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) : July 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 333-81429-11 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 exhibits are 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 July 25, 2000, August 25, 2000, and
September 25, 2000 distributions were made to the Certificateholders. Specific
information with respect to these distributions are filed as Exhibits 99.1,
99.2, and 99.3. 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 exhibits are filed as part of this report:
Statement to Certificateholders on July 25, 2000,
as Exhibit 99.1.
Statement to Certificateholders on August 25, 2000,
as Exhibit 99.2.
Statement to Certificateholders on September 25, 2000,
as Exhibit 99.3.
-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 7, 2000 By: /s/ Karen Dobres
Karen Dobres
Trust Officer
-3-
<PAGE>
INDEX TO EXHIBITS
Exhibit
Number Description of Exhibits
99.1 Statement to Certificateholders
July 25, 2000
99.2 Statement to Certificateholders
August 25, 2000
99.3 Statement to Certificateholders
September 25, 2000
-4-
<PAGE>
Exhibit 99.1
Statement to Certificateholders
July 25, 2000
-5-
<PAGE>
<TABLE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
July 25, 2000
<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 66,677,648.99 4,630,520.49 510,140.48 5,140,660.97 0.00 0.00 62,047,128.50
T23 71,193,000.00 66,166,696.07 1,753,913.93 519,498.44 2,273,412.37 0.00 0.00 64,412,782.14
T25 34,386,000.00 27,768,397.33 0.00 226,754.37 226,754.37 0.00 0.00 27,768,397.33
R1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
----------------------------------------------------------------------------------------------------------------------------------
TOTALS 176,390,000.00 160,612,742.39 6,384,434.42 1,256,393.29 7,640,827.71 0.00 0.00 154,228,307.97
----------------------------------------------------------------------------------------------------------------------------------
T22 4,320,549.58 4,549,979.49 0.00 34,811.20 34,811.20 0.00 0.00 209,386.45
T24 4,223,506.15 4,223,324.34 0.00 33,158.83 33,158.83 0.00 0.00 2,755,904.78
T26 2,098,054.64 2,618,455.57 0.00 21,382.09 21,382.09 0.00 0.00 2,126,980.42
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------- -------------------------------------
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 941.62840505 65.39267190 7.20425471 72.59692661 876.23573315 T21 9.497603%
T23 929.39890256 24.63604470 7.29704381 31.93308851 904.76285787 T23 9.746514%
T25 807.54950649 0.00000000 6.59438056 6.59438056 807.54950649 T25 10.136998%
------------------------------------------------------------------------------------------- ------------------------------------
TOTALS 910.55469352 36.19499076 7.12281473 43.31780549 874.35970276
------------------------------------------------------------------------------------------- ------------------------------------
T22 1053.10201995 0.00000000 8.05712314 8.05712314 48.46292031 T22 9.497603%
T24 999.95695283 0.00000000 7.85101970 7.85101970 652.51586765 T24 9.746514%
T26 1248.03974123 0.00000000 10.19138853 10.19138853 1013.78695266 T26 10.136998%
------------------------------------------------------------------------------------------- -----------------------------------
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
July 25, 2000
-----------------------------------------------------------------------------------------------------------------------------------
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 66,677,648.99 4,764,212.26 443,962.01 5,208,174.27 0.00 0.00 61,913,436.73
A2 71,193,000.00 66,166,696.07 1,964,614.44 371,574.24 2,336,188.68 0.00 0.00 64,202,081.63
A3 34,386,000.00 27,768,397.33 0.00 185,816.86 185,816.86 0.00 0.00 27,768,397.33
BB 10,000,000.00 9,380,769.56 0.00 20,256.93 20,256.93 0.00 0.00 9,380,769.56
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 197,032,110.37 180,635,622.32 6,728,826.70 1,021,610.04 7,750,436.74 0.00 0.00 173,906,795.62
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------- -------------------------------------
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 941.62840505 67.28068040 6.26967576 73.55035616 874.34772465 A1 7.990000%
A2 929.39890256 27.59561249 5.21925245 32.81486494 901.80329007 A2 6.971250%
A3 807.54950649 0.00000000 5.40385215 5.40385215 807.54950649 A3 8.030000%
BB 938.07695600 0.00000000 2.02569300 2.02569300 938.07695600 BB 8.000000%
X 1000.00000000 0.00000000 0.00000000 0.00000000 1000.00000000 X 0.000000%
------------------------------------------------------------------------------------------- ------------------------------------
TOTALS 916.78266035 34.15091422 5.18499263 39.33590685 882.63174613
------------------------------------------------------------------------------------------- ------------------------------------
-7-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
July 25, 2000
Sec. 4.03(iii) Overcollateralization Levels, Targets and Distributable Excess
Group 1 O/C Amount 4,973,598.71
Group 1 Targeted O/C Amount 5,400,080.13
Group 1 Distributable Excess Spread 0.00
Group 1 Overcollateralizaton Deficiency Amount 426,481.41
Group 2 O/C Amount 4,720,519.22
Group 2 Targeted O/C Amount 5,279,155.43
Group 2 Distributable Excess Spread 0.00
Group 2 Overcollateralizaton Deficiency Amount 558,636.21
Group 3 O/C Amount 2,126,980.42
Group 3 Targeted O/C Amount 2,097,833.14
Group 3 Distributable Excess Spread 0.00
Group 3 Overcollateralizaton Deficiency Amount 0.00
Sec. 4.03 Fees
Sec. 4.03 (iv) Servicing Fee 86,173.68
Sec. 4.03 (xix) Trustee Fee 1,791.71
Sec. 4.03 (xvii) Premium 26,768.79
Special Servicing Fee Due This Period 44,700.00
Unpaid Special Servicing Fee This Period 44,700.00
Cummulative Unpaid Special Servicing Fee 146,400.00
Sec. 4.03(v) Current Advances
0.00
Sec. 4.03(vi) Collateral Balances
Collateral Balance Group 1 Sub-Group 1A 17,811,686.60
Collateral Balance Group 1 Sub-Group 1B 49,075,348.84
Collateral Balance Group 1 Total 66,887,035.44
Collateral Balance Group 2 Sub-Group 2A 7,705,908.35
Collateral Balance Group 2 Sub-Group 2B 61,216,692.50
Collateral Balance Group 2 Total 68,922,600.85
Collateral Balance Group 3 Total 29,895,377.75
Sec. 4.03(vii) Beginning Loan Count
Group 1A Beginning Number of Loans 229.00
Group 1B Beginning Number of Loans 864.00
Total Group 1 Beginning Number of Loans 1,093.00
Group 2A Beginning Number of Loans 25.00
Group 2B Beginning Number of Loans 600.00
Total Group 2 Beginning Number of Loans 625.00
Total Group 3 Beginning Number of Loans 469.00
Total Beginning Number of Loans - All Groups 2,187.00
Sec. 4.03(vii) Ending Loan Count
Group 1A Ending Number of Loans 221.00
Group 1B Ending Number of Loans 812.00
Total Group 1 Ending Number of Loans 1,033.00
Group 2A Ending Number of Loans 24.00
Group 2B Ending Number of Loans 589.00
Total Group 2 Ending Number of Loans 613.00
Total Group 3 Ending Number of Loans 460.00
Total Ending Number of Loans 2,106.00
Sec. 4.03(vii) Weighted Average Mortgage Rate
Weighted Average Mortgage Rate for All Loans 10.2249 %
Group 1A Weighted Average Mortgage Rate 8.3012 %
Group 1B Weighted Average Mortgage Rate 10.6226 %
Group 1 Weighted Average Mortgage Rate 10.0101 %
Group 2A Weighted Average Mortgage Rate 9.62 %
Group 2B Weighted Average Mortgage Rate 10.342 %
Group 2 Weighted Average Mortgage Rate 10.259 %
Group 3 Weighted Average Mortgage Rate 10.6495 %
-8-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
July 25, 2000
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 148 10,177,094.16 15.22 %
2 Months 74 5,161,197.59 7.72 %
3+Months 24 1,689,943.90 2.53 %
Total 246 17,028,235.65 25.47 %
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 80 8,945,342.35 12.98 %
2 Months 33 2,848,452.84 4.13 %
3+Months 22 2,374,799.71 3.45 %
Total 135 14,168,594.90 20.56 %
Group 3
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 89 6,075,995.70 20.32 %
2 Months 46 2,720,857.98 9.1 %
3+Months 11 684,117.45 2.29 %
Total 146 9,480,971.13 31.71 %
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 317 25,198,432.21 15.21 %
2 Months 153 10,730,508.41 6.48 %
3+ Months 57 4,748,861.06 2.87 %
Total 527 40,677,801.68 24.56 %
Number of Loans 30 Days Delinquent in Group 1A 28.00
Balance of Loans 30 Days Delinquent in Group 1A 2,890,603.67
Number of Loans 30 Days Delinquent in Group 1B 120.00
Balance of Loans 30 Days Delinquent in Group 1B 7,286,490.49
Number of Loans 30 Days Delinquent in Group 2A 5.00
Balance of Loans 30 Days Delinquent in Group 2A 1,887,030.50
Number of Loans 30 Days Delinquent in Group 2B 75.00
Balance of Loans 30 Days Delinquent in Group 2B 7,058,311.85
Number of Loans 30 Days Delinquent in Group 3 89.00
Balance of Loans 30 Days Delinquent in Group 3 6,075,995.70
Number of Loans 60 Days Delinquent in Group 1A 20.00
Balance of Loans 60 Days Delinquent in Group 1A 1,823,168.18
Number of Loans 60 Days Delinquent in Group 1B 54.00
Balance of Loans 60 Days Delinquent in Group 1B 3,338,029.41
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 33.00
Balance of Loans 60 Days Delinquent in Group 2B 2,848,452.84
Number of Loans 60 Days Delinquent in Group 3 46.00
Balance of Loans 60 Days Delinquent in Group 3 2,720,857.98
Number of Loans 90+ Days Delinquent in Group 1A 11.00
Balance of Loans 90+ Days Delinquent in Group 1A 934,263.91
Number of Loans 90+ Days Delinquent in Group 1B 13.00
Balance of Loans 90+ Days Delinquent in Group 1B 755,679.99
Number of Loans 90+ Days Delinquent in Group 2A 0.00
Balance of Loans 90+ Days Delinquent in Group 2A 0.00
Number of Loans 90+ Days Delinquent in Group 2B 22.00
Balance of Loans 90+ Days Delinquent in Group 2B 2,374,799.71
Number of Loans 90+ Days Delinquent in Group 3 11.00
Balance of Loans 90+ Days Delinquent in Group 3 684,117.45
-9-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
July 25, 2000
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
60 3,662,328.54 5.48 %
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
55 4,290,306.01 6.22 %
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
26 2,073,631.14 6.94 %
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
141 10,026,265.69 6.05 %
Number of Foreclosures in Group 1A 16.00
Balance of Foreclosures in Group 1A 1,181,088.49
Number of Foreclosures in Group 1B 44.00
Balance of Foreclosures in Group 1B 2,481,240.05
Number of Foreclosures in Group 2A 0.00
Balance of Foreclosures in Group 2A 0.00
Number of Foreclosures in Group 2B 55.00
Balance of Foreclosures in Group 2B 4,290,306.01
Number of Foreclosures in Group 3 26.00
Balance of Foreclosures in Group 3 2,073,631.14
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
129 8,909,190.51 13.32 %
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
32 2,646,839.06 3.84 %
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
11 557,856.98 1.87 %
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
172 12,113,886.55 7.31 %
Number of Bankruptcies in Group 1A 86.00
Balance of Bankruptcies in Group 1A 6,279,384.19
Number of Bankruptcies in Group 1B 43.00
Balance of Bankruptcies in Group 1B 2,629,806.32
Number of Bankruptcies in Group 2A 0.00
Balance of Bankruptcies in Group 2A 0.00
Number of Bankruptcies in Group 2B 32.00
Balance of Bankruptcies in Group 2B 2,646,839.06
Number of Bankruptcies in Group 3 11.00
Balance of Bankruptcies in Group 3 557,856.98
Number of 30 Day Bankruptcies in Group 1A 0.00
Balance of 30 Day Bankruptcies in Group 1A 0.00
Number of 30 Day Bankruptcies in Group 1B 7.00
Balance of 30 Day Bankruptcies in Group 1B 392,752.83
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 1.00
Balance of 30 Day Bankruptcies in Group 2B 38,929.21
Number of 30 Day Bankruptcies in Group 3 1.00
Balance of 30 Day Bankruptcies in Group 3 117,618.86
-10-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
July 25, 2000
Number of 60 Day Bankruptcies in Group 1A 5.00
Balance of 60 Day Bankruptcies in Group 1A 157,610.68
Number of 60 Day Bankruptcies in Group 1B 4.00
Balance of 60 Day Bankruptcies in Group 1B 273,642.95
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 1.00
Balance of 60 Day Bankruptcies in Group 2B 102,522.28
Number of 60 Day Bankruptcies in Group 3 2.00
Balance of 60 Day Bankruptcies in Group 3 65,466.33
Number of 90+ Day Bankruptcies in Group 1A 81.00
Balance of 90+ Day Bankruptcies in Group 1A 6,121,773.51
Number of 90+ Day Bankruptcies in Group 1B 32.00
Balance of 90+ Day Bankruptcies in Group 1B 1,963,410.54
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 30.00
Balance of 90+ Day Bankruptcies in Group 2B 2,505,387.57
Number of 90+ Day Bankruptcies in Group 3 8.00
Balance of 90+ Day Bankruptcies in Group 3 374,771.79
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
3 181,096.60 0.27 %
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
2 432,816.19 0.63 %
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
1 53,798.15 0.18 %
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
6 667,710.94 0.4 %
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 3.00
Balance of Reo's in Group 1B 181,096.60
Number of Reo's in Group 2A 0.00
Reo's in Group 2A 0.00
Number of Reo's in Group 2B 2.00
Reo's in Group 2B 432,816.19
Number of Reo's in Group 3 1.00
Reo's in Group 3 53,798.15
Sec. 4.03(x) Sec. 4.03(x) REO Book Value
REO Book Value Group 1A 0.00
REO Book Value Group 1B 181,096.60
REO Book Value Group 2A 0.00
REO Book Value Group 2B 432,816.19
REO Book Value Group 3 53,798.15
Sec. 4.03(xi) Principal Prepayments
Principal Prepayments Group 1A 1,767,182.10
Principal Prepayments Group 1B 2,442,280.73
Principal Prepayments Group 2A 0.00
Principal Prepayments Group 2B 1,419,603.18
Principal Prepayments Group 3 463,792.12
Sec. 4.03(xii) Realized Losses
Realized Losses Incurred in Group 1A 0.00
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 0.00
Sec. 4.03(xiii)Extraordinary Trust Fund Expense 0.00
Sec. 4.03(xv)Outstanding A2 Available Funds Cap Carryover Amount 0.00
-11-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
July 25, 2000
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 42,281.53
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 138,358.45
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 NO
Has the Group 1 Cummulative Loss Trigger Event Occured NO
Has the Group 1 Overcollateralization Step Up Trigger Event Occured YES
Has the Group 2 Trigger Event Occured NO
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 NO
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 0.00%
Group 2 Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.00%
Group 3 Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.00%
Sec. 4.03(xx) Delinquency Percentage by Group
Delinquency Percentage by Group 1 22.537659%
Delinquency Percentage by Group 2 14.051007%
Delinquency Percentage by Group 3 11.657044%
Sec. 4.03(xx) Cummulative Annual Loss Percentage by Group
Cummulative Annual Loss Percentage by Group 1 0.00%
Cummulative Annual Loss Percentage by Group 2 0.00%
Cummulative Annual Loss Percentage by Group 3 0.00%
Sec. 4.03(xxi) Available Funds by Group
Group 1 Available Funds 4,979,228.44
Group 2 Available Funds 2,032,531.48
Group 3 Available Funds 746,980.41
Sec. 4.03(xxv) Prepayment Penalties/Premiums 20,256.93
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
-12-
<PAGE>
Exhibit 99.2
Statement to Certificateholders
August 25, 2000
-13-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
August 25, 2000
SECOND REVISION
-----------------------------------------------------------------------------------------------------------------------------------
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 61,913,436.73 279,224.73 505,774.18 784,998.91 0.00 0.00 61,634,212.00
T23 71,193,000.00 64,202,081.63 1,252,485.82 543,276.75 1,795,762.57 0.00 0.00 62,949,595.81
T25 34,386,000.00 27,768,397.33 416,831.99 242,336.23 659,168.22 0.00 0.00 27,351,565.34
R1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
----------------------------------------------------------------------------------------------------------------------------------
TOTALS 176,390,000.00 153,883,915.69 1,948,542.54 1,291,387.16 3,239,929.70 0.00 0.00 151,935,373.15
----------------------------------------------------------------------------------------------------------------------------------
T22 4,320,549.58 4,973,598.71 0.00 40,629.59 40,629.59 0.00 0.00 4,040,839.37
T24 4,223,506.15 4,720,519.22 0.00 39,944.94 39,944.94 0.00 0.00 4,058,934.94
T26 2,098,054.64 2,126,980.42 0.00 18,562.27 18,562.27 0.00 0.00 1,681,038.52
------------------------------------------------------------------------------------ -------------------------------------
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 874.34772465 3.94323947 7.14259338 11.08583285 870.40448518 T21 9.486643%
T23 901.80329007 17.59282261 7.63104168 25.22386428 884.21046746 T23 9.826816%
T25 807.54950649 12.12214244 7.04752603 19.16966847 795.42736404 T25 10.13464%
----------------------------------------------------------------------------------------------------------------------------------
TOTALS 872.40725489 11.04678576 7.32120392 18.36798968 861.36046913
----------------------------------------------------------------------------------------------------------------------------------
T22 1151.14955121 0.00000000 9.40380136 9.40380136 935.26050221 T22 9.486643%
T24 1117.67783741 0.00000000 9.45776769 9.45776769 961.03445712 T24 9.826816%
T26 1013.78695266 0.00000000 8.84737206 8.84737206 801.23676855 T26 10.13464%
------------------------------------------------------------------------------------------- -----------------------------------
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]
---------------------------------------
-14-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
August 25, 2000
SECOND REVISION
-----------------------------------------------------------------------------------------------------------------------------------
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 61,913,436.73 279,224.73 412,240.30 691,465.03 0.00 0.00 61,634,212.00
A2 71,193,000.00 64,202,081.63 1,220,220.49 383,678.77 1,603,899.26 0.00 0.00 62,981,861.14
A3 34,386,000.00 27,768,397.33 416,794.62 185,816.86 602,611.48 0.00 0.00 27,351,602.71
BB 10,000,000.00 9,380,769.56 230,360.49 200,896.91 431,257.40 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 197,032,110.37 173,906,795.62 2,146,600.33 1,182,632.84 3,329,233.17 0.00 0.00 171,760,195.29
----------------------------------------------------------------------------------------- -------------------------------------
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 874.34772465 3.94323947 5.82169861 9.76493807 870.40448518 A1 7.990000%
A2 901.80329007 17.13961330 5.38927661 22.52888992 884.66367677 A2 6.940000%
A3 807.54950649 12.12105566 5.40385215 17.52490781 795.42845082 A3 8.030000%
BB 938.07695600 23.03604900 20.08969100 43.12574000 915.04090700 BB 8.000000%
X 1000.00000000 0.00000000 0.00000000 0.00000000 1000.00000000 X 0.000000%
------------------------------------------------------------------------------------------- ------------------------------------
TOTALS 882.63174613 10.89467258 6.00223404 16.89690662 871.73707355
------------------------------------------------------------------------------------------- ------------------------------------
-15-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
August 25, 2000
SECOND REVISION
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 0.00
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 2,097,833.14
Group 3 Targeted O/C Amount 2,097,833.14
Group 3 Distributable Excess Spread 0.00
Group 3 Overcollateralizaton Deficiency Amount 0.00
Sec. 4.03 Fees 79,000.25
Sec. 4.03 (iv) Servicing Fee 1,726.09
Sec. 4.03 (xix) Trustee Fee 25,647.32
Sec. 4.03 (xvii) Premium 50,400.00
Special Servicing Fee Due This Period 20,963.15
Unpaid Special Servicing Fee This Period 29,436.85
Cummulative Unpaid Special Servicing Fee 167,363.15
Sec. 4.03(v) Current Advances
0.00
Sec. 4.03(vi) Collateral Balances
Collateral Balance Group 1 Sub-Group 1A 17,638,473.40
Collateral Balance Group 1 Sub-Group 1B 48,315,802.70
Collateral Balance Group 1 Total 65,954,276.10
Collateral Balance Group 2 Sub-Group 2A 7,695,983.55
Collateral Balance Group 2 Sub-Group 2B 60,565,033.02
Collateral Balance Group 2 Total 68,261,016.57
Collateral Balance Group 3 Total 29,449,435.85
Sec. 4.03(vii) Beginning Loan Count
Group 1A Beginning Number of Loans 221.00
Group 1B Beginning Number of Loans 812.00
Total Group 1 Beginning Number of Loans 1,033.00
Group 2A Beginning Number of Loans 24.00
Group 2B Beginning Number of Loans 589.00
Total Group 2 Beginning Number of Loans 613.00
Total Group 3 Beginning Number of Loans 460.00
Total Beginning Number of Loans - All Groups 2,106.00
Sec. 4.03(vii) Ending Loan Count
Group 1A Ending Number of Loans 219.00
Group 1B Ending Number of Loans 804.00
Total Group 1 Ending Number of Loans 1,023.00
Group 2A Ending Number of Loans 24.00
Group 2B Ending Number of Loans 580.00
Total Group 2 Ending Number of Loans 604.00
Total Group 3 Ending Number of Loans 455.00
Total Ending Number of Loans 2,082.00
Sec. 4.03(vii) Weighted Average Mortgage Rate
Weighted Average Mortgage Rate for All Loans 10.2575 %
Group 1A Weighted Average Mortgage Rate 8.3273 %
Group 1B Weighted Average Mortgage Rate 10.6059 %
Group 1 Weighted Average Mortgage Rate 9.9991 %
Group 2A Weighted Average Mortgage Rate 9.5407 %
Group 2B Weighted Average Mortgage Rate 10.4398 %
Group 2 Weighted Average Mortgage Rate 10.3393 %
Group 3 Weighted Average Mortgage Rate 10.6471 %
-16-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
August 25, 2000
SECOND REVISION
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 92 5,415,841.61 8.21
2 Months 40 2,570,835.82 3.90
3+Months 59 3,928,949.53 5.96
Total 191 11,915,626.96 18.07
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 36 3,741,472.19 5.48
2 Months 16 1,409,983.76 2.07
3+Months 32 3,010,851.32 4.41
Total 84 8,162,307.27 11.96
Group 3
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 75 4,955,421.90 16.83
2 Months 31 2,087,454.82 7.09
3+Months 32 2,205,226.65 7.49
Total 138 9,248,103.37 31.41
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 203 14,112,735.70 8.62
2 Months 87 6,068,274.40 3.71
3+ Months 123 9,145,027.50 5.59
Total 413 29,326,037.60 17.92
Number of Loans 30 Days Delinquent in Group 1A 45.00
Balance of Loans 30 Days Delinquent in Group 1A 2,124,422.89
Number of Loans 30 Days Delinquent in Group 1B 47.00
Balance of Loans 30 Days Delinquent in Group 1B 3,291,418.72
Number of Loans 30 Days Delinquent in Group 2A 1.00
Balance of Loans 30 Days Delinquent in Group 2A 263,947.02
Number of Loans 30 Days Delinquent in Group 2B 35.00
Balance of Loans 30 Days Delinquent in Group 2B 3,477,525.17
Number of Loans 30 Days Delinquent in Group 3 75.00
Balance of Loans 30 Days Delinquent in Group 3 4,955,421.90
Number of Loans 60 Days Delinquent in Group 1A 22.00
Balance of Loans 60 Days Delinquent in Group 1A 1,043,354.65
Number of Loans 60 Days Delinquent in Group 1B 18.00
Balance of Loans 60 Days Delinquent in Group 1B 1,527,481.17
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 16.00
Balance of Loans 60 Days Delinquent in Group 2B 1,409,983.76
Number of Loans 60 Days Delinquent in Group 3 31.00
Balance of Loans 60 Days Delinquent in Group 3 2,087,454.82
Number of Loans 90+ Days Delinquent in Group 1A 28.00
Balance of Loans 90+ Days Delinquent in Group 1A 1,716,554.16
Number of Loans 90+ Days Delinquent in Group 1B 31.00
Balance of Loans 90+ Days Delinquent in Group 1B 2,212,395.37
Number of Loans 90+ Days Delinquent in Group 2A 0.00
Balance of Loans 90+ Days Delinquent in Group 2A 0.00
Number of Loans 90+ Days Delinquent in Group 2B 32.00
Balance of Loans 90+ Days Delinquent in Group 2B 3,010,851.32
Number of Loans 90+ Days Delinquent in Group 3 32.00
Balance of Loans 90+ Days Delinquent in Group 3 2,205,226.65
-17-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
August 25, 2000
SECOND REVISION
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
16 892,910.55 1.35
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
27 2,112,358.52 3.09
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
4 224,610.03 0.76
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
47 3,229,879.10 1.97
Number of Foreclosures in Group 1A 0.00
Balance of Foreclosures in Group 1A 0.00
Number of Foreclosures in Group 1B 16.00
Balance of Foreclosures in Group 1B 892,910.55
Number of Foreclosures in Group 2A 0.00
Balance of Foreclosures in Group 2A 0.00
Number of Foreclosures in Group 2B 27.00
Balance of Foreclosures in Group 2B 2,112,358.52
Number of Foreclosures in Group 3 4.00
Balance of Foreclosures in Group 3 224,610.03
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
133 9,296,721.59 14.1
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
34 2,915,634.66 4.27
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
12 600,802.56 2.04
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
179 12,813,158.81 7.83
Number of Bankruptcies in Group 1A 14.00
Balance of Bankruptcies in Group 1A 735,229.56
Number of Bankruptcies in Group 1B 119.00
Balance of Bankruptcies in Group 1B 8,561,492.03
Number of Bankruptcies in Group 2A 0.00
Balance of Bankruptcies in Group 2A 0.00
Number of Bankruptcies in Group 2B 34.00
Balance of Bankruptcies in Group 2B 2,915,634.66
Number of Bankruptcies in Group 3 12.00
Balance of Bankruptcies in Group 3 600,802.56
Number of 30 Day Bankruptcies in Group 1A 0.00
Balance of 30 Day Bankruptcies in Group 1A 0.00
Number of 30 Day Bankruptcies in Group 1B 6.00
Balance of 30 Day Bankruptcies in Group 1B 458,137.40
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 184,118.31
Number of 30 Day Bankruptcies in Group 3 0.00
Balance of 30 Day Bankruptcies in Group 3 0.00
-18-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
August 25, 2000
SECOND REVISION
Number of 60 Day Bankruptcies in Group 1A 5.00
Balance of 60 Day Bankruptcies in Group 1A 172,417.17
Number of 60 Day Bankruptcies in Group 1B 8.00
Balance of 60 Day Bankruptcies in Group 1B 574,514.66
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 3 223,872.96
Number of 90+ Day Bankruptcies in Group 1A 9.00
Balance of 90+ Day Bankruptcies in Group 1A 562,812.39
Number of 90+ Day Bankruptcies in Group 1B 105.00
Balance of 90+ Day Bankruptcies in Group 1B 7,528,839.97
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 32.00
Balance of 90+ Day Bankruptcies in Group 2B 2,731,516.35
Number of 90+ Day Bankruptcies in Group 3 8.00
Balance of 90+ Day Bankruptcies in Group 3 376,929.60
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
6 342,423.03 0.52
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
4 532,694.71 0.78
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
2 192,115.04 0.65
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
12 1,067,232.78 0.65
Number of Reo's in Group 1A 4.00
Balance of Reo's in Group 1A 197,089.52
Number of Reo's in Group 1B 2.00
Balance of Reo's in Group 1B 145,333.51
Number of Reo's in Group 2A 0.00
Reo's in Group 2A 0.00
Number of Reo's in Group 2B 4.00
Reo's in Group 2B 532,694.71
Number of Reo's in Group 3 2.00
Reo's in Group 3 192,115.04
Sec. 4.03(x) Sec. 4.03(x) REO Book Value
REO Book Value Group 1A 197,089.52
REO Book Value Group 1B 145,333.51
REO Book Value Group 2A 0.00
REO Book Value Group 2B 532,694.71
REO Book Value Group 3 192,115.04
Sec. 4.03(xi) Principal Prepayments
Principal Prepayments Group 1A 55,899.20
Principal Prepayments Group 1B 760,753.60
Principal Prepayments Group 2A 0.00
Principal Prepayments Group 2B 616,725.43
Principal Prepayments Group 3 414,094.31
Sec. 4.03(xii) Realized Losses
Realized Losses Incurred in Group 1A 0.00
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 0.00
Sec. 4.03(xiii)Extraordinary Trust Fund Expense 0.00
Sec. 4.03(xv)Outstanding A2 Available Funds Cap Carryover Amount 0.00
-19-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
August 25, 2000
SECOND REVISION
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 0.00
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 0.00
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 NO
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 NO
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 NO
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 0.00%
Group 2 Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.00%
Group 3 Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.00%
Sec. 4.03(xx) Delinquency Percentage by Group
Delinquency Percentage by Group 1 21.456443%
Delinquency Percentage by Group 2 13.700940%
Delinquency Percentage by Group 3 9.2923055
Sec. 4.03(xx) Cummulative Annual Loss Percentage by Group
Cummulative Annual Loss Percentage by Group 1 0.00%
Cummulative Annual Loss Percentage by Group 2 0.00%
Cummulative Annual Loss Percentage by Group 3 0.00%
Sec. 4.03(xxi) Available Funds by Group
Group 1 Available Funds 1,464,693.69
Group 2 Available Funds 1,219,802.88
Group 3 Available Funds 681,943.36
Sec. 4.03(xxv) Prepayment Penalties/Premiums 19,603.51
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
-20-
<PAGE>
Exhibit 99.1
Statement to Certificateholders
September 25, 2000
-21-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
September 25, 2000
-----------------------------------------------------------------------------------------------------------------------------------
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 61,634,212.00 960,799.30 503,512.13 1,464,311.43 0.00 0.00 60,673,412.70
T23 71,193,000.00 62,981,861.14 1,086,674.99 535,618.74 1,622,293.73 0.00 0.00 61,895,186.15
T25 34,386,000.00 27,351,602.71 371,499.62 238,825.08 610,324.70 0.00 0.00 26,980,103.09
R1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
-----------------------------------------------------------------------------------------------------------------------------------
TOTALS 176,390,000.00 151,967,675.85 2,418,973.91 1,277,955.95 3,696,929.86 0.00 0.00 149,548,701.94
-----------------------------------------------------------------------------------------------------------------------------------
T22 4,320,549.58 4,320,064.10 0.00 35,292.16 35,292.16 0.00 0.00 3,311,126.92
T24 4,223,506.15 5,279,155.43 0.00 44,895.70 44,895.70 0.00 0.00 4,155,938.94
T26 2,098,054.64 2,097,833.14 0.00 18,317.58 18,317.58 0.00 0.00 1,657,319.46
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
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 870.40448518 13.56850348 7.11064849 20.67915197 856.83598170 T21 9.487000%
T23 884.66367677 15.26378984 7.52347478 22.78726462 869.39988693 T23 9.876000%
T25 795.42845082 10.80380446 6.94541616 17.74922061 784.62464637 T25 10.140000%
------------------------------------------------------------------------------------------- -----------------------------------
TOTALS 861.54360139 13.71378145 7.24505896 20.95884041 847.82981994
------------------------------------------------------------------------------------------- -----------------------------------
T22 999.88763467 0.00000000 8.16844231 8.16844231 766.36706944 T22 9.487000%
T24 1,249.94619222 0.00000000 10.62995966 10.62995966 984.00210451 T24 9.876000%
T26 999.89442601 0.00000000 8.73074497 8.73074497 789.93150531 T26 10.140000%
------------------------------------------------------------------------------------------- ------------------------------------
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]
---------------------------------------
-22-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
September 25, 2000
-----------------------------------------------------------------------------------------------------------------------------------
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 61,634,212.00 1,008,937.18 410,381.13 1,419,318.31 0.00 0.00 60,625,274.82
A2 71,193,000.00 62,981,861.14 1,123,216.49 376,386.60 1,499,603.09 0.00 0.00 61,858,644.65
A3 34,386,000.00 27,351,602.71 440,513.68 183,027.81 623,541.49 0.00 0.00 26,911,089.03
BB 10,000,000.00 9,150,409.07 0.00 61,002.73 61,002.73 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 197,032,110.37 171,760,195.29 2,572,667.35 1,030,798.27 3,603,465.62 0.00 0.00 169,187,527.94
----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
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 870.40448518 14.24831142 5.79544322 20.04375464 856.15617376 A1 7.990000%
A2 884.66367677 15.77706362 5.28684843 21.06391204 868.88661315 A2 6.940000%
A3 795.42845082 12.81084395 5.32274210 18.13358605 782.61760687 A3 8.030000%
BB 915.04090700 0.00000000 6.10027300 6.10027300 915.04090700 BB 8.000000%
X 1000.00000000 0.00000000 0.00000000 0.00000000 1000.00000000 X 0.000000%
------------------------------------------------------------------------------------------- ------------------------------------
TOTALS 871.73707355 13.05709686 5.23162579 18.28872265 858.67997669
------------------------------------------------------------------------------------------- ------------------------------------
-23-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
September 25, 2000
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 4,065.96
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 2,097,833.14
Group 3 Targeted O/C Amount 2,097,833.14
Group 3 Distributable Excess Spread 40,525.22
Group 3 Overcollateralizaton Deficiency Amount 0.00
Sec. 4.03 Fees
Sec. 4.03 (iv) Servicing Fee 77,064.33
Sec. 4.03 (xix) Trustee Fee 1,704.84
Sec. 4.03 (xvii) Premium 25,327.95
Special Servicing Fee Due This Period 55,650.00
Unpaid Special Servicing Fee This Period 167,363.15
Total Special Servicing Fees Due 223,013.15
Special Servicing Fee Paid This Period 212,543.21
Cummulative Unpaid Special Servicing Fee 10,469.94
Sec. 4.03(v) Current Advances
0.00
Sec. 4.03(vi) Collateral Balances
Collateral Balance Group 1 Sub-Group 1A 17,527,531.28
Collateral Balance Group 1 Sub-Group 1B 47,417,807.64
Collateral Balance Group 1 Total 64,945,338.92
Collateral Balance Group 2 Sub-Group 2A 7,684,369.41
Collateral Balance Group 2 Sub-Group 2B 59,453,430.67
Collateral Balance Group 2 Total 67,137,800.08
Collateral Balance Group 3 Total 29,008,922.17
Sec. 4.03(vii) Beginning Loan Count
Group 1A Beginning Number of Loans 219.00
Group 1B Beginning Number of Loans 804.00
Total Group 1 Beginning Number of Loans 1,023.00
Group 2A Beginning Number of Loans 24.00
Group 2B Beginning Number of Loans 580.00
Total Group 2 Beginning Number of Loans 604.00
Total Group 3 Beginning Number of Loans 455.00
Total Beginning Number of Loans - All Groups 2,082.00
Sec. 4.03(vii) Ending Loan Count
Group 1A Ending Number of Loans 216.00
Group 1B Ending Number of Loans 794.00
Total Group 1 Ending Number of Loans 1,010.00
Group 2A Ending Number of Loans 24.00
Group 2B Ending Number of Loans 558.00
Total Group 2 Ending Number of Loans 592.00
Total Group 3 Ending Number of Loans 449.00
Total Ending Number of Loans 2,051.00
Sec. 4.03(vii) Weighted Average Mortgage Rate
Weighted Average Mortgage Rate for All Loans 10.2797%
Group 1A Weighted Average Mortgage Rate 8.3300%
Group 1B Weighted Average Mortgage Rate 10.6080%
Group 1 Weighted Average Mortgage Rate 10.0000%
Group 2A Weighted Average Mortgage Rate 9.5400%
Group 2B Weighted Average Mortgage Rate 10.4970%
Group 2 Weighted Average Mortgage Rate 10.3890%
Group 3 Weighted Average Mortgage Rate 10.6500%
-24-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
September 25, 2000
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 94 6,128,364.43 9.44
2 Months 54 3,475,193.30 5.35
3+Months 201 13,604,023.39 20.95
Total 349 23,207,581.12 35.74
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 40 4,175,540.80 6.22
2 Months 19 1,682,312.41 2.51
3+Months 98 8,506,755.22 12.67
Total 157 14,364,608.43 21.4
Group 3
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 70 4,525,398.23 15.6
2 Months 30 2,293,241.16 7.91
3+Months 62 3,832,510.73 13.21
Total 162 10,651,150.12 36.72
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 204 14,829,303.46 9.21
2 Months 103 7,450,746.87 4.63
3+ Months 361 25,943,289.34 16.10
Total 668 48,223,339.67 29.94
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
Number of Loans 30 Days Delinquent in Group 1A 40.00
Balance of Loans 30 Days Delinquent in Group 1A 1,997,049.36
Number of Loans 30 Days Delinquent in Group 1B 54.00
Balance of Loans 30 Days Delinquent in Group 1B 4,131,315.07
Number of Loans 30 Days Delinquent in Group 2A 1.00
Balance of Loans 30 Days Delinquent in Group 2A 263,567.34
Number of Loans 30 Days Delinquent in Group 2B 39.00
Balance of Loans 30 Days Delinquent in Group 2B 3,911,973.46
Number of Loans 30 Days Delinquent in Group 3 70.00
Balance of Loans 30 Days Delinquent in Group 3 4,525,398.23
Number of Loans 60 Days Delinquent in Group 1A 27.00
Balance of Loans 60 Days Delinquent in Group 1A 1,570,344.52
Number of Loans 60 Days Delinquent in Group 1B 27.00
Balance of Loans 60 Days Delinquent in Group 1B 1,904,848.78
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 19.00
Balance of Loans 60 Days Delinquent in Group 2B 1,682,312.41
Number of Loans 60 Days Delinquent in Group 3 30.00
Balance of Loans 60 Days Delinquent in Group 3 2,293,241.16
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
Number of Loans 90+ Days Delinquent in Group 1A 42.00
Balance of Loans 90+ Days Delinquent in Group 1A 2,295,823.77
Number of Loans 90+ Days Delinquent in Group 1B 159.00
Balance of Loans 90+ Days Delinquent in Group 1B 11,308,199.62
Number of Loans 90+ Days Delinquent in Group 2A 0.00
Balance of Loans 90+ Days Delinquent in Group 2A 0.00
Number of Loans 90+ Days Delinquent in Group 2B 98.00
Balance of Loans 90+ Days Delinquent in Group 2B 8,506,755.22
Number of Loans 90+ Days Delinquent in Group 3 62.00
Balance of Loans 90+ Days Delinquent in Group 3 3,832,510.73
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
-25-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
September 25, 2000
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
33 1,997,490.96 3.08 %
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
37 3,596,304.99 5.36 %
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
19 1,407,218.16 4.85 %
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
89 7,001,014.11 4.35 %
Number of Foreclosures in Group 1A 12.00
Balance of Foreclosures in Group 1A 743,501.85
Number of Foreclosures in Group 1B 21.00
Balance of Foreclosures in Group 1B 1,253,989.11
Number of Foreclosures in Group 2A 0.00
Balance of Foreclosures in Group 2A 0.00
Number of Foreclosures in Group 2B 37.00
Balance of Foreclosures in Group 2B 3,596,304.99
Number of Foreclosures in Group 3 19.00
Balance of Foreclosures in Group 3 1,407,218.16
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
132 9,135,339.78 14.07 %
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
38 3,146,293.31 4.69 %
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
18 974,806.36 3.36 %
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
188 13,256,439.45 8.23 %
Number of Bankruptcies in Group 1A 15.00
Balance of Bankruptcies in Group 1A 718,598.53
Number of Bankruptcies in Group 1B 117.00
Balance of Bankruptcies in Group 1B 8,416,741.25
Number of Bankruptcies in Group 2A 0.00
Balance of Bankruptcies in Group 2A 0.00
Number of Bankruptcies in Group 2B 38.00
Balance of Bankruptcies in Group 2B 3,146,293.31
Number of Bankruptcies in Group 3 18.00
Balance of Bankruptcies in Group 3 974,806.36
Number of 30 Day Bankruptcies in Group 1A 1.00
Balance of 30 Day Bankruptcies in Group 1A 16,874.31
Number of 30 Day Bankruptcies in Group 1B 5.00
Balance of 30 Day Bankruptcies in Group 1B 399,265.12
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 1.00
Balance of 30 Day Bankruptcies in Group 2B 38,837.36
Number of 30 Day Bankruptcies in Group 3 0.00
Balance of 30 Day Bankruptcies in Group 3 0.00
-26-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
September 25, 2000
Number of 60 Day Bankruptcies in Group 1A 3.00
Balance of 60 Day Bankruptcies in Group 1A 150,965.73
Number of 60 Day Bankruptcies in Group 1B 7.00
Balance of 60 Day Bankruptcies in Group 1B 499,243.56
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 1.00
Balance of 60 Day Bankruptcies in Group 2B 102,207.11
Number of 60 Day Bankruptcies in Group 3 0.00
Balance of 60 Day Bankruptcies in Group 3 0.00
Number of 90+ Day Bankruptcies in Group 1A 11.00
Balance of 90+ Day Bankruptcies in Group 1A 550,758.49
Number of 90+ Day Bankruptcies in Group 1B 105.00
Balance of 90+ Day Bankruptcies in Group 1B 7,518,232.57
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 36.00
Balance of 90+ Day Bankruptcies in Group 2B 3,005,248.84
Number of 90+ Day Bankruptcies in Group 3 0.00
Balance of 90+ Day Bankruptcies in Group 3 0.00
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
6 283,481.14 0.44 %
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
3 494,940.83 0.74 %
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
1 138,316.89 0.48 %
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
10 916,738.86 0.57 %
Number of Reo's in Group 1A 4.00
Balance of Reo's in Group 1A 197,089.52
Number of Reo's in Group 1B 2.00
Balance of Reo's in Group 1B 86,391.62
Number of Reo's in Group 2A 0.00
Reo's in Group 2A 0.00
Number of Reo's in Group 2B 3.00
Reo's in Group 2B 494,940.83
Number of Reo's in Group 3 1.00
Reo's in Group 3 138,316.89
Sec. 4.03(x) Sec. 4.03(x) REO Book Value
REO Book Value Group 1A 197,089.52
REO Book Value Group 1B 86,391.62
REO Book Value Group 2A 0.00
REO Book Value Group 2B 494,940.83
REO Book Value Group 3 138,316.89
Sec. 4.03(xi) Principal Prepayments
Principal Prepayments Group 1A 436,529.71
Principal Prepayments Group 1B 487,656.02
Principal Prepayments Group 2A 0.00
Principal Prepayments Group 2B 954,100.08
Principal Prepayments Group 3 380,015.49
Sec. 4.03(xii) Realized Losses
Realized Losses Incurred in Group 1A 0.00
Realized Losses Incurred in Group 1B 4,065.96
Realized Losses Incurred in Group 2A 0.00
Realized Losses Incurred in Group 2B 0.00
Realized Losses Incurred in Group 3 40,525.22
-27-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
September 25, 2000
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 0.00
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 0.00
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 0.000001%
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 0.000001%
Sec. 4.03(xx) Rolling 3 Month Delinquency Percentage by Group - used to determine O/C Step Up Trigger
Delinquency Percentage by Group 1 20.614192 %
Delinquency Percentage by Group 2 13.209513 %
Delinquency Percentage by Group 3 11.509894 %
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 23.00543 %
Cummulative Annual Loss Percentage by Group 2 12.182405 %
Cummulative Annual Loss Percentage by Group 3 13.047094 %
4.03(xx) Cummulative Annual Loss Percentage by Group
Annual Loss Percentage Group 1 0.000894 %
Annual Loss Percentage by Group 2 0.019957 %
Annual Loss Percentage by Group 3 0.019957 %
Sec. 4.03(xxi) Available Funds by Group
Group 1 Available Funds 1,510,562.99
Group 2 Available Funds 1,678,397.46
Group 3 Available Funds 633,507.64
Sec. 4.03(xxv) Prepayment Penalties/Premiums 20,573.53
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
-28-
</TABLE>
