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)
SEPTEMBER 15, 1999
AAMES CAPITAL CORPORATION
--------------------------------------------
(Exact name of Registrant as specified in its charter)
CALIFORNIA 333-46893-01 95-4438859
- ---------------------------- ------------ -------------------
(State or other jurisdiction (Commission (I.R.S. employer
of incorporation) file numbers) identification no.)
350 SOUTH GRAND AVENUE
LOS ANGELES, CALIFORNIA 90071
- ---------------------------------------- ----------
(Address of principal executive offices) (ZIP Code)
(213) 210-5000
--------------------------------------------------
Registrant's telephone number, including area code
NA
-------------------------------------------------------------
(Former name or former address, if changed since last report)
===================================
<PAGE>
Item 7. FINANCIAL STATEMENTS; PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
20.1 Aames Capital Corporation, Mortgage Pass-Through
Certificates, Series 1991-1 - Statement to Certificateholders
Page 2
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as
amended, 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
Dated: September 29, 1999
Page 3
<PAGE>
INDEX TO EXHIBITS
EXHIBIT
20.1 Aames Capital Corporation, Mortgage Pass-Through
Certificates, Series 1991-1 - Statement to Certificateholders
Page 4
EXHIBIT 20.1
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
SEPTEMBER 15, 1999 DISTRIBUTION
--------------------------------------------------------
CONTENTS
--------------------------------------------------------
TABLE OF CONTENTS
------------------------------------------------------
PAGE
1. Contents 1
2. Certificate Payment Report 2
3. Collection Account Report 6
4. Credit Enhancement Report 9
5. Collateral Report 10
6. Delinquency Report 13
7. REO Report 16
8. Prepayment Report 17
9. Prepayment Detail Report 20
10. Realized Loss Report 21
11. Realized Loss Detail Report 24
12. Triggers, Adj. Rate Cert. and Miscellaneous Report 25
-----
Total Number of Pages 25
CONTACTS
-----------------------------------------------------------------------------
Administrator: David C. West
Direct Phone Number: (949)225-6376
Address: Bankers Trust Company of California, N.A.
3 Park Plaza 16th Floor, Irvine, CA 92614
Web Site: http://online.bankerstrust.com/invr/
Factor Information: (800) 735-7777
Main Phone Number: (949) 253-7575
-----------------------------------------------------------------------------
ISSUANCE INFORMATION
- ------------------------------------------------------------------------------
Seller: Aames Capital Corporation
Certificate Insurer: Financial Security Assurance Inc.
Servicer(s): Aames Capital Corporation Master ServicerFirst
Fairbanks Capital Corp. Back-Up Servicer
Cut-Off Date: July 1, 1999
Closing Date: August 5, 1999
Payment Date: August 16, 1999
Underwriter(s): Lehman Brothers Securities Corporation Lead Underwriter
Banc Of America Securities LLC Co-Lead Underwriter
Greenwich Capital Markets, Inc. Co-Lead Underwriter
Distribution Date: September 15, 1999
Record Date: September 14, 1999
August 31, 1999
- -------------------------------------------------------------------------------
Page 1 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
<TABLE>
<CAPTION>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Remic I Series 1999-1
Certificate Payment Report for September 15, 1999 Distribution
Distribution in Dollars - Current Period
--------------------------------------------------------------------------------------------------------------------------------
Prior Current
Class Original Principal Total Realized Deferred Principal
Class Type Face Value Balance Interest Principal Distribution Losses Interest Balance
(1) (2) (3) (4)=(2)+(3) (5) (6) (7)=(1)-(3)-(5)+(6)
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
LT-AF 19,123.50 19,085.00 115.94 185.64 301.58 - - 18,899.36
LT-MF 196,688,617.88 196,639,650.59 1,501,079.13 1,514,482.12 3,015,561.25 - 34.18 195,125,202.65
LT-AV 20,203,50 20,097.21 94.94 246.08 341.02 - - 19,851.13
LT-MV 203,337,098.17 203,314,880.21 1,602,871.97 1,806,989.29 3,409,861.26 - 65.36 201,507,956.28
P 100.00 100.00 51,561.51 - 51,561.51 - - 100.00
R-I - - - - - - - -
---------------------------------------------------------------------------------------------------------------------------------
Total 400,065,143.05 399,993,813.01 3,155,723.49 3,321,903.13 6,477,626.62 - 99.54 396,672,009.42
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Interest Accrual Detail Current Period Factor Information per $1,000 of Original Face
---------------------------------------------------------------------------------------------------------------------------------
Orig. Principal Prior Current
Period Period (with Notional) Principal Total Principal
Class Starting Ending Method Cusip Balance Balance Interest Principal Distribution Balance
(1) (2) (3) (4)=(2)+(3) (5)
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
LT-AF F-30/360 19,123.50 997.986770 6.062698 9.707428 15.770126 988.279342
LT-MF F-30/360 196,688,617.88 999.751042 7.631754 7.699897 15.331651 992.051318
LT-AV 08/16/99 09/14/99 A-Act/360 20,203,50 994.739030 4.698943 12.180068 16.879011 982.558963
LT-MV F-30/360 203,337,098.17 999.890733 7.882831 8.886668 16.769499 991.004387
P - 100.00 1,000.000000 515,615.100000 - 515,615.100000 1,000.000000
R-I - - - - - - -
</TABLE>
Page 2 of 25 (C)COPYRIGHT 1999 Bankers Trust Company
<PAGE>
<TABLE>
<CAPTION>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Remic I Series 1999-1
Certificate Payment Report for September 15, 1999 Distribution
Distribution in Dollars - to Date
----------------------------------------------------------------------------------------------------------------------------------
Current
Original Unscheduled Scheduled Total Total Realized Deferred Principal
Class Face Value Interest Principal Principal Principal Distribution Losses Interest Balance
(1) (2) (3) (4) (5)=(3)+(4) (6)=(2)+(5) (7) (8) (9)=(1)-(5)-(7)+(8)
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
LT-AF 19,123.50 232.12 172.42 51.72 224.14 456.26 - - 18,899.36
LT-MF 196,688,617.88 2,998,649.00 1,284,889.86 278,593.15 1,563,483.01 4,562,132.01 - 67.78 195,125,202.65
LT-AV 20,203.50 129.55 323.99 28.38 352.37 481.92 - - 19,851.13
LT-MV 203,337,098.17 2,989,579.73 1,712,678.56 116,632.75 1,829,311.31 4,818,891.04 - 169.43 201,507,956.28
P 100.00 51,561.51 - - - 51,561.51 - - 100.00
R-I - - - - - - - - -
----------------------------------------------------------------------------------------------------------------------------------
Total 400,065,143.05 6,040,151.91 2,998,064.84 395,305.99 3,393,370.83 9,433,522.74 - 237.21 396,672,009.42
----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Interest Detail
----------------------------------------------------------------------------------------------------------------------------------
Pass- Prior Principal Non- Prior Unscheduled Paid or Current
Through (with Notional) Accrued Supported Unpaid Interest Optimal Deferred Unpaid
Class Rate Balance Interest Interest SF Interest Adjustments Interest Interest Interest
(1) (2) (3) (4) (5)=(1)-(2)+(3)+(4) (6) (7)=(5)-(6)
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
LT-AF 7.29000% 19,085.00 115.94 - - - 115.94 115.94 -
LT-MF 9.16041% 196,639,650.59 1,501,079.13 - - - 1,501,079.13 1,501,113.31 -
LT-AV 5.66875% 20,097.21 94.94 - - - 94.94 94.94 -
LT-MV 9.46044% 203,314,880.21 1,602,871.97 - - - 1,602,871.97 1,602,937.33 -
P 100.00 - - - - 51,561.51 51,561.51 -
R-I - - - - - - - -
----------------------------------------------------------------------------------------------------------------------------------
Total 399,993,813.01 3,104,161.98 - - - 3,155,723.49 3,155,823.03 -
----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 3 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Remic II Series 1999-1
Certificate Payment Report for September 15, 1999 Distribution
<TABLE>
<CAPTION>
Distribution in Dollars - Current Period
----------------------------------------------------------------------------------------------------------------------------------
Prior Current
Class Original Principal Total Realized Deferred Principal
Class Type Face Value Balance Interest Principal Distribution Losses Interest Balance
(1) (2) (3) (4)=(2)+(3) (5) (6) (7)=(1)-(3)-(5)+(6)
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-F STEP 191,235,000.00 190,850,027.19 1,159,413.92 1,856,448.91 3,015,862.83 - - 188,993,578.28
A-V STEP 202,035,000.00 200,972,073.81 949,383.70 2,460,818.58 3,410,202.28 - - 198,511,255.23
C 6,795,043.05 8,202,951.13 - - - - 1,628,286.95 9,831,238.08
R-II - - - - - - - -
----------------------------------------------------------------------------------------------------------------------------------
Total 400,065,043.05 400,025,052.13 2,108,797.62 4,317,267.49 6,426,065.11 - 1,628,286.95 397,336,071.59
----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Interest Accrual DetailCurrent Period Factor Information per $1,000 of Original Face
----------------------------------------------------------------------------------------------------------------------------------
Orig. Principal Prior Current
Period Period (with Notional) Principal Total Principal
Class Starting Ending Method Cusip Balance Balance Interest Principal Distribution Balance
(1) (2) (3) (4)=(2)+(3) (5)
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-F F-30/360 00253CFM4 191,235,000.00 997.986912 6.062771 9.707684 15.770454 988.279229
A-V 08/16/99 09/14/99 A-Act/360 0253CFN2 202,035,000.00 994.738901 4.699105 12.180160 16.879265 982.558741
C - 6,795,043.05 1,207.196344 - - - 1,446.824988
R-II - - - - - - -
--------------------------------------------------------------------------------------------------------------
</TABLE>
Note: Adjustable Rate Certificates have a record date that is one business day
prior to distribution
Page 4 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Remic II Series 1999-1
Certificate Payment Report for September 15, 1999 Distribution
<TABLE>
<CAPTION>
Distribution in Dollars - to Date
----------------------------------------------------------------------------------------------------------------------------------
Current
Original Unscheduled Scheduled Total Total Realized Deferred Principal
Class Face Value Interest Principal Principal Principal Distribution Losses Interest Balance
(1) (2) (3) (4) (5)=(3)+(4) (6)=(2)+(5) (7) (8) (9)=(1)-(5)-(7)+(8)
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-F 191,235,000.00 2,321,166.55 1,724,233.81 517,187.91 2,241,421.72 4,562,588.27 - - 188,993,578.28
A-V 202,035,000.00 1,295,628.20 3,239,850.21 283,894.56 3,523,744.77 4,819,372.97 - - 198,511,255.23
C 6,795,043.05 - - - - - - 3,036,195.03 9,831,238.08
R-II - - - - - - - - -
----------------------------------------------------------------------------------------------------------------------------------
Total 400,065,043.05 3,616,794.75 4,964,084.02 801,082.47 5,765,166.49 9,381,961.24 - 3,036,195.03 397,336,071.59
----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Interest Detail
----------------------------------------------------------------------------------------------------------------------------------
Pass- Prior Principal Non- Prior Unscheduled Paid or Current
Through (with Notional) Accrued Supported Unpaid Interest Optimal Deferred Unpaid
Class Rate Balance Interest Interest SF Interest Adjustments Interest Interest Interest
(1) (2) (3) (4) (5)=(1)-(2)+(3)+(4) (6) (7)=(5)-(6)
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-F 7.29000% 190,850,027.19 1,159,413.92 - - - 1,159,413.91 1,159,413.92 -
A-V 5.66875% 200,972,073.81 949,383.70 - - - 949,383.70 949,383.70 -
C 8,202,951.13 - - - - - 1,628,286.95 -
R-II - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Total 400,025,052.13 2,108,797.62 - - - 2,108,797.62 3,737,084.57 -
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 5 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Collection Account Report for September 15, 1999 Distribution
Collection Account Report
<TABLE>
<CAPTION>
SUMMARY ADJUSTABLE FIXED TOTAL
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Principal Collections 1,807,164.48 1,514,633.58 3,321,798.06
Principal Withdrawals 0.00 0.00 0.00
Principal Other Accounts 5.53 0.00 5.53
TOTAL NET PRINCIPAL 1,807,170.01 1,514,633.58 3,321,803.59
Interest Collections 1,750,536.77 1,637,807.77 3,388,344.54
Interest Withdrawals 0.00 0.00 0.00
Interest Other Accounts 0.00 0.00 0.00
Interest Fees (117,988.69) (114,532.82) (232,521.51)
TOTAL NET INTEREST 1,632,548.08 1,523,274.95 3,155,823.03
TOTAL AVAILABLE FUNDS TO BONDHOLDERS 3,439,712.56 3,037,908.53 6,477,621.09
TOTAL REMITANCE DUE FROM SERVICER 3,482,468.36 3,078,585.18 6,561,053.54
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL - COLLECTIONS ADJUSTABLE FIXED TOTAL
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Scheduled Principal 94,254.79 229,581.03 323,835.82
Curtailments (7,577.93) 0.00 (7,577.93)
Prepayments in Full 1,720,487.62 1,285,052.55 3,005,540.17
Repurchases/Substitutions 0.00 0.00 0.00
Liquidations 0.00 0.00 0.00
Insurance Principal 0.00 0.00 0.00
Other Additional Principal 0.00 0.00 0.00
Delinquent Principal 0.00 0.00 0.00
Realized Losses 0.00 0.00 0.00
Mortgage Replacement Amount 0.00 0.00 0.00
TOTAL PRINCIPAL COLLECTED 1,807,164.48 1,514,633.58 3,321,798.06
</TABLE>
Page 6 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Collection Account Report for September 15, 1999 Distribution
Collection Account Report
PRINCIPAL - WITHDRAWALS ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------
SPACE INTENTIONALLY LEFT BLANK
<TABLE>
<CAPTION>
PRINCIPAL - OTHER ACCOUNTS ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Prefunded Release Amount 5.53 0.00 5.53
TOTAL OTHER ACCOUNTS PRINCIPAL 5.53 0.00 5.53
</TABLE>
<TABLE>
<CAPTION>
INTEREST - COLLECTIONS ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
Scheduled Interest 1,727,474.70 1,623,847.05 3,351,321.75
Repurchases/Substitutions 0.00 0.00 0.00
Liquidations 0.00 0.00 0.00
Insurance Interest 0.00 0.00 0.00
Other Additional Interest 0.00 0.00 0.00
Prepayment Interest Shortfalls 0.00 0.00 0.00
Delinquent Interest (212,204.28) (183,781.13) (395,985.41)
Realized Losses 0.00 0.00 0.00
Compensating Interest 0.00 0.00 0.00
Other Interest Shortfall (Relief Act) 0.00 0.00 0.00
Interest Advanced 202,714.27 175,696.15 378,410.42
Closing Date Deposits 3,036.27 0.00 3,036.27
Insurer Interest to Cover PPIS 0.00 0.00 0.00
Prepayment Penalties 29,515.81 22,045.70 51,561.51
TOTAL INTEREST COLLECTED 1,750,536.77 1,637,807.77 3,388,344.54
</TABLE>
Page 7 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Collection Account Report for September 15, 1999 Distribution
Collection Account Report
<TABLE>
<CAPTION>
INTEREST - WITHDRAWALS ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Unpaid Servicing Fees 0.00 0.00 0.00
Advances Reimbursed 0.00 0.00 0.00
TOTAL INTEREST WITHDRAWLS 0.00 0.00 0.00
</TABLE>
<TABLE>
<CAPTION>
INTEREST - OTHER ACCOUNTS ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Capitialized Interest Requirement 0.00 0.00 0.00
TOTAL OTHER ACCOUNT INTEREST 0.00 0.00 0.00
</TABLE>
<TABLE>
<CAPTION>
INTEREST - FEES ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Servicing Fees 75,232.89 73,856.17 149,089.06
Back Up Servicing Fees 4,236.15 4,097.06 8,333.21
Certificate Insurance Premiums 38,519.65 36,579.59 75,099.24
Trustee Fees 0.00 0.00 0.00
TOTAL INTEREST OTHER FEES 117,988.69 114,532.82 232,521.51
</TABLE>
Page 8 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Credit Enhancement Report for September 15, 1999 Distribution
Credit Enhancement Report
ACCOUNTS ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------
SPACE INTENTIONALLY LEFT BLANK
<TABLE>
<CAPTION>
INSURANCE ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Insurance Premium Due 38,519.65 36,579.59 75,099.24
Insurance Premium Paid 38,519.65 36,579.59 75,099.24
Reimbursements to Certificate Insurer 0.00 0.00 0.00
Insured Payments Made By Certiifcate
Insurer 0.00 0.00 0.00
Insurance Premiums Due but not Paid 0.00 0.00 0.00
</TABLE>
<TABLE>
<CAPTION>
STRUCTURAL FEATURES ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Extra Principal Distribution Amt 653,648.57 341,815.33 995,463.90
Overcollateralization Amount 3,016,552.18 6,150,523.73 9,167,075.91
Targeted Overcollateralization Amt 11,489,687.54 10,818,925.78 22,308,613.32
Overcollateralization Release Amount 0.00 0.00 0.00
Overcollateralization Defficiency Amt 9,126,783.93 5,010,217.38 14,137,001.31
</TABLE>
Page 9 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Collateral Report for September 15, 1999 Distribution
Collateral Report
<TABLE>
<CAPTION>
COLLATERAL ADJUSTABLE FIXED TOTAL
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Loan Count:
ORIGINAL 1786 3011 4797
Prior 1,786 3,010 4,796
Prefunding 443 - 443
Scheduled Paid Offs - - -
Full Voluntary Prepayments (17) (26) (43)
Repurchases - - -
Liquidations - - -
-----------------------------------------------------------------------------------------------
Current 2,212 2,984 5,196
PRINCIPAL BALANCE:
Original 163,359,100.25 196,707,741.38 360,066,841.63
Prior 163,336,776.00 196,658,735.59 359,995,511.59
Prefunding 39,998,195.89 - 39,998,195.89
Scheduled Principal (94,254.79) (229,581.03) (323,835.82)
Partial and Full Voluntary Prepayments (1,712,909.69) (1,285,052.55) (2,997,962.24)
Repurchases - - -
-----------------------------------------------------------------------------------------------
Liquidations - - -
Current 201,527,807.41 195,144,102.01 396,671,909.42
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PREFUNDING ADJUSTABLE FIXED TOTAL
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Prefunding Beginning Balance 39,998,201.42 0.00
Balance of Subsequent Loans Transfered (39,998,195.89) 0.00
Prefunded Amount Dispursed To Offered
Certificates (5.53) 0.00
Prefunding Ending Balance 0.00 0.00
Capitalized Interest Beginning Balance 50,286.59 0.00
Capitalized Interest Requirement 0.00 0.00
Capitalized Interest Released to Seller 50,286.59 0.00
Capitalized Interest Ending Balance 0.00 0.00
</TABLE>
Current Prin Balance by Groups Total Current Principal Balance
(in millions of dollars) (in millions of dollars)
GRAPH OMITTED GRAPH OMITTED
Page 10 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Collateral Report for September 15, 1999 Distribution
Collateral Report
<TABLE>
<CAPTION>
CHARACTERISTICS ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Weighted Average Coupon Original 10.202764% 9.908650% 10.042087%
Weighted Average Coupon Prior 10.202764% 9.908650% 10.042087%
Weighted Average Coupon Current 10.212769% 9.908619% 10.063232%
-----------------------------------------------------------------------------------------------------------
Weighted Average Months to Maturity Original 354 316 333
Weighted Average Months to Maturity Prior 354 316 333
Weighted Average Months to Maturity Current 354 315 335
-----------------------------------------------------------------------------------------------------------
Weighted Avg Remaining Amortization Term Original 355 316 334
Weighted Avg Remaining Amortization Term Prior 355 316 334
Weighted Avg Remaining Amortization Term Current 354 315 335
-----------------------------------------------------------------------------------------------------------
Weighted Average Seasoning Original 3.10 3.06 3.08
Weighted Average Seasoning Prior 3.10 3.06 3.08
Weighted Average Seasoning Current 3.41 4.06 3.73
</TABLE>
- -------------------------------------------------------------------------------
Note: Original information refers to deal issue.
- - Fixed
- - Adjustable
WAC by Groups Total WAC
GRAPH OMITTED GRAPH OMITTED
WARAT by Groups Total WARAT
GRAPH OMITTED GRAPH OMITTED
Note: Dates correspond to distribution dates.
Page 11 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Collateral Report for September 15, 1999 Distribution
Collateral Report
<TABLE>
<CAPTION>
ARM CHARACTERISTICS ADJUSTABLE FIXED TOTAL
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Weighted Average Margin Original 5.948%
Weighted Average Margin Prior 5.948%
Weighted Average Margin Current 5.932%
------------------------------------------------------------------------------------------------
Weighted Average Max Rate Original 16.953%
Weighted Average Max Rate Prior 16.953%
Weighted Average Max Rate Current 16.824%
------------------------------------------------------------------------------------------------
Weighted Average Min Rate Original 10.160%
Weighted Average Min Rate Prior 10.160%
Weighted Average Min Rate Current 10.167%
------------------------------------------------------------------------------------------------
Weighted Average Cap Up Original 2.735%
Weighted Average Cap Up Prior 2.735%
Weighted Average Cap Up Current 2.602%
------------------------------------------------------------------------------------------------
Weighted Average Cap Down Original 2.735%
Weighted Average Cap Down Prior 2.735%
Weighted Average Cap Down Current 2.602%
- --------------------------------------------------------------------------------------------------
</TABLE>
Note: Original information refers to deal issue.
<TABLE>
<CAPTION>
SERVICING FEES / ADVANCES ADJUSTABLE FIXED TOTAL
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Servicing Fees 75,232.89 73,856.17 149,089.06
Delinquent Servicing Fees 9,490.02 8,084.97 17,574.99
TOTAL SERVICING FEES 84,722.91 81,941.14 166,664.05
Total Servicing Fees 84,722.91 81,941.14 166,664.05
Compensating Interest 0.00 0.00 0.00
Delinquent Servicing Fees (9,490.02) (8,084.97) (17,574.99)
COLLECTED SERVICING FEES 75,232.89 73,856.17 149,089.06
Prepayment Interest Shortfall 0.00 0.00 0.00
Total Advanced Interest 202,714.27 175,696.15 378,410.42
</TABLE>
ADDITIONAL COLLATERAL INFORMATION ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------
SPACE INTENTIONALLY LEFT BLANK
- -------------------------------------------------------------------------------
Page 12 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Delinquency Report for September 15, 1999 Distribution
Delinquency Report - Total
<TABLE>
<CAPTION>
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
DELINQUENT Balance 7,626,081.32 920,033.42 29,327.39 8,575,442.13
% Balance 1.92% 0.23% 0.01% 2.16%
# Loans 141 15 1 157
% # Loans 2.71% 0.29% 0.02% 3.02%
- ------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance 81,211.70 780,519.80 3,589,877.94 109,243.18 4,560,852.62
% Balance 0.02% 0.20% 0.90% 0.03% 1.15%
# Loans 1 13 47 2 63
% # Loans 0.02% 0.25% 0.90% 0.04% 1.21%
- ------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance - - - - -
% Balance 0.00% 0.00% 0.00% 0.00% 0.00%
# Loans - - - - -
% # Loans 0.00% 0.00% 0.00% 0.00% 0.00%
- ------------------------------------------------------------------------------------------------------------
REO Balance 289,179.30 89,885.73 - - 379,065.03
% Balance 0.07% 0.02% 0.00% 0.00% 0.10%
# Loans 4 1 - - 5
% # Loans 0.08% 0.02% 0.00% 0.00% 0.10%
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
TOTAL Balance 370,391.00 8,496,486.85 4,509,911.36 138,570.57 13,515,359.78
% Balance 0.09% 2.14% 1.14% 0.03% 3.41%
# Loans 5 155 62 3 225
% # Loans 0.10% 2.98% 1.19% 0.06% 4.33%
- ------------------------------------------------------------------------------------------------------------
Note: Current = 0-29days, 1 Payment =30-59days, 2 Payments = 60-89days, 3+ Payments = 90+
</TABLE>
--6 Months Moving Average
1 or 2 Payments Delinquent 3 or More Payments Delinquent
GRAPH OMITTED GRAPH OMITTED
Total Foreclosure Total Bankruptcy and REO
GRAPH OMITTED GRAPH OMITTED
Note: Dates correspond to distribution dates.
Page 13 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Delinquency Report for September 15, 1999 Distribution
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
Delinquency Report - Fixed Group
- ------------------------------------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
DELINQUENT Balance 3,935,426.94 439,235.27 29,327.39 4,403,989.60
% Balance 2.02% 0.23% 0.02% 2.26%
# Loans 84 9 1 94
% # Loans 2.82% 0.30% 0.03% 3.15%
- ------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance - 312,862.31 994,380.92 109,243.18 1,416,486.41
% Balance 0.00% 0.16% 0.51% 0.06% 0.73%
# Loans - 7 21 2 30
% # Loans 0.00% 0.23% 0.70% 0.07% 1.01%
- ------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance - - - - -
% Balance 0.00% 0.00% 0.00% 0.00% 0.00%
# Loans - - - - -
% # Loans 0.00% 0.00% 0.00% 0.00% 0.00%
- ------------------------------------------------------------------------------------------------------------
REO Balance 41,485.75 - - - 41,485.75
% Balance 0.02% 0.00% 0.00% 0.00% 0.02%
# Loans 1 - - - 1
% # Loans 0.03% 0.00% 0.00% 0.00% 0.03%
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
TOTAL Balance 41,485.75 4,248,289.25 1,433,616.19 138,570.57 5,861,961.76
% Balance 0.02% 2.18% 0.73% 0.07% 3.00%
# Loans 1 91 30 3 125
% # Loans 0.03% 3.05% 1.01% 0.10% 4.19%
- ------------------------------------------------------------------------------------------------------------
Note: Current = 0-29days, 1 Payment =30-59days, 2 Payments = 60-89days, 3+ Payments = 90+
</TABLE>
--6 Months Moving Average
1 or 2 Payments Delinquent 3 or More Payments Delinquent
GRAPH OMITTED GRAPH OMITTED
Total Foreclosure Total Bankruptcy and REO
GRAPH OMITTED GRAPH OMITTED
Note: Dates correspond to distribution dates.
Page 14 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Delinquency Report for September 15, 1999 Distribution
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
Delinquency Report - Adjustable Group
- ------------------------------------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
DELINQUENT Balance 3,690,654.38 480,798.15 - 4,171,452.53
% Balance 1.83% 0.24% 0.00% 2.07%
# Loans 57 6 - 63
% # Loans 2.58% 0.27% 0.00% 2.85%
- ------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance 81,211.70 467,657.49 2,595,497.02 - 3,144,366.21
% Balance 0.04% 0.23% 1.29% 0.00% 1.56%
# Loans 1 6 26 - 33
% # Loans 0.05% 0.27% 1.18% 0.00% 1.49%
- ------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance - - - - -
% Balance 0.00% 0.00% 0.00% 0.00% 0.00%
# Loans - - - - -
% # Loans 0.00% 0.00% 0.00% 0.00% 0.00%
- ------------------------------------------------------------------------------------------------------------
REO Balance 247,693.55 89,885.73 - - 337,579.28
% Balance 0.12% 0.04% 0.00% 0.00% 0.17%
# Loans 3 1 - - 4
% # Loans 0.14% 0.05% 0.00% 0.00% 0.18%
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
TOTAL Balance 328,905.25 4,248,197.60 3,076,295.17 - 7,653,398.02
% Balance 0.16% 2.11% 1.53% 0.00% 3.80%
# Loans 4 64 32 - 100
% # Loans 0.18% 2.89% 1.45% 0.00% 4.52%
- ------------------------------------------------------------------------------------------------------------
Note: Current = 0-29days, 1 Payment =30-59days, 2 Payments = 60-89days, 3+ Payments = 90+
</TABLE>
--6 Months Moving Average
1 or 2 Payments Delinquent 3 or More Payments Delinquent
GRAPH OMITTED GRAPH OMITTED
Total Foreclosure Total Bankruptcy and REO
GRAPH OMITTED GRAPH OMITTED
Note: Dates correspond to distribution dates.
Page 15 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
REO Report for September 15, 1999 Distribution
- -------------------------------------------------------------------------------
REO Report - Mortgage Loans that Become REO During Current Distribution
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY LOAN GROUP
- ------------------------------------------------------------------------------------------------------------------
<S> <C>
Total Loan Count = 5 Loan Group 1 = Fixed Group; REO Book Value = Not Available
Total Original Principal Balance = 379,950.0 Loan Group 2 = Adjustable Group; REO Book Value = Not Available
Total Current Balance = 379,065.03
REO Book Value = Not Available
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
REO Book Value reported corresponds to total REO loans, including
loans that become REO during current distribution.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
Loan Number Original Stated Current State &
& Principal Principal Paid to Note LTV at Original Origination
Loan Group Balance Balance Date Rate Origination Term Date
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
9497455 1 41,500.00 41,485.75 Jul-01-99 11.170% TX - 77.50% 360 May-10-99
9425128 2 90,000.00 89,730.09 Aug-01-99 10.270% KY - 90.00% 360 Dec-21-98
9443428 2 124,000.00 123,531.79 Aug-01-99 8.400% NJ - 80.00% 360 Jan-05-99
9445552 2 90,000.00 89,885.73 Jun-01-99 11.720% TX - 75.00% 360 Jan-12-99
9485791 2 34,450.00 34,431.67 Sep-01-99 14.270% MI - 65.00% 360 May-26-99
</TABLE>
Page 16 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Prepayment Report for September 15, 1999 Distribution
- -------------------------------------------------------------------------------
Prepayment Report - Voluntary Prepayments
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VOLUNTARY PREPAYMENTS ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current
Number of Paid in Full Loans 17 26 43
Number of Repurchased Loans - - -
---------------------------------------------------------------------------------------------------
Total Number of Loans Prepaid in Full 17 26 43
Paid in Full Balance 1,720,487.62 1,285,052.55 3,005,540.17
Repurchased Loans Balance - - -
Curtailments Amount (7,577.93) - (7,577.93)
---------------------------------------------------------------------------------------------------
Total Prepayment Amount 1,712,909.69 1,285,052.55 2,997,962.24
Cumulative
Number of Paid in Full Loans 17 27 44
Number of Repurchased Loans - - -
---------------------------------------------------------------------------------------------------
Total Number of Loans Prepaid in Full 17 27 44
Paid in Full Balance 1,720,487.62 1,303,006.13 3,023,493.75
Repurchased Loans Balance - - -
Curtailments Amount (83,220.79) (158,587.56) (241,808.35)
---------------------------------------------------------------------------------------------------
Total Prepayment Amount 1,637,266.83 1,144,418.57 2,781,685.40
</TABLE>
SPACE INTENTIONALLY LEFT BLANK
- -------------------------------------------------------------------------------
Total Prepayments by Groups Total Prepayments
(in thousands of dollars) (in thousands of dollars)
GRAPH OMITTED GRAPH OMITTED
Page 17 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Prepayment Report for September 15, 1999 Distribution
- -------------------------------------------------------------------------------
Prepayment Report - Voluntary Prepayments
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VOLUNTARY PREPAYMENT RATES ADJUSTABLE FIXED TOTAL
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
SMM 0.84% 0.65% 0.75%
3 Months Avg SMM
12 Months Avg SMM
Avg SMM Since Cut-off 0.42% 0.33% 0.38%
CPR 9.66% 7.57% 8.64%
3 Months Avg CPR
12 Months Avg CPR
Avg CPR Since Cut-off 4.95% 3.86% 4.42%
PSA 1416.53% 933.81% 1158.99%
3 Months Avg PSA Approximation
12 Months Avg PSA Approximation
Avg PSA Since Cut-off Approximation 760.94% 543.01% 649.37%
- ------------------------------------------------------------------------------
</TABLE>
- - Fixed
- - Adjustable
CPR by Groups Total CPR
GRAPH OMITTED GRAPH OMITTED
PSA by Groups Total PSA
GRAPH OMITTED GRAPH OMITTED
Page 18 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Prepayment Report for September 15, 1999 Distribution
- -------------------------------------------------------------------------------
Prepayment Report - Voluntary Prepayments
- -------------------------------------------------------------------------------
- - Fixed
- - Adjustable
CPR Avg since Cut-Off by Groups Total CPR Avg since Cut-Off
GRAPH OMITTED GRAPH OMITTED
PSA Avg since Cut-Off by Groups Total PSA Avg since Cut-Off
GRAPH OMITTED GRAPH OMITTED
PREPAYMENT CALCULATION METHODOLOGY
- -------------------------------------------------------------------------------
Single Monthly Mortality (SMM): (Voluntary partial and full prepayments +
Repurchases)/(Beg Principal Balance - Sched Principal)
Conditional Prepayment Rate (CPR): 1-((1-SMM)^12)
PSA Standard Prepayment Model: CPR/(0.02*min(30,WAS))
Average SMM over period between nth month and mth month (AvgSMMn,m):
[(1-SMMn) * (1-SMMn+1) *.......*(1-SMMm)]^(1/months in period n,m)
Average CPR over period between the nth month and mth month (AvgCPRn,m):
1-((1-AvgSMMn,m)^12)
Average PSA Approximation over period between the nth month and mth month:
AvgCPRn,m/(0.02*Avg WASn,m))
Average WASn,m: (min(30,WASn)+min(30,WASn+1)+.......+min(30,WASm)/(number
of months in the period n,m)
Weighted Average Seasoning (WAS)
Note: Prepayment rates are calculated since deal issue date and include
partial and full voluntary prepayments and repurchases.
Dates correspond to distribution dates.
- -------------------------------------------------------------------------------
Page 19 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Prepayment Detail Report for September 15, 1999 Distribution
- -------------------------------------------------------------------------------
Prepayment Detail Report - Loans Prepaid in Full During Current Distribution
------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY LOAN GROUP
- ----------------------------------------------- ------------------------------
<S> <C>
Total Loan Count = 43 Loan Group 1 = Fixed Group
Total Original Principal Balance = 3,013,665.00 Loan Group 2 = Adjustable Group
Total Prepayment Amount = 3,005,540.17
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
Loan Number Original Current State & Type Prepayment
& Loan Principal Prepayment Prepayment Note LTV at & Origination
Loan Group Status Balance Amount Date Rate Origination Original Term Date
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
4496566 1 22,400.00 22,057.06 Aug-31-99 12.320% PA - 70.00% Paid Off - 180 Nov-23-98
7217544 1 135,000.00 134,252.66 Aug-31-99 9.500% NY - 75.00% Paid Off - 360 Feb-08-99
7242743 1 20,000.00 19,854.03 Aug-31-99 10.000% MI - 55.00% Paid Off - 180 Mar-15-99
7250304 1 22,500.00 22,242.20 Aug-31-99 8.200% MO - 55.00% Paid Off - 180 Mar-29-99
7258291 1 28,000.00 27,920.86 Aug-31-99 8.250% GA - 51.00% Paid Off - 180 Mar-31-99
7266472 1 13,200.00 13,168.01 Aug-31-99 9.950% PA - 80.00% Paid Off - 180 Jun-04-99
7269056 1 54,000.00 53,946.67 Aug-31-99 9.500% IL - 80.00% Paid Off - 360 Apr-21-99
7270062 1 72,200.00 71,797.67 Aug-31-99 8.450% IL - 81.00% Paid Off - 180 Apr-28-99
7280025 1 72,000.00 71,928.88 Aug-31-99 9.500% VA - 80.00% Paid Off - 360 Apr-28-99
7280521 1 30,000.00 29,860.52 Aug-31-99 10.450% MI - 23.00% Paid Off - 180 Apr-26-99
7291981 1 20,100.00 20,032.58 Aug-31-99 10.900% AZ - 26.00% Paid Off - 180 May-12-99
7295332 1 30,000.00 29,925.26 Aug-31-99 9.650% TX - 22.00% Paid Off - 180 May-24-99
9420614 1 80,400.00 80,208.68 Aug-31-99 10.620% NE - 80.00% Paid Off - 360 Dec-01-98
9431365 1 68,000.00 67,779.85 Aug-31-99 9.150% HI - 85.00% Paid Off - 360 Jan-29-99
9431454 1 23,000.00 22,711.48 Aug-31-99 9.750% IA - 35.30% Paid Off - 180 Jan-26-99
9441360 1 66,300.00 66,227.10 Aug-31-99 12.250% MN - 85.00% Paid Off - 360 Dec-30-98
9442014 1 56,000.00 55,863.54 Aug-31-99 9.620% LA - 80.00% Paid Off - 360 Jan-05-99
9457763 1 32,000.00 31,885.22 Aug-31-99 13.000% UT - 84.70% Paid Off - 240 Feb-11-99
9463917 1 75,600.00 74,857.60 Aug-31-99 11.500% NV - 70.00% Paid Off - 360 Feb-25-99
9475532 1 15,000.00 14,945.12 Aug-31-99 13.000% ID - 85.40% Paid Off - 240 Mar-24-99
9475818 1 26,600.00 26,564.99 Aug-31-99 10.080% NY - 70.00% Paid Off - 360 Mar-24-99
9476865 1 44,460.00 44,410.52 Aug-31-99 10.860% FL - 70.00% Paid Off - 360 Mar-26-99
9478256 1 22,750.00 22,745.53 Aug-31-99 13.670% PA - 65.00% Paid Off - 360 Apr-02-99
9498273 1 75,200.00 75,173.88 Aug-31-99 11.120% TX - 80.00% Paid Off - 360 May-10-99
9501290 1 19,000.00 18,992.64 Aug-31-99 10.620% IN - 76.00% Paid Off - 360 May-12-99
9718664 1 165,700.00 165,700.00 Aug-31-99 10.500% CA - 84.90% Paid Off - 360 Jun-09-99
1461427 2 168,300.00 167,505.28 Aug-31-99 8.750% CO - 90.00% Paid Off - 360 Oct-22-98
1474693 2 67,190.00 67,190.00 Aug-31-99 8.750% CO - 77.20% Paid Off - 360 Apr-23-99
7248989 2 177,300.00 176,958.48 Aug-31-99 8.250% AZ - 90.00% Paid Off - 360 Mar-22-99
7266111 2 72,000.00 71,902.08 Aug-31-99 7.950% CO - 90.00% Paid Off - 360 Apr-14-99
9395652 2 173,590.00 172,716.42 Aug-31-99 9.200% GA - 79.90% Paid Off - 360 Oct-15-98
9420940 2 89,000.00 88,315.56 Aug-31-99 8.980% OH - 66.40% Paid Off - 360 Nov-19-98
9439889 2 52,200.00 52,093.63 Aug-31-99 11.330% MA - 90.00% Paid Off - 360 Dec-30-98
9444203 2 50,050.00 50,003.05 Aug-31-99 13.970% MN - 65.00% Paid Off - 360 Jan-12-99
9447717 2 35,425.00 35,397.63 Aug-31-99 12.520% KY - 64.40% Paid Off - 360 Jan-25-99
9452338 2 74,375.00 74,242.10 Aug-31-99 10.020% NC - 85.00% Paid Off - 360 Jan-29-99
9452907 2 54,600.00 54,558.60 Aug-31-99 13.900% IN - 70.00% Paid Off - 360 Feb-09-99
9458026 2 27,500.00 27,477.92 Aug-31-99 13.650% IA - 25.00% Paid Off - 360 Feb-18-99
9467297 2 185,000.00 184,720.19 Aug-31-99 9.420% SC - 56.20% Paid Off - 360 Mar-08-99
9468129 2 79,300.00 79,241.43 Aug-31-99 12.720% IL - 65.00% Paid Off - 360 Mar-10-99
9487247 2 287,500.00 287,248.89 Aug-31-99 10.080% HI - 68.40% Paid Off - 360 Apr-16-99
9492461 2 56,000.00 55,991.36 Aug-31-99 14.720% KY - 70.00% Paid Off - 360 Apr-29-99
9500464 2 74,925.00 74,925.00 Aug-31-99 9.910% NC - 75.00% Paid Off - 360 May-27-99
</TABLE>
Page 20 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Realized Loss Report for September 15, 1999 Distribution
- -------------------------------------------------------------------------------
Realized Loss Report - Collateral
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COLLATERAL REALIZED LOSSES ADJUSTABLE FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current
Number of Loans Liquidated - - -
Collateral Realized Loss/(Gain) Amount - - -
Net Liquidation Proceeds - - -
Cumulative
Number of Loans Liquidated - - -
Collateral Realized Loss/(Gain) Amount - - -
Net Liquidation Proceeds - - -
Note: Collateral realized losses may include adjustments
to loans liquidated in prior periods.
Loss Percentage 0.0000% 0.0000%
Annualized Loss Percentage 0.0000% 0.0000%
</TABLE>
- - Fixed --3 Months Moving Average
- - Adjustable
Collateral Loss Severity Collateral Loss Severity
Approximation by Groups Approximation
GRAPH OMITTED GRAPH OMITTED
Page 21 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Realized Loss Report for September 15, 1999 Distribution
- -------------------------------------------------------------------------------
Realized Loss Report - Collateral
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DEFAULT SPEEDS ADDJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
MDR 0.00% 0.00% 0.00%
3 Months Avg MDR
12 Months Avg MDR
Avg MDR Since Cut-off 0.00% 0.00% 0.00%
CDR 0.00% 0.00% 0.00%
3 Months Avg CDR
12 Months Avg CDR
Avg CDR Since Cut-off 0.00% 0.00% 0.00%
SDA 0.00% 0.00% 0.00%
3 Months Avg SDA Approximation
12 Months Avg SDA Approximation
Avg SDA Since Cut-off Approximation 0.00% 0.00% 0.00%
Loss Severity Approximation for Current Period
3 Months Avg Loss Severity Approximation
12 Months Avg Loss Severity Approximation
Avg Loss Severity Approximation Since Cut-off
</TABLE>
- - Fixed
- - Adjustable
CDR by Groups Total CDR
GRAPH OMITTED GRAPH OMITTED
SDA by Groups Total SDA
GRAPH OMITTED GRAPH OMITTED
Page 22 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Realized Loss Report for September 15, 1999 Distribution
- -------------------------------------------------------------------------------
Realized Loss Report - Collateral
- -------------------------------------------------------------------------------
- - Fixed
- - Adjustable
CDR Avg since Cut-Off by Groups Total CDR Avg since Cut-Off
GRAPH OMITTED GRAPH OMITTED
SDA Avg since Cut-Off by Groups Total SDA Avg since Cut-Off
GRAPH OMITTED GRAPH OMITTED
COLLATERAL REALIZED LOSS CALCULATION METHODOLOGY
- -------------------------------------------------------------------------------
Monthly Default Rate (MDR): (Beg Principal Balance of Liquidated Loans)/
(Total Beg Principal Balance)
Conditional Default Rate (CDR): 1-((1-MDR)^12)
SDA Standard Default Assumption:
CDR/IF(WAS/61,MIN(30,WAS)*0.02,MAX(0.03,MIN(30,WAS)*0.02-0.0095*(WAS-60)))
Average MDR over period between nth month and mth month (AvgMDRn,m):
[(1-MDRn) * (1-MDRn+1) *.......*(1-MDRm)]^(1/months in period n,m)
Average CDR over period between the nth month and mth month (AvgCDRn,m):
1-((1-AvgMDRn,m)^12)
Average SDA Approximation over period between the nth month and mth month:
AvgCDRn,m/IF(Avg WASn,m/61,MIN(30,Avg WASn,m)*0.02,MAX(0.03,MIN(30,Avg WASn,m)
*0.02-0.0095*(Avg WASn,m-60)))
Average WASn,m: (WASn + WASn+1 +.......+ WASm )/(number of months in the
period n,m)
Loss Severity Approximation for current period: sum(Realized
Loss Amount)/sum(Beg Principal Balance of Liquidated Loans)
Average Loss Severity Approximation over period between nth month and mth month:
Avg(Loss Severityn,m)
Note: Default rates are calculated since deal issue date and include realized
gains and additional realized losses and gains from prior periods.
Dates correspond to distribution dates.
- -------------------------------------------------------------------------------
Page 23 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Realized Loss Detail Report for September 15, 1999 Distribution
- -------------------------------------------------------------------------------
Realized Loss Detail Report - Loans Liquidated During Current Distribution
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY LOAN GROUP
- ----------------------------------------------- --------------------------------------------------
<S> <C>
Total Loan Count = 0 Loan Group 1 = Fixed Group
Total Original Principal Balance = 0.00 Loan Group 2 = Adjustable Group
Total Prior Principal Balance = 0.00
Total Realized Loss Amount = 0.00
Total Net Liquidation Proceeds = 0.00
- ----------------------------------------------- --------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
Loan Number Original Prior Current State &
& Loan Principal Principal Realized Note LTV at Original Origination
Loan Group Status Balance Balance Loss/(Gain) Rate Origination Term Date
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
</TABLE>
SPACE INTENTIONALLY LEFT BLANK
Page 24 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Triggers, Adj. Rate Cert. and Miscellaneous Report
for September 15, 1999 Distribution
- -------------------------------------------------------------------------------
Triggers, Adj. Rate Cert. and Miscellaneous Report
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TRIGGER EVENTS ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Step Down Cumulative Loss Test No No No
Step Down Rolling Delinquency Test Yes Yes Yes
Step Down Rolling Loss Test Yes Yes Yes
Step Down Tigger No No No
Step Up Cumulative Loss Test No No No
Step Up Rolling Delinquency Test No No No
Step Up Rolling Loss Test No No No
Step Up Tigger No No No
Step Up Spread Squeeze Test No No No
Spread Squeeze Condition No No No
</TABLE>
ADJUSTABLE RATE CERTIFICATE INFORMATION ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------
SPACE INTENTIONALLY LEFT BLANK
<TABLE>
<CAPTION>
ADDITIONAL INFORMATION ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Supplemental Interest Amounts 0.00 0.00 0.00
Supplemental Interest Amounts Unpaid 0.00 0.00 0.00
</TABLE>
Page 25 of 25 (C) COPYRIGHT 1999 Bankers Trust Company
