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
ASSET BACKED FUNDING CORPORATION, (as depositor under the Pooling and
Servicing Agreement, dated May 1, 2000, providing for the issuance of C-BASS
2000-CB2 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series
2000-CB2).
ASSET BACKED FUNDING CORPORATION
(Exact name of registrant as specified in its charter)
Delaware 333-32857-03 75-2533468
(State or other (Commission File Number) (IRS Employer
jurisdiction of Identification No.)
incorporation)
100 North Tryon Street
Charlotte, North Carolina 28255
(Address pof principal executive offices) (Zip Code)
Registrant's telephone number, including area code : (704) 386-2400
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 2000-CB2 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series
2000-CB2 (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 May 1, 2000 ( the "Agreement"), among Asset Backed
Funding Corp., 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
Trust Officer
-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-CB2
STATEMENT TO CERTIFICATEHOLDERS
December 26, 2000
<S> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTION IN DOLLARS
-----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL BEGINNING ENDING
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
----------------------------------------------------------------------------------------------------------------------------------
T11 317,509,303.29 317,509,303.29 0.00 0.00 0.00 0.00 0.00 317,509,303.29
T12 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T13 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T14 15,816,487.26 15,816,487.26 0.00 0.00 0.00 0.00 0.00 15,816,487.26
T15 1,910,699.56 1,910,699.56 0.00 0.00 0.00 0.00 0.00 1,910,699.56
T16 1,525,648.80 1,525,648.80 0.00 0.00 0.00 0.00 0.00 1,525,648.80
T22 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T23 3,243,820.00 3,243,820.00 0.00 0.00 0.00 0.00 0.00 3,243,820.00
T24 15,816,487.26 15,816,487.26 0.00 0.00 0.00 0.00 0.00 15,816,487.26
T25 1,910,699.56 1,910,699.56 0.00 0.00 0.00 0.00 0.00 1,910,699.56
TOTALS 367,464,605.73 367,464,605.73 0.00 0.00 0.00 0.00 0.00 367,464,605.73
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------- -------------------------------------
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
------------------------------------------------------------------------------------------- ------------------------------------
T11 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T11 9.318000%
T12 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T12 9.318000%
T13 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T13 9.318000%
T14 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T14 9.318000%
T15 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T15 9.318000%
T16 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T16 9.318000%
T22 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T22 9.318000%
T23 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T23 9.318000%
T24 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T24 9.318000%
T25 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000 T25 9.295000%
TOTALS 1,000.00000000 0.00000000 0.00000000 0.00000000 1,000.00000000
------------------------------------------------------------------------------------------- -----------------------------------
TOTALS 1,000.000000 0.000000 0.000000 0.000000 1,000.000000
-------------------------------------------------------------------------------------------
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
<S> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTION IN DOLLARS
-----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL BEGINNING ENDING
FACE PRINCIPAL REALIZED DEFERRED PRINCIPAL
CLASS VALUE BALANCE PRINCIPAL INTEREST TOTAL LOSSES INTEREST BALANCE
----------------------------------------------------------------------------------------------------------------------------------
A1F 76,500,000.00 65,723,492.21 1,709,049.42 362,004.08 2,071,053.50 0.00 0.00 64,014,442.79
A2F 40,303,000.00 40,303,000.00 0.00 278,762.42 278,762.42 0.00 0.00 40,303,000.00
A1A 152,564,000.00 137,897,669.74 2,549,736.31 780,644.45 3,330,380.76 0.00 0.00 135,347,933.43
M1 18,800,000.00 18,800,000.00 0.00 136,613.33 136,613.33 0.00 0.00 18,800,000.00
M2 21,274,000.00 21,274,000.00 0.00 154,591.07 154,591.07 0.00 0.00 21,274,000.00
B 14,950,000.00 14,950,000.00 0.00 108,636.67 108,636.67 0.00 0.00 14,950,000.00
R2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
N 14,300,000.00 10,811,959.32 558,450.97 72,079.73 630,530.70 0.00 0.00 10,253,508.35
TOTALS 338,691,000.00 309,760,121.27 4,817,236.70 1,893,331.75 6,710,568.45 0.00 0.00 304,942,884.57
X 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
----------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------- -------------------------------------
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
------------------------------------------------------------------------------------------- ------------------------------------
A1F 859.13061712 22.34051529 4.73207948 27.07259477 836.79010183 A1F 6.837500
A2F 1,000.00000000 0.00000000 6.91666675 6.91666675 1,000.00000000 A2F 8.300000
A1A 903.86768661 16.71256856 5.11683261 21.82940117 887.15511805 A1A 7.027500
M1 1,000.00000000 0.00000000 7.26666649 7.26666649 1,000.00000000 M1 8.720000
M2 1,000.00000000 0.00000000 7.26666682 7.26666682 1,000.00000000 M2 8.720000
B 1,000.00000000 0.00000000 7.26666689 7.26666689 1,000.00000000 B 8.720000
N 756.08107133 39.05251538 5.04054056 44.09305594 717.02855594 N 8.000000
TOTALS 914.58031442 14.22310218 5.59014485 19.81324703 900.35721224 ------------------------------------
-------------------------------------------------------------------------------------------
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-CB2
December 26, 2000
Sec. 4.06 Class N Beginning Balance 10,811,959.32
Sec. 4.06 Class N Interest Accrued and Paid 72,079.73
Sec. 4.06 N Class Principal Reduction 558,450.97
Sec. 4.06 Total Payment to the N Class 630,530.70
Sec. 4.06 Class N Ending Balance 10,253,508.35
Sec. 4.06(iii) O/C Amount 19,243,550.79
Sec. 4.06(iii) Targeted O/C Amount 19,243,550.79
Sec. 4.06(iii) O/C Deficiency Amount 0.00
Sec. 4.06(iii) O/C Release Amount 0.00
Sec. 4.06(iv) Servicing Compensation 0.00
Sec. 4.06(iv) PMI Fee 37,054.13
Sec. 4.06(iv) Servicing Fee 132,579.88
Sec. 4.06(iv) Special Servicing Fee Accrued 104,100.00
Sec. 4.06(iv) Special Servicing Fee Paid 104,100.00
Sec. 4.06(v) Current Advances 0.00
Sec. 4.06(vi) Collateral Balance Group 1 Total 178,554,816.30
Sec. 4.06(vi) Collateral Balance Group 1 Sub-Group 1 7,400,941.54
Sec. 4.06(vi) Collateral Balance Group 1 Sub-Group 2 171,153,874.76
Sec. 4.06(vi) Collateral Balance Group 2 Total 135,378,110.71
Sec. 4.06(vii) Total Beginning Number of Loans 3,528.00
Sec. 4.06(vii) Group 1A Beginning Number of Loans 126.00
Sec. 4.06(vii) Group 1B Beginning Number of Loans 2,029.00
Sec. 4.06(vii) Total Group 1 Beginning Number of Loans 2,155.00
Sec. 4.06(vii) Total Group 2 Beginning Number of Loans 1,373.00
Sec. 4.06(vii) Total Ending Number of Loans 3,479.00
Sec. 4.06(vii) Group 1A Ending Number of Loans 124.00
Sec. 4.06(vii) Group 1B Ending Number of Loans 2,008.00
Sec. 4.06(vii) Total Group 1 Ending Number of Loans 2,132.00
Sec. 4.06(vii) Total Group 2 Ending Number of Loans 1,347.00
Sec. 4.06(vii) Weighted Average Mortgage Rate for All Loans 10.15%
Sec. 4.06(vii) Group 1 Weighted Average Mortgage Rate 9.98%
Sec. 4.06(vii) Group 1A Weighted Average Mortgage Rate 8.27%
Sec. 4.06(vii) Group 1B Weighted Average Mortgage Rate 10.05%
Sec. 4.06(vii) Group 2 Weighted Average Mortgage Rate 10.38%
Sec. 4.06(vii)Group 1A Weighted Average Term to Maturity 275.00
Sec. 4.06(vii)Group 1B Weighted Average Term to Maturity 286.00
Sec. 4.06(vii)Group 1 Weighted Average Term to Maturity 285.00
Sec. 4.06(vii)Group 2 Weighted Average Term to Maturity 323.00
-8-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
December 26, 2000
Sec. 4.03(viii)Loans Delinquent
Group 1
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 163 9,851,178.71 5.52 %
2 Month 81 5,996,998.63 3.36 %
3 Month 608 39,493,509.54 22.12 %
Total 852 55,341,686.88 31 %
Group 2
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 76 7,030,920.89 5.19 %
2 Month 45 5,208,490.55 3.85 %
3 Month 364 34,116,395.87 25.2 %
Total 485 46,355,807.31 34.24 %
Group Totals
Category Number Principal Balance Percentage
--------------------------------------------------------------------
1 Month 239 16,882,099.60 5.38 %
2 Month 126 11,205,489.18 3.57 %
3 Month 972 73,609,905.41 23.45 %
Total 1,337 101,697,494.19 32.4 %
Sec. 4.06(viii) Number of Loans 30 Days Delinquent in Group 1A 12.00
Sec. 4.06(viii) Balance of Loans 30 Days Delinquent in Group 1A 615,156.52
Sec. 4.06(viii) Number of Loans 30 Days Delinquent in Group 1B 151.00
Sec. 4.06(viii) Balance of Loans 30 Days Delinquent in Group 1B 9,236,022.19
Sec. 4.06(viii) Number of Loans 30 Days Delinquent in Group 2 76.00
Sec. 4.06(viii) Balance of Loans 30 Days Delinquent in Group 2 7,030,920.89
Sec. 4.06(viii) Number of Loans 60 Days Delinquent in Group 1A 9.00
Sec. 4.06(viii) Balance of Loans 60 Days Delinquent in Group 1A 698,430.94
Sec. 4.06(viii) Number of Loans 60 Days Delinquent in Group 1B 72.00
Sec. 4.06(viii) Balance of Loans 60 Days Delinquent in Group 1B 5,298,567.69
Sec. 4.06(viii) Number of Loans 60 Days Delinquent in Group 2 45.00
Sec. 4.06(viii) Balance of Loans 60 Days Delinquent in Group 2 5,208,490.55
Sec. 4.06(viii) Number of Loans 90+ Days Delinquent in Group 1A 30.00
Sec. 4.06(viii) Balance of Loans 90+ Days Delinquent in Group 1A 2,217,806.51
Sec. 4.06(viii) Number of Loans 90+ Days Delinquent in Group 1B 578.00
Sec. 4.06(viii) Balance of Loans 90+ Days Delinquent in Group 1B 37,275,703.03
Sec. 4.06(viii) Number of Loans 90+ Days Delinquent in Group 2 364.00
Sec. 4.06(viii) Balance of Loans 90+ Days Delinquent in Group 2 34,116,395.87
Sec. 4.03(viii)Loans in Foreclosures
Loans in Foreclosure
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
116 9,931,025.84 5.56%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
74 7,221,202.17 5.33%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
190 17,152,228.01 5.46%
`
Sec. 4.06(viii) Number of Foreclosures in Group 1A 9.00
Sec. 4.06(viii) Balance of Foreclosures in Group 1A 698,434.19
Sec. 4.06(viii) Number of Foreclosures in Group 1B 107.00
Sec. 4.06(viii) Balance of Foreclosures in Group 1B 9,232,591.65
Sec. 4.06(viii) Number of Foreclosures in Group 2 74.00
Sec. 4.06(viii) Balance of Foreclosures in Group 2 7,221,202.17
-9-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
December 26, 2000
Sec. 4.03(viii)Loans in Bankruptcy
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
206 12,088,913.24 6.77%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
148 13,616,588.41 10.06%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
354 25,705,501.65 8.19%
Sec. 4.06(viii) Number of Bankruptcies in Group 1A 15.00
Sec. 4.06(viii) Balance of Bankruptcies in Group 1A 916,118.89
Sec. 4.06(viii) Number of Bankruptcies in Group 1B 191.00
Sec. 4.06(viii) Balance of Bankruptcies in Group 1B 11,172,794.35
Sec. 4.06(viii) Number of Bankruptcies in Group 2 148.00
Sec. 4.06(viii) Balance of Bankruptcies in Group 2 13,616,588.41
Sec. 4.03(ix)Loans in REO
Group 1
Number Principal Balance Percentage
-------------------------------------------------------
11 598,268.12 0.34%
Group 2
Number Principal Balance Percentage
-------------------------------------------------------
11 902,313.67 0.67%
Group Totals
Number Principal Balance Percentage
-------------------------------------------------------
22 1,500,581.79 0.48%
Sec. 4.06(viii) Number of Reo's in Group 1A 0.00
Sec. 4.06(viii) Balance of Reo's in Group 1A 0.00
Sec. 4.06(viii) Number of Reo's in Group 1B 11.00
Sec. 4.06(viii) Balance of Reo's in Group 1B 598,268.12
Sec. 4.06(viii) Number of Reo's in Group 2 11.00
Sec. 4.06(viii) Reo's in Group 2 902,313.67
Sec. 4.06(x) Sec. 4.06(x) REO Book Value
Sec. 4.06(viii) REO Book Value Group 1A 0.00
Sec. 4.06(viii) REO Book Value Group 1B 598,268.12
Sec. 4.06(viii) REO Book Value Group 2 902,313.67
Sec. 4.06(xi) Principal Prepayments
Principal Prepayments Group 1A 30,510.23
Principal Prepayments Group 1B 1,503,243.35
Principal Prepayments Group 2 2,427,459.01
Sec. 4.06(xii) Prepayment Penalties/Premiums 76,562.62
Sec. 4.06(xii) Realized Losses
Realized Losses Incurred in Group 1A 0.00
Realized Losses Incurred in Group 1B 40,715.98
Realized Losses Incurred in Group 3 157.28
Cummulative Realized Losses Incurred in Group 1A 0.00
Cummulative Realized Losses Incurred in Group 1B 63,101.04
Cummulative Realized Losses Incurred in Group 2 22,501.98
Sec. 4.06(xiv) Class M1 Unpaid Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M1 Applied Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M1 Applied Realized Loss Amortization Amount 0.00
Sec. 4.06(xiv) Class M2 Unpaid Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M2 Applied Realized Loss Amount 0.00
Sec. 4.06(xiv) Class M2 Applied Realized Loss Amortization Amount 0.00
Sec. 4.02(xiv) Class B Unpaid Realized Loss Amount 0.00
Sec. 4.02(xiv) Class B Applied Realized Loss Amortization Amount 0.00
-10-
<PAGE>
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
December 26, 2000
Sec. 4.06(xvi) Net Prepayment Interest Shortfalls 0.00
Sec. 4.06(xix) Trustee Fee Paid 2,121.28
Sec. 4.06(xx)Libor Carryover Amount - Class A-1F 0.00
Sec. 4.06(xx)Unpaid Libor Carryover Amount - Class A-1F 0.00
Sec. 4.06(xx)Libor Carryover Amount - Class A-1A 0.00
Sec. 4.06(xx)Unpaid Libor Carryover Amount - Class A-1A 0.00
Sec. 4.06(xv) Unpaid Interest
Class A1A Unpaid Interest Shortfall 0.00
Class A1F Unpaid Interest Shortfall 0.00
Class A2F Unpaid Interest Shortfall 0.00
Class M1 Unpaid Interest Shortfall 0.00
Class M2 Unpaid Interest Shortfall 0.00
Class B Unpaid Interest Shortfall 0.00
Class N Unpaid Interest Shortfall 0.00
Sec. 4.06(xv) Has the Trigger Event Occured YES
Cummulative Realized Losses as a Percentage of Original Collateral Balance 0.00 %
Sec. 4.06(xxi) Available Funds by Group
Available Funds 6,740,227.11
Interest Remittance Amount 2,522,314.63
Principal Remittance Amount 4,217,912.48
Sec. 4.06(xxvi) HLTV Reserve Account
Beginning Balance 140,878.14
Total Deposits to the HLTV Reserve Account 0.00
Transfer from HLTV Reserve Account 0.00
Ending Balance 140,878.14
Sec. 4.06 Class N Interest Shortfall Account
Beginning Balance 275,000,00
Proceeds from Permitted Investments 0.00
Unpaid Interest Payments Made to the N Class 0.00
Ending Balance 275,000.00
Sec 4.06 Repurchased Principal 0.00
Sec 4.06 Class X Distributable Amount 0.00
</TABLE>
