<PAGE> 1
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SECURITIES AND EXCHANGE COMMISSION
Washington, DC 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):
September 12, 1997
Aames Capital Corporation on behalf of Aames Mortgage Trust 1997-C
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(Exact Name of Registrant as Specified in its Charter)
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<S> <C> <C>
California 333-21219 95-4438859
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(State of Incorporation) (Commission (I.R.S. Employer
File Number) Identification No.)
350 South Grand Avenue, 52nd Floor, Los Angeles, California 90071
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(Address of Principal Executive Offices) (Zip Code)
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Registrant's telephone number, including area code: (213) 640-5000
No Change
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(Former Name or Former Address, if Changed Since Last Report)
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<PAGE> 2
Item 5. Other Events.(1)
Attached as Exhibits 99.1 and 99.2 to this Current Report are certain
materials ("Marketing Materials") furnished to the Registrant by Prudential
Securities Incorporated, as representative of the several underwriters
(collectively, the "Underwriters"), in respect of Aames Mortgage Trust 1997-C
Mortgage Pass-Through Certificates, Series 1997-C, Class A-1F, Class A-2F,
Class A-3F, Class A-4F, Class A-5F, Class A-6F, Class A-IO, Class M-1F, Class
M-2F, Class B-1F, Class A-1A, Class M-1A, Class M-2A and Class B-1A (the
"Certificates"). The Certificates will be offered pursuant to a Prospectus
Supplement, to be dated September 15, 1997, and a Prospectus, to be dated
September 15, 1997 (the Prospectus Supplement and the Prospectus are
collectively referred to herein as the "Prospectus"), to be filed with the
Commission pursuant to Rule 424(b)(2) under the Securities Act of 1933, as
amended (the "Act"). The Certificates have been registered pursuant to the Act
under a Registration Statement on Form S-3 (Commission File No. 333-21219)
(the "Registration Statement").
The Marketing Materials were prepared solely by the Underwriters, and
the Registrant did not prepare or participate (other than providing to the
Underwriters the background information concerning the underlying pool of
assets upon which the Marketing Materials are based) in the preparation of the
Marketing Materials.
Any statements or information contained in these Marketing Materials
shall be deemed to be modified or superseded for the purposes of the Prospectus
and the Registration Statement by statements or information contained in the
Prospectus.
Item 7. Financial Statements; Pro Forma Financial Information and
Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Structural and Collateral Term Sheets
of the Underwriters
99.2 Computational Materials of the Underwriters
- ----------------------------------
(1) Capitalized terms used but not otherwise defined herein shall have the
meanings ascribed to such terms in the Prospectus.
<PAGE> 3
SIGNATURES
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.
AAMES CAPITAL CORPORATION
By: /s/ Mark E. Elbaum
------------------------------------
Mark E. Elbaum
Senior Vice President - Finance
Date: September 11, 1997
<PAGE> 4
Exhibit Index
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Exhibit
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99.1 Structural and Collateral Term Sheets of the Underwriters
99.2 Computational Materials of the Underwriters*
</TABLE>
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* Filed under cover of Form SE pursuant to SEC Release 33-7427.
<PAGE> 1
Aames Mortgage Trust 1997-C
Mortgage Pass-Through Certificates, Series 1997-C
Offered Certificates
------------------------------------------------
$ [63,000,000] Class A-1F Certificates - [1M LIBOR + TBA]
$ [20,790,000] Class A-2F Certificates - [TBA]
$ [25,000,000] Class A-3F Certificates - [TBA]
$ [10,000,000] Class A-4F Certificates - [TBA]
$ [12,000,000] Class A-5F Certificates - [TBA]
$ [15,000,000] Class A-6F Certificates - [TBA]
$[103,500,000] Class A-IO Certificates - [TBA]
$ [9,778,000] Class M-1F Certificates - [TBA]
$ [8,889,000] Class M-2F Certificates - [TBA]
$ [8,000,000] Class B-1F Certificates - [TBA]
$[244,758,000] Class A-1A Certificates - [1M LIBOR + TBA]
$ [27,739,000] Class M-1A Certificates - [1M LIBOR + TBA]
$ [27,739,000] Class M-2A Certificates - [1M LIBOR + TBA]
$ [26,109,000] Class B-1A Certificates - [1M LIBOR + TBA]
The information herein has been provided solely by PSI based on information
with respect to the mortgage loans provided by Aames Financial Corporation and
its affiliates ("Aames"). Neither Aames nor any of its affiliates makes any
representation as to the accuracy or completeness of the information herein.
The information herein is preliminary and will be superseded by the prospectus
supplement and by any other information subsequently filed with the Securities
and Exchange Commissions (SEC). All assumptions and information in this report
reflect PSI's judgment as of this date and are subject to change. All analyses
are based on certain assumptions noted herein and different assumptions could
yield substantially different results. You are cautioned that there is no
universally accepted method for analyzing financial instruments. You should
review the assumptions; there may be differences between these assumptions and
your actual business practices. Further, PSI does not guarantee any results
and there is no guarantee as to the liquidity of the instruments involved in
this analysis. The decision to adopt any strategy remains your responsibility.
PSI (or any of its affiliates) or their officers, directors, analysts or
employees may have positions in securities, commodities or derivative
instruments thereon referred to here, and may, as principal or agent, buy or
sell such securities, commodities or derivative instruments. In addition, PSI
may make a market in the securities referred to herein. Neither the
information nor the assumptions reflected herein shall be construed to be, or
constitute, an offer to sell or buy or a solicitation of an offer to sell or
buy any securities, commodities or derivative instruments mentioned herein. No
sale of any securities, commodities or derivative instruments should be
consummated without the purchaser first having received a prospectus and, if
required, prospectus supplement. Finally, PSI has not addressed the legal,
accounting and tax implications of the analysis with respect to you, and PSI
strongly urges you to seek advice from your counsel, accountant and tax
advisor.
<PAGE> 2
Aames Mortgage Trust 1997-C
Mortgage Pass-Through Certificates, Series 1997-C
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Title of Securities: Mortgage Pass-Through Certificates, Series 1997-C
Group I Certificates:
Class A-1F through A-6F (the "Fixed Rate Senior Certificates")
Class M-1F, M-2F, B-1F and B-2F (the "Fixed Rate Subordinate Certificates")
(The Fixed Rate Senior Certificates and the Fixed Rate Subordinate Certificates being
collectively referred to hereinafter as the "Fixed Rate Certificates" or the "Certificates")
Group II Certificates:
Class A-1A (the "Adjustable Rate Senior Certificates")
Class M-1A, M-2A and B-1A (the "Adjustable Rate Subordinate Certificates")
(The Adjustable Rate Senior Certificates and the Adjustable Rate Subordinate Certificates
being collectively referred to hereinafter as the "Adjustable Rate Certificates" or the
"Certificates")
The Adjustable Rate Senior Certificates and the Fixed Rate Senior Certificates being
collectively referred to hereinafter as the "Senior Certificates". The Adjustable Rate
Subordinate Certificates and the Fixed Rate Subordinate Certificates being referred to
hereinafter as the "Subordinate Certificates". The Class M-1F and the M-1A being collectively
referred to hereinafter as the "Class M-1 Certificates". The Class M-2F and the M-2A
Certificates being collectively referred to hereinafter as the "Class M-2 Certificates".
The Class B-1F and the B-1A Certificates being referred to hereinafter as the "Class B-1
Certificates". The Group I Certificates and the Group II Certificates each being referred
to hereinafter as a "Certificate Group"
Class A-IO Certificates: Offered by Prudential Securities Only.
Sponsor: Aames Capital Corporation
Servicer: Aames Capital Corporation
Servicing Fee: [50] bps per annum
Trustee: Bankers Trust Company of California, N.A
Registration: The Offered Certificates (Classes A-1F through A-6F, M-1F, M-2F, B-1F, A-2A, M-1A, M-2A
and B-1A) will be available in book entry form through DTC, Cedel and Euroclear.
Pricing Date: [September __, 1997]
Settlement Date: [September 18, 1997]
Mortgage Loans: Fixed and adjustable rate home equity mortgage loans. The fixed rate loans will constitute
the "Group I Loans". The adjustable rate loans will constitute the "Group II Loans".
Each group being referred to hereinafter as a "Mortgage Loan Group".
Certificate Ratings: Group I Group II
------------------------------------------- -----------------------------------
Moody's Fitch Moody's Fitch
----- ----- ----- -----
Class A-1F through A-6F Aaa AAA Class A-1A Aaa AAA
Class M-1F Aa2 AA Class M-1A Aa2 AA
Class M-2F A2 A Class M-2A A2 A
Class B-1F Baa3 BBB Class B-1A Baa3 BBB
Optional Termination: At its option, when the aggregate principal balance of the Group I
Loans or the Group II Loans is less that 10% of its original principal
balance, the Servicer has the right to purchase all of the remaining
mortgage loans in such group, and thereby effecting early retirement
of the related Certificates.
Prospectus: The Certificates are being offered pursuant to a Prospectus which includes a Prospectus
Supplement (together, the "Prospectus"). Complete information with respect to the
Certificates and the Collateral is contained in the Prospectus. The foregoing is qualified
in its entirety by the information appearing in the Prospectus. To the extent that the
foregoing is inconsistent with the Prospectus, the Prospectus shall govern in all respects.
Sales of the Certificates may not be consummated unless the purchaser has received the
Prospectus.
ERISA Consideration: The Senior Certificates will be ERISA eligible. However, investors should
consult with their counsel with respect to the consequences under ERISA and the Internal
Revenue Code of the Plan's acquisition and ownership of such Certificates.
SMMEA: The Certificates will not constitute "mortgage related securities" for the
purposes of SMMEA.
Taxation: REMIC Election.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER,
PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND WILL
BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
</TABLE>
<PAGE> 3
Aames Mortgage Trust 1997-C
Mortgage Pass-Through Certificates, Series 1997-C
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Overcollateralization: The credit enhancement provisions of the trust are intended to provide for the limited
("O/C") acceleration of the related certificates relative to the amortization of the
related collateral, generally in the early months of the transaction. Accelerated
amortization is achieved by applying certain excess interest collected on the collateral
to the payment of principal on the related certificates, resulting in the build
up of O/C. By paying down the principal balance of the certificates faster than the
principal amortization of the collateral pool, an O/C amount equal to the excess of the
aggregate principal balance of the collateral pool over the principal balance of the
related certificates is created. Excess cashflow will be directed to build the O/C amount
until the pool reaches its required O/C target. Upon this event, the acceleration feature
will cease, unless it is once again necessary to maintain the required O/C level.
Initial Class Sizes: Group I: Group II:
--------------------------------------- --------------------------------
Class A-1F through A-6F - [82.00]% Class A-1A - [75.00]%
Class M-1F - [ 5.50]% Class M-1A - [ 8.50]%
Class M-2F - [ 5.00]% Class M-2A - [ 8.50]%
Class B-1F - [ 4.50]% Class B-1A - [ 8.00]%
Class B-2F - [ 3.00]%
O/C - initially [0.00%] O/C - initially [0.00]%
building to [2.75%] of initial building to [3.00]% of initial
principal balance of Group I principal balance of Group II
Loans. Loans.
Subordination: Group I: Group II:
--------------------------------------- --------------------------------
Class A-1F through A-6F - [18.00]% Class A-1A - [25.00]%
Class M-1F - [12.50]% Class M-1A - [16.50]%
Class M-2F - [ 7.50]% Class M-2A - [ 8.00]%
Class B-1F - [ 3.00]% Class B-1A - [ 0.00]%
Class B-2F - [ 0.00]%
Credit Enhancement: Group I
Senior Classes (Classes A-1F through A-6F)
1. Excess spread.
2. O/C initially building to [2.75%] of the initial principal balance of the Group I Loans.
3. Subordination of mezzanine and subordinate classes: M-1F, M-2F, B-1F, B-2F totaling
[18.00%] of the initial principal balance of the Group I Loans.
4. Cross-Collateralization
Mezzanine and Subordinate Classes (Classes M-1F, M-2F and B-1F)
1. Excess spread.
2. Class M-1F is further enhanced by an initial [12.50%] in subordinate certificates and
O/C building to [2.75%] of the initial principal balance of the Group I Loans.
3. Class M-2F is further enhanced by an initial [7.50%] in subordinate certificates and
O/C building up to [2.75%] of the initial balance of the Group I Loans.
4. Class B-1F is further enhanced by an initial [3.00%] in subordinate certificates and
O/C building up to [2.75%] of the initial balance of the Group I Loans.
5. Cross-Collateralization
Group II
Senior Class (Class A-1A)
1. Excess spread.
2. O/C initially building to [3.00%] of the initial principal balance of the Group II Loans.
3. Subordination of mezzanine and subordinate classes: M-1A, M-2A, B-1A, totaling [25.00%]
of the initial principal balance of the Group II Loans.
4. Cross-Collateralization
Mezzanine and Subordinate Classes (Classes M-1A, M-2A and B-1A)
1. Excess spread.
2. Class M-1A is further enhanced by an initial [16.50%] in subordinate certificates and
O/C building to [3.00%] of the initial principal balance of the Group II Loans.
3. Class M-2A is further enhanced by an initial [8.00%] in subordinate certificates and
O/C building up to [3.00%] of the initial balance of the Group II Loans.
4. Class B-1A is further enhanced by O/C building up to [3.00%] of the initial principal
balance of the Group II Loans.
5. Cross-Collateralization
O/C Targets: (1) Before the Step-Down date, O/C initially builds to [2.75]% of the initial principal balance
of the Group I Loans and to [3.00]% of the initial principal balance of the Group II Loans.
(2) On or after the Step-Down date, the Group I's required O/C is [1.00]% of the then current balance of
the Group I Loans and the Group II's required O/C is [6.00]% of the then current balance of the
Group II Loans.
(3) Step-Down O/C is subject to a floor of [0.50]% of the related initial Mortgage Loans Group's balance.
Cross- Excess spread from the Group I Loans and the Group II Loans, if not needed to credit enhance
Collateralization its own group, will be available to credit enhance the other group.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER,
PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND WILL
BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
</TABLE>
<PAGE> 4
Aames Mortgage Trust 1997-C
Mortgage Pass-Through Certificates, Series 1997-C
<TABLE>
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Principal Paydown: PRIOR TO THE "STEPDOWN DATE" OR IF A "TRIGGER EVENT" HAS OCCURRED:
Group I:
In sequential order to the Fixed Rate Senior Certificates, beginning with Class A-1F; provided
that Class A-6F will receive principal subject to its Class A-6F Distribution Amount.
Group II:
To the Adjustable Rate Senior Certificates
THE CLASS A-6F DISTRIBUTION AMOUNT - the applicable Class A-6F Percentage
multiplied by the Class A-6F Pro Rata Distribution Amount for such Distribution Date.
THE CLASS A-6F PRO-RATA DISTRIBUTION AMOUNT - the amount of principal available to be
distributed to the Group I Senior Certificates multiplied by (i) the ratio of the remaining
Class A-6F principal balance to the remaining principal balance of the Group I Senior
Certificates.
THE CLASS A-6F PERCENTAGE
----------------------------------
October 1997 - September 2000 -- 0%
October 2000 - September 2002 -- 45%
October 2002 - September 2003 -- 80%
October 2003 - September 2004 -- 100%
October 2004 and after -- 300%
ON AND AFTER THE STEPDOWN DATE (PROVIDED A TRIGGER EVENT HAS
NOT OCCURRED AND IS NOT CONTINUING):
With respect to each Certificate Group, all Certificates will be entitled to receive payments
of principal, in the following order of priority: first to the related Senior Certificates
(in sequential order for Group I as is the case prior to the Stepdown Date), second
to the related Class M-1 Certificates, third to the Class M-2 Certificates, and fourth
to the Class B-1 Certificates, fifth to the Class B-2F Certificates with respect to Group I only.
Principal will be distributed to a Class according to the following formula:
The excess of the sum of (i) the principal balance of the related
Certificate Class immediately prior to such Distribution Date and (ii) the
Principal Balance of all Certificate Classes senior to said Class
(after taking into account the payment of the related Class(es)'
Principal Distribution Amount on such Distribution Date)
-over-
The product of the Related Class Percentage and the outstanding
loan balance of mortgage loans for the related Mortgage Loan Group
as of the last day of the Remittance Period.
RELATED CLASS PERCENTAGE (on and after the Stepdown Date, provided a Trigger Event has not occurred):
------------------------
Group I Group II
------------------------------------- ------------------------------------
Class A-1F through A-6F - [63.00]% Class A-1A - [44.00]%
Class M-1F - [74.00]% Class M-1A - [61.00]%
Class M-2F - [84.00]% Class M-2F - [78.00]%
Class B-1F - [93.00]% Class B-1F - [94.00]%
Class B-2F - [99.00]%
STEPDOWN DATE:
--------------
For each Certificate Group, the later of (i) the October 2000 Distribution Date and (ii) the first
Distribution Date on which the related groups Senior Enhancement Percentage (i.e., the sum of the
Subordinate Certificates and the O/C amount divided by the aggregate Loan Balance of the related
Mortgage Loan Group) is greater than or equal to the related groups Senior Specified Enhancement
Percentage.
Group I Senior Specified Enhancement Percentage: [37.00%]
Group II Senior Specified Enhancement Percentage: [56.00%]
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER,
PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND WILL
BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
</TABLE>
<PAGE> 5
Aames Mortgage Trust 1997-C
Mortgage Pass-Through Certificates, Series 1997-C
<TABLE>
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Principal Paydown:
continued.
TRIGGER EVENT:
--------------
Trigger events are to be finalized with rating agencies and are expected to include certain
performance events which restrict the overcollateralization step-down in certain delinquency
and/or loss scenarios thereby increasing credit support for all Classes and/or certain
restrictions associated with the allocation of principal payments.
Flow of Funds: Group I MONTHLY CASH FLOWS
Interest
1) to each Servicer, any unreimbursed advanced on a mortgage loan which is determined by the
respective Servicer, in its good faith judgment, to not be ultimately recoverable from either
any future collections on such mortgage loan or upon liquidation;
2) to each Servicer, the Servicer Fee;
3) accrued monthly interest pro-rata to the Class A-1F, A-2F, A-3F, A-4F, A-5F, A-6F
and A-IO Certificates;
4) accrued monthly interest to the Class M-1F Certificates;
5) accrued monthly interest to the Class M-2F Certificates;
6) accrued monthly interest to the Class B-1F Certificates;
7) accrued monthly interest to the Class B-2F Certificates;
8) to O/C up to its target amount;
9) to provide credit support to the Group II Certificates then outstanding,
if needed;
10) to the Class R Certificate holders.
Principal
1) monthly principal to the Fixed Rate Senior Certificates, as described above;
2) monthly principal to the Class M-1F Certificates, as described above;
3) monthly principal to the Class M-2F Certificates, as described above;
4) monthly principal to the Class B-1F Certificates, as described above;
5) monthly principal to the Class B-2F Certificates, as described above;
Interest distributions are, generally, paid from interest collections and principal distributions
are, generally, paid from principal collections.
Group II MONTHLY CASH FLOWS
Interest
1) to each Servicer, any unreimbursed advanced on a mortgage loan which is determined by the
respective Servicer, in its good faith judgment, to not be ultimately recoverable from either
any future collections on such mortgage loan or upon liquidation;
2) to each Servicer, the Servicer Fee;
3) accrued monthly interest to the Adjustable Rate Senior Certificates;
4) accrued monthly interest to the Class M-1A Certificates;
5) accrued monthly interest to the Class M-2A Certificates;
6) accrued monthly interest to the Class B-1A Certificates;
7) to O/C up to its target amount;
8) to provide credit support to the Group I Certificates then outstanding,
if needed;
9) to the Class R Certificate holders.
Principal
1) monthly principal to the Adjustable Rate Senior Certificates, as described above;
2) monthly principal to the Class M-1A Certificates, as described above;
3) monthly principal to the Class M-2A Certificates, as described above;
4) monthly principal to the Class B-1A Certificates, as described above;
Interest distributions are, generally, paid from interest collections and principal distributions
are, generally, paid from principal collections.
O/C Floor: Upon reaching the O/C floor and so long as the credit enhancement levels for each class have been met,
excess principal collection associated with the O/C shall be paid in reverse sequential order to the
respective Certificate Group (i.e. to the Class B-2F, B-1F, M-2F, M-1F, A until each prior certificate
balance has been reduced to zero.
Loss Allocations: Losses Shall be allocated in the following priority to each Certificate Group respectively and separately:
(i) as a reduction to the O/C amount
(ii) as a reduction to the Class B-2F Certificate Balance (Group I only)
(iii) as a reduction to the Class B-1 Certificate Balance
(iv) as a reduction to the Class M-2 Certificate Balance
(v) as a reduction to the Class M-1 Certificate Balance
Further Information: Call the desk at (212) 778-2741, Lirenn Tsai at (212) 778-3658,
Mary Alice Kohs (212) 778-1492 or Mike Mattera at (212)778-4459
with any questions.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER,
PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND WILL
BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
</TABLE>
<PAGE> 6
Aames Mortgage Trust 1997-C
Mortgage Pass-Through Certificates, Series 1997-C
Group I Certificates
Collateral: Fixed Rate, First and Second Lien Mortgage
Loans.
Approximate Size: [$172,457,000] (not including Class A-IO)
<TABLE>
<CAPTION>
Class A-1F* Class A-2F Class A-3F Class A-4F Class A-5F(1) Class A-6F(1)
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Approximate Face Amount: [63,000,000] [20,790,000] [25,000,000] [10,000,000] [12,000,000] [15,000,000]
Rating (MOODYS/Fitch) Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA
Avg. Life to Maturity (app.) [0.918] [2.012] [3.020] [4.943] [9.980] [6.735]
Pass-Through Rate: [TBA] [TBA] [TBA] [TBA] [TBA] [TBA]
Price: [TBA] [TBA] [TBA] [TBA] [TBA] [TBA]
Spread: [TBA] [TBA] [TBA] [TBA] [TBA] [TBA]
Yield to maturity (CBE): [TBA] [TBA] [TBA] [TBA] [TBA] [TBA]
Day Count: Act/360 30/360 30/360 30/360 30/360 30/360
Expected Maturity: [05/15/99] [01/15/00] [12/15/01] [07/15/03] [09/15/14] [07/15/14]
(at pricing speed)
Expected Maturity to Call: [05/15/99] [01/15/00] [12/15/01] [07/15/03] [10/15/05] [10/15/05]
(at pricing speed)
Stated Maturity: [05/15/12] [06/15/17] [03/15/24] [12/15/25] [11/15/28] [11/15/28]
</TABLE>
<TABLE>
<CAPTION>
Class M-1F* Class M-2F* Class B-1F* Class A-IO
----------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
Approximate Face Amount: [9,778,000] [8,889,000] [8,000,000] [103,500,000]**
Rating (MOODYS/Fitch) Aa2/AA A2/A Baa3/BBB Aaa/AAA
Avg. Life to Maturity (app.) [6.010] [5.943] [5.796] [1.818]
Pass-Through Rate: [TBA] [TBA] [TBA] [***]
Price: [TBA] [TBA] [TBA] [TBA]
Spread: [TBA] [TBA] [TBA] [TBA]
Yield to Maturity (CBE): [TBA] [TBA] [TBA] [TBA]
Day Count: 30/360 30/360 30/360 30/360
Expected Maturity: [12/15/11] [12/15/10] [06/15/09] [09/15/00]
(at pricing speed)
Expected Maturity to Call: [10/15/05] [10/15/05] [10/15/05] [09/15/00]
(at pricing speed)
Stated Maturity: [11/15/27] [11/15/27] [11/15/27] [09/15/00]
</TABLE>
(1) May be subject to the Group I Net Funds Cap
* Subject to the Group I Net Funds Cap
** The notional principal amount varies according to the terms outlined
herein.
*** The pass-through rate with respect to the Class A-IO Certificates will be
(i) [TBA]% for the first 36 Distribution Dates and (ii) [0.00]% for all
Distribution Dates after the 36th Distribution Date. The Class A-IO
Certificates are interest only certificates that will bear interest on a
notional principal amount to be described herein.
<TABLE>
<CAPTION>
Period Notional Balance(2) Pass-Through Rate
------- ---------------- --------------
<S> <C> <C>
[ 1 - 12] [40,500,000] [7.00%]
[13 - 24] [31,500,000] [7.00%]
[25 - 30] [18,000,000] [7.00%]
[31 - 36] [13,500,000] [7.00%]
</TABLE>
(2) The Notional Balance in any period will be equal to the lesser of (i) the
Notional Balance as defined in the table above and (ii) the remaining
principal balance of the Group I Loans.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY
PREVIOUS STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED
BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS
SUPPLEMENT.
<PAGE> 7
Aames Mortgage Trust 1997-C
Mortgage Pass-Through Certificates, Series 1997-C
<TABLE>
<S> <C>
Group I Certificates
Pricing Speed: [24]% HEP.
The Group I The lesser of (x) the Pass-Through rate for such class and (y) a rate equal to the
Net Funds Cap: weighted average coupon rate for the Group I Loans less the sum of (i) [0.50%] and
(ii) for the first [36] months the product of (a) the A-IO Pass-Through rate and (b) the
Notional Balance for the Class A-IO divided by the principal balance of the Group I Loans
as of that date.
Distribution Date: The 15th day of each month or, if such day is not a business day, the next succeeding business
day, beginning on [October 15], 1997.
Payment Delay: 14 days for all except A-1F. The delay for A-1F is 0 days.
Interest Accrual With respect to the Group I Certificates (other than the Class A-1F and Class A-IO Certificates),
interest will accrue from the 1st day of the preceding month until the 30th day of the preceding month.
With respect to the Class A-1F and A-IO Certificates, interest will accrue for (i) with respect to the
first Distribution date, the actual number of days from the Settlement date to one day preceding the
first Distribution date and (ii) with respect to all other Distribution dates, the actual number
of days from the preceding month's Distribution date to one day preceding such Distribution date.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER,
PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND WILL
BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
</TABLE>
<PAGE> 8
Aames Mortgage Trust 1997-C
Mortgage Pass-Through Certificates, Series 1997-C
Group II Certificates
Collateral: Adjustable Rate, First Lien Mortgage Loans.
Approximate Size: [$326,345,000]
<TABLE>
<CAPTION>
Class A-1A* Class M-1A* Class M-2A* Class B-1A*
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Approximate Face Amount: [244,758,000] [27,739,000] [27,739,000] [26,109,000]
Rating (MOODYS/Fitch) Aaa/AAA Aa2/AA A2/A Baa3/BBB
Avg. Life to Maturity (app.) [2.315] [5.171] [5.094] [5.060]
Pass-Through Rate: [TBA] [TBA] [TBA] [TBA]
Price: [TBA] [TBA] [TBA] [TBA]
Spread: [TBA] [TBA] [TBA] [TBA]
Yield to maturity (CBE): [TBA] [TBA] [TBA] [TBA]
Day Count: Act/360 Act/360 Act/360 Act/360
Expected Maturity: [03/15/14] [07/15/12] [06/15/11] [10/15/09]
(at pricing speed)
Expected Maturity to Call: [03/15/05] [03/15/05] [03/15/05] [03/15/05]
(at pricing speed)
Stated Maturity: [11/15/27] [11/15/27] [11/15/27] [11/15/27]
</TABLE>
* Subject to the Group II Available Funds Cap
<TABLE>
<S> <C>
Pricing Speed: [27%] HEP
5/25 ARMS: Group II Loans which bear a fixed rate of interest for the first five years after origination
and which adjust based on 6M LIBOR for the remaining twenty-five years.
Group II Available To be described below.
Funds Cap:
Coupon Step Up: After the Distribution Date when the aggregate principal balance of the Group II loans is less
than 10% of the initial principal balance of such group, the margin on the Class A-1A Certificates
increases by [2X] and the margin on the Class M-1A, M-2A and B-1A Certificates increases by
[1.5X], in all cases, subject to the Group II Available Funds Cap.
Distribution Date: The 15th day of each month or, if such day is not a business day, the next succeeding business
day, beginning on [October 15], 1997.
Payment Delay: The delay is 0 days.
Interest Accrual With respect to the Adjustable Rate Certificates, interest will accrue for (i) with respect to the
first Distribution date, the actual number of days from the Settlement date to one day preceding the
first Distribution date and (ii) with respect to all other Distribution dates, the actual number of
days from the preceding month's Distribution date to one day preceding such Distribution date.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER,
PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND WILL
BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
</TABLE>
<PAGE> 9
- ------------------------------------------------------------------------------
- AAMES 97C
- Cut Off Date of Tape is 09/04/97
- ADJUSTABLE RATE COLLATERAL
- $326,345,084.45
- ------------------------------------------------------------------------------
Number of Mortgage Loans: 3,517
Lien Status: 1st Lien Loans
Index: Various * Detailed Below
Aggregate Unpaid Principal Balance: $326,345,084.45
Aggregate Original Principal Balance: $326,570,072.50
- ------------------------------------------------------------------------------
Weighted Average Coupon (Gross): 10.108%
Gross Coupon Range: 6.000% - 15.520%
Weighted Average Margin (Gross): 6.057%
Gross Margin Range: 3.375% - 11.250%
Weighted Average Life Cap (Gross): 16.815%
Gross Life Cap Range: 11.800% - 22.520%
Weighted Average Life Floor (Gross): 10.168%
Gross Life Floor Range: 5.250% - 15.520%
- ------------------------------------------------------------------------------
Average Unpaid Principal Balance: $92,790.75
Average Original Principal Balance: $92,854.73
Maximum Unpaid Principal Balance: $572,995.35
Minimum Unpaid Principal Balance: $11,993.75
Maximum Original Principal Balance: $575,000.00
Minimum Original Principal Balance: $12,000.00
Weighted Avg. Stated Rem. Term (PTD to Mat Date): 356.092
Stated Rem Term Range: 175.000 - 360.000
Weighted Avg. Amortized Rem. Term: 356
Amortized Rem Term Range: 174 - 360
Weighted Average Age (First Pay thru Paid Thru): 1.076
Age Range: 0.000 - 14.000
Weighted Average Original Term: 357.167
Original Term Range: 180.000 - 360.000
Weighted Average Original LTV: 75.339
Original LTV Range: 8.772% - 97.160%
Weighted Average Periodic Interest Cap: 1.334%
Periodic Interest Cap Range: 1.000% - 3.000%
Weighted Average Months to Interest Roll: 27.750
Months to Interest Roll Range: 1 - 61
Weighted Average Interest Roll Frequency: 6.070
Interest Frequency Range: 6 - 12
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARM INDEX
- -------------------------------------------------------------------------------------------------------------------
WA Max. Orig Total
# % Rem WA WA WA Loan Current
Loan Feature Loan Pool WAC Term MARGIN LIFECAP FLOOR Amount Balance
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/29 6 Month LIBOR 1 .01 8.000 351.00 6.500 14.000 8.000 $48,100 $46,531.28
6 Month LIBOR 740 21.94 10.050 353.97 6.279 16.608 10.438 $575,000 $71,586,962.42
2/28 6 Month LIBOR 1,797 50.13 10.312 357.76 6.260 16.957 10.284 $500,000 $163,589,687.57
3/27 6 Month LIBOR 45 1.43 9.761 358.83 5.555 16.752 9.761 $292,500 $4,674,687.81
5/25 6 Month LIBOR 895 25.26 9.768 354.58 5.460 16.746 9.770 $450,000 $82,445,131.53
1 Year CMT 3 .10 8.766 353.57 6.608 14.766 8.234 $140,700 $323,651.33
3/27 1 Year CMT 35 1.11 10.348 353.69 6.657 16.348 9.335 $359,250 $3,613,832.51
2/28 1 Year CMT 1 .02 11.990 360.00 7.450 17.990 11.990 $64,600 $64,600.00
- -------------------------------------------------------------------------------------------------------------------
Total..... 3,517 100.00% 10.108 356.09 6.057 16.815 10.168 $575,000 $326,345,084.45
===================================================================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 10
GROSS MORTGAGE INTEREST RATE RANGE
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Gross Mortgage Number of Unpaid Aggregate
Interest Rate Mortgage Principal Principal
Range Loans Balance Balance
<S> <C> <C> <C>
5.50% less than Gross Coupon less than or equal to 6.00% 1 140,613.87 0.04
6.00% less than Gross Coupon less than or equal to 6.50% 7 694,291.95 0.21
6.50% less than Gross Coupon less than or equal to 7.00% 15 1,456,619.11 0.45
7.00% less than Gross Coupon less than or equal to 7.50% 23 2,620,265.54 0.80
7.50% less than Gross Coupon less than or equal to 7.75% 33 3,151,706.02 0.97
7.75% less than Gross Coupon less than or equal to 8.00% 53 6,386,362.70 1.96
8.00% less than Gross Coupon less than or equal to 8.25% 88 9,988,749.45 3.06
8.25% less than Gross Coupon less than or equal to 8.50% 102 11,454,707.40 3.51
8.50% less than Gross Coupon less than or equal to 8.75% 165 18,090,891.55 5.54
8.75% less than Gross Coupon less than or equal to 9.00% 216 27,774,284.08 8.51
9.00% less than Gross Coupon less than or equal to 9.25% 168 17,515,129.89 5.37
9.25% less than Gross Coupon less than or equal to 9.50% 204 22,496,871.86 6.89
9.50% less than Gross Coupon less than or equal to 9.75% 264 26,005,051.09 7.97
9.75% less than Gross Coupon less than or equal to 10.00% 278 27,960,410.15 8.57
10.00% less than Gross Coupon less than or equal to 10.25% 219 20,217,787.55 6.20
10.25% less than Gross Coupon less than or equal to 10.50% 271 24,370,711.56 7.47
10.50% less than Gross Coupon less than or equal to 10.75% 205 16,705,805.90 5.12
10.75% less than Gross Coupon less than or equal to 11.00% 208 17,887,507.33 5.48
11.00% less than Gross Coupon less than or equal to 11.25% 157 11,845,965.73 3.63
11.25% less than Gross Coupon less than or equal to 11.50% 136 10,472,489.65 3.21
11.50% less than Gross Coupon less than or equal to 11.75% 95 7,298,934.61 2.24
11.75% less than Gross Coupon less than or equal to 12.00% 84 6,252,227.70 1.92
12.00% less than Gross Coupon less than or equal to 12.25% 96 6,415,242.02 1.97
12.25% less than Gross Coupon less than or equal to 12.50% 62 4,710,185.41 1.44
12.50% less than Gross Coupon less than or equal to 12.75% 72 5,075,249.99 1.56
12.75% less than Gross Coupon less than or equal to 13.00% 61 4,201,006.47 1.29
13.00% less than Gross Coupon less than or equal to 13.25% 31 2,189,050.61 0.67
13.25% less than Gross Coupon less than or equal to 13.50% 44 2,787,185.94 0.85
13.50% less than Gross Coupon less than or equal to 13.75% 42 2,589,735.15 0.79
13.75% less than Gross Coupon less than or equal to 14.00% 35 2,434,912.34 0.75
14.00% less than Gross Coupon less than or equal to 14.25% 25 1,914,385.06 0.59
14.25% less than Gross Coupon less than or equal to 14.50% 19 846,632.63 0.26
14.50% less than Gross Coupon less than or equal to 14.75% 14 862,803.61 0.26
14.75% less than Gross Coupon less than or equal to 15.00% 11 702,125.46 0.22
15.00% less than Gross Coupon less than or equal to 15.25% 5 572,898.30 0.18
15.25% less than Gross Coupon less than or equal to 15.50% 3 132,589.20 0.04
15.50% less than Gross Coupon less than or equal to 15.75% 5 123,697.57 0.04
- ------------------------------------------------------------------------------------------------------------
Total.......... 3517 $ 326,345,084.45 100.00%
============================================================================================================
</TABLE>
REMAINING MONTHS TO STATED MATURITY
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Remaining Term Loans Balance Balance
<S> <C> <C> <C>
168 less than Rem Term less than or equal to 180 88 5,135,798.45 1.57%
336 less than Rem Term less than or equal to 348 6 429,393.92 0.13%
348 less than Rem Term less than or equal to 360 3,423 320,779,892.08 98.29%
- ----------------------------------------------------------------------------------------------
Total............ 3,517 326,345,084.45 100.00%
==============================================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 11
ORIGINAL COMBINED LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Original CLTV Ratio Loans Balance Balance
<S> <C> <C> <C>
5.000 less than CLTV less than or equal to 10.000 1 24,962.78 0.01
15.000 less than CLTV less than or equal to 20.000 1 50,000.00 0.02
20.000 less than CLTV less than or equal to 25.000 8 428,992.20 0.13
25.000 less than CLTV less than or equal to 30.000 12 750,191.09 0.23
30.000 less than CLTV less than or equal to 35.000 11 627,901.02 0.19
35.000 less than CLTV less than or equal to 40.000 12 817,358.05 0.25
40.000 less than CLTV less than or equal to 45.000 29 1,750,159.79 0.54
45.000 less than CLTV less than or equal to 50.000 58 3,944,041.68 1.21
50.000 less than CLTV less than or equal to 55.000 69 5,213,774.74 1.60
55.000 less than CLTV less than or equal to 60.000 168 11,331,062.22 3.47
60.000 less than CLTV less than or equal to 65.000 531 39,535,884.47 12.11
65.000 less than CLTV less than or equal to 70.000 456 37,080,815.31 11.36
70.000 less than CLTV less than or equal to 75.000 587 55,640,112.84 17.05
75.000 less than CLTV less than or equal to 80.000 926 93,821,794.06 28.75
80.000 less than CLTV less than or equal to 85.000 278 31,470,521.25 9.64
85.000 less than CLTV less than or equal to 90.000 364 43,180,151.41 13.23
90.000 less than CLTV less than or equal to 95.000 4 377,963.84 0.12
95.000 less than CLTV less than or equal to 100.000 1 157,400.00 0.05
CLTV greater than 100.000 1 141,997.70 0.04
- --------------------------------------------------------------------------
Total.................... 3,517 $ 326,345,084.45 100.00%
==========================================================================
</TABLE>
DISTRIBUTION OF
MARGINS
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Gross Mortgage Principal Principal
Margin Loans Balance Balance
<S> <C> <C> <C>
3.000 less than Margin less than or equal to 3.500 3 323,057.72 0.10
3.500 less than Margin less than or equal to 4.000 4 417,647.52 0.13
4.000 less than Margin less than or equal to 4.500 6 662,241.37 0.20
4.500 less than Margin less than or equal to 5.000 813 83,103,332.04 25.46
5.000 less than Margin less than or equal to 5.500 645 63,064,025.73 19.32
5.500 less than Margin less than or equal to 6.000 646 56,531,195.41 17.32
6.000 less than Margin less than or equal to 6.500 224 25,270,369.63 7.74
6.500 less than Margin less than or equal to 7.000 623 48,915,693.49 14.99
7.000 less than Margin less than or equal to 7.500 152 15,115,074.68 4.63
7.500 less than Margin less than or equal to 8.000 159 14,189,227.33 4.35
8.000 less than Margin less than or equal to 8.500 76 4,843,994.17 1.48
8.500 less than Margin less than or equal to 9.000 60 5,521,210.93 1.69
9.000 less than Margin less than or equal to 9.500 33 2,239,453.42 0.69
9.500 less than Margin less than or equal to 10.000 60 5,217,624.85 1.60
10.000 less than Margin less than or equal to 10.500 9 717,991.67 0.22
10.500 less than Margin less than or equal to 11.000 2 146,660.31 0.04
11.000 less than Margin less than or equal to 12.000 2 66,284.18 0.02
- ---------------------------------------------------------------------------------------------------
Total................. 3,517 $ 326,345,084.45 100.00%
===================================================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 12
<TABLE>
<CAPTION>
LOAN SUMMARY STRATIFIED BY
LIFE CAP
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Gross Mortgage Principal Principal
Life Cap Loans Balance Balance
<S> <C> <C> <C>
11.500 less than LIFE CAP less than or equal to 12.000 1 141,755.64 0.04
12.000 less than LIFE CAP less than or equal to 12.500 4 538,783.10 0.17
12.500 less than LIFE CAP less than or equal to 13.000 4 316,286.91 0.10
13.000 less than LIFE CAP less than or equal to 13.500 11 1,099,914.84 0.34
13.500 less than LIFE CAP less than or equal to 14.000 37 3,660,830.82 1.12
14.000 less than LIFE CAP less than or equal to 14.500 57 6,515,976.16 2.00
14.500 less than LIFE CAP less than or equal to 15.000 133 16,399,528.91 5.03
15.000 less than LIFE CAP less than or equal to 15.500 240 28,408,955.72 8.71
15.500 less than LIFE CAP less than or equal to 16.000 475 54,021,312.39 16.55
16.000 less than LIFE CAP less than or equal to 16.500 382 40,283,021.35 12.34
16.500 less than LIFE CAP less than or equal to 17.000 493 46,846,964.71 14.36
17.000 less than LIFE CAP less than or equal to 17.500 455 39,505,382.44 12.11
17.500 less than LIFE CAP less than or equal to 18.000 353 28,337,784.08 8.68
18.000 less than LIFE CAP less than or equal to 18.500 261 18,825,074.77 5.77
18.500 less than LIFE CAP less than or equal to 19.000 178 12,890,494.08 3.95
19.000 less than LIFE CAP less than or equal to 19.500 140 9,901,821.51 3.03
19.500 less than LIFE CAP less than or equal to 20.000 113 7,584,347.69 2.32
20.000 less than LIFE CAP less than or equal to 20.500 71 4,560,231.77 1.40
20.500 less than LIFE CAP less than or equal to 21.000 54 3,652,232.47 1.12
21.000 less than LIFE CAP less than or equal to 21.500 30 1,526,440.11 0.47
21.500 less than LIFE CAP less than or equal to 22.000 18 1,107,902.01 0.34
22.000 less than LIFE CAP less than or equal to 22.500 2 96,345.40 0.03
22.500 less than LIFE CAP less than or equal to 23.000 5 123,697.57 0.04
- --------------------------------------------------------------------------------------------------------
Total................. 3517 $ 326,345,084.45 100.00%
========================================================================================================
</TABLE>
<TABLE>
<CAPTION>
LOAN SUMMARY STRATIFIED BY
LIFE FLOOR
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Gross Mortgage Principal Principal
Life Floor Loans Balance Balance
<S> <C> <C> <C>
5.000 less than Life Floor less than or equal to 5.500 3 256,902.75 0.08
5.500 less than Life Floor less than or equal to 6.000 4 975,140.71 0.30
6.000 less than Life Floor less than or equal to 6.500 16 1,590,216.08 0.49
6.500 less than Life Floor less than or equal to 7.000 16 1,523,797.43 0.47
7.000 less than Life Floor less than or equal to 7.500 28 2,996,509.64 0.92
7.500 less than Life Floor less than or equal to 8.000 69 7,479,331.02 2.29
8.000 less than Life Floor less than or equal to 8.500 176 20,243,319.60 6.20
8.500 less than Life Floor less than or equal to 9.000 357 43,081,535.55 13.20
9.000 less than Life Floor less than or equal to 9.500 353 38,163,721.71 11.69
9.500 less than Life Floor less than or equal to 10.000 517 51,926,860.42 15.91
10.000 less than Life Floor less than or equal to 10.500 474 43,121,175.92 13.21
10.500 less than Life Floor less than or equal to 11.000 423 35,375,389.60 10.84
11.000 less than Life Floor less than or equal to 11.500 310 23,952,071.83 7.34
11.500 less than Life Floor less than or equal to 12.000 210 17,085,950.41 5.24
12.000 less than Life Floor less than or equal to 12.500 169 12,191,090.93 3.74
12.500 less than Life Floor less than or equal to 13.000 145 10,229,337.69 3.13
13.000 less than Life Floor less than or equal to 13.500 83 5,748,400.89 1.76
13.500 less than Life Floor less than or equal to 14.000 83 5,372,355.20 1.65
14.000 less than Life Floor less than or equal to 14.500 44 2,728,744.23 0.84
14.500 less than Life Floor less than or equal to 15.000 24 1,474,047.77 0.45
15.000 less than Life Floor less than or equal to 15.500 8 705,487.50 0.22
15.500 less than Life Floor less than or equal to 16.000 5 123,697.57 0.04
- --------------------------------------------------------------------------------------------------
Total................. 3517 $326,345,084.45 100.00%
==================================================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 13
NEXT INTEREST ROLLDATE DATE
<TABLE>
<CAPTION>
Percentage
of Cut-Off
Aggregate Date
Next Number of Unpaid Aggregate
Roll Mortgage Principal Principal
Date Loans Balance Balance
<S> <C> <C> <C>
10/97 6 $585,103.81 00.18
11/97 22 $2,209,255.50 00.68
12/97 67 $6,933,856.97 02.12
01/98 200 $19,810,277.35 06.07
02/98 250 $23,557,070.20 07.22
03/98 173 $16,444,711.12 05.04
04/98 25 $2,285,049.00 00.70
09/98 1 $138,105.94 00.04
10/98 4 $294,889.90 00.09
11/98 5 $351,689.42 00.11
12/98 2 $130,692.51 00.04
01/99 4 $297,060.88 00.09
02/99 11 $1,244,446.67 00.38
03/99 18 $2,357,420.72 00.72
04/99 18 $1,593,645.41 00.49
05/99 64 $5,049,712.49 01.55
06/99 201 $20,327,300.26 06.23
07/99 480 $44,736,223.95 13.71
08/99 574 $50,570,494.28 15.50
09/99 412 $36,142,417.32 11.07
10/99 17 $1,249,636.69 00.38
11/99 3 $289,181.31 00.09
12/99 1 $99,517.96 00.03
01/00 9 $927,890.08 00.28
02/00 12 $1,382,440.58 00.42
03/00 8 $804,748.37 00.25
04/00 1 $80,802.86 00.02
05/00 1 $77,839.15 00.02
06/00 11 $1,266,010.34 00.39
07/00 13 $1,372,068.63 00.42
08/00 9 $905,569.37 00.28
09/00 9 $947,400.00 00.29
11/01 1 $50,588.90 00.02
03/02 29 $2,798,901.94 00.86
04/02 1 $95,809.23 00.03
05/02 70 $7,038,924.85 02.16
06/02 140 $14,244,625.25 04.36
07/02 211 $19,101,615.08 05.85
08/02 175 $15,065,014.16 04.62
09/02 245 $21,665,746.00 06.64
10/02 14 $1,821,330.00 00.56
- --------------------------------------------------------------------------
Total........ 3517 $326,345,084.45 100.00%
==========================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 14
ORIGINAL MORTGAGE LOAN AMOUNTS
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Original Number of Unpaid Aggregate
Mortgage Loan Mortgage Principal Principal
Principal Balance Loans Balance Balance
<S> <C> <C> <C> <C>
10,000 less than Balance less than or equal to 15,000 5 65,987.03 0.02
15,000 less than Balance less than or equal to 20,000 35 662,499.99 0.20
20,000 less than Balance less than or equal to 25,000 99 2,266,166.66 0.69
25,000 less than Balance less than or equal to 30,000 110 3,045,828.41 0.93
30,000 less than Balance less than or equal to 35,000 146 4,763,341.25 1.46
35,000 less than Balance less than or equal to 40,000 146 5,516,983.12 1.69
40,000 less than Balance less than or equal to 45,000 166 7,134,987.31 2.19
45,000 less than Balance less than or equal to 50,000 162 7,746,455.64 2.37
50,000 less than Balance less than or equal to 55,000 189 9,973,058.21 3.06
55,000 less than Balance less than or equal to 60,000 161 9,321,379.29 2.86
60,000 less than Balance less than or equal to 65,000 169 10,640,018.21 3.26
65,000 less than Balance less than or equal to 70,000 150 10,174,112.78 3.12
70,000 less than Balance less than or equal to 75,000 149 10,845,984.66 3.32
75,000 less than Balance less than or equal to 80,000 166 12,931,248.63 3.96
80,000 less than Balance less than or equal to 85,000 133 11,012,852.17 3.37
85,000 less than Balance less than or equal to 90,000 142 12,484,423.52 3.83
90,000 less than Balance less than or equal to 95,000 102 9,446,674.09 2.89
95,000 less than Balance less than or equal to 100,000 112 10,943,925.85 3.35
100,000 less than Balance less than or equal to 105,000 114 11,746,916.10 3.60
105,000 less than Balance less than or equal to 110,000 78 8,408,225.57 2.58
110,000 less than Balance less than or equal to 115,000 74 8,322,697.20 2.55
115,000 less than Balance less than or equal to 120,000 83 9,770,423.18 2.99
120,000 less than Balance less than or equal to 125,000 72 8,822,189.01 2.70
125,000 less than Balance less than or equal to 130,000 81 10,334,300.99 3.17
130,000 less than Balance less than or equal to 135,000 62 8,205,403.65 2.51
135,000 less than Balance less than or equal to 140,000 48 6,619,766.38 2.03
140,000 less than Balance less than or equal to 145,000 46 6,565,429.82 2.01
145,000 less than Balance less than or equal to 150,000 47 6,951,810.87 2.13
150,000 less than Balance less than or equal to 200,000 254 43,874,784.79 13.44
200,000 less than Balance less than or equal to 250,000 106 23,565,317.27 7.22
250,000 less than Balance less than or equal to 300,000 60 16,396,830.56 5.02
300,000 less than Balance less than or equal to 350,000 29 9,394,633.19 2.88
350,000 less than Balance less than or equal to 400,000 15 5,560,420.07 1.70
400,000 less than Balance less than or equal to 450,000 3 1,277,537.79 0.39
450,000 less than Balance less than or equal to 500,000 2 979,475.84 0.30
550,000 less than Balance less than or equal to 600,000 1 572,995.35 0.18
- ------------------------------------------------------------------------------------------------------
Total.................... 3517 $ 326,345,084.45 100.00%
======================================================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 15
CURRENT MORTGAGE LOAN AMOUNTS
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Current Number of Unpaid Aggregate
Mortgage Loan Mortgage Principal Principal
Principal Balance Loans Balance Balance
<S> <C> <C> <C> <C>
10,000 less than Balance less than or equal to 15,000 5 65,987.03 0.02
15,000 less than Balance less than or equal to 20,000 35 662,499.99 0.20
20,000 less than Balance less than or equal to 25,000 100 2,291,164.12 0.70
25,000 less than Balance less than or equal to 30,000 109 3,020,830.95 0.93
30,000 less than Balance less than or equal to 35,000 147 4,797,375.58 1.47
35,000 less than Balance less than or equal to 40,000 145 5,482,948.79 1.68
40,000 less than Balance less than or equal to 45,000 166 7,134,987.31 2.19
45,000 less than Balance less than or equal to 50,000 162 7,746,455.64 2.37
50,000 less than Balance less than or equal to 55,000 189 9,973,058.21 3.06
55,000 less than Balance less than or equal to 60,000 161 9,321,379.29 2.86
60,000 less than Balance less than or equal to 65,000 169 10,640,018.21 3.26
65,000 less than Balance less than or equal to 70,000 150 10,174,112.78 3.12
70,000 less than Balance less than or equal to 75,000 150 10,919,719.96 3.35
75,000 less than Balance less than or equal to 80,000 165 12,857,513.33 3.94
80,000 less than Balance less than or equal to 85,000 133 11,012,852.17 3.37
85,000 less than Balance less than or equal to 90,000 142 12,484,423.52 3.83
90,000 less than Balance less than or equal to 95,000 103 9,541,673.97 2.92
95,000 less than Balance less than or equal to 100,000 111 10,848,925.97 3.32
100,000 less than Balance less than or equal to 105,000 114 11,746,916.10 3.60
105,000 less than Balance less than or equal to 110,000 79 8,518,114.72 2.61
110,000 less than Balance less than or equal to 115,000 74 8,327,580.15 2.55
115,000 less than Balance less than or equal to 120,000 83 9,775,577.03 3.00
120,000 less than Balance less than or equal to 125,000 72 8,827,100.91 2.70
125,000 less than Balance less than or equal to 130,000 81 10,339,235.11 3.17
130,000 less than Balance less than or equal to 135,000 62 8,210,524.80 2.52
135,000 less than Balance less than or equal to 140,000 48 6,624,829.05 2.03
140,000 less than Balance less than or equal to 145,000 46 6,566,087.90 2.01
145,000 less than Balance less than or equal to 150,000 46 6,811,197.00 2.09
150,000 less than Balance less than or equal to 200,000 254 43,874,784.79 13.44
200,000 less than Balance less than or equal to 250,000 106 23,565,317.27 7.22
250,000 less than Balance less than or equal to 300,000 60 16,396,830.56 5.02
300,000 less than Balance less than or equal to 350,000 29 9,394,633.19 2.88
350,000 less than Balance less than or equal to 400,000 15 5,560,420.07 1.70
400,000 less than Balance less than or equal to 450,000 3 1,277,537.79 0.39
450,000 less than Balance less than or equal to 500,000 2 979,475.84 0.30
550,000 less than Balance less than or equal to 600,000 1 572,995.35 0.18
- -----------------------------------------------------------------------------------------------------
Total.................... 3517 $ 326,345,084.45 100.00%
=====================================================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 16
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
State Loans Balance Balance
<S> <C> <C> <C>
AK 3 330,252.61 0.10
AR 1 66,691.54 0.02
AZ 95 8,976,815.22 2.75
CA 343 46,351,526.14 14.20
CO 167 17,786,128.65 5.45
CT 238 23,711,150.21 7.27
DC 36 3,483,045.43 1.07
DE 4 331,498.25 0.10
FL 465 39,255,535.72 12.03
GA 118 11,314,163.92 3.47
HI 52 9,302,972.65 2.85
IA 1 49,000.49 0.02
ID 16 1,348,641.13 0.41
IL 108 10,095,831.05 3.09
IN 126 7,269,174.91 2.23
KS 13 737,116.76 0.23
KY 22 1,399,950.11 0.43
LA 31 1,841,932.75 0.56
MA 15 2,037,307.30 0.62
MD 161 12,678,486.43 3.88
ME 2 134,397.43 0.04
MI 145 9,729,609.51 2.98
MN 44 3,314,429.00 1.02
MO 85 5,335,459.54 1.63
MS 1 25,595.29 0.01
MT 3 189,283.66 0.06
NC 72 4,822,630.62 1.48
NE 31 1,476,136.18 0.45
NH 8 804,291.14 0.25
NJ 66 7,277,055.20 2.23
NM 9 708,720.52 0.22
NV 15 1,571,618.36 0.48
NY 37 4,346,798.95 1.33
OH 167 11,008,849.35 3.37
OK 10 588,377.36 0.18
OR 121 13,133,919.09 4.02
PA 130 9,174,509.34 2.81
RI 33 3,169,612.02 0.97
SC 45 2,680,364.05 0.82
SD 1 73,188.83 0.02
TN 35 3,041,063.64 0.93
TX 150 11,899,637.16 3.65
UT 82 9,431,289.02 2.89
VA 22 2,821,902.41 0.86
VT 1 33,738.60 0.01
WA 142 17,512,336.81 5.37
WI 36 2,906,753.65 0.89
WV 2 180,769.54 0.06
WY 7 585,526.91 0.18
- --------------------------------------------------------------------------
Total............... 3517 $ 326,345,084.45 100.00%
==========================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 17
MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
<S> <C> <C> <C>
Single-family 2919 275,402,419.65 84.39
Condominiums 311 28,004,513.41 8.58
2-4 Family 277 22,093,003.43 6.77
Multi-Family/Apt. 10 845,147.96 0.26
- --------------------------------------------------------------------------
Total............... 3517 $ 326,345,084.45 100.00%
==========================================================================
</TABLE>
LOAN SUMMARY STRATIFIED BY
OWNER OCCUPANCY
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
<S> <C> <C> <C>
Owner Occ. 3233 309,911,163.82 94.96
Non Owner Occ. 284 16,433,920.63 5.04
- --------------------------------------------------------------------------
Total.................. 3517 $ 326,345,084.45 100.00%
==========================================================================
</TABLE>
PREPAYMENT PENALTY
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
PREPAYMENT Mortgage Principal Principal
PENALTY Loans Balance Balance
<S> <C> <C> <C>
A - NO PENALTY 1301 122,021,576.82 37.39
C - 20% BALANCE for 7yrs 27 3,663,063.09 1.12
E - 20% ORIGINAL for 5yrs 2180 199,889,799.78 61.25
G - 2% OF BALANCE for 7yrs 1 62,700.00 0.02
D - UNKNOWN 8 707,944.76 0.22
- -----------------------------------------------------------------
Total.......... 3517 $ 326,345,084.45 100.00%
=================================================================
</TABLE>
CREDIT GRADE
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Credit Grade Loans Balance Balance
<S> <C> <C> <C>
A 31 2,695,957.16 0.83
A- 1750 185,933,137.71 56.97
B 886 78,434,122.10 24.03
C 366 24,765,737.90 7.59
C- 124 8,844,052.06 2.71
D 360 25,672,077.52 7.87
- -----------------------------------------------------------------
Total.......... 3517 $ 326,345,084.45 100.00%
=================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 18
- --------------------------------------------------------------------------------
- AAMES 97C
- Cut Off Date of Tape is 09/04/97
- FIXED RATE COLLATERAL
- $177,792,995.45
- Mortgage Summary Report
- --------------------------------------------------------------------------------
Number of Mortgage Loans: 3,068
Lien Status: Various * Detailed Below
Aggregate Unpaid Principal Balance: $177,792,995.45
Aggregate Original Principal Balance: $177,988,352.38
Weighted Average Gross Coupon: 10.774%
Gross Coupon Range: 7.810% - 18.990%
- --------------------------------------------------------------------------------
Average Unpaid Principal Balance: $57,950.78
Average Original Principal Balance: $58,014.46
Maximum Unpaid Principal Balance: $359,036.60
Minimum Unpaid Principal Balance: $9,608.30
Maximum Original Principal Balance: $360,000.00
Minimum Original Principal Balance: $10,000.00
Weighted Avg. Stated Rem. Term (PTD to Mat Date): 286.913
Stated Rem Term Range: 57.000 - 360.000
Weighted Avg. Amortized Rem. Term: 302
Amortized Rem Term Range: 56 - 360
Weighted Average Age (First Pay thru Paid Thru Date): 1.065
Age Range: 0.000 - 13.000
Weighted Average Original Term: 287.978
Original Term Range: 60.000 - 360.000
Weighted Average Original LTV: 67.235
Original LTV Range: 5.349% - 91.456%
Weighted Average Combined LTV: 71.331
Combined LTV Range: 6.900% - 95.000%
- --------------------------------------------------------------------------------
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 19
GROSS MORTGAGE INTEREST RATE RANGE
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Gross Mortgage Number of Unpaid Aggregate
Interest Rate Mortgage Principal Principal
Range Loans Balance Balance
<S> <C> <C> <C>
7.75% less than Gross Coupon less than or equal to 8.00% 17 1,939,250.49 1.09
8.00% less than Gross Coupon less than or equal to 8.25% 16 1,012,169.17 0.57
8.25% less than Gross Coupon less than or equal to 8.50% 55 4,865,596.36 2.74
8.50% less than Gross Coupon less than or equal to 8.75% 58 4,934,953.82 2.78
8.75% less than Gross Coupon less than or equal to 9.00% 107 10,320,753.11 5.80
9.00% less than Gross Coupon less than or equal to 9.25% 104 5,365,198.77 3.02
9.25% less than Gross Coupon less than or equal to 9.50% 185 12,972,837.09 7.30
9.50% less than Gross Coupon less than or equal to 9.75% 142 10,759,445.72 6.05
9.75% less than Gross Coupon less than or equal to 10.00% 118 10,616,676.33 5.97
10.00% less than Gross Coupon less than or equal to 10.25% 129 7,373,903.33 4.15
10.25% less than Gross Coupon less than or equal to 10.50% 249 12,012,950.53 6.76
10.50% less than Gross Coupon less than or equal to 10.75% 297 16,922,971.95 9.52
10.75% less than Gross Coupon less than or equal to 11.00% 160 11,535,873.01 6.49
11.00% less than Gross Coupon less than or equal to 11.25% 134 6,850,512.55 3.85
11.25% less than Gross Coupon less than or equal to 11.50% 216 10,743,422.11 6.04
11.50% less than Gross Coupon less than or equal to 11.75% 200 9,537,782.56 5.36
11.75% less than Gross Coupon less than or equal to 12.00% 159 8,935,213.65 5.03
12.00% less than Gross Coupon less than or equal to 12.25% 103 5,094,471.35 2.87
12.25% less than Gross Coupon less than or equal to 12.50% 137 5,941,004.12 3.34
12.50% less than Gross Coupon less than or equal to 12.75% 95 4,439,433.86 2.50
12.75% less than Gross Coupon less than or equal to 13.00% 70 3,521,745.72 1.98
13.00% less than Gross Coupon less than or equal to 13.25% 42 1,740,380.09 0.98
13.25% less than Gross Coupon less than or equal to 13.50% 70 2,816,213.99 1.58
13.50% less than Gross Coupon less than or equal to 13.75% 37 1,518,355.16 0.85
13.75% less than Gross Coupon less than or equal to 14.00% 37 1,301,277.73 0.73
14.00% less than Gross Coupon less than or equal to 14.25% 34 1,133,651.50 0.64
14.25% less than Gross Coupon less than or equal to 14.50% 31 1,219,178.43 0.69
14.50% less than Gross Coupon less than or equal to 14.75% 18 623,716.60 0.35
14.75% less than Gross Coupon less than or equal to 15.00% 12 411,624.90 0.23
15.00% less than Gross Coupon less than or equal to 15.25% 9 323,757.28 0.18
15.25% less than Gross Coupon less than or equal to 15.50% 4 213,524.23 0.12
15.50% less than Gross Coupon less than or equal to 15.75% 3 106,858.70 0.06
15.75% less than Gross Coupon less than or equal to 16.00% 10 352,507.33 0.20
16.00% less than Gross Coupon less than or equal to 16.25% 3 114,802.30 0.06
16.25% less than Gross Coupon less than or equal to 16.50% 2 63,472.07 0.04
16.75% less than Gross Coupon less than or equal to 17.00% 2 51,476.65 0.03
17.25% less than Gross Coupon less than or equal to 17.50% 1 35,836.51 0.02
18.50% less than Gross Coupon less than or equal to 19.00% 2 70,196.38 0.04
- ----------------------------------------------------------------------------------------------------------------------
Total.......... 3068 $ 177,792,995.45 100.00%
======================================================================================================================
</TABLE>
ORIGINAL TERM
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Original Term Loans Balance Balance
<S> <C> <C> <C>
48 less than Orig. Term less than or equal to 60 54 892,682.41 0.50%
60 less than Orig. Term less than or equal to 72 5 83,277.24 0.05%
72 less than Orig. Term less than or equal to 84 12 254,373.90 0.14%
84 less than Orig. Term less than or equal to 96 8 145,639.99 0.08%
108 less than Orig. Term less than or equal to 120 153 4,129,187.13 2.32%
120 less than Orig. Term less than or equal to 132 1 75,000.00 0.04%
132 less than Orig. Term less than or equal to 144 6 191,291.49 0.11%
144 less than Orig. Term less than or equal to 156 3 121,606.77 0.07%
168 less than Orig. Term less than or equal to 180 1,296 59,460,209.96 33.44%
180 less than Orig. Term less than or equal to 192 17 964,514.22 0.54%
192 less than Orig. Term less than or equal to 204 1 42,413.10 0.02%
204 less than Orig. Term less than or equal to 216 2 51,765.99 0.03%
228 less than Orig. Term less than or equal to 240 56 3,356,549.74 1.89%
288 less than Orig. Term less than or equal to 300 8 564,134.19 0.32%
312 less than Orig. Term less than or equal to 324 1 90,333.89 0.05%
348 less than Orig. Term less than or equal to 360 1,445 107,370,015.43 60.39%
- ----------------------------------------------------------------------------------------------
Total............ 3,068 177,792,995.45 100.00%
==============================================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 20
REMAINING MONTHS TO STATED MATURITY
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Remaining Term Loans Balance Balance
<S> <C> <C> <C>
48 less than Rem Term less than or equal to 60 54 892,682.41 0.50%
60 less than Rem Term less than or equal to 72 5 83,277.24 0.05%
72 less than Rem Term less than or equal to 84 12 254,373.90 0.14%
84 less than Rem Term less than or equal to 96 8 145,639.99 0.08%
108 less than Rem Term less than or equal to 120 153 4,129,187.13 2.32%
120 less than Rem Term less than or equal to 132 1 75,000.00 0.04%
132 less than Rem Term less than or equal to 144 6 191,291.49 0.11%
144 less than Rem Term less than or equal to 156 3 121,606.77 0.07%
156 less than Rem Term less than or equal to 168 3 203,448.71 0.11%
168 less than Rem Term less than or equal to 180 1,304 59,908,975.47 33.70%
180 less than Rem Term less than or equal to 192 6 312,300.00 0.18%
192 less than Rem Term less than or equal to 204 1 42,413.10 0.02%
204 less than Rem Term less than or equal to 216 2 51,765.99 0.03%
228 less than Rem Term less than or equal to 240 56 3,356,549.74 1.89%
288 less than Rem Term less than or equal to 300 8 564,134.19 0.32%
312 less than Rem Term less than or equal to 324 1 90,333.89 0.05%
336 less than Rem Term less than or equal to 348 2 76,846.42 0.04%
348 less than Rem Term less than or equal to 360 1,443 107,293,169.01 60.35%
- ----------------------------------------------------------------------------------------------
Total............ 3,068 177,792,995.45 100.00%
==============================================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 21
ORIGINAL COMBINED LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Original CLTV Ratio Loans Balance Balance
<S> <C> <C> <C>
5.000 less than CLTV less than or equal to 10.000 8 117,156.75 0.07
10.000 less than CLTV less than or equal to 15.000 18 352,741.66 0.20
15.000 less than CLTV less than or equal to 20.000 31 862,030.66 0.48
20.000 less than CLTV less than or equal to 25.000 35 973,486.07 0.55
25.000 less than CLTV less than or equal to 30.000 49 1,356,347.16 0.76
30.000 less than CLTV less than or equal to 35.000 63 2,517,333.07 1.42
35.000 less than CLTV less than or equal to 40.000 75 2,930,678.41 1.65
40.000 less than CLTV less than or equal to 45.000 106 4,581,340.14 2.58
45.000 less than CLTV less than or equal to 50.000 112 5,538,408.97 3.12
50.000 less than CLTV less than or equal to 55.000 131 5,653,294.88 3.18
55.000 less than CLTV less than or equal to 60.000 179 7,814,331.84 4.40
60.000 less than CLTV less than or equal to 65.000 378 17,619,663.94 9.91
65.000 less than CLTV less than or equal to 70.000 368 18,738,646.61 10.54
70.000 less than CLTV less than or equal to 75.000 633 34,047,112.26 19.15
75.000 less than CLTV less than or equal to 80.000 389 31,788,692.69 17.88
80.000 less than CLTV less than or equal to 85.000 212 16,548,765.18 9.31
85.000 less than CLTV less than or equal to 90.000 276 26,055,489.78 14.65
90.000 less than CLTV less than or equal to 95.000 5 297,475.38 0.17
- ----------------------------------------------------------------------------------------------------
Total.................... 3,068 $ 177,792,995.45 100.00%
====================================================================================================
</TABLE>
CURRENT MORTGAGE LOAN AMOUNTS
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Current Number of Unpaid Aggregate
Mortgage Loan Mortgage Principal Principal
Principal Balance Loans Balance Balance
<S> <C> <C> <C>
5,000 less than Balance less than or equal to 10,000 27 268,227.83 0.15
10,000 less than Balance less than or equal to 15,000 163 2,128,509.78 1.20
15,000 less than Balance less than or equal to 20,000 241 4,346,809.74 2.44
20,000 less than Balance less than or equal to 25,000 253 5,819,159.89 3.27
25,000 less than Balance less than or equal to 30,000 255 7,129,736.15 4.01
30,000 less than Balance less than or equal to 35,000 226 7,447,978.58 4.19
35,000 less than Balance less than or equal to 40,000 184 6,993,991.28 3.93
40,000 less than Balance less than or equal to 45,000 185 7,919,087.29 4.45
45,000 less than Balance less than or equal to 50,000 186 8,951,687.62 5.03
50,000 less than Balance less than or equal to 55,000 141 7,432,802.15 4.18
55,000 less than Balance less than or equal to 60,000 152 8,816,741.62 4.96
60,000 less than Balance less than or equal to 65,000 105 6,590,469.44 3.71
65,000 less than Balance less than or equal to 70,000 104 7,045,718.23 3.96
70,000 less than Balance less than or equal to 75,000 97 7,062,940.04 3.97
75,000 less than Balance less than or equal to 80,000 74 5,743,026.25 3.23
80,000 less than Balance less than or equal to 85,000 80 6,635,690.18 3.73
85,000 less than Balance less than or equal to 90,000 69 6,052,752.95 3.40
90,000 less than Balance less than or equal to 95,000 51 4,728,393.82 2.66
95,000 less than Balance less than or equal to 100,000 67 6,548,008.68 3.68
100,000 less than Balance less than or equal to 105,000 45 4,642,278.44 2.61
105,000 less than Balance less than or equal to 110,000 28 3,021,643.71 1.70
110,000 less than Balance less than or equal to 115,000 28 3,152,366.51 1.77
115,000 less than Balance less than or equal to 120,000 44 5,182,952.61 2.92
120,000 less than Balance less than or equal to 125,000 29 3,565,988.08 2.01
125,000 less than Balance less than or equal to 130,000 19 2,427,198.28 1.37
130,000 less than Balance less than or equal to 135,000 23 3,043,121.21 1.71
135,000 less than Balance less than or equal to 140,000 14 1,932,576.08 1.09
140,000 less than Balance less than or equal to 145,000 18 2,576,280.33 1.45
145,000 less than Balance less than or equal to 150,000 22 3,258,006.02 1.83
150,000 less than Balance less than or equal to 200,000 90 15,572,711.69 8.76
200,000 less than Balance less than or equal to 250,000 33 7,431,673.99 4.18
250,000 less than Balance less than or equal to 300,000 11 2,952,351.31 1.66
300,000 less than Balance less than or equal to 350,000 3 1,013,079.07 0.57
350,000 less than Balance less than or equal to 400,000 1 359,036.60 0.20
- -----------------------------------------------------------------------------------------------------------
Total.................... 3068 $ 177,792,995.45 100.00%
===========================================================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 22
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
State Loans Balance Balance
<S> <C> <C> <C>
AK 2 350,259.96 0.20
AR 5 144,417.72 0.08
AZ 99 5,533,326.08 3.11
CA 464 34,927,071.48 19.64
CO 123 7,372,697.26 4.15
CT 32 2,221,758.86 1.25
DC 5 385,629.42 0.22
FL 325 18,567,185.18 10.44
GA 48 3,043,794.45 1.71
HI 22 3,714,872.03 2.09
IA 1 119,941.00 0.07
ID 5 352,800.00 0.20
IL 169 8,657,665.76 4.87
IN 106 4,365,453.43 2.46
KS 15 901,638.68 0.51
KY 12 512,519.86 0.29
LA 45 2,029,662.97 1.14
MA 14 1,114,863.72 0.63
MD 80 4,420,002.01 2.49
ME 3 209,418.00 0.12
MI 157 6,287,797.17 3.54
MN 30 1,564,890.05 0.88
MO 112 4,067,087.76 2.29
MS 4 299,900.78 0.17
MT 2 159,745.07 0.09
NC 16 856,608.09 0.48
NE 4 230,300.00 0.13
NH 3 236,505.20 0.13
NJ 89 6,108,997.68 3.44
NM 10 847,342.67 0.48
NV 32 1,853,042.24 1.04
NY 142 10,132,763.22 5.70
OH 178 7,488,402.47 4.21
OK 12 518,014.91 0.29
OR 103 6,965,910.68 3.92
PA 163 6,641,070.17 3.74
RI 11 844,211.54 0.47
SC 33 1,038,685.80 0.58
TN 52 2,847,807.34 1.60
TX 54 3,246,554.88 1.83
UT 95 6,063,464.45 3.41
VA 39 2,112,360.92 1.19
WA 134 7,715,138.40 4.34
WI 13 435,422.02 0.24
WV 4 232,315.51 0.13
WY 1 53,678.56 0.03
- --------------------------------------------------------------------------
Total............... 3068 $ 177,792,995.45 100.00%
==========================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 23
MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
<S> <C> <C> <C>
Single-family 2699 155,514,352.42 87.47
Condominiums 120 6,985,255.80 3.93
2-4 Family 210 13,576,253.12 7.64
Multi-Family/Apt. 39 1,717,134.11 0.97
- --------------------------------------------------------------------------
Total............... 3068 $ 177,792,995.45 100.00%
==========================================================================
</TABLE>
LOAN SUMMARY STRATIFIED BY
OWNER OCCUPANCY
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
<S> <C> <C> <C>
Owner Occ. 2937 171,713,984.60 96.58
Non Owner Occ. 131 6,079,010.85 3.42
- --------------------------------------------------------------------------
Total.................. 3068 $ 177,792,995.45 100.00%
==========================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 24
LIEN SUMMARY
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
<S> <C> <C> <C>
1st Lien Loans 2450 159,334,767.21 89.62
2nd Lien Loans 617 18,437,728.24 10.37
3rd Lien Loans 1 20,500.00 0.01
- --------------------------------------------------------------------------
Total............... 3068 $177,792,995.45 100.00%
==========================================================================
</TABLE>
LOAN SUMMARY STRATIFIED BY AMORTIZATION
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
AMORTIZATION Loans Balance Balance
<S> <C> <C> <C>
Fully Amortizing 2893 162,811,146.99 91.57
Partially Amortizing 175 14,981,848.46 8.43
- --------------------------------------------------------------------------
Total.................. 3068 $ 177,792,995.45 100.00%
==========================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE> 25
CREDIT GRADE
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
CREDIT GRADE Loans Balance Balance
<S> <C> <C> <C>
A 470 26,606,877.06 14.97
A- 1165 86,462,774.89 48.63
B 723 37,379,157.40 21.02
C 384 15,360,236.72 8.64
C- 110 4,134,011.44 2.33
D 216 7,849,937.94 4.42
- -----------------------------------------------------------------
Total.......... 3068 $ 177,792,995.45 100.00%
=================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
PREPAYMENT PENALTY
<TABLE>
<CAPTION>
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
PREPAYMENT Mortgage Principal Principal
PENALTY Loans Balance Balance
<S> <C> <C> <C>
A - NO PENALTY 1305 68,346,324.72 38.44
C - 20% BALANCE for 7yrs 28 1,269,442.24 0.71
E - 20% ORIGINAL for 5yrs 1490 95,006,131.09 53.44
G - 2% OF BALANCE for 7yrs 4 430,600.00 0.24
H - LNDR OPTION 4 201,600.00 0.11
D - UNKNOWN 237 12,538,897.40 7.05
- -----------------------------------------------------------------
Total.......... 3068 $ 177,792,995.45 100.00%
=================================================================
</TABLE>
These computational materials are preliminary. Final computational materials
will be available by September 11, 1997. You should not make any investment
decisions based on the preliminary computational materials. Any investment
decisions should be made by referring to the final computational materials.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.