C-BASS Mtge Loan A-B Ctfs Series 2002-CB1 Rtd By Fitch Ratings.

Business Editors

NEW YORK--(BUSINESS WIRE)--Feb. 28, 2002

C-Bass Mortgage Loan asset-backed certificates, series 2001-CB2, $188.3 million classes A-1A, A-2A, A-2B and A-IO (senior certificates) are rated 'AAA' by Fitch Ratings . In addition, $15.9 million class M-1 is rated 'AA', $12.9 million class M-2 'A', $7.1 million class B-1 'BBB' and $8.2 million class B-2 'BB', collectively the (subordinate certificates).

The 'AAA' rating on the senior certificates reflects the 20% credit enhancement provided by the 6.75% class M-1, the 5.50% class M-2, the 3% class B-1, the 3.50% class B-2 and the 1.25% initial overcollateralization with a target overcollateralization of 1.25%. All certificates have the benefit of excess interest which is approximately 4.33% annually.

The collateral pool consists of fixed- and adjustable-rate collateral totaling $235,429,185.40.

The fixed rate portion of the collateral pool totals $78,874,370.10, or 33.50%, of the entire pool. 5.74% of the fixed-rate portion of the collateral pool are FHA insured mortgage loans, 1.94% are VA guaranteed mortgage loans and the remainder are conventional fixed-rate mortgage loans. The weighted average CLTV is 81.69%, the average outstanding principal balance is $72,829.55, the weighted average coupon is 10.114% and the weighted average remaining term is 271 months. Approximately 66.75%, 15.52% and 17.73% of the loans are performing, sub-performing and re-performing loans, respectively. 2.54% are second liens and 42.75% of the fixed loans have prepayment penalties. The loans are geographically concentrated in NY (13%), FL (8.31%) and CA (7.98%).

The adjustable-rate portion of the collateral pool totals $156,554,815.30 or 66.50% of the entire pool. The weighted average CLTV is 79.86%, the average outstanding principal balance is $105,282.32, the weighted average coupon is 10.109% and the weighted average remaining term is 337 months. Approximately 81.59%, 13.30% and 5.11% of the loans are performing, sub-performing and re-performing loans, respectively. 73.13% of the adjustable rate loans have prepayment penalties. The loans are geographically concentrated in CA (18.99%), OH (18.41%) and MI (6.38%).

Asset Backed Funding Corporation, a special purpose corporation, deposited the loans in the trust, which issued the certificates. For federal income tax purposes, an election will be made to treat the trust fund as multiple real estate mortgage investment conduits (REMICs).

In addition, the ratings also reflect the quality of the loans, the soundness of the legal and financial structures, and the capabilities of Litton Loan Servicing LP as servicer.