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)
OCTOBER 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)
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>
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: October 29, 1999
INDEX TO EXHIBITS
EXHIBIT
20.1 Aames Capital Corporation, Mortgage Pass-Through
Certificates, Series 1991-1 - Statement to Certificateholders
EXHIBIT 20.1
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
OCTOBER 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 22
11. Realized Loss Detail Report 25
12. Triggers, Adj. Rate Cert. and Miscellaneous Report 26
-------
Total Number of Pages 26
CONTACTS
- --------------------------------------------------------------------------------
Administrator: David C. West
Direct Phone Number: (714)247-6287
Address: Bankers Trust Company of California, N.A.
1761 E. St. Andrew Place, Santa Ana, CA 92705
Web Site: http://online.bankerstrust.com/invr/
Factor Information: (800) 735-7777
Main Phone Number: (714) 247-6000
- --------------------------------------------------------------------------------
ISSUANCE INFORMATION
-------------------------------------------------------------------------------
Seller: Aames Capital Corporation
Certificate Insurer: Financial Security Assurance Inc.
Servicer(s): Aames Capital Corporation Master Servicer
Fairbanks Capital Corp. Back-Up Servicer
Cut-Off Date: July 1, 1999
Closing Date: August 5, 1999
First 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: October 15, 1999
Record Date: October 14, 1999
September 30, 1999
- --------------------------------------------------------------------------------
Page 1 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC I SERIES 1999-1
CERTIFICATE PAYMENT REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
<TABLE>
DISTRIBUTION IN DOLLARS - CURRENT PERIOD
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
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>
LT-AF 19,123.50 18,899.36 114.81 222.76 337.57 - - 18,676.60
LT-MF 196,688,617.88 195,125,202.65 1,489,154.20 1,886,218.25 3,375,372.45 - 34.12 193,239,018.52
LT-AV 20,203.50 19,851.13 95.62 244.88 340.50 - - 19,606.25
LT-MV 203,337,098.17 201,507,956.28 1,591,625.93 1,812,966.04 3,404,591.97 - 63.56 199,695,053.80
P 100.00 100.00 40,828.11 - 40,828.11 - - 100.00
R-I - - - - - - - -
- ---------------------------------------------------------------------------------------------------------------------------------
Total 400,065,143.05 396,672,009.42 3,121,818.67 3,699,651.93 6,821,470.60 - 97.68 392,972,455.17
- ---------------------------------------------------------------------------------------------------------------------------------
</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 19,123.50 988.279342 6.003608 11.648495 17.652103 976.630847
LT-MF F-30/360 196,688,617.88 992.051318 7.571125 9.589870 17.160995 982.461622
LT-AV 09/15/99 10/14/99 A-Act/360 20,203.50 982.558963 4.732729 12.120672 16.853402 970.438290
LT-MV F-30/360 203,337,098.17 991.004387 7.827524 8.916061 16.743585 982.088638
P - 100.00 1,000.000000 408,281.100000 - 408,281.100000 1,000.000000
R-I - - - - - - -
</TABLE>
Page 2 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC I SERIES 1999-1
CERTIFICATE PAYMENT REPORT FOR OCTOBER 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>
LT-AF 19,123.50 346.93 373.48 73.42 446.90 793.83 - - 18,676.60
LT-MF 196,688,617.88 4,487,803.20 2,954,111.47 495,589.79 3,449,701.26 7,937,504.46 - 101.90 193,239,018.52
LT-AV 20,203.50 225.17 558.13 39.12 597.25 822.42 - - 19,606.25
LT-MV 203,337,098.17 4,581,205.66 3,418,263.42 224,013.93 3,642,277.35 8,223,483.01 - 232.99 199,695,053.80
P 100.00 92,389.62 - - - 92,389.62 - - 100.00
R-I - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Total 400,065,143.05 9,161,970.58 6,373,306.51 719,716.25 7,093,022.76 16,254,993.34 - 334.89 392,972,455.17
- -----------------------------------------------------------------------------------------------------------------------------------
</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% 18,899.36 114.81 - - - 114.81 114.81 -
LT-MF 9.15817% 195,125,202.65 1,489,154.20 - - - 1,489,154.20 1,489,188.32 -
LT-AV 5.78000% 19,851.13 95.62 - - - 95.62 95.62 -
LT-MV 9.47831% 201,507,956.28 1,591,625.93 - - - 1,591,625.93 1,591,689.49 -
P 100.00 - - - - 40,828.11 40,828.11 -
R-I - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Total 396,672,009.42 3,080,990.56 - - - 3,121,818.67 3,121,916.35 -
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 3 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC II SERIES 1999-1
CERTIFICATE PAYMENT REPORT FOR OCTOBER 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 191,235,000.00 188,993,578.28 1,148,135.99 2,227,574.03 3,375,710.02 - - 186,766,004.25
A-V STEP 202,035,000.00 198,511,255.23 956,162.55 2,448,769.92 3,404,932.47 - - 196,062,485.31
C 6,795,043.05 9,831,238.08 - - - - 1,614,133.52 11,445,371.60
R-II - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Total 400,065,043.05 397,336,071.59 2,104,298.54 4,676,343.95 6,780,642.49 - 1,614,133.52 394,273,861.16
- -----------------------------------------------------------------------------------------------------------------------------------
</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>
A-F F-30/360 00253CFM4 191,235,000.00 988.279229 6.003796 11.648360 17.652156 976.630869
A-V 09/15/99 10/14/99 A-Act/360 00253CFN2 202,035,000.00 982.558741 4.732658 12.120523 16.853181 970.438218
C - 6,795,043.05 1,446.824988 - - - 1,684.370727
R-II - - - - - - -
</TABLE>
NOTE: ADJUSTABLE RATE CERTIFICATES HAVE A RECORD DATE THAT IS
ONE BUSINESS DAY PRIOR TO DISTRIBUTION
Page 4 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC II SERIES 1999-1
CERTIFICATE PAYMENT REPORT FOR OCTOBER 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 3,469,302.54 3,734,823.62 734,172.13 4,468,995.75 7,938,298.29 - - 186,766,004.25
A-V 202,035,000.00 2,251,790.75 5,581,291.77 391,222.92 5,972,514.69 8,224,305.44 - - 196,062,485.31
C 6,795,043.05 - - - - - - 4,650,328.55 11,445,371.60
R-II - - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Total 400,065,043.05 5,721,093.29 9,316,115.39 1,125,395.05 10,441,510.44 16,162,603.73 - 4,650,328.55 394,273,861.16
- -----------------------------------------------------------------------------------------------------------------------------------
</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% 188,993,578.28 1,148,135.99 - - - 1,148,135.99 1,148,135.99 -
A-V 5.78000% 198,511,255.23 956,162.55 - - - 956,162.55 956,162.55 -
C 9,831,238.08 - - - - - 1,614,133.52 -
R-II - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Total 397,336,071.59 2,104,298.54 - - - 2,104,298.54 3,718,432.06 -
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 5 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLECTION ACCOUNT REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
- -------------------------------------------------------------------------------
Collection Account Report
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Principal Collections 1,813,147.36 1,886,406.89 3,699,554.25
Principal Withdrawals 0.00 0.00 0.00
Principal Other Accounts 0.00 0.00 0.00
TOTAL NET PRINCIPAL 1,813,147.36 1,886,406.89 3,699,554.25
Interest Collections 1,726,248.15 1,620,997.57 3,347,245.72
Interest Withdrawals 0.00 0.00 0.00
Interest Other Accounts 0.00 0.00 0.00
Interest Fees (113,828.85) (111,500.52) (225,329.37)
TOTAL NET INTEREST 1,612,419.30 1,509,497.05 3,121,916.35
TOTAL AVAILABLE FUNDS TO BONDHOLDERS 3,425,566.66 3,395,903.94 6,821,470.60
TOTAL REMITANCE DUE FROM SERVICER 3,467,813.15 3,436,193.21 6,904,006.36
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL - COLLECTIONS ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Scheduled Principal 107,328.36 216,984.22 324,312.58
Curtailments 0.00 0.00 0.00
Prepayments in Full 1,705,819.00 1,669,422.67 3,375,241.67
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 1,813,147.36 1,886,406.89 3,699,554.25
</TABLE>
Page 6 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLECTION ACCOUNT REPORT FOR OCTOBER 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 0.00 0.00 0.00
TOTAL OTHER ACCOUNTS PRINCIPAL 0.00 0.00 0.00
</TABLE>
<TABLE>
<CAPTION>
INTEREST - COLLECTIONS ADJUSTABLE FIXED TOTAL
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Scheduled Interest 1,718,001.52 1,610,902.45 3,328,903.97
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 (276,867.75) (225,634.54) (502,502.29)
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 264,480.19 215,535.74 480,015.93
Closing Date Deposits 0.00 0.00 0.00
Insurer Interest to Cover PPIS 0.00 0.00 0.00
Prepayment Penalties 20,634.19 20,193.92 40,828.11
TOTAL INTEREST COLLECTED 1,726,248.15 1,620,997.57 3,347,245.72
</TABLE>
Page 7 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLECTION ACCOUNT REPORT FOR OCTOBER 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 71,582.36 71,211.25 142,793.61
Back Up Servicing Fees 4,198.50 4,065.50 8,264.00
Certificate Insurance Premiums 38,047.99 36,223.77 74,271.76
Trustee Fees 0.00 0.00 0.00
TOTAL INTEREST OTHER FEES 113,828.85 111,500.52 225,329.37
</TABLE>
Page 8 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates
Credit Enhancement Report for October 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 38,047.99 36,223.77 74,271.76
Insurance Premium Paid 38,047.99 36,223.77 74,271.76
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 635,622.56 341,167.14 976,789.70
Overcollateralization Amount 3,652,174.74 6,491,690.87 10,143,865.61
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 8,473,135.36 4,668,402.05 13,141,537.41
</TABLE>
Page 9 of 26 C COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
- -------------------------------------------------------------------------------
Collateral Report
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COLLATERAL ADJUSTABLE FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Loan Count:
ORIGINAL 1786 3011 4797
Prior 2,212 2,984 5,196
Prefunding - - -
Scheduled Paid Offs - - -
Full Voluntary Prepayments (18) (31) (49)
Repurchases - - -
Liquidations - - -
Current 2,194 2,953 5,147
PRINCIPAL BALANCE:
Original 163,359,100.25 196,707,741.38 360,066,841.63
Prior 201,527,807.41 195,144,102.01 396,671,909.42
Prefunding - - -
Scheduled Principal (107,328.36) (216,984.22) (324,312.58)
Partial and Full Voluntary Prepayments (1,705,819.00) (1,669,422.67) (3,375,241.67)
Repurchases - - -
Liquidations - - -
Current 199,714,660.05 193,257,695.12 392,972,355.17
</TABLE>
<TABLE>
<CAPTION>
PREFUNDING ADJUSTABLE FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Prefunding Beginning Balance 0.00 0.00
Balance of Subsequent Loans Transfered 0.00 0.00
Prefunded Amount Dispursed To Offered Certificates 0.00 0.00
Prefunding Ending Balance 0.00 0.00
Capitalized Interest Beginning Balance 0.00 0.00
Capitalized Interest Requirement 0.00 0.00
Capitalized Interest Released to Seller 0.00 0.00
Capitalized Interest Ending Balance 0.00 0.00
</TABLE>
- --- Fixed
- --- Adjustable
CURRENT PRIN BALANCE BY GROUPS TOTAL CURRENT PRINCIPAL BALANCE
(IN MILLIONS OF DOLLARS) (IN MILLIONS OF DOLLARS)
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
Page 10 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR OCTOBER 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 10.212769% 9.908619% 10.063232%
Weighted Average Coupon Current 10.229863% 9.905925% 10.070501%
---------------------------------------------------------------------------------------------------------
Weighted Average Months to Maturity Original 354 316 333
Weighted Average Months to Maturity Prior 354 315 335
Weighted Average Months to Maturity Current 353 314 334
---------------------------------------------------------------------------------------------------------
Weighted Avg Remaining Amortization Term Original 355 316 334
Weighted Avg Remaining Amortization Term Prior 354 315 335
Weighted Avg Remaining Amortization Term Current 353 314 334
---------------------------------------------------------------------------------------------------------
Weighted Average Seasoning Original 3.10 3.06 3.08
Weighted Average Seasoning Prior 3.41 4.06 3.73
Weighted Average Seasoning Current 4.40 5.05 4.72
<FN>
- -------------------------------------------------------------------------------
NOTE: ORIGINAL INFORMATION REFERS TO DEAL ISSUE.
</FN>
</TABLE>
- --- Fixed
- --- Adjustable
WAC BY GROUPS TOTAL WAC
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
WARAT BY GROUPS TOTAL WARAT
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
NOTE: DATES CORRESPOND TO DISTRIBUTION DATES.
Page 11 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR OCTOBER 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 5.932%
Weighted Average Margin Current 5.932%
---------------------------------------------------------------------------------------------------
Weighted Average Max Rate Original 16.953%
Weighted Average Max Rate Prior 16.824%
Weighted Average Max Rate Current 16.826%
---------------------------------------------------------------------------------------------------
Weighted Average Min Rate Original 10.160%
Weighted Average Min Rate Prior 10.167%
Weighted Average Min Rate Current 10.169%
---------------------------------------------------------------------------------------------------
Weighted Average Cap Up Original 2.735%
Weighted Average Cap Up Prior 2.602%
Weighted Average Cap Up Current 2.601%
---------------------------------------------------------------------------------------------------
Weighted Average Cap Down Original 2.735%
Weighted Average Cap Down Prior 2.602%
Weighted Average Cap Down Current 2.601%
<FN>
- -------------------------------------------------------------------------------------------------------
NOTE: ORIGINAL INFORMATION REFERS TO DEAL ISSUE.
</FN>
</TABLE>
<TABLE>
<CAPTION>
SERVICING FEES / ADVANCES ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Servicing Fees 71,582.36 71,211.25 142,793.61
Delinquent Servicing Fees 12,387.56 10,098.80 22,486.36
TOTAL SERVICING FEES 83,969.92 81,310.05 165,279.97
Total Servicing Fees 83,969.92 81,310.05 165,279.97
Compensating Interest 0.00 0.00 0.00
Delinquent Servicing Fees (12,387.56) (10,098.80) (22,486.36)
COLLECTED SERVICING FEES 71,582.36 71,211.25 142,793.61
Prepayment Interest Shortfall 0.00 0.00 0.00
Total Advanced Interest 264,480.19 215,535.74 480,015.93
</TABLE>
ADDITIONAL COLLATERAL INFORMATION ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------
SPACE INTENTIONALLY LEFT BLANK
Page 12 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
DELINQUENCY REPORT FOR OCTOBER 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 11,238,430.00 1,423,797.42 296,086.27 12,958,313.69
% Balance 2.86% 0.36% 0.08% 3.30%
# Loans 166 19 7 192
% # Loans 3.23% 0.37% 0.14% 3.73%
- --------------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance - 290,125.40 3,329,976.65 4,223,458.86 7,843,560.91
% Balance 0.00% 0.07% 0.85% 1.07% 2.00%
# Loans - 4 58 56 118
% # Loans 0.00% 0.08% 1.13% 1.09% 2.29%
- --------------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance 718,916.64 207,061.84 354,245.13 - 1,280,223.61
% Balance 0.18% 0.05% 0.09% 0.00% 0.33%
# Loans 10 3 5 - 18
% # Loans 0.19% 0.06% 0.10% 0.00% 0.35%
- --------------------------------------------------------------------------------------------------------------------
REO Balance - - - - -
% Balance 0.00% 0.00% 0.00% 0.00% 0.00%
# Loans - - - - -
% # Loans 0.00% 0.00% 0.00% 0.00% 0.00%
- --------------------------------------------------------------------------------------------------------------------
TOTAL Balance 718,916.64 11,735,617.24 5,108,019.20 4,519,545.13 22,082,098.21
% Balance 0.18% 2.99% 1.30% 1.15% 5.62%
# Loans 10 173 82 63 328
% # Loans 0.19% 3.36% 1.59% 1.22% 6.37%
- --------------------------------------------------------------------------------------------------------------------
<FN>
NOTE: CURRENT = 0-29DAYS, 1 PAYMENT =30-59DAYS, 2 PAYMENTS = 60-89DAYS, 3+ PAYMENTS = 90+
</FN>
</TABLE>
-- 6 MONTHS MOVING AVERAGE
1 OR 2 PAYMENTS DELINQUENT 3 OR MORE PAYMENTS DELINQUENT
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
TOTAL FORECLOSURE TOTAL BANKRUPTCY AND REO
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
Note: Dates correspond to distribution dates.
Page 13 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
DELINQUENCY REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
- -------------------------------------------------------------------------------
Delinquency Report - Fixed Group
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
DELINQUENT Balance 5,248,688.90 546,251.20 203,858.27 5,998,798.37
% Balance 2.72% 0.28% 0.11% 3.10%
# Loans 86 10 5 101
% # Loans 2.91% 0.34% 0.17% 3.42%
- ----------------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance - 29,044.40 1,063,210.64 1,240,753.69 2,333,008.73
% Balance 0.00% 0.02% 0.55% 0.64% 1.21%
# Loans - 2 24 25 51
% # Loans 0.00% 0.07% 0.81% 0.85% 1.73%
- ----------------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance 65,197.17 207,061.84 264,359.40 - 536,618.41
% Balance 0.03% 0.11% 0.14% 0.00% 0.28%
# Loans 2 3 4 - 9
% # Loans 0.07% 0.10% 0.14% 0.00% 0.30%
- ----------------------------------------------------------------------------------------------------------------------
REO Balance - - - - -
% Balance 0.00% 0.00% 0.00% 0.00% 0.00%
# Loans - - - - -
% # Loans 0.00% 0.00% 0.00% 0.00% 0.00%
- ----------------------------------------------------------------------------------------------------------------------
TOTAL Balance 65,197.17 5,484,795.14 1,873,821.24 1,444,611.96 8,868,425.51
% Balance 0.03% 2.84% 0.97% 0.75% 4.59%
# Loans 2 91 38 30 161
% # Loans 0.07% 3.08% 1.29% 1.02% 5.45%
- ----------------------------------------------------------------------------------------------------------------------
<FN>
NOTE: CURRENT = 0-29DAYS, 1 PAYMENT =30-59DAYS, 2 PAYMENTS = 60-89DAYS, 3+ PAYMENTS = 90+
</FN>
</TABLE>
-- 6 MONTHS MOVING AVERAGE
1 OR 2 PAYMENTS DELINQUENT 3 OR MORE PAYMENTS DELINQUENT
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
TOTAL FORECLOSURE TOTAL BANKRUPTCY AND REO
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
Note: Dates correspond to distribution dates.
Page 14 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
DELINQUENCY REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
- -------------------------------------------------------------------------------
Delinquency Report - Adjustable Group
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
DELINQUENT Balance 5,989,741.10 877,546.22 92,228.00 6,959,515.32
% Balance 3.00% 0.44% 0.05% 3.48%
# Loans 80 9 2 91
% # Loans 3.65% 0.41% 0.09% 4.15%
- --------------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance - 261,081.00 2,266,766.01 2,982,705.17 5,510,552.18
% Balance 0.00% 0.13% 1.14% 1.49% 2.76%
# Loans - 2 34 31 67
% # Loans 0.00% 0.09% 1.55% 1.41% 3.05%
- --------------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance 653,719.47 - 89,885.73 - 743,605.20
% Balance 0.33% 0.00% 0.05% 0.00% 0.37%
# Loans 8 - 1 - 9
% # Loans 0.36% 0.00% 0.05% 0.00% 0.41%
- --------------------------------------------------------------------------------------------------------------------
REO Balance - - - - -
% Balance 0.00% 0.00% 0.00% 0.00% 0.00%
# Loans - - - - -
% # Loans 0.00% 0.00% 0.00% 0.00% 0.00%
- --------------------------------------------------------------------------------------------------------------------
TOTAL Balance 653,719.47 6,250,822.10 3,234,197.96 3,074,933.17 13,213,672.70
% Balance 0.33% 3.13% 1.62% 1.54% 6.62%
# Loans 8 82 44 33 167
% # Loans 0.36% 3.74% 2.01% 1.50% 7.61%
- --------------------------------------------------------------------------------------------------------------------
<FN>
NOTE: CURRENT = 0-29DAYS, 1 PAYMENT =30-59DAYS, 2 PAYMENTS = 60-89DAYS, 3+ PAYMENTS = 90+
</FN>
</TABLE>
-- 6 MONTHS MOVING AVERAGE
1 OR 2 PAYMENTS DELINQUENT 3 OR MORE PAYMENTS DELINQUENT
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
TOTAL FORECLOSURE TOTAL BANKRUPTCY AND REO
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
Note: Dates correspond to distribution dates.
Page 15 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REO REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
- -------------------------------------------------------------------------------
REO Report - Mortgage Loans that Become REO During Current Distribution
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY LOAN GROUP
- --------------------------------------------------------------------------------------------------------------------------
<S> <C>
Total Loan Count = 0 Loan Group 1 = Fixed Group; REO Book Value = 000.00
Total Original Principal Balance = 000.00 Loan Group 2 = Adjustable Group; REO Book Value = 000.00
Total Current Balance = 000.00
REO Book Value = 000.00
</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>
SPACE INTENTIONALLY LEFT BLANK
</TABLE>
Page 16 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR OCTOBER 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 18 31 49
Number of Repurchased Loans - - -
------------------------------------------------------------------------------------------------------
Total Number of Loans Prepaid in Full 18 31 49
Paid in Full Balance 1,705,819.00 1,669,422.67 3,375,241.67
Repurchased Loans Balance - - -
Curtailments Amount - - -
------------------------------------------------------------------------------------------------------
Total Prepayment Amount 1,705,819.00 1,669,422.67 3,375,241.67
CUMULATIVE
Number of Paid in Full Loans 35 58 93
Number of Repurchased Loans - - -
------------------------------------------------------------------------------------------------------
Total Number of Loans Prepaid in Full 35 58 93
Paid in Full Balance 3,426,306.62 2,972,428.80 6,398,735.42
Repurchased Loans Balance - - -
Curtailments Amount (83,220.79) (158,587.56) (241,808.35)
------------------------------------------------------------------------------------------------------
Total Prepayment Amount 3,343,085.83 2,813,841.24 6,156,927.07
</TABLE>
SPACE INTENTIONALLY LEFT BLANK
TOTAL PREPAYMENTS BY GROUPS TOTAL PREPAYMENTS
(IN THOUSANDS OF DOLLARS) (IN THOUSANDS OF DOLLARS)
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
Page 17 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
- -------------------------------------------------------------------------------
Prepayment Report - Voluntary Prepayments
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VOLUNTARY PREPAYMENT RATES ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SMM 0.85% 0.86% 0.85%
3 Months Avg SMM 0.56% 0.50% 0.53%
12 Months Avg SMM
Avg SMM Since Cut-off 0.56% 0.50% 0.53%
CPR 9.70% 9.81% 9.75%
3 Months Avg CPR 6.56% 5.89% 6.23%
12 Months Avg CPR
Avg CPR Since Cut-off 6.56% 5.89% 6.23%
PSA 1102.53% 971.28% 1033.48%
3 Months Avg PSA Approximation 902.48% 726.03% 811.15%
12 Months Avg PSA Approximation
Avg PSA Since Cut-off Approximation 902.48% 726.03% 811.15%
</TABLE>
- --- Fixed
- --- Adjustable
CPR BY GROUPS TOTAL CPR
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
PSA BY GROUPS TOTAL PSA
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
Page 18 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
- -------------------------------------------------------------------------------
Prepayment Report - Voluntary Prepayments
- -------------------------------------------------------------------------------
- --- Fixed
- --- Adjustable
CPR Avg since Cut-Off by Groups Total CPR Avg since Cut-Off
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
PSA AVG SINCE CUT-OFF BY GROUPS TOTAL PSA AVG SINCE CUT-OFF
[GRAPHIC OMITTED] [GRAPHIC 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 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT DETAIL REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
- -------------------------------------------------------------------------------
Prepayment Detail Report - Loans Prepaid in Full During Current Distribution
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY LOAN GROUP
- ------------------------------------------------------- --------------------------------------------------------------
<S> <C>
Total Loan Count = 49 Loan Group 1 = Fixed Group
Total Original Principal Balance = 3,385,785.00 Loan Group 2 = Adjustable Group
Total Prepayment Amount = 3,375,241.67
</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>
3858057 1 71,400.00 71,213.29 Sep-30-99 11.550% AZ - 85.00% Paid Off - 360 Sep-28-98
4725603 1 10,000.00 9,855.39 Sep-30-99 14.000% MN - 64.30% Paid Off - 180 Oct-30-98
5918111 1 31,500.00 30,543.31 Sep-30-99 9.900% NC - 52.50% Paid Off - 180 Dec-04-98
6604994 1 35,200.00 34,534.00 Sep-30-99 10.550% OK - 88.00% Paid Off - 180 Sep-30-98
7241976 1 12,000.00 11,921.57 Sep-30-99 11.200% AZ - 65.90% Paid Off - 180 Mar-26-99
7252374 1 54,800.00 54,695.74 Sep-30-99 9.750% TX - 80.00% Paid Off - 360 Apr-02-99
7255268 1 29,000.00 28,976.92 Sep-30-99 13.750% FL - 35.00% Paid Off - 240 Mar-26-99
7255780 1 82,400.00 82,274.24 Sep-30-99 10.750% IL - 80.00% Paid Off - 360 Mar-31-99
7262035 1 100,000.00 99,725.99 Sep-30-99 9.900% FL - 55.00% Paid Off - 360 Mar-30-99
7262493 1 28,400.00 28,183.11 Sep-30-99 9.500% OH - 53.00% Paid Off - 180 Mar-31-99
7266014 1 46,100.00 46,053.88 Sep-30-99 11.350% AZ - 33.00% Paid Off - 360 Apr-12-99
7269595 1 28,800.00 28,770.57 Sep-30-99 11.250% NC - 80.00% Paid Off - 360 Apr-28-99
7270453 1 30,800.00 30,271.97 Sep-30-99 10.500% IL - 23.00% Paid Off - 120 Apr-20-99
7272685 1 46,900.00 46,618.20 Sep-30-99 12.100% AZ - 70.00% Paid Off - 180 May-10-99
7275153 1 54,000.00 53,596.81 Sep-30-99 9.750% OH - 88.00% Paid Off - 180 Apr-21-99
7282192 1 56,000.00 55,962.00 Sep-30-99 11.250% IL - 80.00% Paid Off - 360 May-07-99
7613024 1 47,000.00 47,000.00 Sep-30-99 12.500% NJ - 62.00% Paid Off - 360 Jun-21-99
9381678 1 10,000.00 9,545.22 Sep-30-99 12.000% IA - 78.10% Paid Off - 120 Sep-09-98
9408096 1 55,500.00 55,397.93 Sep-30-99 10.940% KY - 75.00% Paid Off - 360 Nov-03-98
9408207 1 28,500.00 28,374.05 Sep-30-99 12.060% PA - 75.00% Paid Off - 360 Feb-08-99
9409637 1 150,350.00 149,956.59 Sep-30-99 12.110% MI - 97.00% Paid Off - 360 Oct-27-98
9429786 1 45,000.00 44,658.76 Sep-30-99 12.750% CA - 65.00% Paid Off - 240 Dec-11-98
9451986 1 153,000.00 152,539.40 Sep-30-99 9.500% IA - 84.20% Paid Off - 360 Jan-29-99
9459553 1 24,500.00 24,249.51 Sep-30-99 11.990% MN - 89.90% Paid Off - 180 Feb-18-99
9464301 1 FCL 49,140.00 49,115.77 Sep-30-99 12.690% IN - 63.00% Paid Off - 360 Feb-25-99
9477489 1 72,000.00 71,900.73 Sep-30-99 9.860% MI - 75.00% Paid Off - 360 Apr-02-99
9478205 1 33,000.00 32,924.32 Sep-30-99 8.820% FL - 55.00% Paid Off - 360 Mar-29-99
9478302 1 100,000.00 99,854.45 Sep-30-99 10.970% IL - 80.00% Paid Off - 360 Mar-30-99
9490078 1 33,825.00 33,815.73 Sep-30-99 12.190% KY - 75.00% Paid Off - 360 Apr-26-99
9506381 1 57,000.00 56,956.99 Sep-30-99 10.760% NC - 75.00% Paid Off - 360 May-25-99
9719369 1 100,000.00 99,936.23 Sep-30-99 8.250% CA - 80.00% Paid Off - 360 Jun-07-99
1463071 2 350,000.00 348,868.66 Sep-30-99 9.250% CA - 67.30% Paid Off - 360 Mar-16-99
7242913 2 52,700.00 52,549.76 Sep-30-99 7.750% AZ - 85.00% Paid Off - 360 Mar-22-99
7285183 2 225,000.00 224,566.62 Sep-30-99 8.250% CA - 90.00% Paid Off - 360 May-07-99
9406409 2 62,500.00 62,279.64 Sep-30-99 10.000% NY - 64.10% Paid Off - 360 Nov-16-98
9412832 2 61,190.00 60,851.44 Sep-30-99 9.250% WA - 84.90% Paid Off - 360 Oct-30-98
9415734 2 76,200.00 76,055.70 Sep-30-99 12.390% CA - 60.00% Paid Off - 360 Nov-12-98
9430040 2 FCL 40,950.00 40,903.13 Sep-30-99 13.090% MS - 65.00% Paid Off - 360 Dec-09-98
9438653 2 37,050.00 36,981.68 Sep-30-99 12.520% PA - 65.00% Paid Off - 360 Dec-22-98
9452583 2 64,500.00 64,325.92 Sep-30-99 10.020% CT - 75.00% Paid Off - 360 Jan-29-99
9455876 2 172,800.00 172,350.25 Sep-30-99 9.450% MI - 72.00% Paid Off - 360 Feb-24-99
9471111 2 31,500.00 31,447.29 Sep-30-99 10.320% KY - 70.00% Paid Off - 360 Mar-17-99
9474323 2 66,330.00 66,237.15 Sep-30-99 9.788% CO - 67.00% Paid Off - 360 Mar-24-99
9475699 2 22,750.00 22,728.93 Sep-30-99 13.020% WI - 65.00% Paid Off - 360 Mar-30-99
</TABLE>
Page 20 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT DETAIL REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
- -------------------------------------------------------------------------------
Prepayment Detail Report - Loans Prepaid in Full During Current Distribution
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Loan Number Original Current State &
& Loan Principal Prepayment Prepayment Note LTV at Original Origination
Loan Group Status Balance Amount Date Rate Origination Term Date
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9479228 2 37,000.00 36,982.03 Sep-30-99 9.560% NC - 18.00% Paid Off - 360 Apr-05-99
9492674 2 180,000.00 179,632.29 Sep-30-99 7.960% IN - 80.00% Paid Off - 360 Apr-28-99
9498516 2 120,250.00 120,127.44 Sep-30-99 9.350% TX - 65.00% Paid Off - 360 May-06-99
9512942 2 53,950.00 53,950.00 Sep-30-99 14.020% IL - 65.00% Paid Off - 360 Jul-06-99
9513094 2 55,000.00 54,981.07 Sep-30-99 14.270% KY - 25.00% Paid Off - 360 May-24-99
</TABLE>
Page 21 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
- --------------------------------------------------------------------------------
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
<TABLE>
- --------------------------------------------------------------------------------
Realized Loss Report - Collateral
- --------------------------------------------------------------------------------
<CAPTION>
COLLATERAL REALIZED LOSSES ADJUSTABLE FIXED TOTAL
- ----------------------------------------------------------------------------------------------------
CURRENT
<S> <C> <C> <C>
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 APPROXIMATION BY GROUPS
[GRAPH OMITTED]
COLLATERAL LOSS SEVERITY APPROXIMATION
[GRAPH OMITTED]
Page 22 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
REALIZED LOSS REPORT - COLLATERAL
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DEFAULT SPEEDS ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
MDR 0.00% 0.00% 0.00%
3 Months Avg MDR 0.00% 0.00% 0.00%
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 0.00% 0.00% 0.00%
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 0.00% 0.00% 0.00%
12 Months Avg SDA Approximation
Avg SDA Since Cut-off Approximation 0.00% 0.00% 0.00%
</TABLE>
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
- -------------------------------------------------------------------------------
Fixed
Adjustable
CDR BY GROUPS TOTAL CDR
[GRAPH OMITTED] [GRAPH OMITTED]
SDA BY GROUPS TOTAL SDA
[GRAPH OMITTED] [GRAPH OMITTED]
Page 23 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR OCTOBER 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 24 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS DETAIL REPORT FOR OCTOBER 15, 1999 DISTRIBUTION
- -------------------------------------------------------------------------------
Realized Loss Detail Report - Loans Liquidated During Current Distribution
- -------------------------------------------------------------------------------
SUMMARY LOAN GROUP
- ---------------------------------------- ----------------------------------
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>
<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>
SPACE INTENTIONALLY LEFT BLANK
</TABLE>
Page 25 of 26 (C) COPYRIGHT 1999 Deutsche Bank
<PAGE>
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
TRIGGERS, ADJ. RATE CERT. AND MISCELLANEOUS REPORT
FOR OCTOBER 15, 1999 DISTRIBUTION
- -------------------------------------------------------------------------------
Triggers, Adj. Rate Cert. and Miscellaneous Report
- -------------------------------------------------------------------------------
TRIGGER EVENTS ADJUSTABLE FIXED TOTAL
- ---------------------------------------------------------------------------
Step Down Cumulative Loss Test No No No
Step Down Rolling Delinquency Yes Yes Yes
Test
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
ADJUSTABLE RATE CERTIFICATE INFORMATION ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------
SPACE INTENTIONALLY LEFT BLANK
ADDITIONAL INFORMATION ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------
Supplamental Interest Amounts 0.00 0.00 0.00
Supplamental Interest Amounts Unpaid 0.00 0.00 0.00
Page 26 of 26 (C) COPYRIGHT 1999 Deutsche Bank
