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) : October 25, 2000
MERRILL LYNCH MORTGAGE INVESTORS INC, (as depositor under the
Pooling and Servicing Agreement, dated February 1, 2000, providing for the
issuance of C-BASS Trust 2000-CB1, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2000-CB1).
MERRILL LYNCH MORTGAGE INVESTORS, INC.
(Exact name of registrant as specified in its charter)
Delaware 333-8142-12 13-5674085
(State or other (Commission File Number) (IRS Employer
jurisdiction of Identification No.)
incorporation)
World Financial Center North Tower
250 Vesey Street
New York, New York 10281-1310
(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>
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 2000-CB1, C-BASS Mortgage Loan Asset-Backed Certificates, Series
2000-CB1 (the "Certificates"). The Certificates were issued, and this report and
exhibit is being filed, pursuant to the terms of the Pooling and Servicing
Agreement, dated as of February 1, 2000 ( 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 October 25, 2000 distributions were made
to the Certificateholders. Specific information with respect to these
distributions is filed as Exhibit 99.1. No other reportable transactions or
matters have occurred during the current reporting period.
Item 7. Financial Statements and Exhibits.
(a) Not applicable
(b) Not applicable
(c) The following exhibit is filed as part of this report:
Statement to Certificateholders on October 25, 2000,
as Exhibit 99.1.
-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: December 8, 2000 By: /s/ Karen Dobres
Karen Dobres
Vice President
-3-
<PAGE>
INDEX TO EXHIBITS
Exhibit
Number Description of Exhibits
99.1 Statement to Certificateholders
October 25, 2000
-4-
Exhibit 99.1
Statement to Certificateholders
October 25, 2000
-5-
<PAGE>
<TABLE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
October 25, 2000
Revised Delinquency Information
<S> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTION IN DOLLARS
-----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL PRIOR CURRENT
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
-----------------------------------------------------------------------------------------------------------------------------------
T21 70,811,000.00 60,625,274.82 508,504.07 478,939.67 987,443.74 0.00 0.00 60,116,770.75
T23 71,193,000.00 61,858,644.65 1,670,531.70 512,911.26 2,183,442.96 0.00 0.00 60,188,112.95
T25 34,386,000.00 26,911,089.03 346,332.98 227,174.44 573,507.42 0.00 0.00 26,564,756.05
R1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
-----------------------------------------------------------------------------------------------------------------------------------
TOTALS 176,390,000.00 149,395,008.50 2,525,368.75 1,219,025.37 3,744,394.12 0.00 0.00 146,869,639.75
-----------------------------------------------------------------------------------------------------------------------------------
T22 4,320,549.58 4,320,064.10 0.00 34,128.51 34,128.51 0.00 0.00 3,746,197.58
T24 4,223,506.15 5,279,155.43 0.00 43,773.00 43,773.00 0.00 0.00 3,591,179.13
T26 2,098,054.64 2,097,833.14 0.00 17,709.21 17,709.21 0.00 0.00 1,692,734.39
-----------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------ -------------------------------------
FACTOR INFORMATION PER $1,000 OF ORIGINAL FACE PASS-THROUGH RATES
----------------------------------------------------------------------------------------- -------------------------------------
PRIOR CURRENT CURRENT
PRINCIPAL PRINCIPAL PASS-THRU
CLASS FACTOR PRINCIPAL INTEREST TOTAL FACTOR CLASS RATE
------------------------------------------------------------------------------------------- ------------------------------------
T21 856.15617376 7.18114516 6.76363376 13.94477892 848.97502860 T21 9.480000%
T23 868.88661315 23.46483081 7.20451814 30.66934895 845.42178234 T23 9.950000%
T25 782.61760687 10.07191822 6.60659687 16.67851509 772.54568865 T25 10.130000%
------------------------------------------------------------------------------------------- ------------------------------------
TOTALS 846.95849254 14.31696100 6.91096644 21.22792743 832.64153155
------------------------------------------------------------------------------------------- ------------------------------------
T22 999.88763467 0.00000000 7.89911315 7.89911315 867.06505981 T22 9.480000%
T24 1,249.94619222 0.00000000 10.36413786 10.36413786 850.28386427 T24 9.950000%
T26 999.89442601 0.00000000 8.44077636 8.44077636 806.81139458 T26 10.130000%
-------------------------------------------------------------------------------------------
If there are any questions or problems with this statement, please contact the Administrator listed below:
---------------------------------------
KAREN DOBRES
THE CHASE MANHATTAN BANK - STRUCTURED FINANCE SERVICES
450 WEST 33RD STREET, 14TH FLOOR
NEW YORK, NEW YORK 10001
TEL: 212/946-3232
Email: [email protected]
---------------------------------------
-6-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
October 25, 2000
Revised Delinquency Information
-----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTION IN DOLLARS
-----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL PRIOR CURRENT
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
----------------------------------------------------------------------------------------------------------------------------------
A1 70,811,000.00 60,625,274.82 573,866.52 403,663.29 977,529.81 0.00 0.00 60,051,408.30
A2 71,193,000.00 61,858,644.65 1,687,976.30 357,846.07 2,045,822.37 0.00 0.00 60,170,668.35
A3 34,386,000.00 26,911,089.03 636,572.62 180,080.04 816,652.66 0.00 0.00 26,274,516.41
BB 10,000,000.00 9,150,409.07 0.00 20,178.51 20,178.51 0.00 0.00 9,150,409.07
X 10,642,110.37 10,642,110.37 0.00 0.00 0.00 0.00 0.00 10,642,110.37
----------------------------------------------------------------------------------------------------------------------------------
R 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
----------------------------------------------------------------------------------------------------------------------------------
TOTALS 197,032,110.37 169,187,527.94 2,898,415.44 961,767.91 3,860,183.35 0.00 0.00 166,289,112.50
FACTOR INFORMATION PER $1,000 OF ORIGINAL FACE PASS-THROUGH RATES
----------------------------------------------------------------------------------------- -------------------------------------
PRIOR CURRENT CURRENT
PRINCIPAL PRINCIPAL PASS-THRU
CLASS FACTOR PRINCIPAL INTEREST TOTAL FACTOR CLASS RATE
------------------------------------------------------------------------------------------- ------------------------------------
A1 856.15617376 8.10420019 5.70057322 13.80477341 848.05197356 A1 7.990000%
A2 868.88661315 23.70986333 5.02642212 28.73628545 845.17674982 A2 6.941880%
A3 782.61760687 18.51255220 5.23701623 23.74956843 764.10505467 A3 8.030000%
BB 915.04090700 0.00000000 2.01785100 2.01785100 915.04090700 BB 8.000000%
X 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 X 0.000000%
------------------------------------------------------------------------------------------- ------------------------------------
TOTALS 858.67997669 14.71037099 4.88127498 19.59164596 843.96960570
-------------------------------------------------------------------------------------------
If there are any questions or problems with this statement, please contact the Administrator listed below:
---------------------------------------
KAREN DOBRES
THE CHASE MANHATTAN BANK - STRUCTURED FINANCE SERVICES
450 WEST 33RD STREET, 14TH FLOOR
NEW YORK, NEW YORK 10001
TEL: 212/946-3232
Email: [email protected]
---------------------------------------
-7-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
October 25, 2000
Revised Delinquency Information
Sec. 4.03(iii) Overcollateralization Levels, Targets and Distributable Excess
Group 1 O/C Amount 4,320,064.10
Group 1 Targeted O/C Amount 4,320,064.10
Group 1 Distributable Excess Spread 36,147.45
Group 1 Overcollateralizaton Deficiency Amount 0.00
Group 2 O/C Amount 5,279,155.43
Group 2 Targeted O/C Amount 5,279,155.43
Group 2 Distributable Excess Spread 0.00
Group 2 Overcollateralizaton Deficiency Amount 0.00
Group 3 O/C Amount 2,329,307.01
Group 3 Targeted O/C Amount 2,622,291.43
Group 3 Distributable Excess Spread 52,009.16
Group 3 Overcollateralizaton Deficiency Amount 292,984.42
Sec. 4.03 (iv) Servicing Fee 64,250.48
Sec. 4.03 (iv) PMI Scheduled Service Fees 11,711.46
Sec. 4.03 (xix) Trustee Fee 1,678.04
Sec. 4.03 (xvii) Premium 24,899.17
Special Servicing Fee Due This Period 48,450.00
Previously Unpaid Special Servicing Fees 10,469.94
Total Special Servicing Fees Due 58,919.94
Special Servicing Fee Paid This Period 0.00
Cummulative Unpaid Special Servicing Fee 58,919.94
Sec. 4.03(v) Current Advances
0.00
Sec. 4.03(vi) Collateral Balances
Collateral Balance Group 1 Sub-Group 1A 17,391,097.76
Collateral Balance Group 1 Sub-Group 1B 46,980,374.64
Collateral Balance Group 1 Total 64,371,472.40
Collateral Balance Group 2 Sub-Group 2A 7,317,629.09
Collateral Balance Group 2 Sub-Group 2B 58,132,194.69
Collateral Balance Group 2 Total 65,449,823.78
Collateral Balance Group 3 Total 28,603,823.42
Sec. 4.03(vii) Beginning Loan Count
Group 1A Beginning Number of Loans 216.00
Group 1B Beginning Number of Loans 794.00
Total Group 1 Beginning Number of Loans 1,010.00
Group 2A Beginning Number of Loans 24.00
Group 2B Beginning Number of Loans 568.00
Total Group 2 Beginning Number of Loans 592.00
Total Group 3 Beginning Number of Loans 449.00
Total Beginning Number of Loans - All Groups 2,051.00
Sec. 4.03(vii) Ending Loan Count
Group 1A Ending Number of Loans 215.00
Group 1B Ending Number of Loans 787.00
Total Group 1 Ending Number of Loans 1,002.00
Group 2A Ending Number of Loans 23.00
Group 2B Ending Number of Loans 557.00
Total Group 2 Ending Number of Loans 580.00
Total Group 3 Ending Number of Loans 445.00
Total Ending Number of Loans 2,027.00
Sec. 4.03(vii) Weighted Average Mortgage Rate
Weighted Average Mortgage Rate for All Loans 10.3040%
Group 1A Weighted Average Mortgage Rate 8.3200%
Group 1B Weighted Average Mortgage Rate 10.6090%
Group 1 Weighted Average Mortgage Rate 9.9900%
Group 2A Weighted Average Mortgage Rate 9.5400%
Group 2B Weighted Average Mortgage Rate 10.5700%
Group 2 Weighted Average Mortgage Rate 10.4591%
Group 3 Weighted Average Mortgage Rate 10.6400%
-8-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
October 25, 2000
Revised Delinquency Information
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 102 6,921,297.40 10.75
2 Months 38 2,499,676.38 3.88
3+Months 213 13,843,986.95 21.51
Total 353 23,264,960.73 36.14
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 38 4,004,909.93 6.12
2 Months 15 1,489,814.47 2.28
3+Months 106 9,521,747.09 14.55
Total 159 15,016,471.49 22.95
Group 3
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 69 4,571,475.05 15.98
2 Months 28 1,737,464.23 6.07
3+Months 70 4,602,913.17 16.09
Total 167 10,911,852.45 38.14
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 209 15,497,682.38 9.78
2 Months 81 5,726,955.08 3.61
3+ Months 389 27,968,647.21 17.65
Total 679 49,193,284.67 31.04
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
Number of Loans 30 Days Delinquent in Group 1A 27.00
Balance of Loans 30 Days Delinquent in Group 1A 2,366,845.69
Number of Loans 30 Days Delinquent in Group 1B 75.00
Balance of Loans 30 Days Delinquent in Group 1B 4,554,451.71
Number of Loans 30 Days Delinquent in Group 2A 2.00
Balance of Loans 30 Days Delinquent in Group 2 530,774.32
Number of Loans 30 Days Delinquent in Group 2B 36.00
Balance of Loans 30 Days Delinquent in Group 2B 3,474,135.61
Number of Loans 30 Days Delinquent in Group 3 69.00
Balance of Loans 30 Days Delinquent in Group 3 4,571,475.05
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
Number of Loans 60 Days Delinquent in Group 1A 8.00
Balance of Loans 60 Days Delinquent in Group 1A 636,062.32
Number of Loans 60 Days Delinquent in Group 1B 30.00
Balance of Loans 60 Days Delinquent in Group 1B 1,863,614.06
Number of Loans 60 Days Delinquent in Group 2A 0.00
Balance of Loans 60 Days Delinquent in Group 2A 0.00
Number of Loans 60 Days Delinquent in Group 2B 15.00
Balance of Loans 60 Days Delinquent in Group 2B 1,489,814.47
Number of Loans 60 Days Delinquent in Group 3 28.00
Balance of Loans 60 Days Delinquent in Group 3 1,737,464.23
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
Number of Loans 90+ Days Delinquent in Group 1A 101.00
Balance of Loans 90+ Days Delinquent in Group 1A 7,504,833.52
Number of Loans 90+ Days Delinquent in Group 1B 112.00
Balance of Loans 90+ Days Delinquent in Group 1B 6,339,153.43
Number of Loans 90+ Days Delinquent in Group 2A 1.00
Balance of Loans 90+ Days Delinquent in Group 2A 491,105.20
Number of Loans 90+ Days Delinquent in Group 2B 105.00
Balance of Loans 90+ Days Delinquent in Group 2B 9,030,641.89
Number of Loans 90+ Days Delinquent in Group 3 70.00
Balance of Loans 90+ Days Delinquent in Group 3 4,602,913.17
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
-9-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
October 25, 2000
Revised Delinquency Information
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
38 2,439,018.52 3.79
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
38 3,450,871.11 5.27
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
30 2,097,798.83 7.33
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
106 7,987,688.46 5.04
Number of Foreclosures in Group 1A 12.00
Balance of Foreclosures in Group 1A 1,083,246.41
Number of Foreclosures in Group 1B 26.00
Balance of Foreclosures in Group 1B 1,355,772.11
Number of Foreclosures in Group 2A 1.00
Balance of Foreclosures in Group 2A 491,105.20
Number of Foreclosures in Group 2B 37.00
Balance of Foreclosures in Group 2B 2,959,765.91
Number of Foreclosures in Group 3 30.00
Balance of Foreclosures in Group 3 2,097,798.83
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
134 9,036,671.97 14.04
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
42 3,653,202.85 5.58
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
20 1,049,613.71 3.67
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
196 13,739,488.53 8.67
Number of Bankruptcies in Group 1A 84.00
Balance of Bankruptcies in Group 1A 6,008,091.32
Number of Bankruptcies in Group 1B 50.00
Balance of Bankruptcies in Group 1B 3,028,580.65
Number of Bankruptcies in Group 2A 0.00
Balance of Bankruptcies in Group 2A 0.00
Number of Bankruptcies in Group 2B 42.00
Balance of Bankruptcies in Group 2B 3,653,202.85
Number of Bankruptcies in Group 3 20.00
Balance of Bankruptcies in Group 3 1,049,613.71
Number of 30 Day Bankruptcies in Group 1A 7.00
Balance of 30 Day Bankruptcies in Group 1A 424,472.38
Number of 30 Day Bankruptcies in Group 1B 5.00
Balance of 30 Day Bankruptcies in Group 1B 398,445.89
Number of 30 Day Bankruptcies in Group 2A 0.00
Balance of 30 Day Bankruptcies in Group 2A 0.00
Number of 30 Day Bankruptcies in Group 2B 2.00
Balance of 30 Day Bankruptcies in Group 2B 183,751.21
Number of 30 Day Bankruptcies in Group 3 0.00
Balance of 30 Day Bankruptcies in Group 3 0.00
-10-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
October 25, 2000
Revised Delinquency Information
Number of 60 Day Bankruptcies in Group 1A 3.00
Balance of 60 Day Bankruptcies in Group 1A 231,029.20
Number of 60 Day Bankruptcies in Group 1B 2.00
Balance of 60 Day Bankruptcies in Group 1B 193,680.59
Number of 60 Day Bankruptcies in Group 2A 0.00
Balance of 60 Day Bankruptcies in Group 2A 0.00
Number of 60 Day Bankruptcies in Group 2B 0.00
Balance of 60 Day Bankruptcies in Group 2B 0.00
Number of 60 Day Bankruptcies in Group 3 4.00
Balance of 60 Day Bankruptcies in Group 3 224,721.40
Number of 90+ Day Bankruptcies in Group 1A 74.00
Balance of 90+ Day Bankruptcies in Group 1A 5,352,589.74
Number of 90+ Day Bankruptcies in Group 1B 43.00
Balance of 90+ Day Bankruptcies in Group 1B 2,436,454.17
Number of 90+ Day Bankruptcies in Group 2A 0.00
Balance of 90+ Day Bankruptcies in Group 2A 0.00
Number of 90+ Day Bankruptcies in Group 2B 40.00
Balance of 90+ Day Bankruptcies in Group 2B 3,469,451.64
Number of 90+ Day Bankruptcies in Group 3 16.00
Balance of 90+ Day Bankruptcies in Group 3 824,892.31
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
7 382,214.05 0.59
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
5 562,420.13 0.86
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
3 252,830.07 0.88
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
15 1,197,464.25 0.76
Number of Reo's in Group 1A 0.00
Balance of Reo's in Group 1A 0.00
Number of Reo's in Group 1B 7.00
Balance of Reo's in Group 1B 382,214.05
Number of Reo's in Group 2A 0.00
Reo's in Group 2A 0.00
Number of Reo's in Group 2B 5.00
Reo's in Group 2B 562,420.13
Number of Reo's in Group 3 3.00
Reo's in Group 3 252,830.07
Sec. 4.03(x) Sec. 4.03(x) REO Book Value
REO Book Value Group 1A 0.00
REO Book Value Group 1B 382,214.05
REO Book Value Group 2A 0.00
REO Book Value Group 2B 562,420.13
REO Book Value Group 3 252,830.07
Sec. 4.03(xi) Principal Prepayments
Principal Prepayments Group 1A 116.48
Principal Prepayments Group 1B 304,476.67
Principal Prepayments Group 2A 0.00
Principal Prepayments Group 2B 1,641,298.87
Principal Prepayments Group 3 277,269.72
Sec. 4.03(xii) Realized Losses
Realized Losses Incurred in Group 1A 36,147.45
Realized Losses Incurred in Group 1B 0.00
Realized Losses Incurred in Group 2A 0.00
Realized Losses Incurred in Group 2B 0.00
Realized Losses Incurred in Group 3 45,971.32
-11-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
October 25, 2000
Revised Delinquency Information
Sec. 4.03(xii) Cummulative Realized Losses
Cummulative Realized Losses Incurred in Group 1A 36,147.45
Cummulative Realized Losses Incurred in Group 1B 4,065.96
Cummulative Realized Losses Incurred in Group 2A 0.00
Cummulative Realized Losses Incurred in Group 2B 0.00
Cummulative Realized Losses Incurred in Group 3 86,496.54
Sec. 4.03(xiii)Extraordinary Trust Fund Expense 0.00
Sec. 4.03(xv)Outstanding A2 Available Funds Cap Carryover Amount 0.00
Sec. 4.03(xvi) Current Unpaid Interest
Class A1 Current Unpaid Interest Shortfall 0.00
Class A2 Current Unpaid Interest Shortfall 0.00
Class A3 Current Unpaid Interest Shortfall 0.00
Class BB Current Unpaid Interest Shortfall 61,002.73
Sec. 4.03(xvi) Cummulative Unpaid Interest
Class A1 Cummulative Unpaid Interest Shortfall 0.00
Class A2 Cummulative Unpaid Interest Shortfall 0.00
Class A3 Cummulative Unpaid Interest Shortfall 0.00
Class BB Cummulative Unpaid Interest Shortfall 61,002.73
Sec. 4.03(xvii) Net Prepayment Interest Shortfalls 0.00
Sec. 4.03(xx) Trigger Status by Group
Has the Group 1 Trigger Event Occured YES
Has the Group 1 Cummulative Loss Trigger Event Occured NO
Has the Group 1 Overcollateralization Step Up Trigger Event Occured NO
Has the Group 2 Trigger Event Occured YES
Has the Group 2 Cummulative Loss Trigger Event Occured NO
Has the Group 2 Overcollateralization Step Up Trigger Event Occured YES
Has the Group 3 Trigger Event Occured YES
Has the Group 3 Cummulative Loss Trigger Event Occured NO
Has the Group 3 Overcollateralization Step Up Trigger Event Occured NO
Sec. 4.03(xx) Cummulative Realized Losses as a Percentage of Original Loan Group Balance
Group 1 Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.000005%
Group 2 Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.000000%
Group 3 Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.000013%
Sec. 4.03(xx) Rolling 3 Month Delinquency Percentage by Group - used to determine O/C Step Up Trigger
Delinquency Percentage by Group 1 20.000709%
Delinquency Percentage by Group 2 13.938000%
Delinquency Percentage by Group 3 13.146000%
Sec. 4.03(xx) Rolling 6 Month Delinquency Percentage by Group - used to determine Trigger Event per Group
Cummulative Annual Loss Percentage by Group 1 22.905936%
Cummulative Annual Loss Percentage by Group 2 12.990522%
Cummulative Annual Loss Percentage by Group 3 12.592940%
4.03(xx) Cummulative Annual Loss Percentage by Group
Annual Loss Percentage Group 1 0.007802%
Annual Loss Percentage by Group 2 0.037552%
Annual Loss Percentage by Group 3 0.037552%
Sec. 4.03(xxi) Available Funds by Group
Group 1 Available Funds 1,032,352.97
Group 2 Available Funds 2,238,225.09
Group 3 Available Funds 596,003.99
Sec. 4.03(xxv) Prepayment Penalties/Premiums 20,178.51
Sec. 4.03(xxvi) HLTV Reserve Account
Beginning Balance 80,789.33
Total Deposits to the HLTV Reserve Account 0.00
Transfer from HLTV Reserve Account 0.00
Ending Balance 80,789.33
Sec. 4.03 Class BB Interest Shortfall Account
Beginning Balance 0.00
Proceeds from Permitted Investments 0.00
Permitted Investments Paid to Class X 0.00
Unpaid Interest Payments Made to the BB Class 0.00
Pay Down Payment to the X Class 0.00
Ending Balance 0.00
Sec 4.03 Class X Distributable Amount 0.00
</TABLE>
