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 1997-4
------------------------------------------------------
(Exact name of registrant as specified in its charter)
16-1537547
16-1537548
New York 16-1537550
------------------------------ -------------------
(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
Documents Incorporated by Reference:
None
<PAGE>
CONTIMORTGAGE HOME EQUITY LOAN TRUST 1997-4
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 ................................... 3
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 1997-4 (the "Trust")
established pursuant to the Pooling and Servicing Agreement (the "Agreement")
dated September 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 B Certificates and Class 7-IO Certificate 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 18
holders of the Class A-1 Certificates, 11 holders of the Class A-2 Certificates,
19 holders of the Class A-3 Certificates, 6 holders of the Class A-4
Certificates, 15 holders of the Class A-5 Certificates, 11 holders of the Class
A-6 Certificates, 10 holders of the Class A-7 Certificates, 5 holders of the
Class A-8 Certificate, 15 holders of the Class A-9 Certificates, 2 holders of
the Class B Certificates and 11 holders of the Class A-7IO Certificates.
ITEM 6 - Selected Financial Data
Not applicable.
-2-
<PAGE>
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 $1,983,097.
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.
-3-
<PAGE>
Amount Owned
Name and Address All Dollar Amounts Are in Thousands
Principal Percent
--------- -------
Class A-1 Certificates
Boston Safe Deposit and Trust Company $70,270 29.90%
C/O Mellon Bank N.A
Three Mellon Bank Center, Rm 153-3015
Pittsburgh, PA 15259
Comerica Bank 15,000 6.38
Detroit, MI 48275-3530
Northern Trust Company 14,000 5.96
801 S. Canal C-IN
Chicago, Il 60607
PNC Bank, NA 36,000 15.32
1835 Market Street
11 Penn Center, 15th Floor
Philadelphia, PA 19103
SSB-Custodian 64,975 27.65
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
Class A-2 Certificates
Chase Manhattan Bank $86,500 52.11%
4 New York Plaza
13th Floor
New York, NY 10004
Norwest Bank Minnesota, NA 14,000 8.43
733 Marquette Avenue
Minneapolis, MN 55479-0056
PNC Bank, NA 9,000 5.42
1835 Market Street
11 Penn Center, 15th Floor
Philadelphia, PA 19103
-4-
<PAGE>
Republic National Bank of New York 13,000 7.83
Investment Account
One Hanson Place, Lower Level
Brooklyn, NY 11243
SSB Custodian 24,500 14.76
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
Class A-3 Certificates
Bank of New York $40,260 13.11%
925 Patterson Plank Rd
Secaucus, NJ 07094
Bankers Trust Company 52,940 17.24
c/o BT Services Tennessee, Inc.
648 Grassmere Park Road
Nashville, TN 37211
Chase Manhattan 95,115 30.98
4 New York Plaza
13th Floor
New York, NY 10004
Corestates Bank, N.A 23,845 7.77
P.O. Box 7618 F.C. #1-9-1-21
Philadelphia, PA 19106-7618
Merrill Lynch, Pierce, Fenner & Smith, Inc. 20,000 6.52
Debt Sec
4 Corporate Place
Corporate Park 287
Piscataway, NJ 08855
SSB Custodian 29,345 9.56
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
-5-
<PAGE>
Class A-4 Certificates
Bank of New York $ 6,000 6.00%
925 Patterson Plank Rd
Secaucus, NJ 07094
Bank One Trust Company N.A 63,650 63.65
Public Employee Retirement
277 East Town Street
Columbus, OH 43215
Chase Manhattan Bank 15,000 15.00
4 New York Plaza
13th Floor
New York, NY 10004
First Union National Bank 5,350 5.35
401 South Tryon Street
Charlotte, NC 28288
Mercantile Bank of St. Louis 8,000 8.00
National Association Bond
P.O. Box 349
St. Louis, MO 63166
Class A-5 Certificates
Boston Safe Deposit & Trust Co. $52,950 40.11%
c/o Mellon Bank N.A
Three Mellon Bank Center
Room 153-3015
Pittsburgh, PA 15259
Chase Manhattan Bank 8,750 6.63
4 New York Plaza
13th Floor
New York, NY 10004
Comerica Bank 12,800 9.70
Detroit, MI 48275-3530
PNC Bank, NA 11,900 9.02
1835 Market Street
11 Penn Center, 15th Floor
Philadelphia, PA 19103
SSB-Custodian 28,350 21.48
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
-6-
<PAGE>
Class A-6 Certificates
Bank of New York $ 5,850 15.00%
925 Patterson Plank Road
Secaucus, NJ 07094
Bankers Trust Company 7,900 20.26
C/O BT Services Tennessee Inc.
648 Grassmere Park Drive
Nashville, TN 37211
Chase Manhattan Bank 8,000 20.51
4 New York Plaza
13th Floor
New York, NY 10004
Corestates Bank, N.A 2,000 5.13
P.O. Box 7618 F.C. #1-9-1-21
Philadelphia, PA 19106-7618
First Union National Bank 2,550 6.54
401 South Tryon Street
Charlotte, NC 28288
Northern Trust Company 7,700 19.74
801 S. Canal C-IN
Chicago, IL 60607
SSB-Custodian 3,000 7.69
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
Class A-7 Certificates
Bank of New York $17,400 18.27%
925 Patterson Plank Road
Secaucus, NJ 07094
Bankers Trust Company 7,000 7.35
c/o BT Services Tennessee, Inc.
648 Grassmere Park Road
Nashville, TN 37211
-7-
<PAGE>
Citibank 10,000 10.50
P.O. Box 30576
Tampa, FL 33630-3576
Merrill Lynch, Pierce, Fenner & Smith, Inc. 25,000 26.25
Debt Securities
4 Corporate Place
Corporate Park 287
Piscataway, NJ 08855
Norwest Bank Minnesota, NA 6,000 6.30
733 Marquette Avenue
Minneapolis, MN 55479-0056
Northern Trust Company 9,000 9.45
801 S. Canal C-IN
Chicago, IL 60607
SSB-Custodian 19,750 20.74
Global Corp Action Dept JAB5W
P.O. Box 1631
Boston, MA 02105-1631
Class A-8 Certificates
Bear Stearns Securities Corp. $12,000 8.73%
One Metrotech Center North
4th Floor
Brooklyn, NY 11201-3862
Chase Manhattan Bank 12,000 8.73
4 New York Plaza
13th Floor
New York, NY 10004
Daiwa Securities America Inc. 24,000 17.45
Financial Square
32 Old Slip, 14th Floor
New York, NY 10005
Merrill Lynch, Pierce Fenner & Smith 66,026 48.02
Safekeeping
4 Corporate Place
Corporate Park 287
Piscataway, NJ 08855
Merrill Lynch, Pierce Fenner & Smith , Inc. 23,474 17.07
Debt Securities
4 Corporate Place
Corporate Park 287
Piscataway, NJ 08855
-8-
<PAGE>
Class A-9 Certificates
Bankers Trust Company $40,000 14.95%
C/O Bt Services Tennessee Inc.
648 Grassmere Park Drive
Nashville, TN 37211
Firststar Trust Company 25,000 9.35
777 E. Wisconsin Avenue
Milwaukee, WI 53202
Lewco Securities Corp. 25,900 9.68
34 Exchange Pl. Plaza, 4th Floor
Jersey City, NJ 07311-3988
LBI-Lehman Government Securities Inc. 25,000 9.35
200 Vesey Street
New York, NY 10285
Merrill Lynch, Pierce Fenner & Smith 87,050 32.54
Safekeeping
4 Corporate Place
Corporate Park 287
Piscataway, NJ 08855
Class B Certificates
Boston Safe Deposit and Trust Company $30,000 65.57%
C/O Mellon Bank, N.A
Three Mellon Bank Center, Room 153-3015
Pittsburgh, PA 15259
Northern Trust Company 15,750 34.43
801 S. Canal C-IN
Chicago, IL 60607
Class A-7-IO
Bankers Trust Company $ 9,250(1) 9.71%
C/O BT Services Tennessee Inc.
648 Grassmere Park Drive
Nashville, TN 37211
-9-
<PAGE>
Boston Safe Deposit and Trust Company 13,000(1) 13.65
C/O Mellon Bank N.A
Three Mellon Bank Center, Room 153-3015
Pittsburgh, PA 15259
Chase Manhattan 20,000(1) 21.00
4 New York Plaza
13th Floor
New York, NY 10004
Citibank 20,250(1) 21.26
P.O. Box 30576
Tampa, FL 33630-3576
Fiduciary SSB 9,000(1) 9.45
108 Myrtle Street
Newport Office Bldg
N. Quincy, MA 02171
First Union Bank National Bank 10,000(1) 10.51
401 South Tryon Street
Charlotte, NC 28288
Northern Trust Company 5,000(1) 5.25
801 S. Canal C-IN
Chicago, IL 60607
First Bank NA 5,000(1) 5.25
C/O Ice Proxy Services
71 Executive Blvd
Farmingdale, NY 11735
(1) Represents the "Notional Principal Amount" of the Certificates which is
based on the aggregate outstanding Certificate Principal Balance of the
Certificates.
ITEM 13 - Certain Relationships and Related Transactions
None
PART IV
-10-
<PAGE>
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.
b) Reports on Form 8-K.
3 reports on Form 8-K has been filed by the Issuer during the period covered by
this report.
Date of Report on Form 8-K Items Reported/Financial
Statements Filed
November 15, 1997 Trustee's Monthly Report for the
October Monthly Period.
Decemeber 15, 1997 Trustee's Monthly Report for the
November Monthly Period.
January 15, 1997 Trustee's Monthly Report for the
December.
-11-
<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
-12-
<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.
-13-
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 1997-4
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 1997-4
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.
