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) : April 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 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
exhibits are 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 April 25, 2000, May 25, 200, and June 26,
2000 distributions were made to the Certificateholders. Specific information
with respect to these distributions are filed as Exhibits 99.1, 99.2, 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 April 25, 2000,
as Exhibit 99.1.
Statement to Certificateholders on May 25, 2000,
as Exhibit 99.2.
Statement to Certificateholders on June 26, 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 6, 2000 By: /s/ Karen Dobres
Karen Dobres
Trust Officer
-3-
<PAGE>
INDEX TO EXHIBITS
Exhibit
Number Description of Exhibits
99.1 Statement to Certificateholders
April 25, 2000
99.2 Statement to Certificateholders
May 25, 2000
99.3 Statement to Certificateholders
June 26, 2000
-4-
<PAGE>+
Exhibit 99.1
Statement to Certificateholders
April 25, 2000
-5-
<PAGE>
<TABLE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
April 25, 2000
REVISED
<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 70,114,105.50 910,853.97 534,082.51 1,444,936.48 0.00 0.00 69,203,251.53
T23 71,193,000.00 70,082,720.11 1,292,618.99 540,843.93 1,833,462.92 0.00 0.00 68,790,101.12
T25 34,386,000.00 33,895,865.75 141,427.23 300,464.25 441,891.48 0.00 0.00 33,754,438.52
R1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
---------------------------------------------------------------------------------------------------------------------------------
TOTALS 176,390,000.00 174,092,691.36 2,344,900.19 1,375,390.69 3,720,290.88 0.00 0.00 171,747,791.17
---------------------------------------------------------------------------------------------------------------------------------
T22 4,320,549.58 4,320,064.10 0.00 32,907.37 32,907.37 0.00 0.00 3,409,210.13
T24 4,223,506.15 4,223,324.34 0.00 32,592.33 32,592.33 0.00 0.00 2,930,705.35
T26 2,098,054.64 2,097,833.14 0.00 35,730.93 35,730.93 0.00 0.00 1,956,405.91
---------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------- -------------------------------------
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 990.15838641 12.86317055 7.54236644 20.40553699 977.29521586 T21 9.456000%
T23 984.40464807 18.15654615 7.59686950 25.75341564 966.24810192 T23 9.580000%
T25 985.74611034 4.11293055 8.73798203 12.85091258 981.63317978 T25 11.004000%
------------------------------------------------------------------------------------------- ------------------------------------
TOTALS 986.97597007 13.29383860 7.79744141 21.09128000 973.68213147
------------------------------------------------------------------------------------------- ------------------------------------
T22 999.88763467 0.00000000 7.61647781 7.61647781 789.06862816 T22 9.456000%
T24 999.95695283 0.00000000 7.71688944 7.71688944 693.90341719 T24 9.580000%
T26 999.89442601 0.00000000 17.03050498 17.03050498 932.48568112 T26 11.004000%
------------------------------------------------------------------------------------------- ------------------------------------
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
April 25, 2000
REVISED
<S> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------------
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 70,114,105.50 910,853.97 466,843.09 1,377,697.06 0.00 0.00 69,203,251.53
A2 71,193,000.00 70,082,720.11 1,292,619.00 363,855.86 1,656,474.86 0.00 0.00 68,790,101.11
A3 34,386,000.00 33,895,865.75 141,427.23 226,819.83 368,247.06 0.00 0.00 33,754,438.52
R 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0
----------------------------------------------------------------------------------------------------------------------------------
TOTALS 176,390,000.00 174,092,691.36 2,344,900.20 1,057,518.78 3,402,418.98 0.00 0.00 171,747,791.16
----------------------------------------------------------------------------------------------------------------------------------
BB 10,000,000.00 9,690,972.36 0.00 391,944.33 391,944.33 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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------- -------------------------------------
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 990.15838641 12.86317055 6.59280465 19.45597520 977.29521586 A1 7.990000%
A2 984.40464807 18.15654629 5.11083758 23.26738387 966.24810178 A2 6.445000%
A3 985.74611034 4.11293055 6.59628424 10.70921480 981.63317978 A3 8.030000%
------------------------------------------------------------------------------------------- ------------------------------------
TOTALS 986.97597007 13.29383865 5.99534429 19.28918295 973.68213141
------------------------------------------------------------------------------------------- ------------------------------------
BB 969.09723600 0.00000000 39.19443300 39.19443300 938.07695600 BB 8.0000005
X 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 X 0.000000%
------------------------------------------------------------------------------------------- ------------------------------------
-7-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
April 25, 2000
REVISED
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 4,223,324.34
Group 2 Targeted O/C Amount 4,223,324.34
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
Sec. 4.03 (iv) Servicing Fee 90,456.33
Sec. 4.03 (xix) Trustee Fee 1,924.31
Sec. 4.03 (xvii) Premium 29,015.45
Special Servicing Fee Due This Period 46,500.00
Unpaid Special Servicing Fee This Period 0.00
Cummulative Unpaid Special Servicing Fee 0.00
Sec. 4.03(v) Current Advances 0.00
Sec. 4.03(vi) Collateral Balances
Collateral Balance Group 1 Sub-Group 1A 19,110,353.27
Collateral Balance Group 1 Sub-Group 1B 54,412,962.36
Collateral Balance Group 1 Total 73,523,315.63
Collateral Balance Group 2 Sub-Group 2A 8,762,950.67
Collateral Balance Group 2 Sub-Group 2B 64,250,474.79
Collateral Balance Group 2 Total 73,013,425.46
Collateral Balance Group 3 Total 35,852,271.66
Sec. 4.03(vii) Beginning Loan Count
Group 1A Beginning Number of Loans 232.00
Group 1B Beginning Number of Loans 902.00
Total Group 1 Beginning Number of Loans 1,134.00
Group 2A Beginning Number of Loans 27.00
Group 2B Beginning Number of Loans 634.00
Total Group 2 Beginning Number of Loans 661.00
Total Group 3 Beginning Number of Loans 552.00
Total Beginning Number of Loans - All Groups 2347.00
Sec. 4.03(vii) Ending Loan Count
Group 1A Ending Number of Loans 232.00
Group 1B Ending Number of Loans 889.00
Total Group 1 Ending Number of Loans 1,121.00
Group 2A Ending Number of Loans 27.00
Group 2B Ending Number of Loans 622.00
Total Group 2 Ending Number of Loans 649.00
Total Group 3 Ending Number of Loans 550.00
Total Ending Number of Loans 2,320.00
Sec. 4.03(vii) Weighted Average Mortgage Rate
Weighted Average Mortgage Rate for All Loans 0.0000 %
Group 1A Weighted Average Mortgage Rate 8.2928 %
Group 1B Weighted Average Mortgage Rate 10.626 %
Group 1 Weighted Average Mortgage Rate 9.9998 %
Group 2A Weighted Average Mortgage Rate 9.6698 %
Group 2B Weighted Average Mortgage Rate 10.2857 %
Group 2 Weighted Average Mortgage Rate 10.2141 %
Group 3 Weighted Average Mortgage Rate 11.5850 %
-8-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
April 25, 2000
REVISED
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 88 5,981,443.43 8.14%
2 Months 57 3,621,979.49 4.93%
3+Months 43 3,228,207.10 4.39%
Total 188 12,831,630.02 17.46%
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 42 3,964,581.93 5.43 %
2 Months 25 2,627,638.98 3.6 %
3+Months 25 2,434,265.55 3.33 %
Total 92 9,026,486.46 12.36 %
Group 3
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 73 4,407,330.64 12.29 %
2 Months 37 2,523,649.66 7.04 %
3+Months 27 1,984,251.67 5.53 %
Total 137 8,915,231.97 24.86 %
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 203 14,353,356.00 7.87 %
2 Months 119 8,773,268.13 4.81 %
3+Months 95 7,646,724.32 4.19 %
Total 417 30,773,348.45 16.87 %
Number of Loans 30 Days Delinquent in Group 1A 48.00
Balance of Loans 30 Days Delinquent in Group 1A 2,607,522.96
Number of Loans 30 Days Delinquent in Group 1B 40.00
Balance of Loans 30 Days Delinquent in Group 1B 3,373,920.47
Number of Loans 30 Days Delinquent in Group 2A 1.00
Balance of Loans 30 Days Delinquent in Group 2A 264,325.27
Number of Loans 30 Days Delinquent in Group 2B 41.00
Balance of Loans 30 Days Delinquent in Group 2B 3,700,256.66
Number of Loans 30 Days Delinquent in Group 3 73.00
Balance of Loans 30 Days Delinquent in Group 3 4,407,330.64
Number of Loans 60 Days Delinquent in Group 1A 28.00
Balance of Loans 60 Days Delinquent in Group 1A 1,335,845.57
Number of Loans 60 Days Delinquent in Group 1B 29.00
Balance of Loans 60 Days Delinquent in Group 1B 2,286,133.92
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 25.00
Balance of Loans 60 Days Delinquent in Group 2B 2,627,638.98
Number of Loans 60 Days Delinquent in Group 3 37.00
Balance of Loans 60 Days Delinquent in Group 3 2,523,649.66
Number of Loans 90 Days Delinquent in Group 1A 15.00
Balance of Loans 90 Days Delinquent in Group 1A 1,181,442.92
Number of Loans 90 Days Delinquent in Group 1B 28.00
Balance of Loans 90 Days Delinquent in Group 1B 2,046,764.18
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 25.00
Balance of Loans 90 Days Delinquent in Group 2B 2,434,265.55
Number of Loans 90 Days Delinquent in Group 3 27.00
Balance of Loans 90 Days Delinquent in Group 3 1,984,251.67
-9-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
April 25, 2000
REVISED
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
47 2,628,623.41 3.58 %
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
13 1,381,646.28 1.89 %
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
33 2,105,766.05 5.87 %
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
93 6,116,035.74 3.35 %
Number of Foreclosures in Group 1A 27.00
Balance of Foreclosures in Group 1A 1,450,056.95
Number of Foreclosures in Group 1B 20.00
Balance of Foreclosures in Group 1B 1,178,566.46
Number of Foreclosures in Group 2A 0.00
Balance of Foreclosures in Group 2A 0.00
Number of Foreclosures in Group 2B 13.00
Balance of Foreclosures in Group 2B 1,381,646.28
Number of Foreclosures in Group 3 33.00
Balance of Foreclosures in Group 3 2,105,766.05
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
139 10,454,898.62 14.22 %
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
33 2,725,286.84 3.73 %
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
9 526,346.92 1.47 %
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
181 13,706,532.38 7.51 %
Number of Bankruptcies in Group 1A 8.00
Balance of Bankruptcies in Group 1A 516,757.08
Number of Bankruptcies in Group 1B 131.00
Balance of Bankruptcies in Group 1B 9,938,141.54
Number of Bankruptcies in Group 2A 0.00
Balance of Bankruptcies in Group 2A 0.00
Number of Bankruptcies in Group 2B 33.00
Balance of Bankruptcies in Group 2B 2,725,286.84
Number of Bankruptcies in Group 3 9.00
Balance of Bankruptcies in Group 3 526,346.92
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 10.00
Balance of 30 Day Bankruptcies in Group 1B 762,401.42
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 72,725.95
Number of 30 Day Bankruptcies in Group 3 1.00
Balance of 30 Day Bankruptcies in Group 3 117,817.38
-10-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
April 25, 2000
REVISED
Number of 60 Day Bankruptcies in Group 1A 6.00
Balance of 60 Day Bankruptcies in Group 1A 439,312.92
Number of 60 Day Bankruptcies in Group 1B 7.00
Balance of 60 Day Bankruptcies in Group 1B 413,190.12
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 51,419.14
Number of 60 Day Bankruptcies in Group 3 1.00
Balance of 60 Day Bankruptcies in Group 3 27,892.54
Number of 90+ Day Bankruptcies in Group 1A 2.00
Balance of 90+ Day Bankruptcies in Group 1A 77,444.16
Number of 90+ Day Bankruptcies in Group 1B 114.00
Balance of 90+ Day Bankruptcies in Group 1B 8,762,550.00
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 31.00
Balance of 90+ Day Bankruptcies in Group 2B 2,601,141.75
Number of 90+ Day Bankruptcies in Group 3 7.00
Balance of 90+ Day Bankruptcies in Group 3 380,637.00
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
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 0.00
Balance of Reo's in Group 1B 0.00
Number of Reo's in Group 2A 0.00
Reo's in Group 2A 0.00
Number of Reo's in Group 2B 0.00
Reo's in Group 2B 0.00
Number of Reo's in Group 3 0.00
Reo's in Group 3 0.00
Sec. 4.03(x) Sec. 4.03(x) REO Book Value
REO Book Value Group 1A 0.00
REO Book Value Group 1B 0.00
REO Book Value Group 2A 0.00
REO Book Value Group 2B 0.00
REO Book Value Group 3 0.00
Sec. 4.03(xi) Principal Prepayments
Principal Prepayments Group 1A 104,709.65
Principal Prepayments Group 1B 701,828.68
Principal Prepayments Group 2A 0.00
Principal Prepayments Group 2B 1,243,040.74
Principal Prepayments Group 3 94,897.19
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
April 25, 2000
REVISED
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 NO
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 0.00
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 N/A
Delinquency Percentage by Group 2 N/A
Delinquency Percentage by Group 3 N/A
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 1,497,383.47
Group 2 Available Funds 1,885,809.20
Group 3 Available Funds 471,475.35
Sec. 4.03(xxv) Prepayment Penalties/Premiums 17,135.04
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 X Distributable Amount 0.00
-12-
<PAGE>
Exhibit 99.2
Statement to Certificateholders
May 25, 2000
-13-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
May 25, 2000
Revised Delinquencies
-----------------------------------------------------------------------------------------------------------------------------------
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 69,203,251.53 1,212,765.60 547,282.38 1,760,047.98 0.00 0.00 67,990,485.93
T23 71,193,000.00 68,790,101.11 1,528,295.97 554,455.98 2,082,751.95 0.00 0.00 67,261,805.14
T25 34,386,000.00 33,754,438.52 527,207.92 285,407.00 812,614.92 0.00 0.00 33,227,230.60
R1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
---------------------------------------------------------------------------------------------------------------------------------
TOTALS 176,390,000.00 171,747,791.16 3,268,269.49 1,387,145.36 4,655,414.85 0.00 0.00 168,479,521.67
---------------------------------------------------------------------------------------------------------------------------------
T22 4,320,549.58 4,320,064.10 0.00 34,164.51 34,164.51 0.00 0.00 3,071,357.01
T24 4,223,506.15 4,223,324.35 0.00 34,040.47 34,040.47 0.00 0.00 2,678,283.61
T26 2,098,054.64 2,097,833.14 0.00 36,905.26 36,905.26 0.00 0.00 1,538,255.97
---------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------- -------------------------------------
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 977.29521586 17.12679668 7.72877632 24.85557300 960.16841917 T21 9.490000 %
T23 966.24810178 21.46694155 7.78806877 29.25501032 944.78116023 T23 9.672135 %
T25 981.63317978 15.33205142 8.30009306 23.63214448 966.30112837 T25 10.146470 %
------------------------------------------------------------------------------------------- ------------------------------------
TOTALS 973.68213141 18.52865520 7.86408164 26.39273683 955.15347622
------------------------------------------------------------------------------------------- ------------------------------------
T22 999.88763467 0.00000000 7.90744542 7.90744542 710.87183543 T22 9.490000 %
T24 999.95695519 0.00000000 8.05976570 8.05976570 634.13749498 T24 9.672135 %
T26 999.89442601 0.00000000 17.59022825 17.59022825 733.18203476 T26 10.146470 %
------------------------------------------------------------------------------------------- ------------------------------------
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
May 25, 2000
Revised Delinquencies
-----------------------------------------------------------------------------------------------------------------------------------
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 69,203,251.53 1,248,707.09 460,778.32 1,709,485.41 0.00 0.00 67,954,544.44
A2 71,193,000.00 68,790,101.11 1,545,040.73 370,606.67 1,915,647.40 0.00 0.00 67,245,060.38
A3 34,386,000.00 33,754,438.52 890,351.56 225,873.45 1,116,225.01 0.00 0.00 32,864,086.96
R 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
----------------------------------------------------------------------------------------------------------------------------------
TOTALS 176,390,000.00 171,747,791.16 3,684,099.38 1,057,258.44 4,741,357.82 0.00 0.00 168,063,691.78
----------------------------------------------------------------------------------------------------------------------------------
BB 10,000,000.00 9,380,769.56 0.00 48,167.26 48,167.26 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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------- -------------------------------------
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 977.29521586 17.63436599 6.50715736 24.14152335 959.66084987 A1 7.990000%
A2 966.24810178 21.70214389 5.20566165 26.90780554 944.54595789 A2 6.465000%
A3 981.63317978 25.89285058 6.56876200 32.46161257 955.74032920 A3 8.030000%
------------------------------------------------------------------------------------------- ------------------------------------
TOTALS 973.68213141 20.88610114 5.99386836 26.87996950 952.79603027
------------------------------------------------------------------------------------------- ------------------------------------
BB 938.07695600 0.00000000 4.81672600 4.81672600 938.07695600 BB 8.000000%
X 1000.00000000 0.00000000 0.00000000 0.00000000 1000.00000000 X 0.000000%
------------------------------------------------------------------------------------------- ------------------------------------
-15-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
May 25, 2000
Revised Delinquencies
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 4,223,324.34
Group 2 Targeted O/C Amount 4,223,324.34
Group 2 Distributable Excess Spread 0.00
Group 2 Overcollateralizaton Deficiency Amount 0.00
Group 3 O/C Amount 2,428,607.53
Group 3 Targeted O/C Amount 2,428,607.53
Group 3 Distributable Excess Spread 0.00
Group 3 Overcollateralizaton Deficiency Amount 193,683.90
Sec. 4.03 Fees
Sec. 4.03 (iv) Servicing Fee 85,875.86
Sec. 4.03 (xix) Trustee Fee 1,899.89
Sec. 4.03 (xvii) Premium 28,624.63
Special Servicing Fee Due This Period 51,600.00
Unpaid Special Servicing Fee This Period 51,600.00
Cummulative Unpaid Special Servicing Fee 51,600.00
Sec. 4.03(v) Current Advances 0.00
Sec. 4.03(vi) Collateral Balances
Collateral Balance Group 1 Sub-Group 1A 19,037,681.50
Collateral Balance Group 1 Sub-Group 1B 53,236,927.04
Collateral Balance Group 1 Total 72,274,608.54
Collateral Balance Group 2 Sub-Group 2A 8,411,210.95
Collateral Balance Group 2 Sub-Group 2B 63,057,173.77
Collateral Balance Group 2 Total 71,468,384.72
Collateral Balance Group 3 Total 35,292,694.49
Sec. 4.03(vii) Beginning Loan Count
Group 1A Beginning Number of Loans 232.00
Group 1B Beginning Number of Loans 889.00
Total Group 1 Beginning Number of Loans 1,121.00
Group 2A Beginning Number of Loans 27.00
Group 2B Beginning Number of Loans 622.00
Total Group 2 Beginning Number of Loans 649.00
Total Group 3 Beginning Number of Loans 552.00
Total Beginning Number of Loans - All Groups 2320.00
Sec. 4.03(vii) Ending Loan Count
Group 1A Ending Number of Loans 231.00
Group 1B Ending Number of Loans 876.00
Total Group 1 Ending Number of Loans 1,107.00
Group 2A Ending Number of Loans 26.00
Group 2B Ending Number of Loans 610.00
Total Group 2 Ending Number of Loans 636.00
Total Group 3 Ending Number of Loans 541.00
Total Ending Number of Loans 2,284.00
Sec. 4.03(vii) Weighted Average Mortgage Rate
Weighted Average Mortgage Rate for All Loans 10.2045%
Group 1A Weighted Average Mortgage Rate 8.2925%
Group 1B Weighted Average Mortgage Rate 10.6033%
Group 1 Weighted Average Mortgage Rate 9.6327%
Group 2A Weighted Average Mortgage Rate 9.6702%
Group 2B Weighted Average Mortgage Rate 10.2548%
Group 2 Weighted Average Mortgage Rate 10.2309%
Group 3 Weighted Average Mortgage Rate 10.6590%
-16-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
May 25, 2000
Revised Delinquencies
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 151 10,173,585.91 14.08
2 Months 63 4,307,079.40 5.96
3+Months 20 1,762,390.39 2.44
Total 234 16,243,055.70 22.48
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 85 7,779,871.15 10.89
2 Months 34 3,681,632.38 5.15
3+Months 12 1,577,396.44 2.21
Total 131 13,038,899.97 18.25
Group 3
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 107 7,383,869.04 20.92
2 Months 50 3,144,715.40 8.91
3+Months 26 1,622,890.14 4.6
Total 183 12,151,474.58 34.43
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 343 25,337,326.10 14.15
2 Months 147 11,133,427.18 6.22
3+Months 58 4,962,676.97 2.77
Total 548 41,433,430.25 23.14
Number of Loans 30 Days Delinquent in Group 1A 31.00
Balance of Loans 30 Days Delinquent in Group 1A 2,817,043.81
Number of Loans 30 Days Delinquent in Group 1B 120.00
Balance of Loans 30 Days Delinquent in Group 1B 7,356,542.10
Number of Loans 30 Days Delinquent in Group 2A 3.00
Balance of Loans 30 Days Delinquent in Group 2A 808,962.88
Number of Loans 30 Days Delinquent in Group 2B 82.00
Balance of Loans 30 Days Delinquent in Group 2B 6,970,908.27
Number of Loans 30 Days Delinquent in Group 3 107.00
Balance of Loans 30 Days Delinquent in Group 3 7,383,869.04
Number of Loans 60 Days Delinquent in Group 1A 14.00
Balance of Loans 60 Days Delinquent in Group 1A 1,275,531.34
Number of Loans 60 Days Delinquent in Group 1B 49.00
Balance of Loans 60 Days Delinquent in Group 1B 3,031,548.06
Number of Loans 60 Days Delinquent in Group 2A 1.00
Balance of Loans 60 Days Delinquent in Group 2A 363,666.86
Number of Loans 60 Days Delinquent in Group 2B 33.00
Balance of Loans 60 Days Delinquent in Group 2B 3,317,965.52
Number of Loans 60 Days Delinquent in Group 3 50.00
Balance of Loans 60 Days Delinquent in Group 3 3,144,715.40
Number of Loans 90 Days Delinquent in Group 1A 13.00
Balance of Loans 90 Days Delinquent in Group 1A 1,304,532.23
Number of Loans 90 Days Delinquent in Group 1B 7.00
Balance of Loans 90 Days Delinquent in Group 1B 457,858.16
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 12.00
Balance of Loans 90 Days Delinquent in Group 2B 1,577,396.44
Number of Loans 90 Days Delinquent in Group 3 26.00
Balance of Loans 90 Days Delinquent in Group 3 1,622,890.14
-17-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
May 25, 2000
Revised Delinquencies
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
73 4,690,373.52 6.49
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
58 5,269,527.17 7.37
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
56 3,833,075.79 10.86
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
187 13,792,976.48 7.7
Number of Foreclosures in Group 1A 15.00
Balance of Foreclosures in Group 1A 1,256,890.91
Number of Foreclosures in Group 1B 58.00
Balance of Foreclosures in Group 1B 3,433,482.61
Number of Foreclosures in Group 2A 0.00
Balance of Foreclosures in Group 2A 0.00
Number of Foreclosures in Group 2B 58.00
Balance of Foreclosures in Group 2B 5,269,527.17
Number of Foreclosures in Group 3 56.00
Balance of Foreclosures in Group 3 3,833,075.79
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
151 10,695,241.52 14.8
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
34 2,824,402.54 3.95
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
15 822,753.85 2.33
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
200 14,342,397.91 8.01
Number of Bankruptcies in Group 1A 100.00
Balance of Bankruptcies in Group 1A 7,374,414.11
Number of Bankruptcies in Group 1B 51.00
Balance of Bankruptcies in Group 1B 3,320,827.41
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 2,824,402.54
Number of Bankruptcies in Group 3 15.00
Balance of Bankruptcies in Group 3 822,753.85
Number of 30 Day Bankruptcies in Group 1A 2.00
Balance of 30 Day Bankruptcies in Group 1A 18,034.95
Number of 30 Day Bankruptcies in Group 1B 8.00
Balance of 30 Day Bankruptcies in Group 1B 492,560.85
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 66,544.52
Number of 30 Day Bankruptcies in Group 3 1.00
Balance of 30 Day Bankruptcies in Group 3 117,951.06
-18-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
May 25, 2000
Revised Delinquencies
Number of 60 Day Bankruptcies in Group 1A 0.00
Balance of 60 Day Bankruptcies in Group 1A 0.00
Number of 60 Day Bankruptcies in Group 1B 4.00
Balance of 60 Day Bankruptcies in Group 1B 214,029.85
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 72,700.12
Number of 60 Day Bankruptcies in Group 3 2.00
Balance of 60 Day Bankruptcies in Group 3 63,118.67
Number of 90+ Day Bankruptcies in Group 1A 11.00
Balance of 90+ Day Bankruptcies in Group 1A 706,590.70
Number of 90+ Day Bankruptcies in Group 1B 139.00
Balance of 90+ Day Bankruptcies in Group 1B 9,711,216.94
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 2,685,157.90
Number of 90+ Day Bankruptcies in Group 3 12.00
Balance of 90+ Day Bankruptcies in Group 3 641,684.12
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
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 0.00
Balance of Reo's in Group 1B 0.00
Number of Reo's in Group 2A 0.00
Reo's in Group 2A 0.00
Number of Reo's in Group 2B 0.00
Reo's in Group 2B 0.00
Number of Reo's in Group 3 0.00
Reo's in Group 3 0.00
Sec. 4.03(x) Sec. 4.03(x) REO Book Value
REO Book Value Group 1A 0.00
REO Book Value Group 1B 0.00
REO Book Value Group 2A 0.00
REO Book Value Group 2B 0.00
REO Book Value Group 3 0.00
Sec. 4.03(xi) Principal Prepayments
Principal Prepayments Group 1A 109,395.41
Principal Prepayments Group 1B 1,037,864.37
Principal Prepayments Group 2A 340,514.29
Principal Prepayments Group 2B 1,155,720.49
Principal Prepayments Group 3 525,965.71
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
May 25, 2000
Revised Delinquencies
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 33,538.46
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 33,538.46
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 NO
Has the Group 3 Trigger Event Occured NO
Has the Group 3 Cummulative Loss Trigger Event Occured NO
Has the Group 3 Overcollateralizatio Step Up Trigger Event Occured YES
Sec. 4.03(xx) Cummulative Realized Losses as a Percentage of Original Loan Group Balance 0.00
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 21.359183%
Delinquency Percentage by Group 2 10.205745%
Delinquency Percentage by Group 3 14.928087%
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 1,806,512.23
Group 2 Available Funds 2,129,017.99
Group 3 Available Funds 836,352.12
Sec. 4.03(xxv) Prepayment Penalties/Premiums 19,167.26
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 29,000.00
Proceeds from Permitted Investments 0.00
Permitted Investments Paid to Class X 0.00
Unpaid Interest Payments Made to the BB Class 29,000.00
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 99.3
Statement to Certificateholders
June 26, 2000
-21-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
June 26, 2000
Revised Delinquencies
-----------------------------------------------------------------------------------------------------------------------------------
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 67,954,544.44 968,653.71 573,769.93 1,542,423.64 0.00 0.00 66,985,890.73
T23 71,193,000.00 67,245,060.38 1,020,734.19 581,783.65 1,602,517.84 0.00 0.00 66,224,326.19
T25 34,386,000.00 32,864,086.96 4,999,791.47 297,803.23 5,297,594.70 0.00 0.00 27,864,295.49
R1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
----------------------------------------------------------------------------------------------------------------------------------
TOTALS 176,390,000.00 168,063,691.78 6,989,179.37 1,453,356.81 8,442,536.18 0.00 0.00 161,074,512.41
----------------------------------------------------------------------------------------------------------------------------------
T22 4,320,549.58 4,320,064.10 0.00 36,476.19 36,476.19 0.00 0.00 3,273,084.04
T24 4,223,506.15 4,223,324.34 0.00 36,538.91 36,538.91 0.00 0.00 3,144,960.03
T26 2,098,054.64 2,428,607.53 0.00 32,012.88 32,012.88 0.00 0.00 -2,477,234.06
---------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------- -------------------------------------
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 959.66084987 13.67942424 8.10283614 21.78226038 945.98142563 T21 9.498867%
T23 944.54595789 14.33756395 8.17192210 22.50948604 930.20839394 T23 9.733155%
T25 955.74032920 145.40195050 8.66059530 154.06254580 810.33837870 T25 10.194369%
------------------------------------------------------------------------------------------- ------------------------------------
TOTALS 952.79603027 39.62344447 8.23945127 47.86289574 913.17258580
------------------------------------------------------------------------------------------- ------------------------------------
T22 999.88763467 0.00000000 8.44248847 8.44248847 757.56196738 T22 9.498867%
T24 999.95695283 0.00000000 8.65132160 8.65132160 744.63252054 T24 9.733155%
T26 1157.55208835 0.00000000 15.25836334 15.25836334 -1180.72904908 T26 10.194369%
------------------------------------------------------------------------------------------- -----------------------------------
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
June 26, 2000
Revised Delinquencies
-----------------------------------------------------------------------------------------------------------------------------------
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 67,954,544.44 1,276,895.45 452,464.01 1,729,359.46 0.00 0.00 66,677,648.99
A2 71,193,000.00 67,245,060.38 1,078,364.31 414,229.57 1,492,593.88 0.00 0.00 66,166,696.07
A3 34,386,000.00 32,864,086.96 5,095,689.63 219,915.52 5,315,605.15 0.00 0.00 27,768,397.33
R 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
----------------------------------------------------------------------------------------- -------------------------------------
TOTALS 176,390,000.00 168,063,691.78 7,450,949.39 1,086,609.10 8,537,558.49 0.00 0.00 160,612,742.39
----------------------------------------------------------------------------------------- -------------------------------------
BB 10,000,000.00 9,380,769.56 0.00 10,005.66 10,005.66 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
-----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------- -------------------------------------
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 959.66084987 18.03244482 6.38974185 24.42218667 941.62840505 A1 7.990000%
A2 944.54595789 15.14705533 5.81840307 20.96545840 929.39890256 A2 6.930000%
A3 955.74032920 148.19082272 6.39549584 154.58631856 807.54950649 A3 8.030000%
------------------------------------------------------------------------------------------- ------------------------------------
TOTALS 952.79603027 42.24133675 6.16026475 48.40160151 910.55469352
------------------------------------------------------------------------------------------- ------------------------------------
BB 938.07695600 0.00000000 1.00056600 1.00056600 938.07695600 BB 8.000000%
X 1000.00000000 0.00000000 0.00000000 0.00000000 1000.00000000 X 0.000000%
------------------------------------------------------------------------------------------- ------------------------------------
-23-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
June 26, 2000
Revised Delinquencies
Sec. 4.03(iii) Overcollateralization Levels, Targets and Distributable Excess
Group 1 O/C Amount 4,549,979.49
Group 1 Targeted O/C Amount 5,400,080.13
Group 1 Distributable Excess Spread 0.00
Group 1 Overcollateralizaton Deficiency Amount 850,100.63
Group 2 O/C Amount 4,223,324.34
Group 2 Targeted O/C Amount 4,223,324.34
Group 2 Distributable Excess Spread 0.00
Group 2 Overcollateralizaton Deficiency Amount 0.00
Group 3 O/C Amount 2,618,455.57
Group 3 Targeted O/C Amount 2,622,291.43
Group 3 Distributable Excess Spread 0.00
Group 3 Overcollateralizaton Deficiency Amount 3,835.86
Sec. 4.03 Fees
Sec. 4.03 (iv) Servicing Fee 90,294.43
Sec. 4.03 (xix) Trustee Fee 1,864.96
Sec. 4.03 (xvii) Premium 28,010.62
Special Servicing Fee Due This Period 50,100.00
Unpaid Special Servicing Fee This Period 50,100.00
Cummulative Unpaid Special Servicing Fee 101,700.00
Sec. 4.03(v) Current Advances 0.00
Sec. 4.03(vi) Collateral Balances
Collateral Balance Group 1 Sub-Group 1A 18,794,591.07
Collateral Balance Group 1 Sub-Group 1B 52,433,037.41
Collateral Balance Group 1 Total 71,227,628.48
Collateral Balance Group 2 Sub-Group 2A 8,090,567.86
Collateral Balance Group 2 Sub-Group 2B 62,299,452.55
Collateral Balance Group 2 Total 70,390,020.41
Collateral Balance Group 3 Total 30,386,852.90
Sec. 4.03(vii) Beginning Loan Count
Group 1A Beginning Number of Loans 231.00
Group 1B Beginning Number of Loans 876.00
Total Group 1 Beginning Number of Loans 1,107.00
Group 2A Beginning Number of Loans 26.00
Group 2B Beginning Number of Loans 610.00
Total Group 2 Beginning Number of Loans 636.00
Total Group 3 Beginning Number of Loans 541.00
Total Beginning Number of Loans - All Groups 2384.00
Sec. 4.03(vii) Ending Loan Count
Group 1A Ending Number of Loans 229.00
Group 1B Ending Number of Loans 864.00
Total Group 1 Ending Number of Loans 1,093.00
Group 2A Ending Number of Loans 25.00
Group 2B Ending Number of Loans 600.00
Total Group 2 Ending Number of Loans 625.00
Total Group 3 Ending Number of Loans 469.00
Total Ending Number of Loans 2,187.00
Sec. 4.03(vii) Weighted Average Mortgage Rate
Weighted Average Mortgage Rate for All Loans 10.2420%
Group 1A Weighted Average Mortgage Rate 8.2950%
Group 1B Weighted Average Mortgage Rate 10.6250%
Group 1 Weighted Average Mortgage Rate 9.5520%
Group 2A Weighted Average Mortgage Rate 9.7075%
Group 2B Weighted Average Mortgage Rate 10.3170%
Group 2 Weighted Average Mortgage Rate 10.2424%
Group 3 Weighted Average Mortgage Rate 10.7069%
-24-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
June 26, 2000
Revised Delinquencies
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 143 9,845,914.28 13.82
2 Months 68 4,382,017.93 6.15
3+Months 31 2,554,430.06 3.59
Total 242 16,782,362.27 23.56
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 81 8,530,240.16 12.12
2 Months 31 2,163,409.51 3.07
3+Months 17 2,036,990.24 2.89
Total 129 12,730,639.91 18.08
Group 3
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 102 6,935,950.55 22.83
2 Months 35 2,176,059.52 7.16
3+Months 15 1,092,822.37 3.6
Total 152 10,204,832.44 33.59
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 326 25,312,104.99 14.72
2 Months 134 8,721,486.96 5.07
3+Months 63 5,684,242.67 3.3
Total 523 39,717,834.62 23.09
Number of Loans 30 Days Delinquent in Group 1A 22.00
Balance of Loans 30 Days Delinquent in Group 1A 2,101,460.08
Number of Loans 30 Days Delinquent in Group 1B 121.00
Balance of Loans 30 Days Delinquent in Group 1B 7,744,454.20
Number of Loans 30 Days Delinquent in Group 2A 3.00
Balance of Loans 30 Days Delinquent in Group 2A 1,120,806.23
Number of Loans 30 Days Delinquent in Group 2B 78.00
Balance of Loans 30 Days Delinquent in Group 2B 7,409,433.93
Number of Loans 30 Days Delinquent in Group 3 102.00
Balance of Loans 30 Days Delinquent in Group 3 6,935,950.55
Number of Loans 60 Days Delinquent in Group 1A 17.00
Balance of Loans 60 Days Delinquent in Group 1A 1,388,876.63
Number of Loans 60 Days Delinquent in Group 1B 51.00
Balance of Loans 60 Days Delinquent in Group 1B 2,993,141.30
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 31.00
Balance of Loans 60 Days Delinquent in Group 2B 2,163,409.51
Number of Loans 60 Days Delinquent in Group 3 35.00
Balance of Loans 60 Days Delinquent in Group 3 2,176,059.52
Number of Loans 90 Days Delinquent in Group 1A 15.00
Balance of Loans 90 Days Delinquent in Group 1A 1,438,931.21
Number of Loans 90 Days Delinquent in Group 1B 16.00
Balance of Loans 90 Days Delinquent in Group 1B 1,115,498.85
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 17.00
Balance of Loans 90 Days Delinquent in Group 2B 2,036,990.24
Number of Loans 90 Days Delinquent in Group 3 15.00
Balance of Loans 90 Days Delinquent in Group 3 1,092,822.37
-25-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
June 26, 2000
Revised Delinquencies
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
86 5,470,219.75 7.68
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
62 5,768,013.67 8.19
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
17 907,565.83 2.99
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
165 12,145,799.25 7.06
Number of Foreclosures in Group 1A 19.00
Balance of Foreclosures in Group 1A 1,657,977.89
Number of Foreclosures in Group 1B 67.00
Balance of Foreclosures in Group 1B 3,812,241.86
Number of Foreclosures in Group 2A 0.00
Balance of Foreclosures in Group 2A 0.00
Number of Foreclosures in Group 2B 62.00
Balance of Foreclosures in Group 2B 5,768,013.67
Number of Foreclosures in Group 3 17.00
Balance of Foreclosures in Group 3 907,565.83
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
153 10,814,995.83 15.18
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
36 2,998,752.11 4.26
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
12 731,038.59 2.41
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
201 14,544,786.53 8.46
Number of Bankruptcies in Group 1A 97.00
Balance of Bankruptcies in Group 1A 7,256,435.66
Number of Bankruptcies in Group 1B 56.00
Balance of Bankruptcies in Group 1B 3,558,560.17
Number of Bankruptcies in Group 2A 0.00
Balance of Bankruptcies in Group 2A 0.00
Number of Bankruptcies in Group 2B 36.00
Balance of Bankruptcies in Group 2B 2,998,752.11
Number of Bankruptcies in Group 3 12.00
Balance of Bankruptcies in Group 3 731,038.59
Number of 30 Day Bankruptcies in Group 1A 3.00
Balance of 30 Day Bankruptcies in Group 1A 23,847.94
Number of 30 Day Bankruptcies in Group 1B 14.00
Balance of 30 Day Bankruptcies in Group 1B 894,390.39
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 3.00
Balance of 30 Day Bankruptcies in Group 2B 241,822.59
Number of 30 Day Bankruptcies in Group 3 2.00
Balance of 30 Day Bankruptcies in Group 3 340,651.85
-26-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
June 26, 2000
Revised Delinquencies
Number of 60 Day Bankruptcies in Group 1A 3.00
Balance of 60 Day Bankruptcies in Group 1A 208,445.55
Number of 60 Day Bankruptcies in Group 1B 9.00
Balance of 60 Day Bankruptcies in Group 1B 512,260.57
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 86,439.95
Number of 60 Day Bankruptcies in Group 3 2.00
Balance of 60 Day Bankruptcies in Group 3 252,899.11
Number of 90+ Day Bankruptcies in Group 1A 91.00
Balance of 90+ Day Bankruptcies in Group 1A 6,731,481.68
Number of 90+ Day Bankruptcies in Group 1B 33.00
Balance of 90+ Day Bankruptcies in Group 1B 2,151,909.21
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 2,670,489.57
Number of 90+ Day Bankruptcies in Group 3 8.00
Balance of 90+ Day Bankruptcies in Group 3 137,487.63
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
2 122,575.65 0.17%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
0 0.00 0.00%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
2 122,575.65 0.07%
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 2.00
Balance of Reo's in Group 1B 122,575.65
Number of Reo's in Group 2A 0.00
Reo's in Group 2A 0.00
Number of Reo's in Group 2B 0.00
Reo's in Group 2B 0.00
Number of Reo's in Group 3 0.00
Reo's in Group 3 0.00
Sec. 4.03(x) Sec. 4.03(x) REO Book Value
REO Book Value Group 1A 122,575.65
REO Book Value Group 1B 0.00
REO Book Value Group 2A 0.00
REO Book Value Group 2B 0.00
REO Book Value Group 3 0.00
Sec. 4.03(xi) Principal Prepayments
Principal Prepayments Group 1A 193,983.75
Principal Prepayments Group 1B 729,355.94
Principal Prepayments Group 2A 310,151.87
Principal Prepayments Group 2B 719,798.36
Principal Prepayments Group 3 233,198.43
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
-27-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
June 26, 2000
Revised Delinquencies
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 62,538.46
Sec. 4.03(xvi) Cummulative Unpaid Interest
Class A1 Cummulative Unpaid Interest Shortfall
Class A2 Cummulative Unpaid Interest Shortfall 0.00
Class A3 Cummulative Unpaid Interest Shortfall 0.00
Class BB Cummulative Unpaid Interest Shortfall 96,076.92
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 NO
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 YES
Sec. 4.03(xx) Cummulative Realized Losses as a Percentage of Original Loan Group Balance 0.00
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 22.413929%
Delinquency Percentage by Group 2 12.336140%
Delinquency Percentage by Group 3 12.260852%
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 1,590,978.44
Group 2 Available Funds 1,651,008.72
Group 3 Available Funds 5,325,446.90
Sec. 4.03(xxv) Prepayment Penalties/Premiums 10,005.66
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>
