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) : December 26, 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 December 26, 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 December 26, 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: January 2, 2001 By: /s/ Karen Dobres
Karen Dobres
Vice President
-3-
<PAGE>
INDEX TO EXHIBITS
Exhibit
Number Description of Exhibits
99.1 Statement to Certificateholders
December 26, 2000
-4-
Exhibit 99.1
Statement to Certificateholders
December 26, 2000
-5-
<PAGE>
<TABLE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
STATEMENT TO CERTIFICATEHOLDERS
December 26, 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 58,710,251.54 699,028.90 448,823.56 1,147,852.46 0.00 0.00 58,011,222.64
T23 71,193,000.00 58,560,513.00 1,773,396.82 473,482.89 2,246,879.71 0.00 0.00 56,787,116.18
T25 34,386,000.00 25,691,997.37 310,430.21 0.00 310,430.21 0.00 0.00 25,381,567.16
R1 0.00 0.00 0.00 172,032.33 172,032.33 0.00 0.00 0.00
TOTALS 176,390,000.00 142,962,761.91 2,782,855.93 1,094,338.78 3,877,194.71 0.00 0.00 140,179,905.98
T22 4,320,549.58 4,320,064.10 0.00 33,025.69 33,025.69 0.00 0.00 3,588,198.66
T24 4,223,506.15 5,279,155.43 0.00 42,683.88 42,683.88 0.00 0.00 3,496,015.01
T26 2,098,054.64 2,529,968.89 0.00 0.00 0.00 0.00 0.00 2,311,861.22
-----------------------------------------------------------------------------------------------------------------------------------
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 829.11202412 9.87175580 6.33833105 16.21008685 819.24026832 T21 9.490000
T23 822.55998483 24.90970770 6.65069445 31.56040215 797.65027713 T23 10.037000
T25 747.16446723 9.02780812 0.00000000 9.02780812 738.13665911 T25 0.000000
TOTALS 810.49244237 15.77672164 6.20408629 21.98080793 794.71572073 TOTALS
T22 999.88763467 0.00000000 7.64386321 7.64386321 830.49588798 T22 9.490000
T24 1,249.94619222 0.00000000 10.10626680 10.10626680 827.75184547 T24 10.037000
T26 1,205.86415709 0.00000000 0.00000000 0.00000000 1,101.90705996 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
December 26, 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 58,710,251.54 942,462.33 390,912.42 1,333,374.75 0.00 0.00 57,767,789.21
A2 71,193,000.00 58,560,513.00 1,783,140.42 327,267.87 2,110,408.29 0.00 0.00 56,777,372.58
A3 34,386,000.00 25,691,997.37 251,182.80 171,922.28 423,105.08 0.00 0.00 25,440,814.57
BB 10,000,000.00 9,150,409.07 0.00 26,780.02 26,780.02 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 197,032,110.37 162,755,281.35 2,976,785.55 916,882.59 3,893,668.14 0.00 0.00 159,778,495.80
----------------------------------------------------------------------------------------------------------------------------------
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 829.11202412 13.30954696 5.52050416 18.83005112 815.80247716 A1 7.990000
A2 822.55998483 25.04656947 4.59691079 29.64348026 797.51341536 A2 6.937500
A3 747.16446723 7.30479846 4.99977549 12.30457395 739.85966876 A3 8.030000
BB 915.04090700 0.00000000 2.67800200 2.67800200 915.04090700 BB 8.000000
X 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 X 0.000000
-------------------------------------------------------------------------------------------
TOTALS 826.03429991 15.10812397 4.65346784 19.76159182 810.92617594
-------------------------------------------------------------------------------------------
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
December 26, 2000
Sec. 4.03(iii) Overcollateralization Levels, Targets and Distributable Excess
Group 1 O/C Amount 4,530,660.99
Group 1 Targeted O/C Amount 5,400,080.13
Group 1 Distributable Excess Spread 73,244.77
Group 1 Overcollateralizaton Deficiency Amount 869,419.14
Group 2 O/C Amount 5,279,155.43
Group 2 Targeted O/C Amount 5,279,155.43
Group 2 Distributable Excess Spread 9,743.60
Group 2 Overcollateralizaton Deficiency Amount 0.00
Group 3 O/C Amount 2,563,044.02
Group 3 Targeted O/C Amount 2,622,291.43
Group 3 Distributable Excess Spread 54,208.26
Group 3 Overcollateralizaton Deficiency Amount 59,247.41
Sec. 4.03 (iv) Servicing Fee 61,517.90
Sec. 4.03 (iv) PMI Scheduled Service Fees 11,116.29
Sec. 4.03 (xix) Trustee Fee 1,615.54
Sec. 4.03 (xvii) Premium 23,827.13
Special Servicing Fee Due This Period 55,650.00
Previously Unpaid Special Servicing Fees 109,619.94
Total Special Servicing Fees Due 165,269.94
Special Servicing Fee Paid This Period 0.00
Cummulative Unpaid Special Servicing Fee 165,269.94
Sec. 4.03(v) Current Advances 0.00
Sec. 4.03(vi) Collateral Balances
Collateral Balance Group 1 Sub-Group 1A 17,027,388.07
Collateral Balance Group 1 Sub-Group 1B 45,271,062.13
Collateral Balance Group 1 Total 62,298,450.20
Collateral Balance Group 2 Sub-Group 2A 7,296,192.21
Collateral Balance Group 2 Sub-Group 2B 54,760,335.80
Collateral Balance Group 2 Total 62,056,528.01
Collateral Balance Group 3 Total 28,003,858.59
Sec. 4.03(vii) Beginning Loan Count
Group 1A Beginning Number of Loans 214.00
Group 1B Beginning Number of Loans 773.00
Total Group 1 Beginning Number of Loans 987.00
Group 2A Beginning Number of Loans 23.00
Group 2B Beginning Number of Loans 539.00
Total Group 2 Beginning Number of Loans 562.00
Total Group 3 Beginning Number of Loans 441.00
Total Beginning Number of Loans - All Groups 1,990.00
Sec. 4.03(vii) Ending Loan Count
Group 1A Ending Number of Loans 214.00
Group 1B Ending Number of Loans 764.00
Total Group 1 Ending Number of Loans 978.00
Group 2A Ending Number of Loans 23.00
Group 2B Ending Number of Loans 522.00
Total Group 2 Ending Number of Loans 545.00
Total Group 3 Ending Number of Loans 437.00
Total Ending Number of Loans 1,960.00
Sec. 4.03(vii) Weighted Average Mortgage Rate
Weighted Average Mortgage Rate for All Loans 10.3460%
Group 1A Weighted Average Mortgage Rate 8.3389%
Group 1B Weighted Average Mortgage Rate 10.6230%
Group 1 Weighted Average Mortgage Rate 10.0033%
Group 2A Weighted Average Mortgage Rate 9.5600%
Group 2B Weighted Average Mortgage Rate 10.6770%
Group 2 Weighted Average Mortgage Rate 10.5490%
Group 3 Weighted Average Mortgage Rate 10.6510%
-8-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
December 26, 2000
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 93 5,942,753.08 9.54 %
2 Month 32 2,344,521.65 3.76 %
3 Month 219 14,214,816.91 22.82 %
Total 344 22,502,091.64 36.12 %
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 33 3,266,089.07 5.26 %
2 Month 10 859,482.68 1.38 %
3 Month 105 10,398,949.34 16.76 %
Total 148 14,524,521.09 23.40 %
Group 3
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 59 3,357,783.11 11.99 %
2 Month 24 1,474,672.54 5.27 %
3 Month 82 5,480,893.76 19.57 %
Total 165 10,313,349.41 36.83 %
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 185 12,566,625.26 8.25 %
2 Month 66 4,678,676.87 3.07 %
3 Month 406 30,094,660.01 19.75 %
Total 657 47,339,962.14 31.07 %
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
Number of Loans 30 Days Delinquent in Group 1A 18.00
Balance of Loans 30 Days Delinquent in Group 1A 1,857,898.98
Number of Loans 30 Days Delinquent in Group 1B 75.00
Balance of Loans 30 Days Delinquent in Group 1B 4,084,854.10
Number of Loans 30 Days Delinquent in Group 2A 2.00
Balance of Loans 30 Days Delinquent in Group 2A 530,258.26
Number of Loans 30 Days Delinquent in Group 2B 31.00
Balance of Loans 30 Days Delinquent in Group 2B 2,735,830.81
Number of Loans 30 Days Delinquent in Group 3 59.00
Balance of Loans 30 Days Delinquent in Group 3 3,357,783.11
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
Number of Loans 60 Days Delinquent in Group 1A 10.00
Balance of Loans 60 Days Delinquent in Group 1A 894,950.41
Number of Loans 60 Days Delinquent in Group 1B 22.00
Balance of Loans 60 Days Delinquent in Group 1B 1,449,571.24
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 10.00
Balance of Loans 60 Days Delinquent in Group 2B 859,482.68
Number of Loans 60 Days Delinquent in Group 3 24.00
Balance of Loans 60 Days Delinquent in Group 3 1,474,672.54
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
Number of Loans 90+ Days Delinquent in Group 1A 102.00
Balance of Loans 90+ Days Delinquent in Group 1A 7,429,562.10
Number of Loans 90+ Days Delinquent in Group 1B 117.00
Balance of Loans 90+ Days Delinquent in Group 1B 6,785,254.81
Number of Loans 90+ Days Delinquent in Group 2A 1.00
Balance of Loans 90+ Days Delinquent in Group 2A 490,709.10
Number of Loans 90+ Days Delinquent in Group 2B 104.00
Balance of Loans 90+ Days Delinquent in Group 2B 9,908,240.24
Number of Loans 90+ Days Delinquent in Group 3 82.00
Balance of Loans 90+ Days Delinquent in Group 3 5,480,893.76
Please Note: Delinquency Numbers Include Bankruptcies and Forecloures
-9-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
December 26, 2000
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
41 2,489,629.23 4.00%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
42 4,569,174.56 7.36%
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
32 2,159,877.31 7.71%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
115 9,218,681.10 6.05%
Number of Foreclosures in Group 1A 14.00
Balance of Foreclosures in Group 1A 1,055,291.33
Number of Foreclosures in Group 1B 27.00
Balance of Foreclosures in Group 1B 1,434,337.90
Number of Foreclosures in Group 2A 1.00
Balance of Foreclosures in Group 2A 490,709.10
Number of Foreclosures in Group 2B 41.00
Balance of Foreclosures in Group 2B 4,078,465.46
Number of Foreclosures in Group 3 32.00
Balance of Foreclosures in Group 3 2,159,877.31
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
137 9,223,547.83 14.81%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
45 3,734,030.65 6.02%
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
30 1,682,412.83 6.01%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
212 14,639,991.31 9.61%
Number of Bankruptcies in Group 1A 81.00
Balance of Bankruptcies in Group 1A 5,960,904.70
Number of Bankruptcies in Group 1B 56.00
Balance of Bankruptcies in Group 1B 3,262,643.13
Number of Bankruptcies in Group 2A 0.00
Balance of Bankruptcies in Group 2A 0.00
Number of Bankruptcies in Group 2B 45.00
Balance of Bankruptcies in Group 2B 3,734,030.65
Number of Bankruptcies in Group 3 30.00
Balance of Bankruptcies in Group 3 1,682,412.83
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 314,259.94
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 111,318.44
Number of 30 Day Bankruptcies in Group 3 3.00
Balance of 30 Day Bankruptcies in Group 3 239,575.09
-10-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
December 26, 2000
Number of 60 Day Bankruptcies in Group 1A 5.00
Balance of 60 Day Bankruptcies in Group 1A 379,156.53
Number of 60 Day Bankruptcies in Group 1B 3.00
Balance of 60 Day Bankruptcies in Group 1B 264,758.48
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 144,840.08
Number of 60 Day Bankruptcies in Group 3 2.00
Balance of 60 Day Bankruptcies in Group 3 98,022.30
Number of 90+ Day Bankruptcies in Group 1A 76.00
Balance of 90+ Day Bankruptcies in Group 1A 5,581,748.17
Number of 90+ Day Bankruptcies in Group 1B 47.00
Balance of 90+ Day Bankruptcies in Group 1B 2,683,624.71
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 42.00
Balance of 90+ Day Bankruptcies in Group 2B 3,477,872.13
Number of 90+ Day Bankruptcies in Group 3 25.00
Balance of 90+ Day Bankruptcies in Group 3 1,344,815.44
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
11 672,417.03 1.08%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
9 997,819.31 1.61%
Group 3
Number Principal Balance Percentage
-------------------------------------------------------
3 31,809.31 0.1%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
23 1,702,045.65 1.12%
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 11.00
Balance of Reo's in Group 1B 672,417.03
Number of Reo's in Group 2A 0.00
Reo's in Group 2A 0.00
Number of Reo's in Group 2B 9.00
Reo's in Group 2B 997,819.31
Number of Reo's in Group 3 3.00
Reo's in Group 3 31,809.31
Sec. 4.03(x) Sec. 4.03(x) REO Book Value
REO Book Value Group 1A 0.00
REO Book Value Group 1B 672,417.03
REO Book Value Group 2A 0.00
REO Book Value Group 2B 997,819.31
REO Book Value Group 3 31,809.31
Sec. 4.03(xi) Principal Prepayments
Principal Prepayments Group 1A 0.00
Principal Prepayments Group 1B 565,564.55
Principal Prepayments Group 2A 0.00
Principal Prepayments Group 2B 1,740,303.78
Principal Prepayments Group 3 112,695.82
Sec. 4.03(xii) Realized Losses
Realized Losses Incurred in Group 1A 0.00
Realized Losses Incurred in Group 1B 32,836.54
Realized Losses Incurred in Group 2A 0.00
Realized Losses Incurred in Group 2B 9,743.11
Realized Losses Incurred in Group 3 32,730.80
-11-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB1
December 26, 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 67,255.92
Cummulative Realized Losses Incurred in Group 2A 0.00
Cummulative Realized Losses Incurred in Group 2B 9,743.11
Cummulative Realized Losses Incurred in Group 3 193,035.99
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 34,222.71
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 117,778.07
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 YES
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 0.000009%
Sec. 4.03(xx) Rolling 3 Month Delinquency Percentage by Group - used to determine O/C Step Up Trigger
Delinquency Percentage by Group 1 22.454618%
Delinquency Percentage by Group 2 16.650137%
Delinquency Percentage by Group 3 17.274939%
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 22.821505%
Cummulative Annual Loss Percentage by Group 2 14.552990%
Cummulative Annual Loss Percentage by Group 3 12.969346%
4.03(xx) Cummulative Annual Loss Percentage by Group
Annual Loss Percentage Group 1 0.016328%
Annual Loss Percentage by Group 2 0.067883%
Annual Loss Percentage by Group 3 0.067883%
Sec. 4.03(xxi) Available Funds by Group
Group 1 Available Funds 1,173,627.70
Group 2 Available Funds 2,302,619.70
Group 3 Available Funds 416,083.39
Sec. 4.03(xxv) Prepayment Penalties/Premiums 26,780.02
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>
