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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(D) OF THE
SECURITIES EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported) : June 25, 1999
MERRILL LYNCH MORTGAGE INVESTORS INC, (as depositor under the
Pooling and Servicing Agreement, dated May 1, 1999, providing for the
issuance of C-BASS Trust 1999-CB2, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 1999-CB2).
MERRILL LYNCH MORTGAGE INVESTORS, INC.
(Exact name of registrant as specified in its charter)
Delaware 333-39127 13-5674085
(State or other (Commission File Number) (IRS Employer
jurisdiction of Identification No.)
incorporation)
World Financial Center North Tower
250 Vesey Street, 17th Floor
New York, New York 10281-1315
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code : (212) 449-1000
N/A
(Former name or former address, if changed since last report.)
Page 1 of 4
This report consists of 12
consecutively numbered pages.
<PAGE>
Item 5. Other Events.
This report and the attached exhibit is being filed pursuant to "no-action"
positions taken by the Securities and Exchange Commission with respect to
alternative means of satisfying the Registrant's reporting obligations under the
Securities Exchange Act of 1934, as amended, with respect to the Registrant's
C-BASS Trust 1999-CB2, C-BASS Mortgage Loan Asset-Backed Certificates, Series
1999-CB2 (the "Certificates"). The Certificates were issued, and this report and
exhibits are being filed, pursuant to the terms of the Pooling and Servicing
Agreement, dated as of May 1, 1999 ( the "Agreement"), among Merrill Lynch
Mortgage Investors, Inc., as Depositor, Credit-Based Asset Servicing and
Securitization LLC, as Seller, Litton Loan Servicing LP, as Servicer, and The
Chase Manhattan Bank, as Trustee. On June 25, 1999 and July 26, 1999
distributions were made to the Certificateholders. Specific information with
respect to these distributions are filed as Exhibits 99.1 and 99.2. No other
reportable transactions or matters have occurred during the current reporting
period.
Item 7. Financial Statements and Exhibits.
(a) Not applicable
(b) Not applicable
(c) The following exhibit is filed as part of this report:
Statement to Certificateholders on June 25, 1999,
as Exhibit 99.1.
Statement to Certificateholders on July 26, 1999,
as Exhibit 99.2.
-2-
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
THE CHASE MANHATTAN BANK,
not in its individual capacity but solely
as Trustee under the Agreement referred
to herein
Date: August 18, 1999 By: /s/ Kimberly K. Costa
Kimberly K. Costa
Vice President
-3-
<PAGE>
INDEX TO EXHIBITS
Exhibit
Number Description of Exhibits Page
99.1 Statement to Certificateholders 5
June 25, 1999.
99.1 Statement to Certificateholders 9
July 26, 1999.
-4-
<PAGE>
Exhibit 99.1
Statement to Certificateholders
June 25, 1999
-5-
<PAGE>
<TABLE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES SERIES 1999-CB2
STATEMENT TO CERTIFICATEHOLDERS
June 25, 1999
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL PRIOR CURRENT
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
- ----------------------------------------------------------------------------------------------------------------------------------
IA 141,832,106.00 141,832,106.00 689,987.85 827,353.95 1,517,341.80 0.00 0.00 141,142,118.15
IAPO 161,894.00 161,894.00 195.38 0.00 195.38 0.00 0.00 161,698.62
IM1 1,110,000.00 1,110,000.00 1,191.35 6,475.00 7,666.35 0.00 0.00 1,108,808.65
IM2 740,000.00 740,000.00 794.23 4,316.67 5,110.90 0.00 0.00 739,205.77
IM3 740,000.00 740,000.00 794.23 4,316.67 5,110.90 0.00 0.00 739,205.77
IB1 740,000.00 740,000.00 794.23 4,316.67 5,110.90 0.00 0.00 739,205.77
IB2 740,000.00 740,000.00 794.23 4,316.67 5,110.90 0.00 0.00 739,205.77
IB3 1,849,418.00 1,849,418.00 1,984.96 10,788.27 12,773.23 0.00 0.00 1,847,433.04
IIA1 84,958,000.00 84,958,000.00 1,045,983.54 218,648.85 1,264,632.39 0.00 0.00 83,912,016.46
IIA2 43,008,000.00 43,008,000.00 1,102,553.30 107,639.47 1,210,192.77 0.00 0.00 41,905,446.70
IIM1 10,529,000.00 10,529,000.00 0.00 65,981.73 65,981.73 0.00 0.00 10,529,000.00
IIM2 8,909,000.00 8,909,000.00 0.00 61,323.62 61,323.62 0.00 0.00 8,909,000.00
IIB1 7,694,000.00 7,694,000.00 0.00 53,216.83 53,216.83 0.00 0.00 7,694,000.00
IIB2 3,644,000.00 3,644,000.00 0.00 21,256.67 21,256.67 0.00 0.00 3,644,000.00
IIB3 3,240,000.00 3,240,000.00 0.00 18,900.00 18,900.00 0.00 0.00 3,240,000.00
X 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------------------------------------------------------------
TOTALS 309,895,418.00 309,895,418.00 2,845,073.30 1,408,851.07 4,253,924.37 0.00 0.00 307,050,344.70
- ----------------------------------------------------------------------------------------------------------------------------------
IAIO 144,330,149.22 144,330,149.22 0.00 146,796.76 146,796.76 0.00 0.00 143,637,829.94
- ----------------------------------------------------------------------------------------- -------------------------------------
FACTOR INFORMATION PER $1,000 OF ORIGINAL FACE PASS-THROUGH RATES
PRIOR CURRENT CURRENT
PRINCIPAL PRINCIPAL PASS-THRU
CLASS CUSIP FACTOR PRINCIPAL INTEREST TOTAL FACTOR CLASS RATE
- ------------------------------------------------------------------------------------------- ------------------------------------
IA 12489WAR5 1,000.000000 4.864821 5.833333 10.698155 995.1351787 IA 7.000000%
IAPO 12489WAT1 1,000.000000 1.206839 0.000000 1.206839 998.7931610 IAPO 0.000000%
IM1 12489WAU8 1,000.000000 1.073288 5.833333 6.906622 998.9267117 IM1 7.000000%
IM2 12489WAV6 1,000.000000 1.073284 5.833338 6.906622 998.9267162 IM2 7.000000%
IM3 12489WAW4 1,000.000000 1.073284 5.833338 6.906622 998.9267162 IM3 7.000000%
IB1 12489WBC7 1,000.000000 1.073284 5.833338 6.906622 998.9267162 IB1 7.000000%
IB2 12489WBD5 1,000.000000 1.073284 5.833338 6.906622 998.9267162 IB2 7.000000%
IB3 12489WBE3 1,000.000000 1.073289 5.833332 6.906621 998.9267110 IB3 7.000000%
IIA1 12489WAX2 1,000.000000 12.311772 2.573611 14.885383 987.6882278 IIA1 5.450000%
IIA2 12489WAY0 1,000.000000 25.636005 2.502778 28.138783 974.3639951 IIA2 5.300000%
IIM1 12489WAZ7 1,000.000000 0.000000 6.266666 6.266666 1,000.0000000 IIM1 7.520000%
IIM2 12489WBA1 1,000.000000 0.000000 6.883334 6.883334 1,000.0000000 IIM2 8.260000%
IIB1 1249WBB9 1,000.000000 0.000000 6.916666 6.916666 1,000.0000000 IIB1 8.300000%
IIB2 12489WBF0 1,000.000000 0.000000 5.833334 5.833334 1,000.0000000 IIB2 7.000000%
IIB3 12489WBG8 1,000.000000 0.000000 5.833333 5.833333 1,000.0000000 IIB3 7.000000%
- ------------------------------------------------------------------------------------------- -----------------------------------
TOTALS 1,000.00 9.180753 4.546215 13.726968 990.8192470
- ------------------------------------------------------------------------------------------- -----------------------------------
IAIO 12489WAS3 1,000.000000 0.000000 1.017090 1.017090 995.20 IAIO 1.220508%
- ------------------------------------------------------------------------------------------- -----------------------------------
If there are any questions or problems with this statement, please contact
the Administrator listed below:
---------------------------------------
KIMBERLY COSTA
THE CHASE MANHATTAN BANK - STRUCTURED FINANCE SERVICES
450 WEST 33RD STREET, 14TH FLOOR
NEW YORK, NEW YORK 10001
TEL: 212/946-3247
Email: [email protected]
---------------------------------------
(C) COPYRIGHT 1999, CHASE MANHATTAN CORPORATION
-6-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES SERIES 1999-CB2
June 25, 1999
Group 1 Available Funds 1,705,217.13
Group 2 Available Funds 2,695,504.01
Overcollateralization Information
Overcollateralization Amount(prior to Extra PDA) 789.85
Overcollateralization Release Amount 0.00
Overcollateralization Deficiency Amount 2,428,952.00
Target Overcollateralization Amount 2,429,741.85
Extra Principal Distribution Amount 648,713.05
Monthly Excess Interest Amount 648,713.05
Monthly Excess Cashflow Amount 648,713.05
Overcollateralization Deficiency (After Distribution) 1,780,238.94
Overcollateralization Amount (After Distribution) 649,502.90
Fees and Advances
Servicing Fee 113,715.77
Trustee Fee 2,582.47
Lender PMI 0.00
Total Advances 1,608,166.03
Group 1 Advances 1,012,008.17
Group 2 Advances 596,157.86
Mortgage Pool Information
Total Principal Balance 307,699,847.40
Loan Count 3,806
Weighted Average Remaining Term 310
Weighted Average Loan Rate 8.9862%
Aggregate Amount of Prepayment 1,424,037.61
Aggregate Amount of Repurchased Principal 461,247.95
Aggregate Amount of Realized Losses 0.00
Prepayment Interest Shortfalls (not covered by servicer) 0.00
Relief Act Shortfalls 0.00
Extraordinary Trust Fund Expenses 0.00
Group 1 Loan Information
Principal Balance 147,216,881.34
Non-Pro Principal Balance 147,058,457.01
Po Principal Balance 158,424.33
Loan Count 2,044
Weighted Average Remaining Term 309
Weighted Average Loan Rate 8.5683%
Aggreate Amount of Prepayment 537,773.73
Aggreate Amount of Repuchased Principal 679,579.61
Aggreate Amount of Realized Losses 0.00
Prepayment Interest Shortfalls (not covered by servicer) 0.00
Relief Act Shortfalls
0.00
Extraordinary Trust Fund Expenses 0.00
Non-Pro Amount of Scheduled Principal 158,580.07
Non-Pro Amount of Unscheduled Principal 537,761.03
Po Amount of Scheduled Principal 182.68
Po Amount of UnScheduled Principal 12.70
Group 2 Loan Information
Principal Balance 160,482,966.06
Loan Count 1,762
Weighted Average Remaining Term 311
Weighted Average Loan Rate 9.3678%
Aggregate Amount of Prepayment 886,263.88
Aggregate Amount of Repurchased Principal 461,247.95
Aggregate Amount of Realized Losses 0.00
Prepayment Interest Shortfalls (not covered by servicer) 0.00
Relief Act Shortfalls 0.00
Extraordinary Trust Fund Expenses 0.00
Basis Rick Reserve Fund Balance 5,000.00
Libor Carryover Amount 0.00
-7-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES SERIES 1999-CB2
June 25, 1999
Interest Shortfalls
Class ia1 0.00
Class ia-io 0.00
Class im1 0.00
Class im2 0.00
Class im3 0.00
Class im4 0.00
Class ib1 0.00
Class ib2 0.00
Class ib3 0.00
Class iia 0.00
Class iim1 0.00
Class iim2 0.00
Class iib1 0.00
Class iib2 0.00
Class iib3 0.00
Number and Aggregate Principal Amounts of Mortgage Loans in Delinquency
Group 1
Category Number Principal Balance Percentage
1 Month 495 38,830,173.11 26.38%
2 Months 298 22,847,707.57 15.52
3+ Months 259 19,889,884.96 13.51%
Total 1052 81,567,765.64 55.41%
Group 2
Category Number Principal Balance Percentage
1 Month 337 31,952,225.42 19.91%
2 Months 123 9,960,147.19 6.21%
3+ Months 41 3,281,973.65 2.05%
Total 501 45,194,346.26 28.17%
Group Totals
Category Number Principal Balance Percentage
1 Month 832 70,782,398.53 23%
2 Months 421 32,807,854.76 10.66%
3+ Months 300 23,171,858.61 7.53%
Total 1553 126,762,111.90 41.19%
Number and Aggregate Principal Amounts of Mortgage Loans in Foreclosure
Group 1
Number Principal Balance Percentage
74 5,812,549.51 162.40%
Group 2
Number Principal Balance Percentage
9 1,098,313.22 1.03%
Group Totals
Number Principal Balance Percentage
83 6,910,862.73 2.25%
Number and Aggregate Principal Amounts of Bankruptcy Loans
Group Totals
Number Principal Balance Percentage
558 36,095,197.59 11.73%
Number and Aggregate Principal Amounts of REO Loans
Group 1
Number Principal Balance Percentage
0 0.00 0%
Group 2
Number Principal Balance Percentage
0 0.00 0%
Group Totals
Number Principal Balance Percentage
0 0.00 0%
(C) COPYRIGHT 1999, CHASE MANHATTAN CORPORATION
-8-
<PAGE>
Exhibit 99.2
Monthly Statment to Certificateholders
July 26, 1999
-9-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES SERIES 1999-CB2
STATEMENT TO CERTIFICATEHOLDERS
July 26, 1999
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL PRIOR CURRENT
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
- ----------------------------------------------------------------------------------------------------------------------------------
IA 141,832,106.00 141,142,118.15 1,615,929.17 823,329.02 2,439,258.19 0.00 0.00 139,526,188.98
IAPO 161,894.00 161,698.62 3,655.11 0.00 3,655.11 0.00 0.00 158,043.51
IM1 1,110,000.00 1,108,808.65 6,298.28 6,468.05 12,766.33 0.00 0.00 1,102,510.37
IM2 740,000.00 739,205.77 4,198.85 4,312.03 8,510.88 0.00 0.00 735,006.92
IM3 740,000.00 739,205.77 4,198.85 4,312.03 8,510.88 0.00 0.00 735,006.92
IB1 740,000.00 739,205.77 4,198.85 4,312.03 8,510.88 0.00 0.00 735,006.92
IB2 740,000.00 739,205.77 4,198.85 4,312.03 8,510.88 0.00 0.00 735,006.92
IB3 1,849,418.00 1,847,433.04 10,493.83 10,776.69 21,270.52 0.00 0.00 1,836,939.21
IIA1 84,958,000.00 83,912,016.46 3,128,580.06 404,100.46 3,532,680.52 0.00 0.00 80,783,436.40
IIA2 43,008,000.00 41,905,446.70 1,009,985.55 196,393.95 1,206,379.50 0.00 0.00 40,895,461.15
IIM1 10,529,000.00 10,529,000.00 0.00 65,981.73 65,981.73 0.00 0.00 10,529,000.00
IIM2 8,909,000.00 8,909,000.00 0.00 61,323.62 61,323.62 0.00 0.00 8,909,000.00
IIB1 7,694,000.00 7,694,000.00 0.00 53,216.83 53,216.83 0.00 0.00 7,694,000.00
IIB2 3,644,000.00 3,644,000.00 0.00 21,256.67 21,256.67 0.00 0.00 3,644,000.00
IIB3 3,240,000.00 3,240,000.00 0.00 18,900.00 18,900.00 0.00 0.00 3,240,000.00
X 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------------------------------------------------------------
TOTALS 309,895,418.00 307,050,344.70 5,791,737.40 1,678,995.14 7,470,732.54 0.00 0.00 301,258,607.30
- ----------------------------------------------------------------------------------------------------------------------------------
IAIO 144,330,149.22 143,637,829.94 0.00 146,009.57 146,009.57 0.00 0.00 142,294,130.82
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------- -------------------------------------
FACTOR INFORMATION PER $1,000 OF ORIGINAL FACE PASS-THROUGH RATES
PRIOR CURRENT CURRENT
PRINCIPAL PRINCIPAL PASS-THRU
CLASS CUSIP FACTOR PRINCIPAL INTEREST TOTAL FACTOR CLASS RATE
- ------------------------------------------------------------------------------------------- ------------------------------------
IA 12489WAR5 995.13517870 11.39325372 5.80495519 17.19820892 983.74192498 IA 7.000000%
IAPO 12489WAT1 998.79316096 22.57718013 0.00000000 22.57718013 976.21598083 IAPO 0.000000%
IM1 12489WAU8 998.92671171 5.67412613 5.82707207 11.5011982 993.25258559 IM1 7.000000%
IM2 12489WAV6 998.92671622 5.67412162 5.82706757 11.50118919 993.25259459 IM2 7.000000%
IM3 12489WAW4 998.92671622 5.67412162 5.82706757 11.50118919 993.25259459 IM3 7.000000%
IB1 12489WBC7 998.92671622 5.67412162 5.82706757 11.50118919 993.25259459 IB1 7.000000%
IB2 12489WBD5 998.92671622 5.67412162 5.82706757 11.50118919 993.25259459 IB2 7.000000%
IB3 12489WBE3 998.92671100 5.67412559 5.82707100 11.50119659 993.25258541 IB3 7.000000%
IIA1 12489WAX2 987.68822783 36.82502013 4.75647332 41.58149344 950.86320770 IIA1 5.592000%
IIA2 12489WAY0 974.36399507 23.48366699 4.56645159 28.05011858 950.88032808 IIA2 5.442500%
IIM1 12489WAZ7 1000.00000000 0.00000000 6.26666635 6.26666635 1,000.00000000 IIM1 7.520000%
IIM2 12489WBA1 1000.00000000 0.00000000 6.88333371 6.88333371 1,000.00000000 IIM2 8.260000%
IIB1 1249WBB9 1000.00000000 0.00000000 6.91666623 6.91666623 1,000.00000000 IIB1 8.300000%
IIB2 12489WBF0 1000.00000000 0.00000000 5.83333425 5.83333425 1,000.00000000 IIB2 7.000000%
IIB3 12489WBG8 1000.00000000 0.00000000 5.83333333 5.83333333 1,000.00000000 IIB3 7.000000%
TOTALS 990.81924696 18.68932893 5.41794116 24.10727009 972.12991804
- ------------------------------------------------------------------------------------------- -----------------------------------
IAIO 12489WAS3 995.20322480 0.00000000 1.01163597 1.01163597 985.89332575 IAIO 1.219814%
- ------------------------------------------------------------------------------------------- -----------------------------------
If there are any questions or problems with this statement, please contact
the Administrator listed below:
---------------------------------------
KIMBERLY COSTA
THE CHASE MANHATTAN BANK - STRUCTURED FINANCE SERVICES
450 WEST 33RD STREET, 14TH FLOOR
NEW YORK, NEW YORK 10001
TEL: 212/946-3247
Email: [email protected]
---------------------------------------
(C) COPYRIGHT 1999, CHASE MANHATTAN CORPORATION
-10-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES SERIES 1999-CB2
July 26, 1999
Group 1 Available Funds 2,657,003.28
Group 2 Available Funds 4,959,738.87
Overcollateralization Information
Overcollateralization Amount(prior to Extra PDA) 649,502.90
Overcollateralization Release Amount 0.00
Overcollateralization Deficiency Amount 1,780,238.95
Target Overcollateralization Amount 2,429,741.85
Extra Principal Distribution Amount 365,815.02
Monthly Excess Interest Amount 365,815.02
Monthly Excess Cashflow Amount 365,815.02
Overcollateralization Deficiency (After Distribution) 1,414,423.92
Overcollateralization Amount (After Distribution) 1,015,317.92
Fees and Advances
Servicing Fee 112,873.17
Trustee Fee 2,564.17
Lender PMI 0.00
Total Advances 3,612,478.99
Group 1 Advances 3,007,206.94
Group 2 Advances 605,272.05
Mortgage Pool Information
Total Principal Balance 302,273,925.00
Loan Count 3,748
Weighted Average Remaining Term 309
Weighted Average Loan Rate 8.9942%
Aggregate Amount of Prepayment 4,248,064.89
Aggregate Amount of Repurchased Principal 867,220.58
Aggregate Amount of Realized Losses 0.00
Prepayment Interest Shortfalls (not covered by servicer) 0.00
Relief Act Shortfalls 0.00
Extraordinary Trust Fund Expenses 0.00
Group 1 Loan Information
Principal Balance 145,563,709.53
Non-Pro Principal Balance 145,408,940.30
Po Principal Balance 154,769.22
Loan Count 2,023
Weighted Average Remaining Term 308
Weighted Average Loan Rate 8.5675%
Aggreate Amount of Prepayment 814,210.49
Aggreate Amount of Repuchased Principal 0.00
Aggreate Amount of Realized Losses 0.00
Prepayment Interest Shortfalls (not covered by servicer) 0.00
Relief Act Shortfalls 0.00
Extraordinary Trust Fund Expenses 0.00
Non-Pro Amount of Scheduled Principal 835,306.21
Non-Pro Amount of Unscheduled Principal 814,210.49
Po Amount of Scheduled Principal 3,655.11
Po Amount of UnScheduled Principal 0.00
Group 2 Loan Information
Principal Balance 156,710,215.47
Loan Count 1,725
Weighted Average Remaining Term 310
Weighted Average Loan Rate 9.3856%
Aggregate Amount of Prepayment 3,433,854.40
Aggregate Amount of Repurchased Principal 187,640.97
Aggregate Amount of Realized Losses 0.00
Prepayment Interest Shortfalls (not covered by servicer) 0.00
Relief Act Shortfalls 0.00
Extraordinary Trust Fund Expenses 0.00
Basis Rick Reserve Fund Balance 5,000.00
Libor Carryover Amount 0.00
-11-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES SERIES 1999-CB2
July 26, 1999
Interest Shortfalls
Class ia1 0.00
Class ia-io 0.00
Class im1 0.00
Class im2 0.00
Class im3 0.00
Class im4 0.00
Class ib1 0.00
Class ib2 0.00
Class ib3 0.00
Class iia 0.00
Class iim1 0.00
Class iim2 0.00
Class iib1 0.00
Class iib2 0.00
Class iib3 0.00
Number and Aggregate Principal Amounts of Mortgage Loans in Delinquency
Group 1
Category Number Principal Balance Percentage
1 Month 419 31,323,323.59 21.52%
2 Months 275 20,754,004.58 14.26%
3+ Months 264 20,542,510.06 14.11%
Total 958 72,619,838.23 49.89%
Group 2
Category Number Principal Balance Percentage
1 Month 281 29,457,254.88 18.8%
2 Months 141 10,882,691.47 6.94%
3+ Months 76 6,348,569.48 4.05%
Total 498 46,688,515.83 29.79%
Group Totals
Category Number Principal Balance Percentage
1 Month 700 60,780,578.47 20.11%
2 Months 416 31,636,696.05 10.47%
3+ Months 340 26,891,079.54 8.90%
Total 1456 119,308,354.06 39.48%
Number and Aggregate Principal Amounts of Mortgage Loans in Foreclosure
Group 1
Number Principal Balance Percentage
76 5,891,778.30 180.20%
Group 2
Number Principal Balance Percentage
13 1,405,810.22 1.35%
Group Totals
Number Principal Balance Percentage
89 7,297,588.52 2.41%
Number and Aggregate Principal Amounts of Bankruptcy Loans
Group 1
Number Principal Balance Percentage
476 32,395,927.18 22.26%
Group 2
Number Principal Balance Percentage
42 3,612,176.50 2.31%
Group Totals
Number Principal Balance Percentage
518 36,008,103.68 11.91%
Number and Aggregate Principal Amounts of REO Loans
Group 1
Number Principal Balance Percentage
0 0.00 0%
Group 2
Number Principal Balance Percentage
0 0.00 0%
Group Totals
Number Principal Balance Percentage
0 0.00 0%
(C) COPYRIGHT 1999, CHASE MANHATTAN CORPORATION
-12-
<PAGE>
</TABLE>
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