<PAGE> 1
----------------------------------
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):
June 16, 1997
Aames Capital Corporation on behalf of Aames Mortgage Trust 1997-B
------------------------------------------------------------------
(Exact Name of Registrant as Specified in its Charter)
California 333-21219 95-4438859
---------- --------- ----------
(State of Incorporation) (Commission (I.R.S. Employer
File Number) Identification No.)
350 South Grand Avenue, 52nd Floor, Los Angeles, California 90071
- ----------------------------------------------------------- -----
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code: (213) 640-5000
3731 Wilshire Boulevard, Los Angeles, California 90010
------------------------------------------------------
(Former Name or Former Address, if Changed Since Last Report)
Registrant's former telephone number, including area code: (213) 351-6100
--------------------------------
<PAGE> 2
Item 5. Other Events.(1)
-------------
Attached as Exhibit 99.1 to this Current Report are certain materials
(the "Computational Materials") furnished to the Registrant by Donaldson,
Lufkin & Jenrette Securities Corporation, as representative of the several
underwriters (collectively, the "Underwriters"), in respect of Aames Mortgage
Trust 1997-B Mortgage Pass-Through Certificates, Series 1997-B, Class A-IA,
Class A-IB, Class A-IC, Class A-ID, Class A-IE, Class A-IF, Class A-IO, Class
M-IA, Class M-IB, Class B-I, Class A-II, Class M-IIA, Class M-IIB and Class
B-II (the "Certificates"). The Certificates will be offered pursuant to a
Prospectus Supplement, to be dated June 18, 1997, and a Prospectus, to be dated
March 18, 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 Computational 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 Computational Materials are based) in the preparation of
the Computational Materials.
Any statements or information contained in the Computational 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 Computational Materials
- ----------------------
(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: June 18, 1997
<PAGE> 4
Exhibit Index
Exhibit
- -------
99.1 Computational Materials of the Underwriters
<PAGE> 1
DLJ
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
- --------------------------------------------------------------------------------
EXHIBIT 99.1
DERIVED INFORMATION
$500,000,000 CERTIFICATES
AAMES MORTGAGE TRUST 1997-B
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
AAMES CAPITAL CORPORATION
AS SPONSOR AND SERVICER
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 2
DLJ
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
- --------------------------------------------------------------------------------
$500,000,000
AAMES MORTGAGE TRUST 1997-B
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
<TABLE>
<CAPTION>
BOND STRUCTURE: RATINGS MDY/S&P/FTC
- ---------------------------------------------------------------------------------------------------------------------------------
WAL Modified
Mat./Call Duration Principal Principal Proposed Expected
Approximate Tranche (years) (yrs to Window Window Minimum Rating Legal
Certificate Type Coupon (3F, 3A) Mat.) (to (to Call) MDY/S&P/FTC Final
Class(1F, 1A) Balance (1F, 1A) (2F, 2A) (5F, 4A) (3F,3A) Maturity)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 71,000,000 Fixed Seq [TBD]% 0.98 0.91 22 22 Aaa/AAA/AAA 5/15/13
- ---------------------------------------------------------------------------------------------------------------------------------
A-2 10,500,000 Fixed Seq [TBD]% 2.00 1.82 5 5 Aaa/AAA/AAA 8/15/16
- ---------------------------------------------------------------------------------------------------------------------------------
A-3 39,250,000 Fixed Seq [TBD]% 3.00 2.62 28 28 Aaa/AAA/AAA 8/15/24
- ---------------------------------------------------------------------------------------------------------------------------------
A-4 9,750,000 Fixed Seq [TBD]% 5.02 4.10 18 18 Aaa/AAA/AAA 11/15/25
- ---------------------------------------------------------------------------------------------------------------------------------
A-5 13,900,000 Fixed Seq [TBD]% 9.99/7.58 6.70 138 29 Aaa/AAA/AAA 9/15/29
- ---------------------------------------------------------------------------------------------------------------------------------
A-6 NAS(4F) 19,000,000 Fixed Lock [TBD]% 6.59/6.40 5.06 167 60 Aaa/AAA/AAA 9/15/29
- ---------------------------------------------------------------------------------------------------------------------------------
A-7 241,800,000 Adjustable 1ML +[]% 2.50/2.31* 1.98* 212 95 Aaa/AAA/AAA 9/15/29
- ---------------------------------------------------------------------------------------------------------------------------------
M-1F 8,550,000 Fixed Mezz [TBD]% 5.98/5.46 4.55 130 61 Aa2/AA/AA 9/15/29
- ---------------------------------------------------------------------------------------------------------------------------------
M-2F 11,400,000 Fixed Mezz [TBD]% 5.89/5.46 4.47 119 62 A2/A/A 9/15/29
- ---------------------------------------------------------------------------------------------------------------------------------
B-1F 6,650,000 Fixed Sub [TBD]% 5.59/5.43 4.28 90 62 Baa3/BBB/BBB 9/15/29
- ---------------------------------------------------------------------------------------------------------------------------------
A-IO** Notional Fixed Strip 5.50% DLJ Sole Managed Aaa/AAAr/AAA 7/15/00
- ---------------------------------------------------------------------------------------------------------------------------------
M-1A 25,575,000 Adjustable 1ML +[]% 5.88/5.30* 4.34* 146 55 Aa2/AA/AA 9/15/29
Mezz
- ---------------------------------------------------------------------------------------------------------------------------------
M-2A 25,575,000 Adjustable 1ML +[]% 5.75/5.22* 4.25* 133 58 A2/A/A 9/15/29
Mezz
- ---------------------------------------------------------------------------------------------------------------------------------
B-1A 17,050,000 Adjustable Sub 1ML +[]% 5.54/5.19* 4.17* 108 59 Baa3/BBB/BBB 9/15/29
- ---------------------------------------------------------------------------------------------------------------------------------
Total 500,000,000
- ------------------------
</TABLE>
*To Call ** Certificate not being offered hereby.
Fixed Rate Certificates:
(1F) Classes A-1 through A-6, M-1F, M-2F, B-1F are collateralized by the fixed
rate loan pool ("Fixed Rate Group"). Class A-1 through A-5 sequential pay;
Class A-6 concurrent pay starting month 37; Class M-1F, M-2F and B-1F
concurrent pay starting in month 37 subject to subordination provisions,
certain credit enhancement requirements and trigger events.
(2F) Payable monthly starting 7/15/97. Fixed Pass Through Rates (30/360) with
accrued from 6/01/97.
(3F) Fixed Rate Group 100% of Prepayment Assumption (100% Prepayment Assumption:
4% CPR in month 1, and an additional 1.818% (precisely 20%/11) in each
month thereafter until month 12; on and thereafter, 24% CPR).
(4F) Class A-6 NAS allocation of senior principal distributions: 0% to month 36;
45% month 37 to month 60; 80% month 61 to month 72; 100% month 73 to month
84; and 300% thereafter.
(5F) Fixed rate classes priced to maturity.
Adjustable Rate Certificates:
(1A) Classes A-7, M-1A, M-2A, B-1A are collateralized by the adjustable rate
loan pool ("Adjustable Rate Group"). Class M-1A, M-2A and B-1A are
concurrent pay starting in month 37 subject to certain subordination
provisions, credit enhancement requirements and trigger events.
(2A) Payable monthly starting 7/15/97. Resets monthly to one month LIBOR
(Actual/360) settling flat. 1 month LIBOR is calculated from Telerate page
3750. After 10% Call Date, margin on Class A-7 [doubles] and margin on
Classes M-1A, M-2A and B-1A increases by [1.5] times. All coupon payments
subject to Available Funds Cap.
(3A) Adjustable Rate Group Prepayment Assumption: 25% CPR for life.
(4A) Adjustable rate classes priced to call.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 3
DLJ
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1997-B
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
SUMMARY TERMS
<TABLE>
<S> <C>
Underwriters: DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION (BOOKS)
Prudential Securities Inc.
Morgan Stanley Dean Witter & Co.
J.P. Morgan
NationsBanc Capital Markets Inc.
Sponsor & Servicer Aames Capital Corporation a wholly owned subsidiary
of Aames Financial Corporation. (NYSE - "AAM")
Trustee: Bankers Trust Company of California, N.A. (the "Trustee")
Registration: Certificates will be available in book-entry form
through DTC, Cedel & Euroclear
Cut-off Date: June [1], 1997
Pricing Date: June [__], 1997
Settlement Date: June [25], 1997
Distribution Dates: [15]th day of each month (or the next succeeding
business day), beginning July [15], 1997
Optional Termination: 10% optional clean-up call (each outstanding
mortgage pool balance is less than 10% of the
initial mortgage pool balance as of the Cut-off
Date).
Mortgage Loans and
Mortgage Loan Groups: Fixed and adjustable rate (closed-end) home equity
mortgage loans which are allocated to two separate
Fixed Rate and Adjustable Rate Loan Groups.
ERISA Eligibility: Subject to the considerations and conditions
described in the Prospectus Supplement, it is
expected that the Class A Certificates may be
purchased by employee benefit plans that are subject
to ERISA.
SMMEA Treatment: The Certificates WILL NOT constitute "mortgage
related securities" for purposes of SMMEA.
Taxation: REMIC Election.
Available
Funds Cap: The Adjustable Rate Certificates will be subject to
an Available Funds Cap equal to the weighted average
coupon rate on the adjustable rate home equity loans
less [1.00]% (comprised of a 0.50% servicing fee and
a 0.50% credit enhancement carve out).
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 4
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST 1997-B
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
Credit Enhancement for Fixed Rate Certificates
Senior Classes (Class A-1 through A-6)
1. Excess cash;
2. Overcollateralization initially building to [2.25]% of the Fixed
Rate Group's initial pool balance;
3. Subordination of mezzanine and subordinate classes: M-1F, M-2F,
B-1F, totaling [14.0]% of the initial pool balance.
Mezzanine and Subordinate Classes (Class M-1F, M-2F, B-1F)
1. Excess cash;
2. Class M-1F is further enhanced by [9.50]% in subordinate
certificates and O/C building to [2.25]% of initial pool balance;
3. Class M-2F is further enhanced by [3.50]% in subordinate
certificates and O/C building to [2.25]% of initial pool balance;
4. Class B-1F is further enhanced by O/C building to [2.25]% of
initial pool balance.
Expected Credit Enhancement Levels for Fixed Rate Certificates:
<TABLE>
<CAPTION>
Bond Rating Percent of Transaction
----------- ----------------------
<S> <C>
Aaa/AAA/AAA [86.0%]
Aa2/AA/AA+ [4.50%]
A2/A/A+ [6.00%]
Baa3/BBB/BBB [3.50%]
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 5
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST 1997-B
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
Credit Enhancement for Adjustable Rate Certificates
Senior Class (Class A-7)
1. Excess cash;
2. Overcollateralization initially building to [3.0]% of the
Adjustable Rate Group's initial pool balance;
3. Subordination of mezzanine and subordinate classes: M-1A, M-2A,
B-1A totaling [22.00]% of the original pool balance.
Mezzanine and Subordinate Classes (Class M-1A, M-2A, B-1A)
1. Excess cash;
2. Class M-1A is further enhanced by [13.75]% in subordinate
certificates and O/C building to [3.0]% of initial pool balance;
3. Class M-2A is further enhanced by [5.50]% in subordinate
certificates and O/C building to [3.0]% of initial pool balance;
4. Class B-1A is further enhanced by O/C building to [3.0]% of
initial pool balance.
Expected Credit Enhancement Levels for Adjustable
Rate Certificates:
<TABLE>
<CAPTION>
Bond Rating Percent of Transaction
----------- ----------------------
<S> <C>
Aaa/AAA/AAA [78.00]%
Aa2/AA/AA+ [8.25]%
A2/A/A+ [8.25]%
Baa3/BBB/BBB [5.50]%
</TABLE>
OVERCOLLATERALIZATION
1. Before the Step-down date (July 2000), overcollateralization initially
builds to [2.25]% (stepping down to 1.75% with respect to periods on and
after month 37) of the Fixed Rate Group's initial pool loan balance and to
[3.0]% of the Adjustable Rate Group's initial pool balance.
2. On or after the Step-down date, the Fixed Rate Group's required
overcollateralization is [3.50]% of the then current pool's outstanding
balance and the Adjustable Rate Group's required overcollateralization is
[6.0]% of the then current pool's outstanding balance.
3. Step-down overcollateralization is subject to a floor of 0.50% of initial
pool balance for each loan group.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 6
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST 1997-B
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
SUMMARY WATERFALL:
Interest Allocations: The total interest collections (net of
the Servicing Fee) from the Related Mortgage Loan
Groups shall be allocated to the Certificates of such
loan groups in the following priority to the extent
of amounts available:
(i) Current Interest and Overdue Interest on the
Class A(1) Certificates, pro-rata without any
priority;
(ii) Current Interest on the Class M-1(2)
Certificates;
(iii) Current Interest on the Class M-2(3)
Certificates;
(iv) Current Interest on the Class B-1(4)
Certificates;
(v) As accelerated distribution of principal on the
Class A Certificates, Class M-1 Certificates,
Class M-2 Certificates, and Class B-1
Certificates in such priority as required to
reach and maintain the targeted
overcollateralization amount;
(vi) Overdue Interest, to the extent there is any due
to the Class M-1 Certificates;
(vii) Reimbursement of Realized Loss Amount, to the
extent there is any, to the Class M-1
Certificates;
(viii) Overdue Interest, to the extent there is any due
to the Class M-2 Certificates;
(ix) Reimbursement of Realized Loss Amount, to the
extent there is any, to the Class M-2
Certificates;
(x) Overdue Interest, to the extent there is any due
to the Class B-1 Certificates;
(xi) Reimbursement of Realized Loss Amount, to the
extent there is any, to the Class B-1
Certificates;
(xii) [Servicer advancing reimbursement]; and
(xiii) Remaining amounts to the owner of the Class
C-IO/R Certificates (not being offered hereby).
Principal Allocations: Principal collections from the Related Mortgage Loan
Groups shall be allocated to the Certificates of such
loan groups in the following priority to the extent
of amounts available: For periods prior to the
Step-Down Date (on or after July 2000) or upon a
Trigger Event:
(i) To the Class A-7 Adjustable Rate Certificates:
First: to the Class A-7 Adjustable Rate
Certificates, 100% of the Principal Distribution
Amount;
---------------------------
(1) Class A Certificates refer to the Class A
Fixed Rate Certificates (A-1 to A-6, A-IO)
and to the Class A-7 Adjustable Rate
Certificates.
(2) Class M-1 Certificates refer to the Class
M-1F Fixed Rate Certificates and to the
Class M-1A Adjustable Rate Certificates.
(3) Class M-2 Certificates refer to the Class
M-2F Fixed Rate Certificates and to the
Class M-2A Adjustable Rate Certificates.
(4) Class B-1 Certificates refer to the Class
B-1F Fixed Rate Certificates and to the
Class B-1A Adjustable Rate Certificates.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 7
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST 1997-B
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
SUMMARY WATERFALL CONTINUED:
To the Class A Fixed Rate Certificates:
First: to the Class A-6 Fixed Rate Certificates,
according to the following Lockout Percentage Table,
the applicable percentage of the Class A Principal
Distribution Amount:
<TABLE>
<S> <C>
July 1997 -- June 2000 0%
July 2000 -- June 2002 45%
July 2002 -- June 2003 80%
July 2003 -- June 2004 100%
July 2004 -- to maturity 300%
</TABLE>
Second: to the Class A-1 to A-6 Certificates
sequentially, the remaining Class A Principal
Distribution Amount after clause First above until
such Certificate principal balances are equal to
zero;
(ii) To the Class M-1(2) Certificates, all principal
collections until such Class is equal to zero;
(iii) To the Class M-2(3) Certificates, all principal
collections until such Class is equal to zero,
and
(iv) To the Class B-1(4) Certificates, all principal
collections until such Class is equal to zero;
For periods on and after the Step-Down Date and in
which no Trigger Event is in effect, principal from
the Related Mortgage Loan Groups shall be allocated
to the Certificates of such loan groups in the
following priority to the extent of amounts
available:
(i) To the Class A(1) Certificates the applicable
Class A Principal Distribution Amount,
(ii) To the Class M-1(2) Certificates, the lesser of
(a) the remaining Principal Distribution Amount
and (b) the Class M-1 Principal Distribution
Amount (an amount required to maintain 2 times
initial credit support);
(iii) To the Class M-2(3) Certificates, the lesser of
(a) the remaining Principal Distribution Amount
and (b) the Class M-2 Principal Distribution
Amount (an amount required to maintain 2 times
initial credit support);
(iv) To the Class B-1(4) Certificates, the lesser of
(a) the remaining Principal Distribution Amount
and (b) the Class B-1 Principal Distribution
Amount (an amount required to maintain 2 times
initial credit support); and
(v) Any remaining amounts shall be paid to the Class
C-IO/R Certificate (not being offered hereby)
O/C Floor: Upon reaching the overcollateralization floor and so
long as the credit enhancement levels for each class
have been met, (generally 50bp times the initial
principal balance of each mortgage pool) excess
principal collection associated with the
overcollateralization shall be paid in reverse
sequential order to the respective Certificate Group
(i.e. to the Class B-1, M-2, M-1, and A until each
prior certificate balance has been reduced to zero).
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 8
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST 1997-B
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
Loss Allocations: Losses shall be allocated in the following priority
to each Certificate Group respectively and
separately:
(i) as a reduction to the Overcollateralization
Amount;
(ii) as a reduction to the Class B-1 Certificate
Balance;
(iii) as a reduction to the Class M-2 Certificate
Balance;
(iv) as a reduction to the Class M-1 Certificate
Balance.
TARGETED CREDIT ENHANCEMENT:
FIXED RATE CERTIFICATES
<TABLE>
<CAPTION>
Targeted Percent of Pool Target Credit Enhancement
(as a % of Outstanding Pool Balance) (as a % of Outstanding Pool Balance)
------------------------------------ ------------------------------------
<S> <C> <C>
Class A [68.50%] [31.5%]
Class M-1 [9.00%] [22.5%]
Class M-2 [12.00%] [10.5%]
Class B-1 [7.00%] [3.50%]
Overcollateralization [3.50%]
----
100%
</TABLE>
ADJUSTABLE RATE CERTIFICATES
<TABLE>
<CAPTION>
Targeted Percent of Pool Target Credit Enhancement
(as a % of Outstanding Pool Balance) (as a % of Outstanding Pool Balance)
------------------------------------ ------------------------------------
<S> <C> <C>
Class A [50.0%] [50.0%]
Class M-1 [16.50%] [33.50%]
Class M-2 [16.50%] [17.0%]
Class B-1 [11.0%] [6.0%]
Overcollateralization [6.0%]
---
100%
</TABLE>
STEP-DOWN DATE
Step-down date occurs the later of the following:
a) three years or
b) when credit enhancement reaches its Target Level (described above) and
TRIGGER EVENTS
Trigger Events are to be finalized with the 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 priority of periodic principal payments.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 9
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST 1997-B
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
Bond Summary:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 8.82 1.64 1.21 0.98 0.83 0.73 0.60
Modified Duration (yrs) 6.15 1.49 1.12 0.91 0.78 0.69 0.57
First Principal Payment Date 7/97 7/97 7/97 7/97 7/97 7/97 7/97
Last Principal Payment Date 5/12 11/00 11/99 4/99 1/99 10/98 7/98
Payment Window (mos.) 179 41 29 22 19 16 13
Yield @ 100 6.354 6.229 6.174 6.125 6.080 6.039 5.965
Class A-2 (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 16.48 3.76 2.57 2.00 1.64 1.40 1.10
Modified Duration (yrs) 9.81 3.23 2.29 1.82 1.51 1.30 1.03
First Principal Payment Date 5/12 11/00 11/99 4/99 1/99 10/98 7/98
Last Principal Payment Date 6/15 8/01 4/00 8/99 3/99 12/98 8/98
Payment Window (mos.) 38 10 6 5 3 3 2
Yield @ 100 6.573 6.521 6.489 6.460 6.431 6.404 6.353
Class A-3 (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 23.12 6.53 4.11 3.00 2.30 1.93 1.46
Modified Duration (yrs) 11.40 5.05 3.46 2.62 2.06 1.75 1.35
First Principal Payment Date 6/15 8/01 4/00 8/99 3/99 12/98 8/98
Last Principal Payment Date 6/24 6/08 10/03 11/01 5/00 11/99 4/99
Payment Window (mos.) 109 83 43 28 15 12 9
Yield @ 100 6.741 6.712 6.689 6.665 6.638 6.616 6.572
Class A-4 (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.61 12.47 8.00 5.02 3.60 2.58 1.91
Modified Duration (yrs) 11.95 8.08 5.92 4.10 3.08 2.28 1.73
First Principal Payment Date 6/24 6/08 10/03 11/01 5/00 11/99 4/99
Last Principal Payment Date 9/25 8/11 6/07 4/03 9/01 3/00 7/99
Payment Window (mos.) 16 39 45 18 17 5 4
Yield @ 100 6.998 6.987 6.975 6.955 6.933 6.903 6.865
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 10
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-5 (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.09 18.75 13.85 9.99 6.59 3.54 2.20
Modified Duration (yrs) 11.69 9.76 8.32 6.70 4.90 3.00 1.96
First Principal Payment Date 9/25 8/11 6/07 4/03 9/01 3/00 7/99
Last Principal Payment Date 4/27 11/24 8/19 9/14 6/11 6/02 11/99
Payment Window (mos.) 20 160 147 138 118 28 5
Yield @ 100 7.388 7.383 7.378 7.370 7.354 7.317 7.267
Class A-6 (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 12.03 7.58 6.91 6.59 6.51 6.45 3.12
Modified Duration (yrs) 7.65 5.60 5.23 5.06 5.01 4.97 2.67
First Principal Payment Date 10/00 7/00 7/00 9/00 1/01 5/01 11/99
Last Principal Payment Date 2/27 2/24 10/18 4/14 3/11 1/09 9/05
Payment Window (mos.) 317 284 220 167 123 93 71
Yield @ 100 6.985 6.973 6.969 6.967 6.967 6.966 6.920
Class A-7 (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.50% 18.75% 25.00% 31.25% 37.50% 50.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 19.84 5.13 3.46 2.50 1.79 1.13 0.78
Modified Duration (yrs) 10.66 3.75 2.73 2.08 1.55 1.04 0.73
First Principal Payment Date 7/97 7/97 7/97 7/97 7/97 7/97 7/97
Last Principal Payment Date 5/27 5/25 5/20 2/15 4/11 6/00 6/99
Payment Window (mos.) 359 335 275 212 166 36 24
Yield @ 100 6.070 6.076 6.080 6.082 6.085 6.073 6.075
Class M-1F (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 25.01 10.79 7.75 5.98 5.00 4.55 5.26
Modified Duration (yrs) 11.26 6.96 5.53 4.55 3.98 3.71 4.23
First Principal Payment Date 5/15 7/02 1/01 8/00 10/00 1/01 10/01
Last Principal Payment Date 2/27 5/21 3/15 5/11 8/08 8/06 2/04
Payment Window (mos.) 142 227 171 130 95 68 29
Yield @ 100 7.192 7.176 7.166 7.155 7.147 7.142 7.151
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 11
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Class M-1A (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.50% 18.75% 25.00% 31.25% 37.50% 50.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.33 11.45 7.77 5.88 5.34 6.21 2.28
Modified Duration (yrs) 12.89 7.60 5.73 4.64 4.37 4.95 2.07
First Principal Payment Date 9/21 7/02 10/00 11/00 5/01 6/00 6/99
Last Principal Payment Date 4/27 12/23 12/17 12/12 7/09 8/08 1/00
Payment Window (mos.) 68 258 207 146 99 99 8
Yield @ 100 6.215 6.222 6.226 6.228 6.228 6.253 6.215
Class M-2F (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 25.00 10.66 7.65 5.89 4.87 4.31 4.04
Modified Duration (yrs) 11.00 6.84 5.44 4.47 3.87 3.52 3.37
First Principal Payment Date 5/15 7/02 1/01 7/00 8/00 9/00 12/00
Last Principal Payment Date 1/27 11/19 10/13 5/10 10/07 12/05 7/03
Payment Window (mos.) 141 209 154 119 87 64 32
Yield @ 100 7.448 7.432 7.421 7.410 7.400 7.393 7.389
Class M-2A (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.50% 18.75% 25.00% 31.25% 37.50% 50.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.33 11.39 7.70 5.75 4.83 4.55 4.07
Modified Duration (yrs) 12.62 7.50 5.66 4.53 3.97 3.82 3.44
First Principal Payment Date 9/21 7/02 10/00 8/00 10/00 1/01 1/00
Last Principal Payment Date 3/27 9/22 5/16 8/11 7/08 4/06 2/05
Payment Window (mos.) 67 243 188 133 94 64 62
Yield @ 100 6.424 6.433 6.439 6.442 6.443 6.441 6.489
Class B-1F (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 24.91 10.16 7.29 5.59 4.59 4.01 3.49
Modified Duration (yrs) 10.68 6.60 5.24 4.28 3.68 3.30 2.95
First Principal Payment Date 5/15 7/02 1/01 7/00 7/00 8/00 8/00
Last Principal Payment Date 9/26 12/15 1/11 12/07 11/05 5/04 5/02
Payment Window (mos.) 137 162 121 90 65 46 22
Yield @ 100 7.766 7.748 7.737 7.724 7.713 7.703 7.693
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 12
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Class B-1A (to Maturity)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.50% 18.75% 25.00% 31.25% 37.50% 50.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.31 11.13 7.47 5.54 4.53 4.01 3.85
Modified Duration (yrs) 12.07 7.25 5.47 4.35 3.72 3.38 3.28
First Principal Payment Date 9/21 7/02 10/00 7/00 8/00 8/00 10/00
Last Principal Payment Date 1/27 1/20 8/13 6/09 10/06 12/04 7/02
Payment Window (mos.) 65 211 155 108 75 53 22
Yield @ 100 6.872 6.884 6.891 6.894 6.897 6.897 6.939
Class A-5 (to Call)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 28.38 14.54 10.60 7.58 5.42 3.54 2.20
Modified Duration (yrs) 11.60 8.67 7.14 5.62 4.31 3.00 1.96
First Principal Payment Date 9/25 8/11 6/07 4/03 9/01 3/00 7/99
Last Principal Payment Date 11/25 1/12 2/08 8/05 12/03 6/02 11/99
Payment Window (mos.) 3 6 9 29 28 28 5
Yield @ 100 7.387 7.379 7.372 7.361 7.346 7.317 7.267
Class A-6 (to Call)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 12.03 7.57 6.86 6.40 5.76 5.12 2.78
Modified Duration (yrs) 7.65 5.59 5.21 4.96 4.58 4.17 2.45
First Principal Payment Date 10/00 7/00 7/00 9/00 1/01 5/01 11/99
Last Principal Payment Date 11/25 1/12 2/08 8/05 12/03 10/02 4/01
Payment Window (mos.) 302 139 92 60 36 18 18
Yield @ 100 6.985 6.972 6.969 6.966 6.962 6.956 6.911
Class A-7 (to Call)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.50% 18.75% 25.00% 31.25% 37.50% 50.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 19.81 4.82 3.20 2.31 1.64 1.13 0.78
Modified Duration (yrs) 10.65 3.65 2.62 1.98 1.46 1.04 0.73
First Principal Payment Date 7/97 7/97 7/97 7/97 7/97 7/97 7/97
Last Principal Payment Date 6/26 5/13 3/08 5/05 7/03 6/00 6/99
Payment Window (mos.) 348 191 129 95 73 36 24
Yield @ 100 6.069 6.070 6.070 6.071 6.071 6.073 6.075
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 13
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Class M-1F (to Call)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 24.86 9.96 7.12 5.46 4.59 4.20 3.81
Modified Duration (yrs) 11.24 6.73 5.29 4.30 3.75 3.50 3.22
First Principal Payment Date 5/15 7/02 1/01 8/00 10/00 1/01 4/01
Last Principal Payment Date 11/25 1/12 2/08 8/05 12/03 10/02 4/01
Payment Window (mos.) 127 115 86 61 39 22 1
Yield @ 100 7.192 7.175 7.164 7.152 7.143 7.137 7.131
Class M-1A (to Call)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.50% 18.75% 25.00% 31.25% 37.50% 50.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.25 10.52 7.00 5.30 4.88 4.68 2.28
Modified Duration (yrs) 12.88 7.32 5.41 4.34 4.09 3.95 2.07
First Principal Payment Date 9/21 7/02 10/00 11/00 5/01 6/00 6/99
Last Principal Payment Date 6/26 5/13 3/08 5/05 7/03 5/02 1/00
Payment Window (mos.) 58 131 90 55 27 24 8
Yield @ 100 6.215 6.215 6.215 6.216 6.215 6.213 6.215
Class M-2F (to Call)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 24.86 9.96 7.12 5.46 4.52 4.02 3.73
Modified Duration (yrs) 10.99 6.65 5.23 4.26 3.67 3.34 3.15
First Principal Payment Date 5/15 7/02 1/01 7/00 8/00 9/00 12/00
Last Principal Payment Date 11/25 1/12 2/08 8/05 12/03 10/02 4/01
Payment Window (mos.) 127 115 86 62 41 26 5
Yield @ 100 7.448 7.431 7.419 7.407 7.396 7.388 7.383
Class M-2A (to Call)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.50% 18.75% 25.00% 31.25% 37.50% 50.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.25 10.52 7.00 5.22 4.41 4.23 3.03
Modified Duration (yrs) 12.61 7.24 5.36 4.25 3.72 3.60 2.68
First Principal Payment Date 9/21 7/02 10/00 8/00 10/00 1/01 1/00
Last Principal Payment Date 6/26 5/13 3/08 5/05 7/03 5/02 10/00
Payment Window (mos.) 58 131 90 58 34 17 10
Yield @ 100 6.423 6.423 6.424 6.424 6.424 6.424 6.426
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 14
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Class B-1F (to Call)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 24.85 9.92 7.09 5.43 4.46 3.90 3.41
Modified Duration (yrs) 10.68 6.53 5.16 4.20 3.60 3.23 2.90
First Principal Payment Date 5/15 7/02 1/01 7/00 7/00 8/00 8/00
Last Principal Payment Date 11/25 1/12 2/08 8/05 12/03 10/02 4/01
Payment Window (mos.) 127 115 86 62 42 27 9
Yield @ 100 7.766 7.748 7.736 7.723 7.711 7.701 7.691
Class B-1A (to Call)
- ----------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150% 200%
Implied Seasoned CPR 0.00% 12.50% 18.75% 25.00% 31.25% 37.50% 50.00%
- ----------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.25 10.52 7.00 5.19 4.25 3.79 3.31
Modified Duration (yrs) 12.06 7.07 5.27 4.17 3.55 3.23 2.87
First Principal Payment Date 9/21 7/02 10/00 7/00 8/00 8/00 10/00
Last Principal Payment Date 6/26 5/13 3/08 5/05 7/03 5/02 10/00
Payment Window (mos.) 58 131 90 59 36 22 1
Yield @ 100 6.872 6.872 6.872 6.872 6.873 6.874 6.875
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 15
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
AVAILABLE FUNDS CAP*
<TABLE>
<CAPTION>
PERIOD AVAILABLE FUNDS CAP PERIOD AVAILABLE FUNDS CAP PERIOD AVAILABLE FUNDS CAP
------ ------------------- ------ ------------------- ------ -------------------
<S> <C> <C> <C> <C> <C>
2 8.720% 27 12.851% 52 16.467%
3 8.752% 28 13.368% 53 15.966%
4 9.071% 29 13.157% 54 16.530%
5 8.865% 30 13.817% 55 16.020%
6 9.257% 31 13.616% 56 16.020%
7 9.055% 32 13.937% 57 17.736%
8 9.388% 33 15.001% 58 16.020%
9 10.472% 34 14.161% 59 16.554%
10 9.530% 35 14.830% 60 16.020%
11 9.976% 36 14.519% 61 16.554%
12 9.731% 37 15.190% 62 16.020%
13 10.157% 38 14.895% 63 16.020%
14 10.072% 39 14.947% 64 16.554%
15 10.112% 40 15.515% 65 16.020%
16 10.501% 41 15.160% 66 16.554%
17 10.254% 42 15.803% 67 16.020%
18 10.735% 43 15.424% 68 16.020%
19 10.526% 44 15.565% 69 17.737%
20 10.814% 45 17.273% 70 16.020%
21 12.124% 46 15.649% 71 16.554%
22 11.152% 47 16.278% 72 16.020%
23 11.865% 48 15.824% 73 16.554%
24 11.817% 49 16.379% 74 16.020%
25 12.603% 50 15.879% 75 16.020%
26 12.778% 51 15.907% 76 16.554%
</TABLE>
* Achieved assuming 6 month LIBOR, 1 month LIBOR and 1 Year CMT increase to a
level beyond the highest maximum obtainable rate on the underlying adjustable
rate mortgage loans (beginning month 2).
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 16
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
AVAILABLE FUNDS CAP*
<TABLE>
PERIOD AVAILABLE FUNDS CAP PERIOD AVAILABLE FUNDS CAP PERIOD AVAILABLE FUNDS CAP
------ ------------------- ------ ------------------- ------ -------------------
<S> <C> <C> <C> <C> <C>
77 16.020% 102 16.555% 127 16.862%
78 16.554% 103 16.021% 128 16.912%
79 16.020% 104 16.035% 129 18.134%
80 16.020% 105 17.782% 130 17.018%
81 17.125% 106 16.087% 131 17.642%
82 16.020% 107 16.652% 132 17.130%
83 16.554% 108 16.142% 133 17.762%
84 16.020% 109 16.710% 134 17.250%
85 16.555% 110 16.201% 135 17.313%
86 16.021% 111 16.231% 136 17.957%
87 16.021% 112 16.805% 137 17.445%
88 16.555% 113 16.295% 138 18.098%
89 16.021% 114 16.872% 139 17.585%
90 16.555% 115 16.362% 140 17.660%
91 16.021% 116 16.397%
92 16.021% 117 18.194%
93 17.737% 118 16.471%
94 16.021% 119 17.060%
95 16.555% 120 16.549%
96 16.021% 121 17.143%
97 16.555% 122 16.632%
98 16.021% 123 16.675%
99 16.021% 124 17.277%
100 16.555% 125 16.765%
101 16.021% 126 17.373%
</TABLE>
* Achieved assuming 6 month LIBOR, 1 month LIBOR and 1 Year CMT increase to a
level beyond the highest maximum obtainable rate on the underlying adjustable
rate mortgage loans (beginning month 2).
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 17
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
COLLATERAL SUMMARY - FIXED RATE HOME EQUITY LOAN CHARACTERISTICS AS OF 6/1/97
<TABLE>
<S> <C> <C> <C> <C>
Total Number of Loans 2,828
Total Outstanding Loan Balance $ 168,822.138.94
Balloon (% of Total) 4.34%
Level Pay (% of Total) 95.66% MIN MAX
----------------------------------------
Average Loan Original Balance $ 59,792.64 $ 10,000.00 $ 464,000.00
Average Loan Current Balance $ 59,696.65 $ 9,811.62 $ 463,783.52
Weighted Average Combined LTV 68.27% 2.50% 90.80%
Weighted Average Coupon 10.55% 7.50% 18.00%
Weighted Average Remaining Term to 297.1 57 360
Maturity (months)
Weighted Average Seasoning (months) 1.1 0 62
Weighted Average Original Term (months) 298.2 60 360
Range of Original Terms Level Pay 100.00% Balloons 100%
---------------------------------- ----------------------------------------
0+ to 60 0.39% 0+ to 60 0.64%
60+ to 120 2.66% 60+ to 120 1.24%
120+ to 180 25.09% 120+ to 180 81.49%
180+ to 240 2.64% 180+ to 240 16.63%
240+ to 300 0.52%
300+ to 360 68.70%
Lien Position
1st Lien 90.53%
2nd Lien 9.44%
3rd Lien 0.03%
Property Type
Single Family 89.87%
Multi Family 7.33%
Condo 2.80%
Occupancy Status
Owner Occupied 94.19%
Non-Owner Occupied 5.81%
Geographic Concentration
(states not listed individually account for CA 22.16% CO 5.24%
Less than 4% of the pool balance) FL 10.57% OR 4.46%
WA 7.07% OH 4.38%
Credit Quality (per Aames' underwriting guidelines)
A 15.31% C 9.98%
A- 43.60% C- 2.72%
B 23.72% D 4.67%
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 18
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
DETAILED COLLATERAL SUMMARY - FIXED RATE HOME EQUITY LOAN CHARACTERISTICS
AS OF 6/1/97
<TABLE>
<CAPTION>
LOAN COUNT LOAN BALANCE PERCENT OF TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Current Balance 0.00+ to 50,000.00 1,497 45,951,803.53 27.22
50,000.00+ to 100,000.00 959 68,115,062.01 40.35
100,000.00+ to 150,000.00 258 30,841,776.85 18.27
150,000.00+ to 200,000.00 70 12,175,712.27 7.21
200,000.00+ to 250,000.00 23 5,238,269.79 3.10
250,000.00+ to 300,000.00 11 3,018,615.07 1.79
300,000.00+ to 350,000.00 8 2,645,615.90 1.57
350,000.00+ to 400,000.00 1 371,500.00 0.22
450,000.00+ to 500,000.00 1 463,783.52 0.27
----------------------------------------------------------------------------------------------------
TOTAL 2,828 168,822,138.94 100.00
Original Balance 0.00+ to 50,000.00 1,496 45,916,409.24 27.20
50,000.00+ to 100,000.00 958 68,015,091.86 40.29
100,000.00+ to 150,000.00 260 30,977,141.29 18.35
150,000.00+ to 200,000.00 70 12,175,712.27 7.21
200,000.00+ to 250,000.00 23 5,238,269.79 3.10
250,000.00+ to 300,000.00 11 3,018,615.07 1.79
300,000.00+ to 350,000.00 8 2,645,615.90 1.57
350,000.00+ to 400,000.00 1 371,500.00 0.22
450,000.00+ to 500,000.00 1 463,783.52 0.27
----------------------------------------------------------------------------------------------------
TOTAL 2,828 168,822,138.94 100.00
Interest Rate (Gross) 7.000+ to 7.500 3 280,791.40 0.17
7.500+ to 8.000 25 1,950,250.52 1.16
8.000+ to 8.500 111 8,163,890.17 4.84
8.500+ to 9.000 195 16,322,392.42 9.67
9.000+ to 9.500 291 20,246,608.30 11.99
9.500+ to 10.000 342 25,926,543.95 15.36
10.000+ to 10.500 427 24,828,082.28 14.71
10.500+ to 11.000 356 20,902,551.04 12.38
11.000+ to 11.500 261 12,872,378.39 7.62
11.500+ to 12.000 252 12,596,259.97 7.46
12.000+ to 12.500 155 6,735,660.14 3.99
12.500+ to 13.000 145 7,155,660.35 4.24
13.000+ to 13.500 73 3,291,134.74 1.95
13.500+ to 14.000 70 2,652,091.39 1.57
14.000+ to 14.500 49 1,664,141.12 0.99
14.500+ to 15.000 37 1,401,604.77 0.83
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 19
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
DETAILED COLLATERAL SUMMARY - FIXED RATE HOME EQUITY LOAN CHARACTERISTICS
AS OF 6/1/97
<TABLE>
<CAPTION>
LOAN COUNT LOAN BALANCE PERCENT OF TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Interest Rate (Gross) 15.000+ to 15.500 18 918,459.01 0.54
(cont'd) 15.500+ to 16.000 9 525,827.22 0.31
16.000+ to 16.500 5 229,825.52 0.14
16.500+ to 17.000 2 74,086.24 0.04
17.000+ to 17.500 1 35,100.00 0.02
17.500+ to 18.000 1 48,800.00 0.03
----------------------------------------------------------------------------------------------------
TOTAL 2,828 168,822,138.94 100.00
Combined LTV 0.0+ to 5.0 1 25,000.00 0.01
5.0+ to 10.0 5 80,780.40 0.05
10.0+ to 15.0 17 399,725.73 0.24
15.0+ to 20.0 37 942,026.73 0.56
20.0+ to 25.0 30 938,876.02 0.56
25.0+ to 30.0 43 1,335,648.67 0.79
30.0+ to 35.0 72 2,920,194.81 1.73
35.0+ to 40.0 64 2,754,190.62 1.63
40.0+ to 45.0 101 4,449,203.79 2.64
45.0+ to 50.0 104 4,670,057.92 2.77
50.0+ to 55.0 151 7,397,951.57 4.38
55.0+ to 60.0 205 11,684,708.90 6.92
60.0+ to 65.0 360 18,945,047.91 11.22
65.0+ to 70.0 430 24,891,916.26 14.74
70.0+ to 75.0 658 40,018,631.33 23.70
75.0+ to 80.0 348 29,036,332.14 17.20
80.0+ to 85.0 162 14,621,876.86 8.66
85.0+ to 90.0 39 3,605,469.28 2.14
90.0+ to 95.0 1 104,500.00 0.06
----------------------------------------------------------------------------------------------------
TOTAL 2,828 168,822,138.94 100.00
State AR 4 195,287.49 0.12
AZ 109 5,910,777.39 3.50
CA 483 37,414,966.52 22.16
CO 135 8,840,135.50 5.24
CT 16 1,169,190.94 0.69
DC 4 314,394.76 0.19
DE 1 38,300.00 0.02
State (cont'd) FL 325 17,842,365.56 10.57
GA 58 2,754,429.74 1.63
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 20
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
DETAILED COLLATERAL SUMMARY - FIXED RATE HOME EQUITY LOAN CHARACTERISTICS
AS OF 6/1/97
<TABLE>
<CAPTION>
LOAN COUNT LOAN BALANCE PERCENT OF TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
HI 28 4,733,779.38 2.80
IA 2 130,864.86 0.08
ID 18 1,206,863.19 0.71
IL 118 5,796,983.97 3.43
IN 118 5,129,539.17 3.04
KY 8 419,006.64 0.25
LA 29 1,292,708.03 0.77
MA 13 1,103,994.32 0.65
MD 72 4,211,522.05 2.49
ME 1 29,926.09 0.02
MI 110 4,477,058.23 2.65
MN 28 1,146,395.43 0.68
MO 62 2,282,096.32 1.35
MS 9 260,865.21 0.15
MT 7 546,229.64 0.32
NC 17 843,048.94 0.50
NE 4 234,446.33 0.14
NH 2 217,115.11 0.13
NJ 68 4,712,434.88 2.79
NM 19 1,134,055.95 0.67
NV 42 2,501,107.02 1.48
NY 66 6,059,367.16 3.59
OH 175 7,388,520.99 4.38
OK 9 396,200.75 0.23
OR 112 7,532,356.69 4.46
PA 150 6,340,747.07 3.76
RI 4 324,583.07 0.19
SC 18 719,428.48 0.43
SD 1 20,050.00 0.01
TN 24 1,188,180.90 0.70
TX 20 1,265,915.21 0.75
UT 98 6,270,626.53 3.71
VA 40 2,066,239.74 1.22
VT 2 96,860.01 0.06
WA 192 11,943,160.84 7.07
State (cont'd) WI 4 156,821.79 0.09
WY 3 163,191.05 0.10
----------------------------------------------------------------------------------------------------
TOTAL 2,828 168,822,138.94 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 21
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
DETAILED COLLATERAL SUMMARY - FIXED RATE HOME EQUITY LOAN CHARACTERISTICS
AS OF 6/1/97
<TABLE>
<CAPTION>
LOAN COUNT LOAN BALANCE PERCENT OF TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Product Type Balloon 113 7,333,920.82 4.34
Fully Amortizing 2,715 161,488,218.12 95.66
----------------------------------------------------------------------------------------------------
TOTAL 2,828 168,822,138.94 100.00
Original Term 0+ to 60 35 677,226.57 0.40
60+ to 120 157 4,393,109.07 2.60
120+ to 180 1,077 46,487,554.78 27.54
180+ to 240 93 5,482,249.86 3.25
240+ to 300 9 831,975.92 0.49
300+ to 360 1,457 110,950,022.74 65.72
----------------------------------------------------------------------------------------------------
TOTAL 2,828 168,822,138.94 100.00
Remaining Term 0+ to 60 36 732,909.69 0.43
60+ to 120 157 4,371,713.15 2.59
120+ to 180 1,084 47,002,824.30 27.84
180+ to 240 85 4,932,693.14 2.92
240+ to 300 9 831,975.92 0.49
300+ to 360 1,457 110,950,022.74 65.72
----------------------------------------------------------------------------------------------------
TOTAL 2,828 168,822,138.94 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 22
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
COLLATERAL SUMMARY - ADJUSTABLE RATE HOME EQUITY LOAN CHARACTERISTICS
AS OF 6/1/97
<TABLE>
<S> <C> <C> <C> <C> <C>
Total Number of Loans 2,737
Total Outstanding Loan Balance $ 275,325,703.42
Balloon (% of Total) 0.09%
Level Pay (% of Total) 99.91%
Adjustable (% of Total) 100.00%
Arm Adjustment Type: "2/28" "6 Mo." "12 Mo."
------ ----- -------
55.79% 36.72% 7.49%
MIN MAX
--------------------------------------
Average Loan Original Balance $ 100,702.28 $ 10,500.00 $ 600,000.00
Average Loan Current Balance $ 100,593.97 $ 10,495.35 $ 600,000.00
Weighted Average Combined LTV 73.78% 6.20% 95.00%
Weighted Average Coupon 9.95% 5.49% 15.47%
Weighted Average Gross Margin 6.29% 2.88% 15.00%
Weighted Average Gross Life Cap 16.56% 10.13% 22.47%
Weighted Average Minimum Rate 9.72% 4.00% 15.47%
Weighted Average Periodic Cap 1.31% 0.50% 3.00%
Weighted Average First Adj. Cap 2.14% 1.00% 7.00%
Weighted Average Remaining Term to 356.7 178 360
Maturity (months)
Weighted Average Seasoning (months) 2.0 0 45
Weighted Average Original Term (months) 358.7 180 360
Range of Original Terms Level Pay 100.00% Balloons 100.00%
----------------------------------- --------------------------------------
120+ to 180 0.60% 180 100.00%
180+ to 240 0.02%
300+ to 360 99.38%
Index
6 Mo. LIBOR 92.51%
1 Yr. Treasury 7.49%
Lien Position
1st Lien 100.00%
Property Type
Single Family 91.41%
Multi Family 4.74%
Condo 3.85%
Occupancy Status
Owner Occupied 95.93%
Non-Owner Occupied 4.07%
Geographic Concentration
(states not listed individually account for CA 20.11% CO 5.65%
Less than 4% of the pool balance) UT 6.84% GA 5.01%
WA 6.17% IL 4.91%
FL 5.81%
Credit Quality (per Aames' underwriting guidelines)
A 0.62% C 10.86%
A- 47.71% C- 3.26%
B 27.99% D 9.55%
B- 0.01%
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 23
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
DETAILED COLLATERAL SUMMARY - ADJUSTABLE RATE HOME EQUITY LOAN CHARACTERISTICS
AS OF 6/1/97
<TABLE>
<CAPTION>
LOAN COUNT LOAN BALANCE PERCENT OF TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Current Balance 0.00+ To 50,000.00 553 20,449,274.85 7.43
50,000.00+ To 100,000.00 1,190 88,122,997.15 32.01
100,000.00+ To 150,000.00 568 68,694,266.67 24.95
150,000.00+ To 200,000.00 210 36,517,831.22 13.26
200,000.00+ To 250,000.00 99 22,027,907.69 8.00
250,000.00+ to 300,000.00 48 13,314,495.37 4.84
300,000.00+ to 350,000.00 30 9,577,915.10 3.48
350,000.00+ to 400,000.00 20 7,588,422.85 2.76
400,000.00+ to 450,000.00 9 3,892,279.32 1.41
450,000.00+ to 500,000.00 6 2,858,642.07 1.04
500,000.00+ to 550,000.00 1 548,605.83 0.20
550,000.00+ to 600,000.00 3 1,733,065.30 0.63
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
Original Balance 0.00+ to 50,000.00 552 20,416,378.46 7.42
50,000.00+ to 100,000.00 1,191 88,155,893.54 32.02
100,000.00+ to 150,000.00 568 68,694,266.67 24.95
150,000.00+ to 200,000.00 209 36,317,934.09 13.19
200,000.00+ to 250,000.00 100 22,227,804.82 8.07
250,000.00+ to 300,000.00 48 13,314,495.37 4.84
300,000.00+ to 350,000.00 30 9,577,915.10 3.48
350,000.00+ to 400,000.00 20 7,588,422.85 2.76
400,000.00+ to 450,000.00 9 3,892,279.32 1.41
450,000.00+ to 500,000.00 6 2,858,642.07 1.04
500,000.00+ to 550,000.00 1 548,605.83 0.20
550,000.00+ to 600,000.00 3 1,733,065.30 0.63
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
Interest Rate (Gross) 5.000+ to 5.500 1 113,200.00 0.04
5.500+ to 6.000 5 365,800.00 0.13
6.000+ to 6.500 4 423,550.00 0.15
6.500+ to 7.000 17 2,052,743.89 0.75
7.000+ to 7.500 49 5,783,725.12 2.10
7.500+ to 8.000 97 11,112,568.92 4.04
Interest Rate (Gross) 8.000+ to 8.500 173 21,886,857.39 7.95
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 24
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
DETAILED COLLATERAL SUMMARY -
ADJUSTABLE RATE HOME EQUITY LOAN CHARACTERISTICS AS OF 6/1/97
<TABLE>
<CAPTION>
LOAN COUNT LOAN BALANCE PERCENT OF TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
(cont'd) 8.500+ to 9.000 331 41,113,960.72 14.93
9.000+ to 9.500 312 34,615,943.66 12.57
9.500+ to 10.000 441 45,901,513.44 16.67
10.000+ to 10.500 317 30,830,146.67 11.20
10.500+ to 11.000 268 26,537,574.29 9.64
11.000+ to 11.500 180 15,725,535.19 5.71
11.500+ to 12.000 133 10,171,499.24 3.69
12.000+ to 12.500 133 9,237,762.94 3.36
12.500+ to 13.000 116 8,654,636.54 3.14
13.000+ to 13.500 61 3,882,839.69 1.41
13.500+ to 14.000 51 3,656,117.54 1.33
14.000+ to 14.500 27 1,835,348.28 0.67
14.500+ to 15.000 17 1,213,685.06 0.44
15.000+ to 15.500 4 210,694.84 0.08
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
Combined LTV 5.0+ to 10.0 1 22,000.00 0.01
10.0+ to 15.0 2 82,195.67 0.03
15.0+ to 20.0 3 106,979.30 0.04
20.0+ to 25.0 5 177,068.06 0.06
25.0+ to 30.0 9 412,828.73 0.15
30.0+ to 35.0 13 821,801.64 0.30
35.0+ to 40.0 19 1,675,538.38 0.61
40.0+ to 45.0 25 1,978,551.91 0.72
45.0+ to 50.0 55 4,978,570.95 1.81
50.0+ to 55.0 62 4,919,962.35 1.79
55.0+ to 60.0 133 9,918,917.68 3.60
60.0+ to 65.0 420 34,124,174.35 12.39
65.0+ to 70.0 407 36,191,725.94 13.15
70.0+ to 75.0 576 57,832,917.12 21.01
75.0+ to 80.0 646 74,782,025.37 27.16
80.0+ to 85.0 262 34,066,340.73 12.37
85.0+ to 90.0 90 11,960,857.71 4.34
Comb. LTV (cont'd) 90.0+ to 95.0 9 1,273,247.53 0.46
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 25
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
DETAILED COLLATERAL SUMMARY -
ADJUSTABLE RATE HOME EQUITY LOAN CHARACTERISTICS AS OF 6/1/97
<TABLE>
<CAPTION>
LOAN COUNT LOAN BALANCE PERCENT OF TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
State AK 1 90,914.35 0.03
AR 8 458,780.33 0.17
AZ 75 7,856,444.15 2.85
CA 379 55,367,235.67 20.11
CO 152 15,564,057.78 5.65
CT 100 10,411,895.47 3.78
DC 19 1,818,687.56 0.66
DE 5 343,697.17 0.12
FL 182 16,005,083.19 5.81
GA 122 13,793,750.23 5.01
HI 20 3,709,518.60 1.35
IA 3 187,734.22 0.07
ID 39 3,438,549.58 1.25
IL 139 13,516,553.73 4.91
IN 56 3,780,682.84 1.37
KS 6 526,147.62 0.19
KY 12 916,212.93 0.33
LA 19 1,540,281.26 0.56
MA 20 2,320,765.70 0.84
MD 86 7,736,702.14 2.81
MI 59 4,676,304.05 1.70
MN 44 3,499,471.16 1.27
MO 49 2,817,968.05 1.02
MS 2 101,357.94 0.04
MT 15 1,079,331.84 0.39
NC 95 7,474,741.01 2.71
NE 1 68,600.00 0.02
NH 5 420,310.17 0.15
NJ 71 8,256,996.20 3.00
NM 19 1,806,412.90 0.66
NV 12 1,266,307.69 0.46
State (cont'd) NY 37 3,740,680.74 1.36
OH 107 8,076,988.46 2.93
OK 9 638,175.54 0.23
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 26
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
DETAILED COLLATERAL SUMMARY -
ADJUSTABLE RATE HOME EQUITY LOAN CHARACTERISTICS AS OF 6/1/97
<TABLE>
<CAPTION>
LOAN COUNT LOAN BALANCE PERCENT OF TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OR 93 9,629,493.59 3.50
PA 114 7,539,153.82 2.74
RI 11 768,028.14 0.28
SC 28 1,908,865.37 0.69
SD 2 99,137.19 0.04
TN 10 822,549.23 0.30
TX 115 9,807,442.30 3.56
UT 162 18,833,661.09 6.84
VA 23 2,002,249.08 0.73
VT 1 194,409.25 0.07
WA 156 16,996,523.50 6.17
WI 52 3,241,408.05 1.18
WY 2 175,442.54 0.06
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
Product Type 2/28 1,621 153,608,748.40 55.79
6 Month 957 101,103,174.89 36.72
12 Month 159 20,613,780.13 7.49
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
Original Term 120+ to 180 34 1,895,150.20 0.69
180+ to 240 1 55,200.00 0.02
300+ to 360 2,702 273,375,353.22 99.29
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
Remaining Term 120+ to 180 34 1,895,150.20 0.69
180+ to 240 1 55,200.00 0.02
300+ to 360 2,702 273,375,353.22 99.29
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
Gross Margin 2.500+ to 3.000 2 550,203.44 0.20
3.000+ to 3.500 5 1,093,706.00 0.40
3.500+ to 4.000 7 500,448.67 0.18
4.000+ to 4.500 22 2,332,138.96 0.85
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 27
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
DETAILED COLLATERAL SUMMARY -
ADJUSTABLE RATE HOME EQUITY LOAN CHARACTERISTICS AS OF 6/1/97
<TABLE>
<CAPTION>
LOAN COUNT LOAN BALANCE PERCENT OF TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
4.500+ to 5.000 270 27,936,615.84 10.15
5.000+ to 5.500 479 50,897,339.53 18.49
5.500+ to 6.000 549 58,877,767.73 21.38
6.000+ to 6.500 367 40,392,446.51 14.67
6.500+ to 7.000 462 41,237,095.17 14.98
7.000+ to 7.500 186 18,602,252.73 6.76
7.500+ to 8.000 159 14,288,599.68 5.19
8.000+ to 8.500 64 5,535,394.46 2.01
8.500+ to 9.000 51 3,648,375.72 1.33
9.000+ to 9.500 55 4,189,483.61 1.52
9.500+ to 10.000 42 3,857,806.44 1.40
10.000+ to 10.500 13 1,053,502.24 0.38
10.500+ to 11.000 2 143,540.00 0.05
11.000+ to 11.500 1 68,986.69 0.03
14.500+ to 15.000 1 120,000.00 0.04
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
Gross Life Cap 10.000+ to 10.500 1 366,585.44 0.13
12.000+ to 12.500 2 242,575.00 0.09
12.500+ to 13.000 11 1,346,995.42 0.49
13.000+ to 13.500 27 3,287,096.05 1.19
13.500+ to 14.000 55 6,846,011.48 2.49
14.000+ to 14.500 98 12,509,744.15 4.54
14.500+ to 15.000 159 19,955,854.21 7.25
15.000+ to 15.500 205 24,683,897.94 8.97
15.500+ to 16.000 367 42,126,701.11 15.30
16.000+ to 16.500 297 32,566,985.62 11.83
16.500+ to 17.000 379 38,168,606.51 13.86
17.000+ to 17.500 306 27,410,628.47 9.96
17.500+ to 18.000 212 19,815,797.48 7.20
Gross Life Cap 18.000+ to 18.500 186 15,997,941.45 5.81
(cont'd) 18.500+ to 19.000 135 10,391,638.62 3.77
19.000+ to 19.500 100 6,754,776.43 2.45
19.500+ to 20.000 85 5,613,106.96 2.04
20.000+ to 20.500 52 2,983,155.70 1.08
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 28
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
DETAILED COLLATERAL SUMMARY -
ADJUSTABLE RATE HOME EQUITY LOAN CHARACTERISTICS AS OF 6/1/97
<TABLE>
<CAPTION>
LOAN COUNT LOAN BALANCE PERCENT OF TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
20.500+ to 21.000 34 2,606,287.46 0.95
21.000+ to 21.500 14 866,166.01 0.31
21.500+ to 22.000 10 688,811.59 0.25
22.000+ to 22.500 2 96,340.32 0.03
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
Minimum Rate 3.500+ to 4.000 3 630,146.98 0.23
4.000+ to 4.500 3 321,264.19 0.12
4.500+ to 5.000 4 428,907.67 0.16
5.000+ to 5.500 31 3,838,181.13 1.39
5.500+ to 6.000 46 6,060,529.57 2.20
6.000+ to 6.500 40 4,836,509.45 1.76
6.500+ to 7.000 38 5,255,348.12 1.91
7.000+ to 7.500 50 5,758,106.05 2.09
7.500+ to 8.000 96 10,840,764.39 3.94
8.000+ to 8.500 149 19,635,737.69 7.13
8.500+ to 9.000 303 37,037,743.43 13.45
9.000+ to 9.500 285 31,962,209.55 11.61
9.500+ to 10.000 396 40,475,644.28 14.70
10.000+ to 10.500 287 27,273,325.60 9.91
10.500+ to 11.000 265 24,928,509.90 9.05
11.000+ to 11.500 178 15,266,941.06 5.55
11.500+ to 12.000 146 11,565,577.26 4.20
12.000+ to 12.500 140 9,937,288.85 3.61
12.500+ to 13.000 116 8,607,167.80 3.13
13.000+ to 13.500 65 4,054,526.92 1.47
13.500+ to 14.000 50 3,553,293.34 1.29
14.000+ to 14.500 26 1,675,793.98 0.61
14.500+ to 15.000 16 1,171,491.37 0.43
Min. Rate (cont'd) 15.000+ to 15.500 4 210,694.84 0.08
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
Periodic Cap 0.500 1 119,939.40 0.04
1.000 1,191 127,234,122.66 46.21
1.500 1,382 126,884,565.86 46.09
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE> 29
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
AAMES MORTGAGE TRUST
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1997-B
DETAILED COLLATERAL SUMMARY -
ADJUSTABLE RATE HOME EQUITY LOAN CHARACTERISTICS AS OF 6/1/97
<TABLE>
<CAPTION>
LOAN COUNT LOAN BALANCE PERCENT OF TOTAL
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
2.000 161 20,892,780.13 7.59
3.000 2 194,295.37 0.07
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
Index 6 Mo. LIBOR 2,578 254,711,923.29 92.51
1 Yr. Treasury 159 20,613,780.13 7.49
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
Rate Adjustment 6 2,578 254,711,923.29 92.51
Frequency 12 159 20,613,780.13 7.49
----------------------------------------------------------------------------------------------------
TOTAL 2,737 275,325,703.42 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
