+ Day Delinquent Loans 38,377,148.99 12,796,704.34 51,173,853.33
SEC. 7.09(b)(viii) Three-Month Rolling Average of 60+ Day Delinquent 3.54396% 3.34644%
Trigger Event NO NO
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
SEC. 7.08(a)(1) Amount on Deposit in the Certificate Account 173,331,416.95
SEC. 7.08(a)(2)(3) Amount Due Amount Paid
Class A-1 Allocation 92,095,088.69 92,095,088.69
Class A-2 Allocation 4,394,250.00 4,394,250.00
Class A-3 Allocation 7,180,999.98 7,180,999.98
Class A-4 Allocation 2,489,299.98 2,489,299.98
Class A-5 Allocation 2,488,549.98 2,488,549.98
Class A-6 Allocation 1,283,400.00 1,283,400.00
Class A-7 Allocation 2,365,999.98 2,365,999.98
Class A-8 Allocation 1,462,939.98 1,462,939.98
Class A-9 Allocation 2,420,800.02 2,420,800.02
Class A-10 Allocation 38,719,034.31 38,719,034.31
Class A-11IO Allocation 2,890,000.02 2,890,000.02
Class A Distribution Amount 157,790,362.94 157,790,362.94
Class M-1F Allocation 1,986,017.34 1,986,017.34
Class M-1A Allocation 794,156.75 794,156.75
Class M-2F Allocation 1,872,890.76 1,872,890.76
Class M-2A Allocation 645,234.95 645,234.95
Class B-1F Allocation 372,802.50 372,802.50
Class B-1A Allocation 523,362.57 523,362.57
</TABLE>
<TABLE>
<CAPTION>
SEC. 7.08(a)(4) Beginning Principal Ending
<S> <C> <C> <C> <C>
Class Balance * Distribution Balance *
A-1 130,000,000.00 89,021,667.79 40,978,332.21
A-2 135,000,000.00 0.00 135,000,000.00
A-3 215,000,000.00 0.00 215,000,000.00
A-4 73,000,000.00 0.00 73,000,000.00
A-5 71,000,000.00 0.00 71,000,000.00
A-6 36,000,000.00 0.00 36,000,000.00
A-7 65,000,000.00 0.00 65,000,000.00
A-8 38,600,000.00 0.00 38,600,000.00
A-9 68,000,000.00 0.00 68,000,000.00
A-10 259,200,000.00 31,149,872.48 228,050,127.52
A-11IO 68,000,000.00 NA 68,000,000.00
M-1F 54,337,000.00 0.00 54,337,000.00
M-1A 25,600,000.00 0.00 25,600,000.00
M-2F 49,613,000.00 0.00 49,613,000.00
M-2A 20,000,000.00 0.00 20,000,000.00
B-1F 9,450,000.00 0.00 9,450,000.00
B-1A 15,200,000.00 0.00 15,200,000.00
* Denotes Notional Amounts for Class A-11IO.
</TABLE>
<TABLE>
<CAPTION>
Group I Group II
<S> <C> <C> <C>
SEC. 7.08(a)(5) Current Period Realized Losses (Recoveries) 163,139.36 55,951.24
SEC. 7.08(a)(6) Loan Balance of 60+ Day Delinquent Loans 38,377,148.99 12,796,704.34
Three-Month Rolling Average of 60+ Day Delinquent 3.54396% 3.34644%
</TABLE>
<PAGE>
Distribution Period:
REO Status
SEC. 7.09(b)(iv&v) Loan Number Book Value Status
10794728 $175,792.24
11044440 $203,851.83
12011306 $263,281.59
12245417 $184,691.27
8078488 $ 92,968.12
8252671 $ 84,456.65
3939212 $183,850.00
3981354 $ 36,000.00
3984523 $ 84,396.24
4023347 $ 36,876.61
4024147 $ 38,983.20
4027736 $ 17,712.75
4077269 67,999.60
4077947 44,967.72
4082087 $ 50,221.52
4260899 $ 18,995.87
4261087 $ 66,265.88
4318036 $ 54,400.00
4318143 $ 41,031.59
4321287 $ 38,400.00
4332045 $ 67,808.06
4344248 $215,678.06
4345500 $ 44,000.00
4348058 $ 37,821.28
4356424 $ 39,919.31
4362398 $198,687.60
4362968 $ 15,800.00
4363784 $ 48,750.00
4364014 $ 47,937.67
4370276 $ 24,000.00
4401204 $ 94,477.33
4412623 $ 54,450.00
4432811 $ 20,954.14
4433488 $ 30,037.54
4442224 $ 88,000.00
4476651 $ 75,178.48
3718962 $ 88,311.24
3814597 $ 45,420.24
