<PAGE>
================================================
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES AND EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported)
NOVEMBER 12, 1999
AAMES CAPITAL CORPORATION
ON BEHALF OF
AAMES MORTGAGE TRUST 1999-2
-----------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
CALIFORNIA 333-64903 95-4438859
---------- --------- ----------
(State or other jurisdiction (Commission (I.R.S. employer
of incorporation) file number) identification no.)
350 SOUTH GRAND AVENUE, 52ND FLOOR
LOS ANGELES, CALIFORNIA 90071
----------------------- -----
(Address of principal executive offices) (ZIP Code)
(213) 210-5000
----------------------------
Registrant's telephone number, including area code
N/A
--------------------------------------
(Former name or former address, if changed since last report)
================================================
<PAGE>
Item 5. Other Events
Attached as Exhibit 99.1 to this Current Report are certain materials
(the "Computational Materials") furnished to the Registrant by Banc of America
Securities LLC, Greenwich Capital Markets, Inc. and Lehman Brothers Inc.
(collectively, the "Underwriters"), in respect to Aames Mortgage Trust 1999-2
Mortgage Pass-Through Certificates, Series 1999-2, Class A-F, Class A-V1 and
Class A-V2 (the "Certificates"). The Certificates will be offered pursuant to a
Prospectus Supplement, to be dated on or about October 29, 1999, and a
Prospectus to be dated on or about October 29, 1999 (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.
333-64903) (the "Registration Statement"). Capitalized terms used but not
otherwise defined herein shall have the meanings ascribed to such terms in the
Prospectus.
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 these 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 of the Underwriters
-2-
<PAGE>
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/ David A. Sklar
------------------
David A. Sklar
Executive Vice President and
Chief Financial Officer
Dated: November 12, 1999
-3-
<PAGE>
EXHIBIT INDEX
Exhibit No. Description of Exhibit
- ----------- ----------------------
99.1 Computational Materials of the Underwriter*
* Filed under cover of Form SE
-4-
<PAGE>
STROOCK & STROOCK & LAVAN LLP
180 MAIDEN LANE
NEW YORK, NEW YORK 10038
PHONE 212-806-5400
FAX 212-806-6006
November 12, 1999
VIA EDGAR
Securities and Exchange Commission
Judiciary Plaza
450 Fifth Street, NW
Washington, D.C. 20549
Re: Aames Mortgage Trust 1999-2
Registration Statement on Form S-3
Registration No. 333-64903
--------------------------
Ladies and Gentlemen:
On behalf of Aames Capital Corporation on behalf of Aames Mortgage Trust 1999-2,
we transmit herewith for filing under the Securities Act of 1934, as amended, a
Current Report on Form 8-K dated November 12, 1999.
If you have any questions concerning the transmitted materials, please do not
hesitate to contact the undersigned at (212) 806-5844.
Please acknowledge receipt of this transmission by notifying the person
indicated in the "Notify" line in the submission header of the above-referenced
filing.
Sincerely,
/s/ Evan Drutman
Evan Drutman
-5-
<PAGE>
BANC OF AMERICA SECURITIES LLC
[BANK OF AMERICA LOGO]
- --------------------------------------------------------------------------------
RMBS NEW ISSUE TERM SHEET
AAMES MORTGAGE TRUST 1999-2
$400,000,000
MORTGAGE PASS-THROUGH CERTIFICATES SERIES 1999-2
CLASSES A-F, A-V1 AND A-V2
AAMES CAPITAL CORPORATION
SPONSOR AND SERVICER
OCTOBER 29, 1999
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BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
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AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OFFERED CERTIFICATES
- ------------------------------------------------------------------------------------------------------------------------------------
AVERAGE AVERAGE PRINCIPAL PRINCIPAL FINAL FINAL
EXPECTED LIFE LIFE MODIFIED WINDOW WINDOW SCHEDULED LEGAL
CLASS RATINGS APPROXIMATE (YEARS) TO (YEARS) TO DURATION (TO MATURITY) (TO CALL) DISTRIBUTION DISTRIBUTION
CLASS DESCRIPTION S&P/MOODY'S SIZE MAT. CALL (YEARS) IN MONTHS IN MONTHS DATE DATE
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-F PT AAA/Aaa 229,500,000 3.58 3.27 2.78 1 - 215 1 - 94 10/15/2029 12/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
A-V1 PT AAA/Aaa 155,000,000 2.91 2.72 2.31 1 - 195 1 - 94 11/15/2029 12/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
A-V2 PT AAA/Aaa 15,500,000 2.91 2.72 2.32 1 - 195 1 - 94 11/15/2029 12/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
FIXED RATE CERTIFICATES:
1. Class A-F is backed by the Fixed Rate Group.
2. Receives a fixed rate of interest monthly beginning December 15, 1999. The
interest accrual period is the calendar month preceding the month in which a
distribution date occurs. Interest is calculated on a 30/360 day basis.
3. The interest distribution amount is subject to an available funds cap.
4. Pricing speed: 120% of Prepayment Curve (PPC), where 100% PPC is equal to
4.0% CPR in month 1, and an additional 1.4545% in each month thereafter
until month 12; on and thereafter, 20% CPR.
5. Priced to maturity.
- --------------------------------------------------------------------------------
ADJUSTABLE RATE CERTIFICATES:
1. Class A-V1 is backed by the Adjustable Rate Group I and Class A-V2 is backed
by the Adjustable Rate Group II.
2. Receives a variable rate of interest monthly beginning December 15, 1999.
The interest accrual period is the period from the prior distribution date
(or in case of the first distribution date from the closing date) to and
including the day before the applicable distribution date. Interest is
calculated on an actual/360 day basis. Certificate coupon rates reset
monthly to One-Month LIBOR plus their respective margins.
3. Interest distribution amount is subject to the lesser of an available funds
cap and 14%.
4. If the Optional Termination is not exercised the respective margins on
Certificates will double.
5. Pricing speed: 27% CPR beginning in month 1.
6. Priced to call.
- --------------------------------------------------------------------------------
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
2
<PAGE>
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AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
----------------
ISSUER: Aames Mortgage Trust 1999-2
SPONSOR/SERVICER: Aames Capital Corporation, a California corporation
and a wholly owned subsidiary of Aames Financial
Corporation.
BACKUP
SERVICER: Fairbanks Capital Corp.
TRUSTEE: Bankers Trust Company of California, N.A.
RATING
AGENCIES: S&P and Moody's
CERTIFICATE
INSURER: Financial Security Assurance Inc. ("FSA"). FSA
claims paying ability is rated "AAA" by S&P and
"Aaa" by Moody's.
CERTIFICATE
INSURANCE POLICY: The certificate guaranty insurance policy (the
"Certificate Insurance Policy") will provide 100%
coverage of timely interest due on the certificates
and ultimate principal payments due on the
certificates on or prior to the final legal
distribution date.
UNDERWRITERS: BANC OF AMERICA SECURITIES LLC (Lead and Book
Manager), Greenwich Capital Markets, Inc. and
Lehman Brothers
EXPECTED
PRICING DATE: Week of October 25, 1999
EXPECTED
CLOSING DATE: November 18, 1999
DISTRIBUTION
DATE: The 15th of each month (or next succeeding business
day), beginning December 15, 1999.
CLEARING: DTC, Euroclear or CEDEL.
STATISTICAL
CALCULATION DATE: October 1, 1999
CUT-OFF DATE: November 1, 1999
OPTIONAL
TERMINATION: On any Distribution Date when the aggregate of the
outstanding principal balances of the Mortgage
Loans in the Mortgage Pool as of such Distribution
Date is less than 10% of the sum of such balances
as of the Cut-off Date and any prefunding amounts,
the holder of the residual interests may purchase
from the Trust all remaining Mortgage Loans and all
property acquired in respect of any Mortgage Loan
held by the Trust and thereby effect an early
retirement of the Certificates.
DENOMINATIONS: $1,000 minimum and in integral multiples of $1 in
excess thereof.
TAX STATUS: REMIC Election.
ERISA: ERISA eligible. Prospective investors that are
pension plans should consult their own counsel with
respect to an
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
3
<PAGE>
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AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
investment in the Offered Certificates.
SMMEA: The Offered Certificates WILL NOT constitute
"mortgage related securities" for purposes of
SMMEA.
CLASS A-F CERTIFICATE
INTEREST: o Interest accrues during the month prior to the
related Distribution Date on a 30/360 basis at the
respective fixed pass-through rate, interest is
paid monthly on the Distribution Date.
o The Class A-F pass-through rate will be equal to
the lesser of (i) the Class A-F Certificate rate
established at pricing and (ii) the Fixed Rate
Group Available Funds Cap.
o The Fixed Rate Group Available Funds Cap will be,
with respect to any Distribution Date, the per
annum rate equal to the percentage obtained by (I)
dividing (x) the amount of interest that accrued on
the Mortgage Loans in the Fixed Rate Group in
respect of the related Interest Period at the
related Mortgage Interest Rates applicable to
Monthly Payments due on such Mortgage Loans during
such Interest Period, reduced by (i) the Expense
Fee for the Mortgage Loans in the Fixed Rate Group
for such Interest Period, (ii) the Certificate
Insurer Premium Fee based off of the Certificate
balance attributable to the Fixed Rate Group for
the related Distribution Date and (iii) the
Mortgage Insurance Premium Fee attributable to
certain Mortgage Loans in the Fixed Rate Group for
the related Distribution Date by (y) the product of
(i) the Fixed Rate Group balance as of the first
day of such interest period and (ii) 1/12 and (II)
multiplying the result by 100.
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
4
<PAGE>
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AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
CLASS A-V1 AND CLASS A-V2
CERTIFICATE INTEREST:
o Interest accrues from the prior distribution date
(or in case of the first distribution date from the
closing date) to and including the day before the
applicable distribution date on an actual/360 day
basis.
o Class A-V1 and Class A-V2 coupon rates reset
monthly to One Month LIBOR plus their respective
margins subject to the Adjustable Rate Group I
Available Funds Cap and Adjustable Rate Group II
Available Funds Cap respectively.
o The Adjustable Rate Group I Available Funds Cap:
with respect to any Distribution Date, the per
annum rate equal to the lesser of (A) the
percentage obtained by (I) dividing (x) the amount
of interest that accrued on the Mortgage Loans in
the Adjustable Rate Group I in respect of the
related Interest Period at the related Mortgage
Interest Rates applicable to Monthly Payments due
on such Mortgage Loans during such Interest Period,
reduced by (i) the Expense Fee for the Mortgage
Loans in the Adjustable Rate Group I for such
interest period, (ii) the Certificate Insurer
Premium Fee based off of the Certificate balance
attributable to the Adjustable Rate Group I for the
related Distribution Date, (iii) the Mortgage
Insurance Premium Fee attributable to certain
mortgage loans in the Adjustable Rate Group I for
the related Distribution Date, and (iv) after the
twelfth Distribution Date one-twelfth of 0.50% of
the Adjustable Rate Group I Balance as of the first
day of the related Collection Period by (y) the
product of (i) the Adjustable Rate Group I Balance
as of the first day of such Interest Period, (ii)
the actual number of days elapsed during such
Interest Period divided by 360 and (II) multiplying
the result by 100 and (B) 14%.
o The Adjustable Rate Group II Available Funds Cap:
with respect to any Distribution Date, the per
annum rate equal to the lesser of (A) the
percentage obtained by (I) dividing (x) the amount
of interest that accrued on the Mortgage Loans in
the Adjustable Rate Group II in respect of the
related Interest Period at the related Mortgage
Interest Rates applicable to Monthly Payments due
on such Mortgage Loans during such Interest Period,
reduced by (i) the Expense Fee for the Mortgage
Loans in the Adjustable Rate Group II for such
interest period, (ii) the Certificate Insurer
Premium Fee based off of the Certificate balance
attributable to the Adjustable Rate Group II for
the related Distribution Date, (iii) the Mortgage
Insurance Premium Fee attributable to certain
mortgage loans in the Adjustable Rate Group II for
the related Distribution Date, and (iv) after the
twelfth Distribution Date one-twelfth of 0.50% of
the Adjustable Rate Group II Balance as of the
first day of the related Collection Period by (y)
the product of (i) the Adjustable Rate Group II
Balance as of the first day of such Interest
Period, (ii) the actual number of days elapsed
during such Interest Period divided by 360 and (II)
multiplying the result by 100 and (B) 14%.
o Supplemental Interest Amount: With respect to the
Class A-V1 and Class A-V2 Certificates on any
Distribution Date, the sum of (i) the positive
excess, if any, of the amount of interest that
would have accrued thereon during the related
Interest Period calculated at the lesser of (x) One
Month LIBOR plus the related margin and (y) 14%,
over the amount of interest that did accrue thereon
at the respective Class Pass-Through Rate and (ii)
any Supplemental Interest Amount remaining unpaid
from a prior Distribution Date (and, in the case of
any Supplemental Interest Amount remaining unpaid
from a prior Distribution Date, interest thereon
calculated at the lesser of (x) One Month LIBOR
plus the related margin and (y) 14%, to the extent
lawful.) Payment of the Supplemental Interest
Amount will be subordinated to all payments in the
waterfall other than payments to the holder of the
residual interests.
CERTIFICATE
PRINCIPAL: Class A-F will be paid down with principal
collected from the Fixed Rate Group.
Class A-V1 will be paid down with principal
collected from the Adjustable Rate Group I.
Class A-V2 will be paid down with principal
collected from the Adjustable Rate Group II.
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
5
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
CREDIT
ENHANCEMENT: o 100% FSA Certificate Insurance Policy on Class
A-F, A-V1 and A-V2.
o Mortgage Guaranty Insurance Corporation ("MGIC")
provides primary mortgage insurance on certain
Mortgage Loans.
o Excess Spread: Fixed Rate Group : 1.47%
Adjustable Rate Group I : 3.31%
Adjustable Rate Group II : 2.76%
Based on the Statistical Calculation Date
o Overcollateralization Target Amounts:
Fixed Adjustable Adjustable
Rate Group Rate Group I Rate Group II
---------- ------------ -------------
Initial: 1.50% Initial: 0.00% Initial: 0.00%
Target: 4.50% Target: 4.50% Target: 4.50%
Floor: 0.50% Floor: 0.50% Floor: 0.50%
o The Overcollateralization levels will be subject
to the performance of the Mortgage Loans in
aggregate and triggers to be specified by FSA.
o Prepayment penalty fees collected.
o Cross-collateralized: The Fixed Rate Group,
Adjustable Rate Group I and Adjustable Rate Group
II are cross-collateralized such that no cash will
be released to the holder of the residual interests
until the Overcollateralization Target Amount has
been reached for all three groups.
STEPDOWN DATE: For each Loan Group, the later to occur of (x)
after the 30th Distribution Date and (y) the first
Distribution Date on which (i) the
Overcollateralization Target Amount has been met
and (ii) the pool balance has been reduced to 50%
of the sum of the aggregate of the Principal
Balances of the Mortgage Loans as of the Cut-off
Date and the original prefunding amount.
INITIAL MORTGAGE
LOANS: The statistical information presented in the Term
Sheet regarding the Mortgage Pool is based on the
Initial Mortgage Loans as of the Statistical
Calculation Date. The Mortgage Pool consists
primarily of conventional, fully-amortizing and
balloon, first and second lien, fixed and
adjustable rate closed end, one to four family
residential mortgage loans. As of the Statistical
Calculation Date, the Initial Mortgage Pool
consisted of a total of 3,917 loans, which had an
unpaid principal balance of $298,596,614.23 of
which 2,494 are fixed rate Mortgage Loans and 1,423
(1,388 in Adjustable Rate Group I, and 35 in
Adjustable Rate Group II) are adjustable rate
Mortgage Loans. As of the Statistical Calculation
Date, the Initial Mortgage Loans in the Fixed Rate
Group had an Aggregate Principal Balance of
$171,273,408.06 and the Initial Mortgage Loans in
the Adjustable Rate Group I and Adjustable Group II
had an Aggregate Principal Balance of
$116,765,123.25 and $10,558,082.92 respectively.
ADDITIONAL LOANS/
PREFUNDING LOANS: It is anticipated that certain additional fixed and
adjustable rate Mortgage Loans, in the amount of
the difference between $403,494,923.85 and the
total amount of the Initial Mortgage Loans in the
Fixed Rate Group and Adjustable Rate Groups as of
the Statistical Calculation Date, will be delivered
to the Trust on or prior to the Closing Date or
prior to the expiration of the Prefunding Period.
EXPENSE FEE: Fees associated with the Mortgage Loans total 52.5
basis points (50 basis points for Servicing Fee,
2.5 basis points for the Backup Servicer Fee).
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
6
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
ADVANCING: The Servicer is obligated to make cash advances
with respect to delinquent payments of interest on
any Mortgage Loan (to the extent described in the
prospectus).
SOURCE FOR CALCULATION
OF ONE-MONTH LIBOR: Dow Jones Telerate Service page 3750.
LIBOR DETERMINATION
DATE: One-Month LIBOR for each Interest Period shall be
determined on the second business day preceding the
first day of any Interest Accrual Period.
CONTACT: Banc of America Securities LLC
Mortgage Trading/Syndicate
(704) 386-7744 (704) 335-5904 (Fax)
Chris Hentemann
(email: [email protected])
Alex Cha
(email: [email protected])
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
7
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
FIXED RATE GROUP
<TABLE>
<CAPTION>
SUMMARY
TOTAL MINIMUM MAXIMUM
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance 171,273,408.06
Number of Loans 2,494
Average Original Loan Balance 68,720.70 10,000.00 412,000.00
Average Current Loan Balance 68,674.18 9,946.48 411,524.19
Weighted Average Combined Original LTV 74.58% 6.20% 97.00%
Weighted Average Gross Coupon 10.118% 6.700% 16.670%
Weighted Average Remaining Term to Maturity (months) 327 48 360
Weighted Average Original Term to Maturity (months) 327 60 360
- --------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------
PERCENT OF STATISTICAL
CALCULATION DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Mortgage Loans 99.86%
Balloon Mortgage Loans 0.14%
Lien Position First 97.20%
Second 2.80%
Property Type Single Family Residence 87.50%
2-4 Family Residence 8.45%
Condominium 3.40%
Manufactured Housing 0.65%
Occupancy Status Owner Occupied 93.29%
Non-Owner Occupied 6.71%
Geographic Distribution California 15.97%
(5% or greater) Florida 11.10%
Texas 9.39%
New York 7.05%
Michigan 5.79%
Hawaii 5.61%
Largest Zip Code Concentration 96753 0.73%
Delinquency 30 - 59 days 0.00%
- ----------------------------------------------------------------------------------
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
8
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
FIXED RATE GROUP
CURRENT MORTGAGE LOAN PRINCIPAL BALANCES
<TABLE>
<CAPTION>
PERCENT OF
RANGE OF STATISTICAL STATISTICAL CALCULATION STATISTICAL CALCULATION
CALCULATION DATE NUMBER OF DATE AGGREGATE DATE AGGREGATE
PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
$ 0.01 to $ 25,000.00 311 $ 5,905,428.83 3.45%
$ 25,000.01 to $ 50,000.00 848 31,755,603.16 18.54
$ 50,000.01 to $ 75,000.00 572 35,139,644.69 20.52
$ 75,000.01 to $100,000.00 304 26,462,465.17 15.45
$100,000.01 to $150,000.00 284 34,479,138.36 20.13
$150,000.01 to $200,000.00 91 15,555,946.72 9.08
$200,000.01 to $250,000.00 45 10,098,550.86 5.90
$250,000.01 to $300,000.00 23 6,245,427.53 3.65
$300,000.01 to $350,000.00 9 2,969,274.27 1.73
$350,000.01 to $400,000.00 6 2,250,404.28 1.31
$400,000.01 to $450,000.00 1 411,524.19 0.24
-----------------------------------------------------------
TOTAL 2,494 $171,273,408.06 100.00%
</TABLE>
ORIGINAL TERMS TO MATURITY
<TABLE>
<CAPTION>
PERCENT OF
RANGE OF STATISTICAL CALCULATION STATISTICAL CALCULATION
ORIGINAL TERMS TO NUMBER OF DATE AGGREGATE DATE AGGREGATE
MATURITY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
49 to 60 15 $ 313,665.29 0.18%
61 to 72 1 15,700.00 0.01
73 to 84 8 185,988.04 0.11
85 to 96 1 31,500.00 0.02
109 to 120 39 1,412,442.39 0.82
133 to 144 1 38,350.61 0.02
169 to 180 608 26,726,645.74 15.60
229 to 240 57 2,242,751.25 1.31
289 to 300 4 265,805.36 0.16
349 to 360 1,760 140,040,559.38 81.76
------------------------------------------------------------
TOTAL 2,494 $171,273,408.06 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
9
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
FIXED RATE GROUP
REMAINING TERMS TO MATURITY
<TABLE>
<CAPTION>
PERCENT OF
RANGE OF STATISTICAL CALCULATION STATISTICAL CALCULATION
REMAINING TERMS TO NUMBER OF DATE AGGREGATE DATE AGGREGATE
MATURITY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
37 to 48 1 $ 11,967.28 0.01%
49 to 60 14 301,698.01 0.18
61 to 72 1 15,700.00 0.01
73 to 84 8 185,988.04 0.11
85 to 96 1 31,500.00 0.02
109 to 120 39 1,412,442.39 0.82
133 to 144 1 38,350.61 0.02
169 to 180 608 26,726,645.74 15.60
229 to 240 57 2,242,751.25 1.31
289 to 300 4 265,805.36 0.16
349 to 360 1,760 140,040,559.38 81.76
-----------------------------------------------------------
TOTAL 2,494 $171,273,408.06 100.00%
</TABLE>
TYPE OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Single Family Residence 2,189 $149,869,343.91 87.50%
Two- to Four-Family Residence 191 14,465,105.04 8.45
Condominium Unit 90 5,827,173.95 3.40
Manufactured Housing 24 1,111,785.16 0.65
-----------------------------------------------------------
TOTAL 2,494 $171,273,408.06 100.00%
</TABLE>
OCCUPANCY STATUS OF MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
---------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Owner Occupied/Primary Residence 2,260 $159,784,525.35 93.29%
Non-Owner Occupied/Investment Property 234 11,488,882.71 6.71
-----------------------------------------------------------
TOTAL 2,494 $ 171,273,408.06 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
10
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
FIXED RATE GROUP
PURPOSE OF MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Rate/Term Refinance 426 $ 37,118,911.83 21.67%
Cash Out Refinance 1,684 106,341,854.30 62.09
Purchase 384 27,812,641.93 16.24
-----------------------------------------------------------
TOTAL 2,494 $171,273,408.06 100.00%
</TABLE>
CURRENT MORTGAGE RATES
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
RANGE OF MORTGAGE NUMBER OF DATE AGGREGATE DATE AGGREGATE
INTEREST RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
6.501% to 7.000% 3 $ 522,767.03 0.31%
7.001% to 7.500% 13 1,109,341.83 0.65
7.501% to 8.000% 110 10,003,996.50 5.84
8.001% to 8.500% 166 16,570,748.89 9.68
8.501% to 9.000% 230 20,352,925.34 11.88
9.001% to 9.500% 224 18,957,823.04 11.07
9.501% to 10.000% 323 25,322,431.58 14.78
10.001% to 10.500% 293 18,332,214.81 10.70
10.501% to 11.000% 294 18,283,046.99 10.67
11.001% to 11.500% 225 12,290,121.17 7.18
11.501% to 12.000% 218 11,587,748.48 6.77
12.001% to 12.500% 131 6,499,879.09 3.80
12.501% to 13.000% 82 3,807,772.15 2.22
13.001% to 13.500% 49 2,253,977.63 1.32
13.501% to 14.000% 46 2,134,442.99 1.25
14.001% to 14.500% 31 1,191,704.71 0.70
14.501% to 15.000% 35 1,407,239.29 0.82
15.001% to 15.500% 13 449,317.57 0.26
15.501% to 16.000% 5 114,347.58 0.07
16.001% to 16.500% 2 56,961.39 0.03
16.501% to 17.000% 1 24,600.00 0.01
-----------------------------------------------------------
TOTAL 2,494 $171,273,408.06 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
11
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
FIXED RATE GROUP
COMBINED ORIGINAL LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
PERCENT OF
RANGE OF COMBINED STATISTICAL CALCULATION STATISTICAL CALCULATION
ORIGINAL NUMBER OF DATE AGGREGATE DATE AGGREGATE
LOAN-TO-VALUE RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
5.01% to 10.00% 4 $ 83,879.33 0.05%
10.01% to 15.00% 4 121,543.86 0.07
15.01% to 20.00% 19 417,400.90 0.24
20.01% to 25.00% 18 513,717.71 0.30
25.01% to 30.00% 29 1,079,255.19 0.63
30.01% to 35.00% 33 1,164,764.15 0.68
35.01% to 40.00% 45 1,731,514.30 1.01
40.01% to 45.00% 40 1,903,714.87 1.11
45.01% to 50.00% 76 3,527,451.05 2.06
50.01% to 55.00% 86 4,340,364.85 2.53
55.01% to 60.00% 135 6,710,953.62 3.92
60.01% to 65.00% 266 13,480,453.44 7.87
65.01% to 70.00% 293 17,815,286.68 10.40
70.01% to 75.00% 444 29,326,869.63 17.12
75.01% to 80.00% 515 44,995,894.57 26.27
80.01% to 85.00% 164 14,655,577.92 8.56
85.01% to 90.00% 280 25,106,722.95 14.66
90.01% to 95.00% 40 4,064,392.11 2.37
95.01% to 100.00% 3 233,650.93 0.14
-----------------------------------------------------------
TOTAL 2,494 $171,273,408.06 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
12
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
FIXED RATE GROUP
STATE DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- -------------- ----------------- -----------------
<S> <C> <C> <C>
California 269 $ 27,358,761.36 15.97
Florida 293 19,008,499.48 11.10
Texas 273 16,087,751.06 9.39
New York 153 12,068,939.56 7.05
Michigan 204 9,908,833.12 5.79
Hawaii 50 9,602,731.90 5.61
Illinois 101 6,824,381.19 3.98
Ohio 101 5,133,059.99 3.00
Indiana 97 5,105,165.02 2.98
Pennsylvania 88 4,584,351.40 2.68
Iowa 73 4,547,413.78 2.66
Georgia 69 4,213,725.04 2.46
Louisiana 75 3,819,728.23 2.23
Missouri 72 3,129,417.60 1.83
Arizona 57 2,952,088.24 1.72
North Carolina 42 2,855,765.94 1.67
Tennessee 44 2,833,091.49 1.65
Colorado 34 2,608,845.82 1.52
New Jersey 27 2,514,509.86 1.47
Nevada 33 2,452,645.70 1.43
Montana 23 2,136,433.29 1.25
Wisconsin 22 2,101,684.08 1.23
Minnesota 21 2,044,766.37 1.19
Washington 25 1,861,529.05 1.09
Kentucky 27 1,660,544.29 0.97
Massachusetts 23 1,639,234.88 0.96
Oregon 17 1,577,461.71 0.92
Utah 15 1,384,594.37 0.81
Virginia 15 1,256,408.81 0.73
Kansas 14 1,196,154.43 0.70
Idaho 18 1,004,751.76 0.59
Connecticut 12 917,769.93 0.54
South Carolina 20 898,543.36 0.52
Mississippi 19 773,997.45 0.45
Oklahoma 22 733,549.84 0.43
Rhode Island 9 611,712.98 0.36
Maryland 14 594,770.23 0.35
District of Columbia 5 414,386.84 0.24
New Mexico 6 379,641.35 0.22
Nebraska 7 288,046.23 0.17
West Virginia 5 187,721.03 0.11
------------------------------------------------------------
TOTAL 2,494 $171,273,408.06 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
13
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP I
<TABLE>
<CAPTION>
SUMMARY
TOTAL MINIMUM MAXIMUM
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance 116,765,123.25
Number of Loans 1,388
Average Original Loan Balance 84,150.24 18,200.00 360,000.00
Average Current Loan Balance 84,124.73 18,194.90 359,513.37
Weighted Average Combined Original LTV 78.09% 20.00% 95.00%
Weighted Average Gross Coupon 10.359% 5.190% 16.020%
Weighted Average Remaining Term to Maturity (months) 358 178 360
Weighted Average Original Term to Maturity (months) 359 180 360
Weighted Average Gross Margin 5.932% 2.550% 9.250%
Weighted Average Gross Lifetime Cap 16.430% 11.190% 22.020%
Weighted Average Periodic Cap 1.016% 1.000% 1.500%
- ---------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
PERCENT OF STATISTICAL
CALCULATION DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Loans 100.00%
Product Type 6 Month LIBOR 4.50%
2/28 LIBOR 78.17%
3/27 LIBOR 17.00%
2/13 LIBOR 0.33%
Lien Position First 100.00%
Property Type Single Family Residence 85.79%
2-4 Family Residence 6.33%
Condominium 5.84%
Manufactured Housing 2.04%
Occupancy Status Owner Occupied 96.70%
Non-owner Occupied 3.30%
Geographic Distribution Florida 11.20%
(5% or greater) California 8.60%
Ohio 5.90%
Texas 5.75%
Colorado 5.39%
Largest Zip Code Concentration 96815 0.52%
Delinquency 30 - 59 days 0.00%
- -----------------------------------------------------------------------------------
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
14
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP I
CURRENT MORTGAGE LOAN PRINCIPAL BALANCES
<TABLE>
<CAPTION>
PERCENT OF
RANGE OF STATISTICAL STATISTICAL CALCULATION STATISTICAL CALCULATION
CALCULATION DATE NUMBER OF DATE AGGREGATE DATE AGGREGATE
PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
$ 0.01 to $ 25,000.00 49 $ 1,050,866.34 0.90%
$ 25,000.01 to $ 50,000.00 339 13,171,066.36 11.28
$ 50,000.01 to $ 75,000.00 368 22,802,472.43 19.53
$ 75,000.01 to $100,000.00 209 18,129,399.52 15.53
$100,000.01 to $150,000.00 277 33,522,716.78 28.71
$150,000.01 to $200,000.00 99 17,038,632.63 14.59
$200,000.01 to $250,000.00 40 8,849,444.99 7.58
$250,000.01 to $300,000.00 3 823,327.25 0.71
$300,000.01 to $350,000.00 3 1,017,683.58 0.87
$350,000.01 to $400,000.00 1 359,513.37 0.31
-----------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
ORIGINAL TERMS TO MATURITY
<TABLE>
<CAPTION>
PERCENT OF
RANGE OF STATISTICAL CALCULATION STATISTICAL CALCULATION
ORIGINAL TERMS TO NUMBER OF DATE AGGREGATE DATE AGGREGATE
MATURITY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
169 to 180 13 $ 942,046.24 0.81%
349 to 360 1,375 115,823,077.01 99.19
-----------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
REMAINING TERMS TO MATURITY
<TABLE>
<CAPTION>
PERCENT OF
RANGE OF STATISTICAL CALCULATION STATISTICAL CALCULATION
REMAINING TERMS TO NUMBER OF DATE AGGREGATE DATE AGGREGATE
MATURITY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
169 to 180 13 $ 942,046.24 0.81%
349 to 360 1,375 115,823,077.01 99.19
-----------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
15
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP I
TYPE OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Single Family Residence 1,191 $100,175,639.25 85.79%
Two- to Four-Family Residence 75 7,391,411.40 6.33
Condominium Unit 85 6,820,364.67 5.84
Manufactured Housing 37 2,377,707.93 2.04
------------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
OCCUPANCY STATUS OF MORTGAGE LOAN
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
---------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Owner Occupied/Primary Residence 1,308 $112,907,672.41 96.70%
Non-Owner Occupied/Investment Property 80 3,857,450.84 3.30
------------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
PURPOSE OF MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Rate/Term Refinance 288 $ 24,081,609.94 20.62%
Cash Out Refinance 560 44,613,734.07 38.21
Purchase 540 48,069,779.24 41.17
------------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
16
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP I
CURRENT MORTGAGE RATES
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
RANGE OF MORTGAGE NUMBER OF DATE AGGREGATE DATE AGGREGATE
INTEREST RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
5.001% to 5.500% 1 $ 67,900.00 0.06%
5.501% to 6.000% 2 176,625.87 0.15
6.001% to 6.500% 1 89,323.05 0.08
6.501% to 7.000% 6 824,258.57 0.71
7.001% to 7.500% 5 512,292.80 0.44
7.501% to 8.000% 26 3,064,427.36 2.62
8.001% to 8.500% 42 4,981,284.65 4.27
8.501% to 9.000% 90 9,868,378.27 8.45
9.001% to 9.500% 128 13,499,485.02 11.56
9.501% to 10.000% 228 20,573,287.98 17.62
10.001% to 10.500% 205 18,392,643.63 15.75
10.501% to 11.000% 215 16,209,155.90 13.88
11.001% to 11.500% 96 7,580,429.46 6.49
11.501% to 12.000% 87 6,411,407.14 5.49
12.001% to 12.500% 43 3,129,480.13 2.68
12.501% to 13.000% 37 2,193,232.35 1.88
13.001% to 13.500% 49 2,360,451.72 2.02
13.501% to 14.000% 28 1,871,458.77 1.60
14.001% to 14.500% 44 2,447,393.46 2.10
14.501% to 15.000% 39 1,794,791.10 1.54
15.001% to 15.500% 11 459,116.02 0.39
15.501% to 16.000% 4 173,800.00 0.15
16.001% to 16.500% 1 84,500.00 0.07
------------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
17
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP I
COMBINED ORIGINAL LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
PERCENT OF
RANGE OF COMBINED STATISTICAL CALCULATION STATISTICAL CALCULATION
ORIGINAL NUMBER OF DATE AGGREGATE DATE AGGREGATE
LOAN-TO-VALUE RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
15.01% to 20.00% 1 $ 60,000.00 0.05%
20.01% to 25.00% 2 76,000.00 0.07
25.01% to 30.00% 1 50,000.00 0.04
30.01% to 35.00% 4 210,430.87 0.18
35.01% to 40.00% 7 253,879.40 0.22
40.01% to 45.00% 11 614,904.68 0.53
45.01% to 50.00% 22 1,124,469.94 0.96
50.01% to 55.00% 18 1,129,194.07 0.97
55.01% to 60.00% 47 3,330,019.60 2.85
60.01% to 65.00% 192 11,428,288.67 9.79
65.01% to 70.00% 140 10,542,089.72 9.03
70.01% to 75.00% 242 19,684,863.94 16.86
75.01% to 80.00% 315 28,129,750.64 24.09
80.01% to 85.00% 95 8,850,157.80 7.58
85.01% to 90.00% 234 25,062,627.12 21.46
90.01% to 95.00% 57 6,218,446.80 5.33
------------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
18
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP I
STATE DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- -------------- ----------------- -----------------
<S> <C> <C> <C>
Florida 173 $ 13,076,347.36 11.20
California 78 10,047,096.09 8.60
Ohio 101 6,888,519.54 5.90
Texas 79 6,709,174.51 5.75
Colorado 57 6,297,312.00 5.39
Indiana 86 5,247,502.65 4.49
Illinois 58 4,599,652.80 3.94
Hawaii 24 4,469,787.86 3.83
Michigan 78 4,396,458.86 3.77
Washington 33 4,260,173.94 3.65
New York 34 4,145,261.06 3.55
Kentucky 60 3,734,969.32 3.20
Connecticut 35 3,721,808.42 3.19
South Carolina 43 3,258,491.25 2.79
Minnesota 31 2,743,208.46 2.35
Arizona 30 2,642,973.77 2.26
Massachusetts 22 2,626,508.59 2.25
North Carolina 35 2,622,759.65 2.25
Georgia 25 2,332,218.27 2.00
Louisiana 29 1,974,315.92 1.69
New Jersey 18 1,964,437.03 1.68
Pennsylvania 35 1,933,123.16 1.66
Maryland 19 1,818,890.63 1.56
Nebraska 25 1,742,881.59 1.49
Missouri 33 1,727,054.69 1.48
Nevada 14 1,621,584.74 1.39
Tennessee 21 1,617,301.99 1.39
New Mexico 16 1,595,114.06 1.37
Wisconsin 24 1,482,186.92 1.27
Oregon 12 1,230,550.05 1.05
Mississippi 12 879,273.94 0.75
Virginia 11 876,923.88 0.75
Iowa 11 682,066.39 0.58
Kansas 8 610,328.78 0.52
Utah 4 340,231.32 0.29
Rhode Island 4 237,436.43 0.20
New Hampshire 2 196,000.00 0.17
West Virginia 3 142,951.39 0.12
Idaho 1 103,500.00 0.09
District of Columbia 1 63,050.00 0.05
Delaware 1 50,700.00 0.04
Maine 1 30,000.00 0.03
Wyoming 1 24,995.94 0.02
-----------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
19
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP I
MAXIMUM LOAN RATE
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
RANGE OF MAXIMUM NUMBER OF DATE AGGREGATE DATE AGGREGATE
MORTGAGE INTEREST RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
11.001% to 11.500% 1 $ 67,900.00 0.06%
11.501% to 12.000% 2 176,625.87 0.15
12.001% to 12.500% 1 89,323.05 0.08
12.501% to 13.000% 6 824,258.57 0.71
13.001% to 13.500% 4 317,398.28 0.27
13.501% to 14.000% 23 2,787,178.87 2.39
14.001% to 14.500% 35 4,207,630.67 3.60
14.501% to 15.000% 83 9,025,266.81 7.73
15.001% to 15.500% 117 12,564,507.29 10.76
15.501% to 16.000% 222 19,823,150.22 16.98
16.001% to 16.500% 220 19,909,721.33 17.05
16.501% to 17.000% 221 17,447,406.42 14.94
17.001% to 17.500% 99 7,905,564.09 6.77
17.501% to 18.000% 92 6,690,459.18 5.73
18.001% to 18.500% 42 3,104,466.94 2.66
18.501% to 19.000% 39 2,291,292.59 1.96
19.001% to 19.500% 51 2,493,593.37 2.14
19.501% to 20.000% 29 2,001,024.43 1.71
20.001% to 20.500% 44 2,314,723.93 1.98
20.501% to 21.000% 40 1,830,715.32 1.57
21.001% to 21.500% 12 634,616.02 0.54
21.501% to 22.000% 4 173,800.00 0.15
22.001% to 22.500% 1 84,500.00 0.07
-----------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
20
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP I
MINIMUM LOAN RATE
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
RANGE OF MINIMUM NUMBER OF DATE AGGREGATE DATE AGGREGATE
MORTGAGE INTEREST RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
5.001% to 5.500% 1 $ 67,900.00 0.06%
5.501% to 6.000% 2 176,625.87 0.15
6.001% to 6.500% 1 89,323.05 0.08
6.501% to 7.000% 6 824,258.57 0.71
7.001% to 7.500% 5 512,292.80 0.44
7.501% to 8.000% 26 3,064,427.36 2.62
8.001% to 8.500% 42 4,981,284.65 4.27
8.501% to 9.000% 90 9,868,378.27 8.45
9.001% to 9.500% 129 13,589,130.05 11.64
9.501% to 10.000% 228 20,573,287.98 17.62
10.001% to 10.500% 205 18,392,643.63 15.75
10.501% to 11.000% 214 16,119,510.87 13.81
11.001% to 11.500% 96 7,580,429.46 6.49
11.501% to 12.000% 87 6,411,407.14 5.49
12.001% to 12.500% 43 3,129,480.13 2.68
12.501% to 13.000% 37 2,193,232.35 1.88
13.001% to 13.500% 49 2,360,451.72 2.02
13.501% to 14.000% 28 1,871,458.77 1.60
14.001% to 14.500% 44 2,447,393.46 2.10
14.501% to 15.000% 39 1,794,791.10 1.54
15.001% to 15.500% 11 459,116.02 0.39
15.501% to 16.000% 4 173,800.00 0.15
16.001% to 16.500% 1 84,500.00 0.07
-----------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
21
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP I
GROSS MARGINS
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
RANGE OF NUMBER OF DATE AGGREGATE DATE AGGREGATE
GROSS MARGINS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
2.501% to 3.000% 2 $ 197,948.92 0.17%
3.001% to 3.500% 2 218,367.41 0.19
3.501% to 4.000% 2 75,250.00 0.06
4.001% to 4.500% 2 243,356.85 0.21
4.501% to 5.000% 185 18,713,548.37 16.03
5.001% to 5.500% 265 27,498,670.18 23.55
5.501% to 6.000% 374 31,121,871.41 26.65
6.001% to 6.500% 95 9,047,179.48 7.75
6.501% to 7.000% 342 22,236,704.52 19.04
7.001% to 7.500% 98 6,014,885.62 5.15
7.501% to 8.000% 13 854,830.00 0.73
8.001% to 8.500% 3 196,381.70 0.17
8.501% to 9.000% 3 146,200.00 0.13
9.001% to 9.500% 2 199,928.79 0.17
-----------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
22
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP I
NEXT RATE ADJUSTMENT DATES
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NEXT RATE NUMBER OF DATE AGGREGATE DATE AGGREGATE
ADJUSTMENT DATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
01/01/00 9 $ 1,012,462.71 0.87%
02/01/00 12 1,109,588.49 0.95
03/01/00 15 1,519,539.05 1.30
04/01/00 17 1,488,700.00 1.27
05/01/00 1 129,482.00 0.11
11/01/00 1 110,239.88 0.09
12/01/00 1 103,674.65 0.09
01/01/01 1 94,762.86 0.08
02/01/01 1 131,622.94 0.11
03/01/01 2 134,475.68 0.12
06/01/01 7 718,391.61 0.62
07/01/01 78 6,960,354.85 5.96
08/01/01 218 17,113,270.31 14.66
09/01/01 413 35,920,940.78 30.76
10/01/01 366 29,720,989.93 25.45
11/01/01 5 649,580.00 0.56
05/01/02 1 233,811.77 0.20
07/01/02 2 161,877.54 0.14
08/01/02 15 1,232,971.87 1.06
09/01/02 63 5,727,209.93 4.90
10/01/02 160 12,491,176.40 10.70
----------------------------------------------------------
TOTAL 1,388 $116,765,123.25 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
23
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP II
<TABLE>
<CAPTION>
SUMMARY
TOTAL MINIMUM MAXIMUM
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance 10,558,082.92
Number of Loans 35
Average Original Loan Balance 301,721.43 242,000.00 409,500.00
Average Current Loan Balance 301,659.51 242,000.00 409,500.00
Weighted Average Combined Original LTV 78.41% 56.45% 95.00%
Weighted Average Gross Coupon 9.797% 7.990% 11.990%
Weighted Average Remaining Term to Maturity (months) 360 358 360
Weighted Average Original Term to Maturity (months) 360 360 360
Weighted Average Gross Margin 5.859% 4.500% 7.750%
Weighted Average Gross Lifetime Cap 15.828% 13.990% 17.990%
Weighted Average Periodic Cap 1.015% 1.000% 1.500%
- --------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
PERCENT OF STATISTICAL
CALCULATION DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Loans 100.00%
Product Type 2/28 LIBOR 77.60%
3/27 LIBOR 14.46%
6 Month LIBOR 7.94%
Lien Position First 100.00%
Property Type Single Family Residence 100.00%
Occupancy Status Owner Occupied 100.00%
Geographic Distribution California 34.88%
(5% or greater) Texas 9.08%
Washington 8.71%
Florida 5.91%
Colorado 5.46%
Largest Zip Code Concentration 77069 3.88%
Delinquency 30 - 59 days 0.00%
- --------------------------------------------------------------------------------------------
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
24
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP II
CURRENT MORTGAGE LOAN PRINCIPAL BALANCES
<TABLE>
<CAPTION>
PERCENT OF
RANGE OF STATISTICAL STATISTICAL CALCULATION STATISTICAL CALCULATION
CALCULATION DATE NUMBER OF DATE AGGREGATE DATE AGGREGATE
PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
$200,000.01 to $250,000.00 2 $ 487,479.37 4.62%
$250,000.01 to $300,000.00 17 4,637,200.14 43.92
$300,000.01 to $350,000.00 13 4,282,903.41 40.57
$350,000.01 to $400,000.00 2 741,000.00 7.02
$400,000.01 to $450,000.00 1 409,500.00 3.88
------------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
ORIGINAL TERMS TO MATURITY
<TABLE>
<CAPTION>
PERCENT OF
RANGE OF STATISTICAL CALCULATION STATISTICAL CALCULATION
ORIGINAL TERMS TO NUMBER OF DATE AGGREGATE DATE AGGREGATE
MATURITY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
349 to 360 35 $ 10,558,082.92 100.00%
------------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
REMAINING TERMS TO MATURITY
<TABLE>
<CAPTION>
PERCENT OF
RANGE OF STATISTICAL CALCULATION STATISTICAL CALCULATION
REMAINING TERMS TO NUMBER OF DATE AGGREGATE DATE AGGREGATE
MATURITY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
349 to 360 35 $ 10,558,082.92 100.00%
------------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
TYPE OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Single Family Residence 35 $ 10,558,082.92 100.00%
------------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
25
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP II
OCCUPANCY STATUS OF MORTGAGE LOAN
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
---------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Owner Occupied/Primary Residence 35 $ 10,558,082.92 100.00%
------------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
PURPOSE OF MORTGAGE LOANS
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Rate/Term Refinance 5 $ 1,588,000.00 15.04%
Cash Out Refinance 20 5,865,671.19 55.56
Purchase 10 3,104,411.73 29.40
------------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
CURRENT MORTGAGE RATES
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
RANGE OF MORTGAGE NUMBER OF DATE AGGREGATE DATE AGGREGATE
INTEREST RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
7.501% to 8.000% 1 $ 323,000.00 3.06%
8.001% to 8.500% 2 697,500.00 6.61
8.501% to 9.000% 7 2,079,204.66 19.69
9.001% to 9.500% 4 1,047,250.00 9.92
9.501% to 10.000% 8 2,462,082.55 23.32
10.001% to 10.500% 3 1,002,350.00 9.49
10.501% to 11.000% 7 2,106,183.75 19.95
11.001% to 11.500% 1 260,000.00 2.46
11.501% to 12.000% 2 580,511.96 5.50
------------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
26
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP II
COMBINED ORIGINAL LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
RANGE OF COMBINED ORIGINAL NUMBER OF DATE AGGREGATE DATE AGGREGATE
LOAN-TO-VALUE RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
55.01% to 60.00% 1 $ 350,000.00 3.31%
60.01% to 65.00% 1 306,911.96 2.91
65.01% to 70.00% 5 1,594,095.70 15.10
70.01% to 75.00% 9 2,509,447.86 23.77
75.01% to 80.00% 7 2,212,262.94 20.95
80.01% to 85.00% 5 1,559,750.00 14.77
85.01% to 90.00% 6 1,764,364.46 16.71
90.01% to 95.00% 1 261,250.00 2.47
------------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
STATE DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NUMBER OF DATE AGGREGATE DATE AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- -------------- ----------------- -----------------
<S> <C> <C> <C>
California 12 $ 3,682,278.44 34.88
Texas 3 958,500.00 9.08
Washington 3 919,095.70 8.71
Florida 2 623,600.00 5.91
Colorado 2 575,944.58 5.46
Utah 1 350,000.00 3.31
Indiana 1 336,350.36 3.19
Connecticut 1 335,700.00 3.18
Arizona 1 331,500.00 3.14
New York 1 315,000.00 2.98
Tennessee 1 296,861.73 2.81
Rhode Island 1 292,000.00 2.77
New Jersey 1 265,600.00 2.52
South Carolina 1 262,500.00 2.49
Oregon 1 261,250.00 2.47
Nebraska 1 255,000.00 2.42
North Carolina 1 254,902.11 2.41
Nevada 1 242,000.00 2.29
------------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
27
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP II
MAXIMUM LOAN RATE
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
RANGE OF MAXIMUM NUMBER OF DATE AGGREGATE DATE AGGREGATE
MORTGAGE INTEREST RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
13.501% to 14.000% 1 $ 323,000.00 3.06%
14.001% to 14.500% 2 697,500.00 6.61
14.501% to 15.000% 7 2,079,204.66 19.69
15.001% to 15.500% 4 1,047,250.00 9.92
15.501% to 16.000% 8 2,462,082.55 23.32
16.001% to 16.500% 2 675,100.00 6.39
16.501% to 17.000% 7 2,106,183.75 19.95
17.001% to 17.500% 2 587,250.00 5.56
17.501% to 18.000% 2 580,511.96 5.50
------------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
MINIMUM LOAN RATE
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
RANGE OF MINIMUM NUMBER OF DATE AGGREGATE DATE AGGREGATE
MORTGAGE INTEREST RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
7.501% to 8.000% 1 $ 323,000.00 3.06%
8.001% to 8.500% 2 697,500.00 6.61
8.501% to 9.000% 7 2,079,204.66 19.69
9.001% to 9.500% 4 1,047,250.00 9.92
9.501% to 10.000% 8 2,462,082.55 23.32
10.001% to 10.500% 3 1,002,350.00 9.49
10.501% to 11.000% 7 2,106,183.75 19.95
11.001% to 11.500% 1 260,000.00 2.46
11.501% to 12.000% 2 580,511.96 5.50
------------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
28
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE GROUP II
GROSS MARGINS
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
RANGE OF NUMBER OF DATE AGGREGATE DATE AGGREGATE
GROSS MARGINS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
4.001% to 4.500% 1 $ 256,541.72 2.43%
4.501% to 5.000% 5 1,551,361.73 14.69
5.001% to 5.500% 8 2,439,582.00 23.11
5.501% to 6.000% 10 2,815,894.42 26.67
6.001% to 6.500% 5 1,591,500.00 15.07
6.501% to 7.000% 3 931,291.09 8.82
7.001% to 7.500% 2 665,000.00 6.30
7.501% to 8.000% 1 306,911.96 2.91
---------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
NEXT RATE ADJUSTMENT DATES
<TABLE>
<CAPTION>
PERCENT OF
STATISTICAL CALCULATION STATISTICAL CALCULATION
NEXT RATE NUMBER OF DATE AGGREGATE DATE AGGREGATE
ADJUSTMENT DATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
01/01/00 1 $ 256,541.72 2.43%
02/01/00 1 283,662.94 2.69
03/01/00 1 298,000.00 2.82
07/01/01 3 846,856.71 8.02
08/01/01 4 1,288,719.44 12.21
09/01/01 12 3,602,502.11 34.12
10/01/01 8 2,455,200.00 23.25
09/01/02 1 409,500.00 3.88
10/01/02 4 1,117,100.00 10.58
---------------------------------------------------------
TOTAL 35 $ 10,558,082.92 100.00%
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
29
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY (TO CALL)
<TABLE>
<CAPTION>
A-F (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
FIX; PPC 0% 50% 75% 100% 120% 150% 175% 200% 250%
ARM; CPR 0% 5% 15% 25% 27% 30% 35% 45% 60%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 99.99929 7.662 7.634 7.617 7.598 7.584 7.564 7.545 7.524 7.483
Average Life (yrs.) 18.43 7.39 5.10 3.84 3.27 2.67 2.29 1.97 1.54
Modified Duration (yrs.) 8.82 4.77 3.73 3.02 2.64 2.23 1.96 1.72 1.38
First Principal
Payment Date 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999
Last Principal
Payment Date 10/15/2028 10/15/2022 12/15/2012 12/15/2008 09/15/2007 05/15/2006 05/15/2005 04/15/2004 02/15/2003
Payment Windows (mos.) 347 275 157 109 94 78 66 53 39
<CAPTION>
A-V1 (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
FIX; PPC 0% 50% 75% 100% 120% 150% 175% 200% 250%
ARM; CPR 0% 5% 15% 25% 27% 30% 35% 45% 60%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.019 6.019 6.019 6.019 6.019 6.019 6.019 6.019 6.020
Average Life (yrs.) 21.06 11.40 4.94 3.00 2.72 2.37 1.98 1.47 0.99
Modified Duration (yrs.) 11.04 7.14 3.81 2.51 2.31 2.06 1.75 1.33 0.92
First Principal
Payment Date 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999
Last Principal
Payment Date 10/15/2028 10/15/2022 12/15/2012 12/15/2008 09/15/2007 05/15/2006 05/15/2005 04/15/2004 02/15/2003
Payment Windows (mos.) 347 275 157 109 94 78 66 53 39
<CAPTION>
A-V2 (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
FIX; PPC 0% 50% 75% 100% 120% 150% 175% 200% 250%
ARM; CPR 0% 5% 15% 25% 27% 30% 35% 45% 60%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.019 6.019 6.019 6.019 6.019 6.019 6.019 6.019 6.020
Average Life (yrs.) 21.12 11.43 4.94 3.00 2.72 2.38 1.99 1.48 1.00
Modified Duration (yrs.) 11.06 7.15 3.82 2.52 2.32 2.06 1.76 1.34 0.93
First Principal
Payment Date 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999
Last Principal
Payment Date 10/15/2028 10/15/2022 12/15/2012 12/15/2008 09/15/2007 05/15/2006 05/15/2005 04/15/2004 02/15/2003
Payment Windows (mos.) 347 275 157 109 94 78 66 53 39
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
30
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY (TO MATURITY)
<TABLE>
<CAPTION>
A-F (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
FIX; PPC 0% 50% 75% 100% 120% 150% 175% 200% 250%
ARM; CPR 0% 5% 15% 25% 27% 30% 35% 45% 60%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 99.99929 7.662 7.634 7.619 7.603 7.590 7.570 7.553 7.536 7.499
Average Life (yrs.) 18.47 7.48 5.46 4.24 3.58 2.89 2.48 2.16 1.71
Modified Duration (yrs.) 8.83 4.79 3.83 3.17 2.78 2.34 2.06 1.84 1.49
First Principal
Payment Date 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999
Last Principal
Payment Date 10/15/2029 08/15/2028 07/15/2025 12/15/2020 10/15/2017 02/15/2014 01/15/2012 04/15/2010 10/15/2007
Payment Windows (mos.) 359 345 308 253 215 171 146 125 95
<CAPTION>
A-V1 (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
FIX; PPC 0% 50% 75% 100% 120% 150% 175% 200% 250%
ARM; CPR 0% 5% 15% 25% 27% 30% 35% 45% 60%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.020 6.027 6.038 6.034 6.039 6.045 6.046 6.040 6.034
Average Life (yrs.) 21.12 11.98 5.37 3.17 2.91 2.58 2.15 1.56 1.03
Modified Duration (yrs.) 11.05 7.27 3.98 2.60 2.42 2.18 1.86 1.39 0.95
First Principal
Payment Date 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999
Last Principal
Payment Date 11/15/2029 09/15/2029 03/15/2026 06/15/2017 02/15/2016 05/15/2014 12/15/2011 09/15/2008 08/15/2005
Payment Windows (mos.) 360 358 316 211 195 174 145 106 69
<CAPTION>
A-V2 (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
FIX; PPC 0% 50% 75% 100% 120% 150% 175% 200% 250%
ARM; CPR 0% 5% 15% 25% 27% 30% 35% 45% 60%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.020 6.028 6.038 6.034 6.039 6.045 6.046 6.040 6.034
Average Life (yrs.) 21.18 12.01 5.37 3.17 2.91 2.58 2.16 1.57 1.04
Modified Duration (yrs.) 11.07 7.28 3.98 2.60 2.42 2.19 1.86 1.40 0.96
First Principal
Payment Date 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999
Last Principal
Payment Date 11/15/2029 09/15/2029 03/15/2026 07/15/2017 02/15/2016 05/15/2014 12/15/2011 09/15/2008 08/15/2005
Payment Windows (mos.) 360 358 316 212 195 174 145 106 69
</TABLE>
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
31
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP I AVAILABLE FUNDS CAP
-------------------------------------------
<TABLE>
<CAPTION>
PERIOD SCENARIO I SCENARIO II PERIOD SCENARIO I SCENARIO II
- ------ ---------- ----------- ------ ---------- -----------
<S> <C> <C> <C> <C> <C>
1 9.17 9.17 38 10.39 13.37
2 9.17 9.17 39 10.39 13.37
3 9.18 9.17 40 10.39 13.39
4 9.18 9.17 41 10.39 13.39
5 9.18 9.17 42 10.39 13.66
6 9.22 9.22 43 10.39 14.00
7 9.22 9.22 44 10.39 14.00
8 9.22 9.22 45 10.39 14.00
9 9.23 9.22 46 10.39 14.00
10 9.23 9.22 47 10.39 14.00
11 9.23 9.22 48 10.39 14.00
12 9.27 9.26 49 10.39 14.00
13 8.78 8.77 50 10.39 14.00
14 8.78 8.77 51 10.39 14.00
15 8.78 8.77 52 10.39 14.00
16 8.78 8.77 53 10.39 14.00
17 8.78 8.77 54 10.39 14.00
18 8.81 8.82 55 10.39 14.00
19 8.81 8.83 56 10.39 14.00
20 8.81 8.83 57 10.39 14.00
21 8.81 8.83 58 10.39 14.00
22 8.85 8.89 59 10.39 14.00
23 8.85 8.89 60 10.39 14.00
24 9.25 9.70 61 10.39 14.00
25 10.12 11.17 62 10.39 14.00
26 10.12 11.17 63 10.39 14.00
27 10.12 11.17 64 10.39 14.00
28 10.13 11.20 65 10.39 14.00
29 10.13 11.20 66 10.39 14.00
30 10.13 11.51 67 10.39 14.00
31 10.13 12.02 68 10.39 14.00
32 10.13 12.02 69 10.39 14.00
33 10.13 12.02 70 10.39 14.00
34 10.13 12.05 71 10.39 14.00
35 10.13 12.05 72 10.39 14.00
36 10.13 12.36 73 10.39 14.00
37 10.39 13.36 74 10.39 14.00
</TABLE>
* SCENARIO I is achieved assuming 1 month LIBOR stays constant at 5.410% and 6
month LIBOR stays constant at 6.124%; run at the pricing speed to call.
** SCENARIO II is achieved assuming that both 1 month LIBOR and 6 month LIBOR
stay constant at 25%; run at the pricing speed to call.
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
32
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-2
Class A-F, A-V1 & A-V2 Certificates
$400,000,000 (approximate)
- --------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP II AVAILABLE FUNDS CAP
--------------------------------------------
<TABLE>
<CAPTION>
PERIOD SCENARIO I SCENARIO II PERIOD SCENARIO I SCENARIO II
- ------ ---------- ----------- ------ ---------- -----------
<S> <C> <C> <C> <C> <C>
1 8.62 8.62 38 10.32 12.93
2 8.62 8.62 39 10.32 12.93
3 8.62 8.62 40 10.33 12.93
4 8.62 8.62 41 10.33 12.93
5 8.64 8.64 42 10.33 13.19
6 8.70 8.70 43 10.33 13.87
7 8.70 8.70 44 10.33 13.87
8 8.70 8.70 45 10.33 13.87
9 8.70 8.70 46 10.33 13.87
10 8.70 8.70 47 10.33 13.87
11 8.73 8.72 48 10.33 13.87
12 8.78 8.78 49 10.33 14.00
13 8.28 8.28 50 10.33 14.00
14 8.28 8.28 51 10.33 14.00
15 8.28 8.28 52 10.33 14.00
16 8.28 8.28 53 10.33 14.00
17 8.29 8.30 54 10.33 14.00
18 8.32 8.36 55 10.33 14.00
19 8.32 8.36 56 10.33 14.00
20 8.32 8.36 57 10.33 14.00
21 8.32 8.36 58 10.33 14.00
22 8.32 8.36 59 10.33 14.00
23 8.33 8.38 60 10.33 14.00
24 8.85 9.22 61 10.33 14.00
25 10.04 10.77 62 10.33 14.00
26 10.04 10.77 63 10.33 14.00
27 10.04 10.77 64 10.33 14.00
28 10.04 10.77 65 10.33 14.00
29 10.05 10.79 66 10.33 14.00
30 10.05 11.11 67 10.33 14.00
31 10.05 11.63 68 10.33 14.00
32 10.05 11.63 69 10.33 14.00
33 10.05 11.63 70 10.33 14.00
34 10.05 11.63 71 10.33 14.00
35 10.05 11.66 72 10.33 14.00
36 10.04 11.97 73 10.33 14.00
37 10.32 12.92 74 10.33 14.00
</TABLE>
* SCENARIO I is achieved assuming 1 month LIBOR stays constant at 5.410% and 6
month LIBOR stays constant at 6.124%; run at the pricing speed to call.
** SCENARIO II is achieved assuming that both 1 month LIBOR and 6 month LIBOR
stay constant at 25%; run at the pricing speed to call.
BANC OF AMERICA SECURITIES LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
33
