<PAGE>
================================
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES AND EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported)
FEBRUARY 15, 2000
AAMES CAPITAL CORPORATION
----------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
333-46893-01
CALIFORNIA 333-64903-01 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
20.2 Aames Capital Corporation, Mortgage Pass-Through
Certificates, Series 1991-2 - Statement to Certificateholders
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/ Ralph W. Flick
-------------------------
Ralph W. Flick
Assistant Secretary
Dated: February 25, 2000
3
<PAGE>
INDEX TO EXHIBITS
EXHIBIT
20.1 Aames Capital Corporation, Mortgage Pass-Through
Certificates, Series 1991-1 - Statement to Certificateholders
20.2 Aames Capital Corporation, Mortgage Pass-Through
Certificates, Series 1991-2 - Statement to Certificateholders
4
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
FEBRUARY 15, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
CONTENTS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TABLE OF CONTENTS
------------------------------------------------------------------
Page
----
<S> <C>
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
-------------------------------------------------------------------
</TABLE>
CONTACTS
-------------------------------------------------------------------
Administrator: David C. West
Direct Phone Number: (714)247-6287
Address: Deutsche Bank
1761 E. St. Andrew Place, Santa Ana, CA 92705
Web Site: http://www-apps.gis.deutsche-bank.com/invr
Factor Information: (800) 735-7777
Main Phone Number: (714) 247-6000
-------------------------------------------------------------------
<TABLE>
<CAPTION>
ISSUANCE INFORMATION
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Seller: Aames Capital Corporation Cut-Off Date: July 1, 1999
Certificate Insurer: Financial Security Assurance Inc. Closing Date: August 5, 1999
Servicer(s): Aames Capital Corporation Master Servicer First Payment Date: August 16, 1999
Fairbanks Capital Corp. Back-Up Servicer
Underwriter(s): Lehman Brothers Securities Corporation Lead Underwriter Distribution Date: February 15, 2000
Banc Of America Securities LLC Co-Lead Underwriter Record Date: February 14, 2000
Greenwich Capital Markets, Inc. Co-Lead Underwriter January 31, 2000
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 1 of 26
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC I SERIES 1999-1
CERTIFICATE PAYMENT REPORT FOR FEBRUARY 15, 2000 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>
LT-AF 19,123.50 17,998.11 109.22 224.22 333.44 (0.01) - 17,773.90
LT-MF 196,688,617.88 187,344,333.91 1,419,399.45 1,915,783.45 3,335,182.90 19,000.01 32.62 185,409,583.07
LT-AV 20,203.50 18,499.15 88.84 413.36 502.20 - - 18,085.79
LT-MV 203,337,098.17 190,176,717.70 1,512,237.80 3,510,259.79 5,022,497.59 62,787.92 62.30 186,603,732.29
P 100.00 100.00 81,391.66 - 81,391.66 - - 100.00
- -----------------------------------------------------------------------------------------------------------------------------------
R-I - - 0.01 - 0.01 - - -
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Total 400,065,143.05 377,557,648.87 3,013,226.98 5,426,680.82 8,439,907.80 81,787.92 94.92 372,049,275.05
- -----------------------------------------------------------------------------------------------------------------------------------
</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 19,123.50 941.151463 5.711298 11.724841 17.436139 929.427145
LT-MF F-30/360 196,688,617.88 952.491994 7.216480 9.740185 16.956664 942.655376
LT-AV 01/18/00 02/14/00 A-Act/360 20,203.50 915.640854 4.397174 20.459821 24.856995 895.181033
LT-MV F-30/360 203,337,098.17 935.278016 7.437097 17.263253 24.700350 917.706282
P - 100.00 1,000.000000 813,916.600000 - 813,916.600000 1,000.000000
- -----------------------------------------------------------------------------------------------------------------------------------
R-I - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC I SERIES 1999-1
CERTIFICATE PAYMENT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
DISTRIBUTION IN DOLLARS - TO DATE
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Original Unscheduled Scheduled Total Total
Class Face Value Interest Principal Principal Principal Distribution
- -----------------------------------------------------------------------------------------------------------------------------
(1) (2) (3) (4) (5)=(3)+(4) (6)=(2)+(5)
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
LT-AF 19,123.50 792.54 1,189.83 159.79 1,349.62 2,142.16
LT-MF 196,688,617.88 10,279,570.53 9,784,787.12 1,359,162.51 11,143,949.63 21,423,520.16
LT-AV 20,203.50 627.61 2,023.48 94.23 2,117.71 2,745.32
LT-MV 203,337,098.17 10,780,448.99 15,895,740.91 775,287.47 16,671,028.38 27,451,477.37
P 100.00 426,376.57 - - - 426,376.57
R-I - 0.02 - - - 0.02
- -----------------------------------------------------------------------------------------------------------------------------
Total 400,065,143.05 21,487,816.26 25,683,741.34 2,134,704.00 27,818,445.34 49,306,261.60
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------
Current
Realized Deferred Principal
Class Losses Interest Balance
- --------------------------------------------------------------------------
(1) (7) (8) (9)=(1)-(5)-(7)+(8)
- --------------------------------------------------------------------------
<S> <C> <C> <C>
LT-AF (0.02) - 17,773.90
LT-MF 135,320.29 235.11 185,409,583
LT-AV - - 18,085.79
LT-MV 62,787.93 450.44 186,603,732.29
P - - 100.00
R-I - - -
- --------------------------------------------------------------------------
Total 198,108.20 685.55 372,049,275.05
- --------------------------------------------------------------------------
</TABLE>
INTEREST DETAIL
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Pass- Prior Principal Non- Prior Unscheduled
Through (with Notional) Accrued Supported Unpaid Interest
Class Rate Balance Interest Interest SF Interest Adjustments
- -----------------------------------------------------------------------------------------------------------------------
(1) (2) (3) (4)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
LT-AF 7.29000% 17,998.11 109.22 - - -
LT-MF 9.10142% 187,344,333.91 1,419,399.45 - - -
LT-AV 6.18125% 18,499.15 88.84 - - -
LT-MV 9.55272% 190,176,717.70 1,512,237.80 - - -
P 100.00 - - - -
R-I - - - - -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
Total 377,557,648.87 2,931,835.31 - - -
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------------
Paid or Current
Optimal Deferred Unpaid
Class Interest Interest Interest
- ----------------------------------------------------------------
(5)=(1)-(2)+(3)+(4) (6) (7)=(5)-(6)
- ----------------------------------------------------------------
<S> <C> <C> <C>
LT-AF 109.22 109.22 -
LT-MF 1,419,399.45 1,419,432.07 -
LT-AV 88.84 88.84 -
LT-MV 1,512,237.80 1,512,300.10 -
P 81,391.66 81,391.66 -
R-I - 0.01 -
- ----------------------------------------------------------------
- ----------------------------------------------------------------
- ----------------------------------------------------------------
- ----------------------------------------------------------------
Total 3,013,226.97 3,013,321.90 -
- ----------------------------------------------------------------
</TABLE>
Page 3 of 26
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC II SERIES 1999-1
CERTIFICATE PAYMENT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
DISTRIBUTION IN DOLLARS - CURRENT PERIOD
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Prior
Class Original Principal Total Realized
Class Type Face Value Balance Interest Principal Distribution Losses
- -----------------------------------------------------------------------------------------------------------------------------------
(1) (2) (3) (4)=(2)+(3) (5)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
A-F STEP 191,235,000.00 179,981,145.43 1,093,385.46 2,242,130.88 3,335,516.34 -
A-V STEP 202,035,000.00 184,991,499.11 889,372.33 4,133,627.47 5,022,999.80 -
C 6,795,043.05 12,615,791.18 - - - -
R-II - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Total 400,065,043.05 377,588,435.72 1,982,757.79 6,375,758.35 8,358,516.14 -
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------
Current
Deferred Principal
Class Interest Balance
- -------------------------------------------------
(6) (7)=(1)-(3)-(5)+(6)
- -------------------------------------------------
<S> <C> <C>
A-F - 177,739,014.55
A-V - 180,857,871.64
C 867,289.89 13,483,081.07
R-II - -
- -------------------------------------------------
- -------------------------------------------------
- -------------------------------------------------
- -------------------------------------------------
Total 867,289.89 372,079,967.26
- -------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
INTEREST ACCRUAL DETAIL CURRENT PERIOD FACTOR INFORMATION PER $1,000 OF ORIGINAL FACE
- ------------------------------------------------------------------------------------------------------------------------------------
Orig. Principal Prior
Period Period (with Notional) Principal
Class Starting Ending Method Cusip Balance Balance Interest Principal
- ------------------------------------------------------------------------------------------------------------------------------------
(1) (2) (3)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-F F-30/360 00253CFM4 191,235,000.00 941.151700 5.717497 11.724480
A-V 01/18/00 02/14/00 A-Act/360 00253CFN2 202,035,000.00 915.640850 4.402071 20.459957
C - 6,795,043.05 1,856.616814 - -
R-II - - - - -
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------
Current
Total Principal
Class Distribution Balance
- ------------------------------------------------
(4)=(2)+(3) (5)
- ------------------------------------------------
<S> <C> <C>
A-F 17.441976 929.427221
A-V 24.862028 895.180893
C - 1,984.252487
R-II - -
- ------------------------------------------------
- ------------------------------------------------
- ------------------------------------------------
- ------------------------------------------------
</TABLE>
NOTE: ADJUSTABLE RATE CERTIFICATES HAVE A RECORD DATE THAT IS ONE BUSINESS DAY
PRIOR TO DISTRIBUTION
Page 4 of 26
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC II SERIES 1999-1
CERTIFICATE PAYMENT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
DISTRIBUTION IN DOLLARS - TO DATE
- -----------------------------------------------------------------------------------------------------------------------
Original Unscheduled Scheduled Total Total
Class Face Value Interest Principal Principal Principal Distribution
- -----------------------------------------------------------------------------------------------------------------------
(1) (2) (3) (4) (5)=(3)+(4) (6)=(2)+(5)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
A-F 191,235,000.00 7,929,676.87 11,898,287.43 1,597,698.02 13,495,985.45 21,425,662.32
A-V 202,035,000.00 6,277,094.36 20,234,794.22 942,334.14 21,177,128.36 27,454,222.72
C 6,795,043.05 - - - - -
R-II - - - - - -
- -----------------------------------------------------------------------------------------------------------------------
Total 400,065,043.05 14,206,771.23 32,133,081.65 2,540,032.16 34,673,113.81 48,879,885.04
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Current
Realized Deferred Principal
Class Losses Interest Balance
- ------------------------------------------------------------------------------
(7) (8) (9)=(1)-(5)-(7)+(8)
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
A-F - - 177,739,014.55
A-V - - 180,857,871.64
C - 6,688,038.02 13,483,081.07
R-II - - -
- ------------------------------------------------------------------------------
Total - 6,688,038.02 372,079,967.26
- ------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
INTEREST DETAIL
- --------------------------------------------------------------------------------------------------------------------
Pass- Prior Principal Non- Prior Unscheduled
Through (with Notional) Accrued Supported Unpaid Interest
Class Rate Balance Interest Interest SF Interest Adjustments
- --------------------------------------------------------------------------------------------------------------------
(1) (2) (3) (4)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
A-F 7.29000% 179,981,145.43 1,093,385.46 - - -
A-V 6.18125% 184,991,499.11 889,372.33 - - -
C 12,615,791.18 - - - -
R-II - - - - - -
- --------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------
Total 377,588,435.72 1,982,757.79 - -
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
INTEREST DETAIL
- ------------------------------------------------------------------------------
Paid or Current
Optimal Deferred Unpaid
Class Interest Interest SF Interest
- ------------------------------------------------------------------------------
(5)=(1)-(2)+(3)+(4) (6) (7)=(5)-(6)
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
A-F 1,093,385.46 1,093,385.46 -
A-V 889,372.33 889,372.33 -
C - 867,289.89 -
R-II -
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Total 1,982,757.79 2,850,047.68 -
- ------------------------------------------------------------------------------
</TABLE>
Page 5 of 26
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLECTION ACCOUNT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
COLLECTION ACCOUNT REPORT
- ----------------------------------------------------------------------------------------------------------------
SUMMARY ADJUSTABLE FIXED TOTAL
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Principal Collections 3,510,610.86 1,915,975.05 5,426,585.91
Principal Withdrawals 0.00 0.00 0.00
Principal Other Accounts 0.00 0.00 0.00
TOTAL NET PRINCIPAL 3,510,610.86 1,915,975.05 5,426,585.91
Interest Collections 1,670,120.23 1,551,049.28 3,221,169.51
Interest Withdrawals (1,679.32) (1,511.44) (3,190.76)
Interest Other Accounts 0.00 0.00 0.00
Interest Fees (102,560.98) (102,095.88) (204,656.86)
TOTAL NET INTEREST 1,565,879.93 1,447,441.96 3,013,321.89
TOTAL AVAILABLE FUNDS TO BONDHOLDERS 5,076,490.79 3,363,417.01 8,439,907.80
TOTAL REMITANCE DUE FROM SERVICER 5,115,909.89 3,401,816.78 8,517,726.67
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL - COLLECTIONS ADJUSTABLE FIXED TOTAL
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Scheduled Principal 97,156.68 220,358.44 317,515.12
Curtailments 0.00 0.00 0.00
Prepayments in Full 3,250,826.22 1,695,616.61 4,946,442.83
Repurchases/Substitutions 0.00 0.00 0.00
Liquidations 225,415.87 19,000.00 244,415.87
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 (62,787.91) (19,000.00) (81,787.91)
Mortgage Replacement Amount 0.00 0.00 0.00
TOTAL PRINCIPAL COLLECTED 3,510,610.86 1,915,975.05 5,426,585.91
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
Page 6 of 26
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
CREDIT ENHANCEMENT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
CREDIT ENHANCEMENT REPORT
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ACCOUNTS ADJUSTABLE FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SPACE INTENTIONALLY LEFT BLANK
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
INSURANCE ADJUSTABLE FIXED TOTAL
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Insurance Premium Due 35,456.70 34,496.39 69,953.09
Insurance Premium Paid 35,456.70 34,496.39 69,953.09
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 623,016.61 326,155.83 949,172.44
Overcollateralization Amount 5,763,946.44 7,688,342.42 13,452,288.86
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 6,348,757.71 3,456,739.19 9,805,496.90
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
Page 9 of 26
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
COLLATERAL REPORT
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COLLATERAL ADJUSTABLE FIXED TOTAL
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Loan Count:
ORIGINAL 1786 3011 4797
Prior 2,102 2,851 4,953
Prefunding - - -
Scheduled Paid Offs - - -
Full Voluntary Prepayments (35) (29) (64)
Repurchases - - -
Liquidations (2) (1) (3)
----------------------------------------------------------------------------------------------------------
Current 2,065 2,821 4,886
PRINCIPAL BALANCE:
Original 163,359,100.25 196,707,741.38 360,066,841.63
Prior 190,195,216.85 187,362,332.02 377,557,548.87
Prefunding - - -
Scheduled Principal (97,156.68) (220,358.44) (317,515.12)
Partial and Full Voluntary Prepayments (3,250,826.22) (1,695,616.61) (4,946,442.83)
Repurchases - - -
----------------------------------------------------------------------------------------------------------
Liquidations (225,415.87) (19,000.00) (244,415.87)
Current 186,621,818.08 185,427,356.97 372,049,175.05
- ---------------------------------------------------------------------------------------------------------------
</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)
[GRAPH] [GRAPH]
Page 10 of 26
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR FEBRUARY 15, 2000 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 10.299847% 9.873044% 10.088815%
Weighted Average Coupon Current 10.301429% 9.847359% 10.076097%
------------------------------------------------------------------------------------------------------------
Weighted Average Months to Maturity Original 354 316 333
Weighted Average Months to Maturity Prior 350 310 330
Weighted Average Months to Maturity Current 349 308 329
------------------------------------------------------------------------------------------------------------
Weighted Avg Remaining Amortization Term Original 355 316 334
Weighted Avg Remaining Amortization Term Prior 350 311 331
Weighted Avg Remaining Amortization Term Current 349 310 330
------------------------------------------------------------------------------------------------------------
Weighted Average Seasoning Original 3.10 3.06 3.08
Weighted Average Seasoning Prior 7.36 8.02 7.69
Weighted Average Seasoning Current 8.32 9.01 8.67
- -----------------------------------------------------------------------------------------------------------------
NOTE: ORIGINAL INFORMATION REFERS TO DEAL ISSUE.
</TABLE>
WAC BY GROUPS TOTAL WAC
[GRAPH] [GRAPH]
WARAT BY GROUPS TOTAL WARAT
[GRAPH] [GRAPH]
NOTE: DATES CORRESPOND TO DISTRIBUTION DATES.
Page 11 of 26
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REO REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- -----------------------------------------------------------------------------
REO REPORT - MORTGAGE LOANS THAT BECOME REO DURING CURRENT DISTRIBUTION
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY LOAN GROUP
- -------------------------------------------------------------------------------------------------------------------------
<S> <C>
Total Loan Count = 7 Loan Group 1 = Fixed Group; REO Book Value = 92,319.04
Total Original Principal Balance = 462,175.00 Loan Group 2 = Adjustable Group; REO Book Value = 336,595.72
Total Current Balance = 461,889.44
REO Book Value = 428,914.76
- -------------------------------------------------------------------------------------------------------------------------
</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>
7283695 1 52,000.00 51,960.24 Jul-15-99 10.700% VA - 87.00% 360 Apr-30-99
9493603 1 39,875.00 39,875.00 Jun-01-99 14.120% FL - 55.00% 360 May-03-99
9430857 2 61,750.00 61,695.16 Jun-01-99 11.890% CA - 65.00% 360 Jan-26-99
9452303 2 60,000.00 59,952.84 Jun-01-99 12.440% CA - 60.00% 360 Feb-08-99
9454063 2 117,900.00 117,756.20 May-01-99 8.500% FL - 90.00% 360 Feb-05-99
9477144 2 91,000.00 91,000.00 May-01-99 11.740% CA - 65.00% 360 Apr-07-99
9510109 2 39,650.00 39,650.00 Jun-01-99 15.270% NC - 65.00% 360 Jun-01-99
</TABLE>
Page 16 of 26
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VOLUNTARY PREPAYMENTS ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CURRENT
Number of Paid in Full Loans 35 29 64
Number of Repurchased Loans - - -
--------------------------------------------------------------------------------------------------------------------------
Total Number of Loans Prepaid in Full 35 29 64
Paid in Full Balance 3,250,826.22 1,695,616.61 4,946,442.83
Repurchased Loans Balance - - -
Curtailments Amount - - -
--------------------------------------------------------------------------------------------------------------------------
Total Prepayment Amount 3,250,826.22 1,695,616.61 4,946,442.83
CUMULATIVE
Number of Paid in Full Loans 162 183 345
Number of Repurchased Loans - - -
--------------------------------------------------------------------------------------------------------------------------
Total Number of Loans Prepaid in Full 162 183 345
Paid in Full Balance 15,742,621.50 9,724,550.30 25,467,171.80
Repurchased Loans Balance - - -
Curtailments Amount (83,220.79) (158,587.56) (241,808.35)
--------------------------------------------------------------------------------------------------------------------------
Total Prepayment Amount 15,659,400.71 9,565,962.74 25,225,363.45
</TABLE>
SPACE INTENTIONALLY LEFT BLANK
- -------------------------------------------------------------------------------
TOTAL PREPAYMENTS BY GROUPS (IN THOUSANDS OF DOLLARS)
[GRAPH]
TOTAL PREPAYMENTS (IN THOUSANDS OF DOLLARS)
[GRAPH]
Page 17 of 26
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VOLUNTARY PREPAYMENT RATES ADJUSTABLE FIXED TOTAL
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SMM 1.71% 0.91% 1.31%
3 Months Avg SMM 1.65% 0.95% 1.31%
12 Months Avg SMM
Avg SMM Since Cut-off 1.15% 0.72% 0.94%
CPR 18.70% 10.35% 14.65%
3 Months Avg CPR 18.11% 10.85% 14.59%
12 Months Avg CPR
Avg CPR Since Cut-off 12.93% 8.35% 10.69%
PSA 1123.65% 573.97% 845.20%
3 Months Avg PSA Approximation 1232.23% 676.42% 949.56%
12 Months Avg PSA Approximation
Avg PSA Since Cut-off Approximation 1180.20% 691.46% 929.15%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
CPR BY GROUPS TOTAL CPR
[GRAPH] [GRAPH]
PSA BY GROUPS TOTAL PSA
[GRAPH] [GRAPH]
Page 18 of 26
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS
- --------------------------------------------------------------------------------
Fixed
Adjustable
CPR AVG SINCE CUT-OFF BY GROUPS TOTAL CPR AVG SINCE CUT-OFF
[GRAPH] [GRAPH]
PSA AVG SINCE CUT-OFF BY GROUPS TOTAL PSA AVG SINCE CUT-OFF
[GRAPH] [GRAPH]
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
<PAGE>
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
REALIZED LOSS REPORT - COLLATERAL
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COLLATERAL REALIZED LOSSES ADJUSTABLE FIXED TOTAL
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CURRENT
Number of Loans Liquidated 2 1 3
Collateral Realized Loss/(Gain) Amount 62,787.91 19,000.00 81,787.91
Net Liquidation Proceeds 162,627.96 - 162,627.96
CUMULATIVE
Number of Loans Liquidated 2 7 9
Collateral Realized Loss/(Gain) Amount 62,787.91 135,320.27 198,108.18
Net Liquidation Proceeds 162,627.96 79,370.49 241,998.45
Note: Collateral realized losses may include adjustments to loans
liquidated in prior periods.
Loss Percentage 0.0309% 0.0688%
Annualized Loss Percentage 0.0000% 0.0591%
- ----------------------------------------------------------------------------------------------------------------------
Fixed 3 Months Moving Average
Adjustable
</TABLE>
COLLATERAL LOSS SEVERITY COLLATERAL LOSS SEVERITY
APPROXIMATION BY GROUPS APPROXIMATION
[GRAPH] [GRAPH]
Page 22 of 26
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Realized Loss Report - Collateral
- -----------------------------------------------------------------------------------------------------------------------------------
DEFAULT SPEEDS ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
MDR 0.12% 0.01% 0.06%
3 Months Avg MDR 0.04% 0.04% 0.04%
12 Months Avg MDR
Avg MDR Since Cut-off 0.02% 0.02% 0.02%
CDR 1.41% 0.12% 0.77%
3 Months Avg CDR 0.47% 0.45% 0.46%
12 Months Avg CDR
Avg CDR Since Cut-off 0.20% 0.19% 0.20%
SDA 8.49% 0.67% 4.47%
3 Months Avg SDA Approximation 3.22% 2.81% 3.00%
12 Months Avg SDA Approximation
Avg SDA Since Cut-off Approximation 1.85% 1.60% 1.72%
Loss Severity Approximation for Current Period 27.85% 100.00% 33.46%
3 Months Avg Loss Severity Approximation 27.85% 75.74% 53.56%
12 Months Avg Loss Severity Approximation
Avg Loss Severity Approximation Since Cut-off 27.85% 75.74% 53.56%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
CDR BY GROUPS TOTAL CDR
[GRAPH] [GRAPH]
SDA BY GROUPS TOTAL SDA
[GRAPH] [GRAPH]
Page 23 of 26
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
Realized Loss Report - Collateral
- -------------------------------------------------------------------------------
CDR AVG SINCE CUT-OFF BY GROUPS TOTAL CDR AVG SINCE CUT-OFF
[GRAPH] [GRAPH]
SDA AVG SINCE CUT-OFF BY GROUPS TOTAL SDA AVG SINCE CUT-OFF
[GRAPH] [GRAPH]
<TABLE>
<CAPTION>
COLLATERAL REALIZED LOSS CALCULATION METHODOLOGY
- -----------------------------------------------------------------------------------------------------------------------------------
<S><C>
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.
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 24 of 26
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
TRIGGERS, ADJ. RATE CERT. AND MISCELLANEOUS REPORT FOR FEBRUARY 15, 2000
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>
<TABLE>
<CAPTION>
ADJUSTABLE RATE CERTIFICATE INFORMATION ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SPACE INTENTIONALLY LEFT BLANK
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ADDITIONAL INFORMATION ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Supplamental Interest Amounts 0.00 0.00 0.00
Supplamental Interest Amounts Unpaid 0.00 0.00 0.00
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 26 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
FEBRUARY 15, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
CONTENTS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TABLE OF CONTENTS
--------------------------------------------------------------------
PAGE
----
<S> <C>
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 17
8. Prepayment Report 18
9. Prepayment Detail Report 21
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
- ----------------------------------------------------------------------------
</TABLE>
CONTACTS
--------------------------------------------------------------------
Administrator: David C. West
Direct Phone Number: (714)247-6287
Address: Deutsche Bank
1761 E. St. Andrew Place, Santa Ana, CA 92705
Web Site: http://www-apps.gis.deutsche-bank.com/invr
Factor Information: (800) 735-7777
Main Phone Number: (714) 247-6000
--------------------------------------------------------------------
<TABLE>
<CAPTION>
ISSUANCE INFORMATION
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Seller: Aames Capital Corporation Cut-Off Date: November 1, 1999
Certificate Insurer: Financial Security Assurance Inc. Closing Date: November 18, 1999
Servicer(s): Aames Capital Corporation Master Servicer First Payment Date: December 15, 1999
Fairbanks Capital Corp. Back-Up Servicer
Underwriter(s): Banc Of America Securities LLC Lead Underwriter Distribution Date: February 15, 2000
Greenwich Capital Markets, Inc. Co-Lead Underwriter Record Date: February 11, 2000
Lehman Brothers Securities Corporation Co-Lead Underwriter January 31, 2000
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 1 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC I SERIES 1999-2
CERTIFICATE PAYMENT REPORT FOR FEBRUARY 15, 2000 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>
A-F 229,500,000.00 226,925,478.94 1,435,114.55 1,616,694.10 3,051,808.65 - - 225,308,784.84
A-V1 155,000,000.00 152,910,349.28 733,948.44 1,571,449.55 2,305,397.99 - - 151,338,899.73
A-V2 15,500,000.00 15,442,737.58 74,843.66 46,677.39 121,521.05 - - 15,396,060.19
C 3,494,923.86 4,742,782.13 - - - - 754,048.51 5,496,830.64
R-II - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Total 403,494,923.86 400,021,347.93 2,243,906.65 3,234,821.04 5,478,727.69 - 754,048.51 397,540,575.40
- -----------------------------------------------------------------------------------------------------------------------------------
</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 00253CFR3 229,500,000.00 988.782043 6.253222 7.044419 13.297641 981.737625
A-V1 01/18/00 02/14/00 A-Act/360 00253CFS1 155,000,000.00 986.518382 4.735151 10.138384 14.873535 976.379998
A-V2 01/18/00 02/14/00 A-Act/360 00253CFT9 15,500,000.00 996.305650 4.828623 3.011445 7.840068 993.294206
C - 3,494,923.86 1,357.048771 - - - 1,572.804118
R-II - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 2 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC I SERIES 1999-2
CERTIFICATE PAYMENT REPORT FOR FEBRUARY 15, 2000 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 229,500,000.00 4,331,290.39 3,591,841.60 599,373.55 4,191,215.15 8,522,505.54 - - 225,308,784.84
A-V1 155,000,000.00 2,409,836.62 3,462,171.01 198,929.26 3,661,100.27 6,070,936.89 - - 151,338,899.73
A-V2 15,500,000.00 244,651.16 83,046.12 20,893.70 103,939.82 348,590.98 - - 15,396,060.19
C 3,494,923.86 - - - - - - 2,001,906.78 5,496,830.64
R-II - - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Total 403,494,923.86 6,985,778.17 7,137,058.73 819,196.51 7,956,255.24 14,942,033.41 - 2,001,906.78 397,540,575.40
- -----------------------------------------------------------------------------------------------------------------------------------
</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 7.58900% 226,925,478.94 1,435,114.55 - - - 1,435,114.55 1,435,114.55 -
A-V1 6.17125% 152,910,349.28 733,948.44 - - - 733,948.44 733,948.44 -
A-V2 6.23125% 15,442,737.58 574,843.66 - - - 74,843.66 74,843.66 -
C 4,742,782.13 - - - - - 754,048.51 -
R-II - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Total 400,021,347.93 2,243,906.65 - - - 2,243,906.65 2,997,955.16 -
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 3 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC II SERIES 1999-2
CERTIFICATE PAYMENT REPORT FOR FEBRUARY 15, 2000 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>
LT-AF 22,922,692.54 143.51 161.67 305.18 - - 22,530.87
LT-MF 232,971,973.85 230,937,646.84 1,759,930.20 1,291,573.27 3,051,503.47 (0.03) 32.50 229,646,106.10
LT-AV1 15,15,291.03 73.39 157.14 230.53 - - 15,133.89
LT-MV1 154,984,500.00 153,511,352.33 1,180,618.49 1,124,548.96 2,305,167.45 25.65 44.68 152,386,822.40
LT-AV2 1,1,544.27 7.84 4.67 12.51 (0.01) - 1,539.61
- -----------------------------------------------------------------------------------------------------------------------------------
LT-MV2 15,498,450.00 15,484,795.38 114,951.64 6,556.90 121,508.54 2.61 4.01 15,478,239.88
R-I - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Total 403,494,923.85 99,973,322.39 3,055,725.07 2,423,002.61 5,478,727.68 28.22 81.19 397,550,372.75
- -----------------------------------------------------------------------------------------------------------------------------------
</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 22,950.00 988.781699 6.253159 7.044444 13.297603 981.737255
LT-MF F-30/360 232,971,973.85 991.267932 7.554257 5.543900 13.098157 985.724172
LT-AV1 01/18/00 02/14/00 A-Act/360 15,500.00 986.518065 4.734839 10.138065 14.872903 976.380000
LT-MV1 A-Act/360 154,984,500.00 990.494871 7.617655 7.255880 14.873535 983.239114
LT-AV2 01/18/00 02/14/00 A-Act/360 1,550.00 996.303226 5.058065 3.012903 8.070968 993.296774
- -----------------------------------------------------------------------------------------------------------------------------------
LT-MV2 A-Act/360 15,498,450.00 999.118969 7.416976 0.423068 7.840045 998.695991
R-I - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 4 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC II SERIES 1999-2
CERTIFICATE PAYMENT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
DISTRIBUTION IN DOLLARS - TO DATE
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
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 22,950.00 433.13 359.18 59.95 419.13 852.26 - - 22,530.87
LT-MF 232,971,973.85 5,195,677.54 2,726,521.65 599,454.10 3,325,975.75 8,521,653.29 (21.50) 86.50 229,646,106.10
LT-AV1 15,500.00 240.98 346.22 19.88 366.10 607.08 0.01 - 15,133.89
LT-MV1 154,984,500.00 3,472,528.90 2,398,723.54 199,077.31 2,597,800.85 6,070,329.75 (16.94) 106.31 152,386,822.40
LT-AV2 1,550.00 24.19 8.30 2.10 10.40 34.59 (0.01) - 1,539.61
LT-MV2 15,498,450.00 331,061.30 - 20,218.85 20,218.85 351,280.15 (0.36) 8.37 15,478,239.88
R-I - - - - - - - - -
- ---------------------------------------------------------------------------------------------------------------------------------
Total 403,494,923.85 8,999,966.04 5,125,958.89 818,832.19 5,944,791.08 14,944,757.12 (38.80) 201.18 397,550,372.75
- ---------------------------------------------------------------------------------------------------------------------------------
</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 7.58900% 22,692.54 143.51 - - - 143.51 143.51 -
LT-MF 9.14498% 230,937,646.84 1,759,962.70 - - - 1,759,962.70 1,759,962.70 -
LT-AV1 6.17125% 15,291.03 73.39 - - - 73.39 73.39 -
LT-MV1 9.22891% 153,511,352.33 1,180,663.17 - - - 1,180,663.17 1,180,663.17 -
LT-AV2 6.23125% 1,544.27 7.84 - - - 7.84 7.84 -
- ----------------------------------------------------------------------------------------------------------------------------------
LT-MV2 9.11849% 15,484,795.38 114,955.65 - - - 114,955.65 114,955.65 -
R-I - - - - - - - -
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
Total 399,973,322.39 3,055,806.26 - - - 3,055,806.26 3,055,806.26 -
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 5 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
COLLECTION ACCOUNT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
COLLECTION ACCOUNT REPORT
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Principal Collections 6,557.56 1,124,661.43 1,291,702.44 2,422,921.43
Principal Withdrawals 0.00 0.00 0.00 0.00
Principal Other Accounts 0.00 0.00 0.00 0.00
TOTAL NET PRINCIPAL 6,557.56 1,124,661.43 1,291,702.44 2,422,921.43
Interest Collections 127,685.71 1,321,999.40 1,949,038.98 3,398,724.09
Interest Withdrawals 0.00 0.00 0.00 0.00
Interest Other Accounts 0.00 0.00 0.00 0.00
Interest Fees (12,722.22) (141,262.84) (188,932.77) (342,917.83)
TOTAL NET INTEREST 114,963.49 1,180,736.56 1,760,106.21 3,055,806.26
TOTAL AVAILABLE FUNDS TO BONDHOLDERS 121,521.05 2,305,397.99 3,051,808.65 5,478,727.69
Capitalized Interest 0.00 0.00 0.00 0.00
TOTAL REMITANCE DUE FROM SERVICER 128,677.77 2,392,245.85 3,155,256.75 5,676,180.37
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL - COLLECTIONS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Scheduled Principal 6,557.56 69,146.86 218,684.66 294,389.08
Curtailments 0.00 0.00 0.00 0.00
Prepayments in Full 0.00 1,055,514.57 1,073,017.78 2,128,532.35
Repurchases/Substitutions 0.00 0.00 0.00 0.00
Liquidations 0.00 0.00 0.00 0.00
Insurance Principal 0.00 0.00 0.00 0.00
Other Additional Principal 0.00 0.00 0.00 0.00
Delinquent Principal 0.00 0.00 0.00 0.00
Realized Losses 0.00 0.00 0.00 0.00
Mortgage Replacement Amount 0.00 0.00 0.00 0.00
TOTAL PRINCIPAL COLLECTED 6,557.56 1,124,661.43 1,291,702.44 2,422,921.43
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 6 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
CREDIT ENHANCEMENT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
CREDIT ENHANCEMENT REPORT
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ACCOUNTS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SPACE INTENTIONALLY LEFT BLANK
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
INSURANCE ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insurance Premium Due 2,959.86 29,307.82 43,494.05 75,761.73
Insurance Premium Paid 2,959.86 29,307.82 43,494.05 75,761.73
Reimbursements to Certificate Insurer 0.00 0.00 0.00 0.00
Insured Payments Made By Certiifcate Insurer 0.00 0.00 0.00 0.00
Insurance Premiums Due but not Paid 0.00 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
STRUCTURAL FEATURES ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extra Principal Distribution Amt 40,119.83 446,788.12 324,991.66 811,899.61
Overcollateralization Amount 83,723.30 1,063,101.25 4,359,884.63 5,506,709.18
Targeted Overcollateralization Amt 697,500.00 6,975,000.00 10,484,771.57 18,157,271.57
Overcollateralization Release Amount 0.00 0.00 0.00 0.00
Overcollateralization Defficiency Amt 653,896.53 6,358,686.87 6,449,878.60 13,462,462.00
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 9 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
COLLATERAL REPORT
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COLLATERAL ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Loan Count:
ORIGINAL 40 1672 2983 4695
Prior 55 1,856 3,387 5,298
Prefunding - - - -
Scheduled Paid Offs - - - -
Full Voluntary Prepayments - (8) (17) (25)
Repurchases - - - -
Liquidations - - - -
---------------------------------------------------------------------------------------------------------------------
Current 55 1,848 3,370 5,273
PRINCIPAL BALANCE:
Original 12,355,122.19 140,132,704.74 204,775,276.64 357,263,103.57
Prior 15,486,341.05 153,526,662.41 230,960,371.91 399,973,375.37
Prefunding - - - -
Scheduled Principal (6,557.56) (69,146.86) (218,684.66) (294,389.08)
Partial and Full Voluntary Prepayments - (1,055,514.57) (1,073,017.78) (2,128,532.35)
Repurchases - - - -
---------------------------------------------------------------------------------------------------------------------
Liquidations - - - -
Current 15,479,783.49 152,402,000.98 229,668,669.47 397,550,453.94
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PREFUNDING ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Prefunding Beginning Balance 0.00 0.00 0.00 0.00
Balance of Subsequent Loans Transfered 0.00 0.00 0.00 0.00
Prefunded Amount Dispursed To Offered Certificates 0.00 0.00 0.00 0.00
Prefunding Ending Balance 0.00 0.00 0.00 0.00
Capitalized Interest Beginning Balance 0.00 0.00 0.00 0.00
Capitalized Interest Requirement 0.00 0.00 0.00 0.00
Capitalized Interest Released to Seller 0.00 0.00 0.00 0.00
Capitalized Interest Ending Balance 0.00 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
CURRENT PRIN BALANCE BY GROUPS TOTAL CURRENT PRINCIPAL BALANCE
(IN MILLIONS OF DOLLARS) (IN MILLIONS OF DOLLARS)
[GRAPH] [GRAPH]
Page 10 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Collateral Report
- -----------------------------------------------------------------------------------------------------------------------------------
CHARACTERISTICS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Weighted Average Coupon Original 9.821401% 10.362308% 10.137077% 10.214505%
Weighted Average Coupon Prior 9.962604% 10.402998% 10.184999% 10.260030%
Weighted Average Coupon Current 9.962806% 10.407734% 10.182463% 10.260426%
----------------------------------------------------------------------------------------------------------------------------------
Weighted Average Months to Maturity Original 358 357 324 338
Weighted Average Months to Maturity Prior 357 355 324 337
Weighted Average Months to Maturity Current 356 355 322 336
----------------------------------------------------------------------------------------------------------------------------------
Weighted Avg Remaining Amortization Term Original 358 357 325 339
Weighted Avg Remaining Amortization Term Prior 358 356 324 338
Weighted Avg Remaining Amortization Term Current 357 355 323 337
----------------------------------------------------------------------------------------------------------------------------------
Weighted Average Seasoning Original 1.75 1.69 1.86 1.79
Weighted Average Seasoning Prior 2.32 2.51 2.59 2.55
Weighted Average Seasoning Current 3.32 3.50 3.59 3.55
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: ORIGINAL INFORMATION REFERS TO DEAL ISSUE.
WAC BY GROUPS TOTAL WAC
[GRAPH] [GRAPH]
WARAT BY GROUPS TOTAL WARAT
[GRAPH] [GRAPH]
NOTE: DATES CORRESPOND TO DISTRIBUTION DATES.
Page 11 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
DELINQUENCY REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Delinquency Report - Total
- -----------------------------------------------------------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
DELINQUENT Balance 8,664,527.09 1,770,740.00 461,492.26 10,896,759.35
% Balance 2.18% 0.45% 0.12% 2.74%
# Loans 107 18 11 136
% # Loans 2.03% 0.34% 0.21% 2.58%
- -----------------------------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance - 301,391.14 4,412,356.19 4,446,199.36 9,159,946.69
% Balance 0.00% 0.08% 1.11% 1.12% 2.30%
# Loans - 5 65 64 134
% # Loans 0.00% 0.09% 1.23% 1.21% 2.54%
- -----------------------------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance 730,985.53 121,498.45 20,295.22 120,979.16 993,758.36
% Balance 0.18% 0.03% 0.01% 0.03% 0.25%
# Loans 7 3 1 2 13
% # Loans 0.13% 0.06% 0.02% 0.04% 0.25%
- -----------------------------------------------------------------------------------------------------------------------------------
REO Balance - - - 149,238.20 149,238.20
% Balance 0.00% 0.00% 0.00% 0.04% 0.04%
# Loans - - - 2 2
% # Loans 0.00% 0.00% 0.00% 0.04% 0.04%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL Balance 730,985.53 9,087,416.68 6,203,391.41 5,177,908.98 21,199,702.60
% Balance 0.18% 2.29% 1.56% 1.30% 5.33%
# Loans 7 115 84 79 285
% # Loans 0.13% 2.18% 1.59% 1.50% 5.40%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: CURRENT = 0-29DAYS, 1 PAYMENT =30-59DAYS, 2 PAYMENTS = 60-89DAYS,
3+ PAYMENTS = 90+
6 MONTHS MOVING AVERAGE
1 OR 2 PAYMENTS DELINQUENT 3 OR MORE PAYMENTS DELINQUENT
[GRAPH] [GRAPH]
TOTAL FORECLOSURE TOTAL BANKRUPTCY AND REO
[GRAPH] [GRAPH]
Note: Dates correspond to distribution dates.
Page 13 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REO REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
REO Report - Mortgage Loans that Become REO During Current Distribution
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY LOAN GROUP
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
Total Loan Count = 2 Loan Group 1 = Fixed Group; REO Book Value = Not Available
Total Original Principal Balance = 149,350.00 Loan Group 2 = Adjustable 1 Group; REO Book Value = Not Available
Total Current Balance = 149,238.20 Loan Group 3 = Adjustable 2 Group; REO Book Value = Not Available
REO Book Value = Not Available Loan Group 3 = Adjustable 2 Group; 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>
7649525 1 63,750.00 63,750.00 Aug-01-99 11.550% TN - 85.00% 360 Jul-26-99
9545905 2 85,600.00 85,488.20 Sep-01-99 8.150% CA - 31.94% 360 Jun-21-99
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 17 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VOLUNTARY PREPAYMENTS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CURRENT
Number of Paid in Full Loans - 8 17 25
Number of Repurchased Loans - - - -
-----------------------------------------------------------------------------------------------------------------
Total Number of Loans Prepaid in Full - 8 17 25
Paid in Full Balance - 1,055,514.57 1,073,017.78 2,128,532.35
Repurchased Loans Balance - - - -
Curtailments Amount - - - -
-----------------------------------------------------------------------------------------------------------------
Total Prepayment Amount - 1,055,514.57 1,073,017.78 2,128,532.35
CUMULATIVE
Number of Paid in Full Loans - 27 53 80
Number of Repurchased Loans - - - -
-----------------------------------------------------------------------------------------------------------------
Total Number of Loans Prepaid in Full - 27 53 80
Paid in Full Balance - 2,401,670.46 2,738,037.69 5,139,708.15
Repurchased Loans Balance - - - -
Curtailments Amount (900.31) (3,755.53) (12,674.55) (17,330.39)
-----------------------------------------------------------------------------------------------------------------
Total Prepayment Amount (900.31) 2,397,914.93 2,725,363.14 5,122,377.76
SPACE INTENTIONALLY LEFT BLANK
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
TOTAL PREPAYMENTS BY GROUPS TOTAL PREPAYMENTS
(IN THOUSANDS OF DOLLARS) (IN THOUSANDS OF DOLLARS)
[GRAPH] [GRAPH]
Page 18 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VOLUNTARY PREPAYMENT RATES ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SMM 0.00% 0.69% 0.47% 0.53%
3 Months Avg SMM 0.00% 0.54% 0.41% 0.44%
12 Months Avg SMM
Avg SMM Since Cut-off 0.00% 0.54% 0.41% 0.44%
CPR 0.00% 7.95% 5.44% 6.21%
3 Months Avg CPR 0.00% 6.28% 4.76% 5.18%
12 Months Avg CPR
Avg CPR Since Cut-off 0.00% 6.28% 4.76% 5.18%
PSA 0.00% 1135.97% 756.95% 875.07%
3 Months Avg PSA Approximation 0.00% 1222.58% 885.97% 984.07%
12 Months Avg PSA Approximation
Avg PSA Since Cut-off Approximation 0.00% 1222.58% 885.97% 984.07%
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
CPR BY GROUPS TOTAL CPR
[GRAPH] [GRAPH]
PSA BY GROUPS TOTAL PSA
[GRAPH] [GRAPH]
Page 19 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
Prepayment Report - Voluntary Prepayments
- --------------------------------------------------------------------------------
-- FIXED -- ADJUSTABLE 2
-- ADJUSTABLE 1
CPR AVG SINCE CUT-OFF BY GROUPS TOTAL CPR AVG SINCE CUT-OFF
[GRAPH] [GRAPH]
PSA AVG SINCE CUT-OFF BY GROUPS TOTAL PSA AVG SINCE CUT-OFF
[GRAPH] [GRAPH]
PREPAYMENT CALCULATION METHODOLOGY
- --------------------------------------------------------------------------------
<TABLE>
<S><C>
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)
</TABLE>
Note: Prepayment rates are calculated since deal issue date and include
partial and full voluntary prepayments and repurchases.
Dates correspond to distribution dates.
- --------------------------------------------------------------------------------
Page 20 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT DETAIL REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
Prepayment Detail Report - Loans Prepaid in Full During Current Distribution
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY LOAN GROUP
- ------------------------------------------------- ----------------------------------------------------
<S> <C>
Total Loan Count = 25 Loan Group 1 = Fixed Group
Total Original Principal Balance = 2,134,383.00 Loan Group 2 = Adjustable 1 Group
Total Prepayment Amount = 2,128,532.35 Loan Group 3 = Adjustable 2 Group
Loan Group 3 = Adjustable 2 Group
- ------------------------------------------------- ----------------------------------------------------
</TABLE>
<TABLE>
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Loan Number Original Current State &
& Loan Principal Prepayment Prepayment Note LTV at
Loan Group Status Balance Amount Date Rate Origination
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
7609396 1 116,250.00 114,259.13 Jan-31-00 9.000% GA - 75.00%
7653476 1 44,800.00 44,712.43 Jan-31-00 12.250% TX - 64.93%
7659504 1 52,000.00 51,729.60 Jan-31-00 12.310% KS - 74.29%
7674708 1 32,400.00 32,350.81 Jan-31-00 10.450% PA - 90.00%
7676263 1 98,400.00 98,400.00 Jan-31-00 10.750% DC - 80.00%
7698291 1 82,200.00 82,126.19 Jan-31-00 9.950% NC - 65.76%
7699093 1 17,500.00 17,342.57 Jan-31-00 11.500% FL - 34.31%
7702299 1 63,000.00 62,974.30 Jan-31-00 10.380% KS - 90.00%
9517642 1 40,800.00 40,779.75 Jan-31-00 12.660% FL - 60.00%
9536256 1 61,750.00 61,710.32 Jan-31-00 14.620% TN - 65.00%
9543562 1 FCL 19,175.00 19,142.69 Jan-31-00 13.790% LA - 65.00%
9563814 1 88,400.00 88,358.14 Jan-31-00 14.040% FL - 65.00%
9569359 1 26,000.00 26,000.00 Jan-31-00 15.920% SC - 40.00%
9576053 1 140,000.00 139,932.58 Jan-31-00 9.600% HI - 62.22%
9713123 1 52,200.00 52,012.07 Jan-31-00 12.990% IA - 90.00%
9715169 1 53,300.00 53,283.88 Jan-31-00 11.750% IA - 62.71%
9748571 1 88,000.00 87,903.32 Jan-31-00 8.990% WI - 80.00%
1473719 2 239,708.00 238,923.66 Jan-31-00 10.190% NJ - 68.88%
1481053 2 125,300.00 125,191.12 Jan-31-00 11.990% CA - 70.00%
7640838 2 64,800.00 63,871.57 Jan-31-00 9.250% OH - 90.00%
9435476 2 90,000.00 89,535.64 Jan-31-00 13.780% NJ - 59.21%
9511725 2 118,750.00 118,577.90 Jan-31-00 10.990% NC - 94.25%
9525564 2 225,000.00 224,837.40 Jan-31-00 10.960% MI - 75.00%
9576444 2 79,900.00 79,869.92 Jan-31-00 10.750% WI - 85.00%
9585745 2 114,750.00 114,707.36 Jan-31-00 10.810% NH - 85.00%
- -----------------------------------------------------------
<CAPTION>
Loan Number Type Prepayment
& & Origination
Loan Group Original Term Date
- -----------------------------------------------------------
<S> <C> <C>
7609396 1 Paid Off - 180 May-26-99
7653476 1 Paid Off - 180 Aug-09-99
7659504 1 Paid Off - 360 Jul-28-99
7674708 1 Paid Off - 360 Sep-01-99
7676263 1 Paid Off - 360 Sep-29-99
7698291 1 Paid Off - 360 Sep-29-99
7699093 1 Paid Off - 120 Oct-01-99
7702299 1 Paid Off - 360 Oct-15-99
9517642 1 Paid Off - 360 Aug-20-99
9536256 1 Paid Off - 360 Jun-30-99
9543562 1 Paid Off - 180 Jun-30-99
9563814 1 Paid Off - 360 Sep-24-99
9569359 1 Paid Off - 360 Oct-01-99
9576053 1 Paid Off - 360 Oct-12-99
9713123 1 Paid Off - 360 Aug-10-99
9715169 1 Paid Off - 360 Oct-14-99
9748571 1 Paid Off - 360 Sep-21-99
1473719 2 Paid Off - 360 Jul-09-99
1481053 2 Paid Off - 360 Aug-17-99
7640838 2 Paid Off - 180 Jun-30-99
9435476 2 Paid Off - 360 Jan-05-99
9511725 2 Paid Off - 360 Jul-19-99
9525564 2 Paid Off - 360 Sep-07-99
9576444 2 Paid Off - 360 Oct-13-99
9585745 2 Paid Off - 360 Oct-29-99
</TABLE>
- --------------------------------------------------------------------------------
Page 21 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Loss Report - Collateral
- ---------------------------------------------------------------------------------------------------------------------------------
COLLATERAL REALIZED LOSSES ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <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% 0.0000% 0.0000%
Annualized Loss Percentage 0.0000% 0.0000% 0.0000% 0.0000%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
COLLATERAL LOSS SEVERITY APPROXIMATION BY GROUPS
[GRAPH]
COLLATERAL LOSS SEVERITY APPROXIMATION
[GRAPH]
Page 22 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
Realized Loss Report - Collateral
- ----------------------------------------------------------------------------------------------------------------------------------
DEFAULT SPEEDS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MDR 0.00% 0.00% 0.00% 0.00%
3 Months Avg MDR 0.00% 0.00% 0.00% 0.00%
12 Months Avg MDR
Avg MDR Since Cut-off 0.00% 0.00% 0.00% 0.00%
CDR 0.00% 0.00% 0.00% 0.00%
3 Months Avg CDR 0.00% 0.00% 0.00% 0.00%
12 Months Avg CDR
Avg CDR Since Cut-off 0.00% 0.00% 0.00% 0.00%
SDA 0.00% 0.00% 0.00% 0.00%
3 Months Avg SDA Approximation 0.00% 0.00% 0.00% 0.00%
12 Months Avg SDA Approximation
Avg SDA Since Cut-off Approximation 0.00% 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>
CDR BY GROUPS TOTAL CDR
[GRAPH] [GRAPH]
SDA BY GROUPS TOTAL SDA
[GRAPH] [GRAPH]
Page 23 of 26
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
Realized Loss Report - Collateral
- -------------------------------------------------------------------------------
CDR AVG SINCE CUT-OFF BY GROUPS TOTAL CDR AVG SINCE CUT-OFF
[GRAPH] [GRAPH]
SDA AVG SINCE CUT-OFF BY GROUPS TOTAL SDA AVG SINCE CUT-OFF
[GRAPH] [GRAPH]
COLLATERAL REALIZED LOSS CALCULATION METHODOLOGY
<TABLE>
- ----------------------------------------------------------------------------------------------------------------------------------
<S><C>
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.
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 24 of 26
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS DETAIL REPORT FOR FEBRUARY 15, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED LOSS DETAIL REPORT - LOANS LIQUIDATED DURING CURRENT DISTRIBUTION
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C>
SUMMARY LOAN GROUP
- ---------------------------------------------------- --------------------------------------------------------------
Total Loan Count = 0 Loan Group 1 = Fixed Group
Total Original Principal Balance = 0.00 Loan Group 2 = Adjustable 1 Group
Total Prior Principal Balance = 0.00 Loan Group 3 = Adjustable 2 Group
Total Realized Loss Amount = 0.00 Loan Group 3 = Adjustable 2 Group
Total Net Liquidation Proceeds = 0.00
- ---------------------------------------------------- --------------------------------------------------------------
<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
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
TRIGGERS, ADJ. RATE CERT. AND MISCELLANEOUS REPORT FOR FEBRUARY 15, 2000
DISTRIBUTION
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
Triggers, Adj. Rate Cert. and Miscellaneous Report
- ----------------------------------------------------------------------------------------------------------------------------------
TRIGGER EVENTS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Step Down Cumulative Loss Test No No No No
Step Down Rolling Delinquency Test Yes Yes Yes Yes
Step Down Rolling Loss Test Yes Yes Yes Yes
Step Down Tigger No No No No
Step Up Cumulative Loss Test No No No No
Step Up Rolling Delinquency Test No No No No
Step Up Rolling Loss Test No No No No
Step Up Tigger No No No No
Step Up Spread Squeeze Test No No No No
Spread Squeeze Condition No No No No
- ----------------------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE CERTIFICATE INFORMATION ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ----------------------------------------------------------------------------------------------------------------------------------
SPACE INTENTIONALLY LEFT BLANK
- ----------------------------------------------------------------------------------------------------------------------------------
ADDITIONAL INFORMATION ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ----------------------------------------------------------------------------------------------------------------------------------
Supplamental Interest Amounts 0.00 0.00 0.00 0.00
Supplamental Interest Amounts Unpaid 0.00 0.00 0.00 0.00
</TABLE>
Page 26 of 26
