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) : November 27, 2000
MERRILL LYNCH MORTGAGE INVESTORS INC, (as depositor under the
Pooling and Servicing Agreement, dated February 1, 2000, providing for the
issuance of C-BASS Trust 2000-CB1, C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2000-CB1).
MERRILL LYNCH MORTGAGE INVESTORS, INC.
(Exact name of registrant as specified in its charter)
Delaware 333-8142-12 13-5674085
(State or other (Commission File Number) (IRS Employer
jurisdiction of Identification No.)
incorporation)
World Financial Center North Tower
250 Vesey Street
New York, New York 10281-1310
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code : (212) 449-1000
N/A
(Former name or former address, if changed since last report.)
<PAGE>
Item 5. Other Events.
This report and the attached exhibit is being filed pursuant to "no-action"
positions taken by the Securities and Exchange Commission with respect to
alternative means of satisfying the Registrant's reporting obligations under the
Securities Exchange Act of 1934, as amended, with respect to the Registrant's
C-BASS Trust 2000-CB1, C-BASS Mortgage Loan Asset-Backed Certificates, Series
2000-CB1 (the "Certificates"). The Certificates were issued, and this report and
exhibit is being filed, pursuant to the terms of the Pooling and Servicing
Agreement, dated as of February 1, 2000 ( the "Agreement"), among Merrill Lynch
Mortgage Investors, Inc., as Depositor, Credit-Based Asset Servicing and
Securitization LLC, as Seller, Litton Loan Servicing LP, as Servicer, and The
Chase Manhattan Bank, as Trustee. On November 27, 2000 distributions were made
to the Certificateholders. Specific information with respect to these
distributions is filed as Exhibit 99.1. No other reportable transactions or
matters have occurred during the current reporting period.
Item 7. Financial Statements and Exhibits.
(a) Not applicable
(b) Not applicable
(c) The following exhibit is filed as part of this report:
Statement to Certificateholders on November 27,2000,
as Exhibit 99.1.
-2-
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
THE CHASE MANHATTAN BANK,
not in its individual capacity but solely
as Trustee under the Agreement referred
to herein
Date: December 11, 2000 By: /s/ Karen Dobres
Karen Dobres
Vice President
-3-
<PAGE>
INDEX TO EXHIBITS
Exhibit
Number Description of Exhibits
99.1 Statement to Certificateholders
November 27, 2000
-4-
Exhibit 99.1
Statement to Certificateholders
November 27, 2000
-5-
<PAGE>
<TABLE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
November 27, 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 60,051,408.30 1,363,848.25 521,857.58 1,885,705.83 0.00 0.00 58,687,560.05
T23 71,193,000.00 60,170,668.35 1,661,446.27 551,178.36 2,212,624.63 0.00 0.00 58,509,222.08
T25 34,386,000.00 26,274,516.41 308,048.51 0.00 308,048.51 0.00 0.00 25,966,467.90
R1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
-----------------------------------------------------------------------------------------------------------------------------------
TOTALS 176,390,000.00 146,496,593.06 3,333,343.03 1,073,035.94 4,406,378.97 0.00 0.00 143,163,250.03
-----------------------------------------------------------------------------------------------------------------------------------
T22 4,320,549.58 4,320,064.10 0.00 37,542.14 37,542.14 0.00 0.00 2,978,907.34
T24 4,223,506.15 5,279,155.43 0.00 48,358.38 48,358.38 0.00 0.00 3,669,000.08
T26 2,098,054.64 2,329,307.01 0.00 0.00 0.00 0.00 0.00 1,947,449.85
-----------------------------------------------------------------------------------------------------------------------------------
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 848.05197356 19.26040093 7.36972476 26.63012569 828.79157264 T21 9.480197%
T23 845.17674982 23.33721391 7.74203026 31.07924417 821.83953591 T23 9.993000%
T25 764.10505467 8.95854447 0.00000000 8.95854447 755.14651021 T25 0.000000%
TOTALS 830.52663450 18.89757373 6.08331504 24.98088877 811.62906077 TOTALS
T22 999.88763467 0.00000000 8.68920477 8.68920477 689.47417102 T22 9.480197%
T24 1,249.94619222 0.00000000 11.44981877 11.44981877 868.70953887 T24 9.993000%
T26 1,110.22228191 0.00000000 0.00000000 0.00000000 928.21693624 T26 0.000000%
-------------------------------------------------------------------------------------------
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
November 27,2000
-----------------------------------------------------------------------------------------------------------------------------------
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 60,051,408.30 1,341,156.76 399,842.29 1,740,999.05 0.00 0.00 58,710,251.54
A2 71,193,000.00 60,170,668.35 1,610,155.35 382,785.74 1,992,941.09 0.00 0.00 58,560,513.00
A3 34,386,000.00 26,274,516.41 582,519.04 175,820.31 758,339.35 0.00 0.00 25,691,997.37
BB 10,000,000.00 9,150,409.07 0.00 18,271.58 18,271.58 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 197,032,110.37 166,289,112.50 3,533,831.15 976,719.92 4,510,551.07 0.00 0.00 162,755,281.35
----------------------------------------------------------------------------------------------------------------------------------
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 848.051974 18.939949 5.646613 24.586562 829.112024 A1 7.990000%
A2 845.176750 22.616765 5.376733 27.993498 822.559985 A2 6.940000%
A3 764.105055 16.940587 5.113136 22.053724 747.164467 A3 8.030000%
BB 915.040907 0.000000 1.827158 1.827158 915.040907 BB 8.000000%
X 1,000.000000 0.000000 0.000000 0.000000 1,000.000000 X 0.000000%
-------------------------------------------------------------------------------------------
TOTALS 843.969606 17.935306 4.957161 22.892467 826.034300
-------------------------------------------------------------------------------------------
If there are any questions or problems with this statement, please contact the Administrator listed below:
---------------------------------------
KAREN DOBRES
THE CHASE MANHATTAN BANK - STRUCTURED FINANCE SERVICES
450 WEST 33RD STREET, 14TH FLOOR
NEW YORK, NEW YORK 10001
TEL: 212/946-3232
Email: [email protected]
---------------------------------------
-7-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
November 27, 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 30,353.42
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 2,529,968.89
Group 3 Targeted O/C Amount 2,622,291.43
Group 3 Distributable Excess Spread 75,624.58
Group 3 Overcollateralizaton Deficiency Amount 92,322.53
Sec. 4.03 (iv) Servicing Fee 64,339.46
Sec. 4.03 (iv) PMI Scheduled Service Fees 11,431.22
Sec. 4.03 (xix) Trustee Fee 1,650.26
Sec. 4.03 (xvii) Premium 24,416.10
Special Servicing Fee Due This Period 50,700.00
Previously Unpaid Special Servicing Fees 58,919.94
Total Special Servicing Fees Due 109,619.94
Special Servicing Fee Paid This Period 0.00
Cummulative Unpaid Special Servicing Fee 109,619.94
Sec. 4.03(v) Current Advances
0.00
Sec. 4.03(vi) Collateral Balances
Collateral Balance Group 1 Sub-Group 1A 17,117,153.57
Collateral Balance Group 1 Sub-Group 1B 45,913,162.07
Collateral Balance Group 1 Total 63,030,315.64
Collateral Balance Group 2 Sub-Group 2A 7,306,186.28
Collateral Balance Group 2 Sub-Group 2B 56,533,482.15
Collateral Balance Group 2 Total 63,839,668.43
Collateral Balance Group 3 Total 28,221,966.26
Sec. 4.03(vii) Beginning Loan Count
Group 1A Beginning Number of Loans 215.00
Group 1B Beginning Number of Loans 787.00
Total Group 1 Beginning Number of Loans 1,002.00
Group 2A Beginning Number of Loans 23.00
Group 2B Beginning Number of Loans 557.00
Total Group 2 Beginning Number of Loans 580.00
Total Group 3 Beginning Number of Loans 445.00
Total Beginning Number of Loans - All Groups 2,027.00
Sec. 4.03(vii) Ending Loan Count
Group 1A Ending Number of Loans 214.00
Group 1B Ending Number of Loans 773.00
Total Group 1 Ending Number of Loans 987.00
Group 2A Ending Number of Loans 23.00
Group 2B Ending Number of Loans 539.00
Total Group 2 Ending Number of Loans 562.00
Total Group 3 Ending Number of Loans 441.00
Total Ending Number of Loans 1,990.00
Sec. 4.03(vii) Weighted Average Mortgage Rate
Weighted Average Mortgage Rate for All Loans 10.3230%
Group 1A Weighted Average Mortgage Rate 8.3269%
Group 1B Weighted Average Mortgage Rate 10.6094%
Group 1 Weighted Average Mortgage Rate 9.992%
Group 2A Weighted Average Mortgage Rate 9.5605%
Group 2B Weighted Average Mortgage Rate 10.625%
Group 2 Weighted Average Mortgage Rate 10.506%
Group 3 Weighted Average Mortgage Rate 10.648%
-8-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
November 27, 2000
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 85 5,749,720.14 9.12 %
2 Months 41 2,642,006.65 4.19 %
3+Months 213 14,088,004.94 22.35 %
Total 339 22,479,731.73 35.66 %
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 35 3,116,832.18 4.88 %
2 Months 14 1,566,246.57 2.45 %
3+Months 103 9,917,183.32 15.53 %
Total 152 14,600,262.07 22.86 %
Group 3
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 66 3,995,831.27 14.16 %
2 Months 28 2,263,499.02 8.02 %
3+Months 74 4,429,812.84 15.70 %
Total 168 10,689,143.13 37.88 %
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 186 12,862,383.59 8.29 %
2 Months 83 6,471,752.24 4.17 %
3+ Months 390 28,435,001.10 18.33 %
Total 659 47,769,136.93 30.79 %
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
Number of Loans 30 Days Delinquent in Group 1A 21.00
Balance of Loans 30 Days Delinquent in Group 1A 1,987,358.56
Number of Loans 30 Days Delinquent in Group 1B 64.00
Balance of Loans 30 Days Delinquent in Group 1B 3,762,361.58
Number of Loans 30 Days Delinquent in Group 2A 2.00
Balance of Loans 30 Days Delinquent in Group 2A 530,496.73
Number of Loans 30 Days Delinquent in Group 2B 33.00
Balance of Loans 30 Days Delinquent in Group 2B 2,586,335.45
Number of Loans 30 Days Delinquent in Group 3 66.00
Balance of Loans 30 Days Delinquent in Group 3 3,995,831.27
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
Number of Loans 60 Days Delinquent in Group 1A 11.00
Balance of Loans 60 Days Delinquent in Group 1A 829,804.11
Number of Loans 60 Days Delinquent in Group 1B 30.00
Balance of Loans 60 Days Delinquent in Group 1B 1,812,202.54
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 14.00
Balance of Loans 60 Days Delinquent in Group 2B 1,566,246.57
Number of Loans 60 Days Delinquent in Group 3 28.00
Balance of Loans 60 Days Delinquent in Group 3 2,263,499.02
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
Number of Loans 90+ Days Delinquent in Group 1A 104.00
Balance of Loans 90+ Days Delinquent in Group 1A 7,793,724.16
Number of Loans 90+ Days Delinquent in Group 1B 109.00
Balance of Loans 90+ Days Delinquent in Group 1B 6,294,280.78
Number of Loans 90+ Days Delinquent in Group 2A 1.00
Balance of Loans 90+ Days Delinquent in Group 2A 490,908.09
Number of Loans 90+ Days Delinquent in Group 2B 102.00
Balance of Loans 90+ Days Delinquent in Group 2B 9,426,275.23
Number of Loans 90+ Days Delinquent in Group 3 74.00
Balance of Loans 90+ Days Delinquent in Group 3 4,429,812.84
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
-9-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
November 27, 2000
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
39 2,693,266.61 4.27%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
37 3,759,763.90 5.89%
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
27 1,700,454.70 6.03%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
103 8,153,485.21 5.26%
Number of Foreclosures in Group 1A 13.00
Balance of Foreclosures in Group 1A 1,091,860.40
Number of Foreclosures in Group 1B 26.00
Balance of Foreclosures in Group 1B 1,601,406.21
Number of Foreclosures in Group 2A 1.00
Balance of Foreclosures in Group 2A 490,908.09
Number of Foreclosures in Group 2B 36.00
Balance of Foreclosures in Group 2B 3,268,855.81
Number of Foreclosures in Group 3 27.00
Balance of Foreclosures in Group 3 1,700,454.70
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
139 9,167,985.51 14.55%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
47 4,026,549.36 6.31%
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
27 1,400,078.36 4.96%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
213 14,594,613.23 9.41%
Number of Bankruptcies in Group 1A 85.00
Balance of Bankruptcies in Group 1A 6,143,255.79
Number of Bankruptcies in Group 1B 54.00
Balance of Bankruptcies in Group 1B 3,024,729.72
Number of Bankruptcies in Group 2A 0.00
Balance of Bankruptcies in Group 2A 0.00
Number of Bankruptcies in Group 2B 47.00
Balance of Bankruptcies in Group 2B 4,026,549.36
Number of Bankruptcies in Group 3 27.00
Balance of Bankruptcies in Group 3 1,400,078.36
Number of 30 Day Bankruptcies in Group 1A 1.00
Balance of 30 Day Bankruptcies in Group 1A 48,649.76
Number of 30 Day Bankruptcies in Group 1B 7.00
Balance of 30 Day Bankruptcies in Group 1B 386,361.95
Number of 30 Day Bankruptcies in Group 2A 0.00
Balance of 30 Day Bankruptcies in Group 2A 0.00
Number of 30 Day Bankruptcies in Group 2B 2.00
Balance of 30 Day Bankruptcies in Group 2B 183,686.17
Number of 30 Day Bankruptcies in Group 3 1.00
Balance of 30 Day Bankruptcies in Group 3 46,420.21
-10-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
November 27, 2000
Number of 60 Day Bankruptcies in Group 1A 7.00
Balance of 60 Day Bankruptcies in Group 1A 493,004.82
Number of 60 Day Bankruptcies in Group 1B 2.00
Balance of 60 Day Bankruptcies in Group 1B 193,521.00
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 71,189.80
Number of 60 Day Bankruptcies in Group 3 2.00
Balance of 60 Day Bankruptcies in Group 3 102,231.22
Number of 90+ Day Bankruptcies in Group 1A 77.00
Balance of 90+ Day Bankruptcies in Group 1A 5,601,601.21
Number of 90+ Day Bankruptcies in Group 1B 45.00
Balance of 90+ Day Bankruptcies in Group 1B 2,444,846.77
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 45.00
Balance of 90+ Day Bankruptcies in Group 2B 3,842,863.19
Number of 90+ Day Bankruptcies in Group 3 24.00
Balance of 90+ Day Bankruptcies in Group 3 1,251,426.93
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
10 601,350.81 0.95%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
6 589,896.56 0.92%
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
2 71,332.27 0.25%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
18 1,262,579.64 0.81%
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 10.00
Balance of Reo's in Group 1B 601,350.81
Number of Reo's in Group 2A 0.00
Reo's in Group 2A 0.00
Number of Reo's in Group 2B 5.00
Reo's in Group 2B 589,896.56
Number of Reo's in Group 3 3.00
Reo's in Group 3 71,332.27
Sec. 4.03(x) Sec. 4.03(x) REO Book Value
REO Book Value Group 1A 0.00
REO Book Value Group 1B 601,350.81
REO Book Value Group 2A 0.00
REO Book Value Group 2B 589,896.56
REO Book Value Group 3 71,332.27
Sec. 4.03(xi) Principal Prepayments
Principal Prepayments Group 1A 254,389.91
Principal Prepayments Group 1B 960,149.85
Principal Prepayments Group 2A 0.00
Principal Prepayments Group 2B 1,565,156.24
Principal Prepayments Group 3 283,023.59
Sec. 4.03(xii) Realized Losses
Realized Losses Incurred in Group 1A 0.00
Realized Losses Incurred in Group 1B 30,353.42
Realized Losses Incurred in Group 2A 0.00
Realized Losses Incurred in Group 2B 0.00
Realized Losses Incurred in Group 3 73,808.65
-11-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
November 27, 2000
Sec. 4.03(xii) Cummulative Realized Losses
Cummulative Realized Losses Incurred in Group 1A 36,147.45
Cummulative Realized Losses Incurred in Group 1B 34,419.38
Cummulative Realized Losses Incurred in Group 2A 0.00
Cummulative Realized Losses Incurred in Group 2B 0.00
Cummulative Realized Losses Incurred in Group 3 160,305.19
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 42,731.15
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 83,555.36
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 YES
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 0.000004%
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 0.000020%
Sec. 4.03(xx) Rolling 3 Month Delinquency Percentage by Group - used to determine O/C Step Up Trigger
Delinquency Percentage by Group 1 21.069558%
Delinquency Percentage by Group 2 14.927660%
Delinquency Percentage by Group 3 14.155745%
Sec. 4.03(xx) Rolling 6 Month Delinquency Percentage by Group - used to determine Trigger Event per Group
Cummulative Annual Loss Percentage by Group 1 22.8916655
Cummulative Annual Loss Percentage by Group 2 14.065285%
Cummulative Annual Loss Percentage by Group 3 13.276236%
4.03(xx) Cummulative Annual Loss Percentage by Group
Annual Loss Percentage Group 1 0.012286%
Annual Loss Percentage by Group 2 0.062438%
Annual Loss Percentage by Group 3 0.062438%
Sec. 4.03(xxi) Available Funds by Group
Group 1 Available Funds 1,806,091.11
Group 2 Available Funds 2,148,084.30
Group 3 Available Funds 564,170.44
Sec. 4.03(xxv) Prepayment Penalties/Premiums 18,271.58
Sec. 4.03(xxvi) HLTV Reserve Account
Beginning Balance 80,789.33
Total Deposits to the HLTV Reserve Account 0.00
Transfer from HLTV Reserve Account 0.00
Ending Balance 80,789.33
Sec. 4.03 Class BB Interest Shortfall Account
Beginning Balance 0.00
Proceeds from Permitted Investments 0.00
Permitted Investments Paid to Class X 0.00
Unpaid Interest Payments Made to the BB Class 0.00
Pay Down Payment to the X Class 0.00
Ending Balance 0.00
Sec 4.03 Class X Distributable Amount 0.00
</TABLE>