<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)
JANUARY 18, 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: January 24, 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
JANUARY 18, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
CONTENTS
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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: January 18, 2000
Banc Of America Securities LLC Co-Lead Underwriter Record Date: January 17, 2000
Greenwich Capital Markets, Inc. Co-Lead Underwriter December 31, 1999
</TABLE>
- --------------------------------------------------------------------------------
Page 1 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC I SERIES 1999-1
CERTIFICATE PAYMENT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
DISTRIBUTION IN DOLLARS - CURRENT PERIOD
<TABLE>
<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 18,257.90 110.81 259.81 370.62 (0.02) - 17,998.11
LT-MF 196,688,617.88 189,673,664.73 1,441,107.66 2,265,728.44 3,706,836.10 63,635.59 33.21 187,344,333.91
LT-AV 20,203.50 18,906.52 122.54 407.37 529.91 - - 18,499.15
LT-MV 203,337,098.17 193,931,732.37 1,543,473.01 3,755,046.48 5,298,519.49 0.01 31.82 190,176,717.70
P 100.00 100.00 92,927.03 - 92,927.03 - - 100.00
- ----------------------------------------------------------------------------------------------------------------------------------
R-I - - - - - - - -
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
Total 400,065,143.05 383,642,661.52 3,077,741.05 6,021,442.10 9,099,183.15 63,635.58 65.03 377,557,648.87
- ----------------------------------------------------------------------------------------------------------------------------------
</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 19,123.50 954.736319 5.794441 13.585902 19.380344 941.151463
LT-MF F-30/360 196,688,617.88 964.334728 7.326848 11.519367 18.846216 952.491994
LT-AV 12/15/99 01/17/00 A-Act/360 20,203.50 935.804192 6.065043 20.163338 26.228381 915.640854
LT-MV F-30/360 203,337,098.17 953.744959 7.590710 18.467100 26.057810 935.278016
P - 100.00 1,000.000000 929,270.300000 - 929,270.300000 1,000.000000
- -----------------------------------------------------------------------------------------------------------------------------------
R-I - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 2 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC I SERIES 1999-1
CERTIFICATE PAYMENT REPORT FOR JANUARY 18, 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>
LT-AF 19,123.50 683.32 987.65 137.75 1,125.40 1,808.72 (0.01) - 17,998.11
LT-MF 196,688,617.88 8,860,171.08 8,089,372.69 1,138,793.49 9,228,166.18 18,088,337.26 116,320.28 202.49 187,344,333.91
LT-AV 20,203.50 538.77 1,619.83 84.52 1,704.35 2,243.12 - - 18,499.15
LT-MV 203,337,098.17 9,268,211.19 12,482,690.38 678,078.21 13,160,768.59 22,428,979.78 0.01 388.14 190,176,717.70
P 100.00 344,984.91 - - - 344,984.91 - - 100.00
R-I - 0.01 - - - 0.01 - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Total 400,065,143.05 8,474,589.28 20,574,670.55 1,817,093.97 22,391,764.52 40,866,353.80 116,320.28 590.63 377,557,648.87
- -----------------------------------------------------------------------------------------------------------------------------------
</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% 18,257.90 110.81 - - - 110.81 110.81 -
LT-MF 9.12667% 189,673,664.73 1,441,107.66 - - - 1,441,107.66 1,441,140.87 -
LT-AV 6.86250% 18,906.52 122.54 - - - 122.54 122.54 -
LT-MV 9.55064% 193,931,732.37 1,543,473.01 - - - 1,543,473.01 1,543,504.83 -
P 100.00 - - - - 92,927.03 92,927.03 -
- -----------------------------------------------------------------------------------------------------------------------------------
R-I - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Total 383,642,661.52 2,984,814.02 - - - 3,077,741.05 3,077,806.08 -
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 3 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC II SERIES 1999-1
Certificate Payment Report for January 18, 2000 Distribution
<TABLE>
<CAPTION>
DISTRIBUTION IN DOLLARS - CURRENT PERIOD
- ----------------------------------------------------------------------------------------------------------------------
Prior
Class Original Principal
Class Type Face Value Balance Interest Principal
- ----------------------------------------------------------------------------------------------------------------------
(1) (2) (3)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
A-F STEP 191,235,000.00 182,579,183.61 1,109,168.54 2,598,038.18
A-V STEP 202,035,000.00 189,065,169.88 1,225,378.63 4,073,670.77
C 6,795,043.05 14,636,450.68 - -
R-II - - - -
- ----------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------
Total 400,065,043.05 386,280,804.17 2,334,547.17 6,671,708.95
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------------
Current
Total Realized Deferred Principal
Class Distribution Losses Interest Balance
- ---------------------------------------------------------------------------------------------
(4)=(2)+(3) (5) (6) (7)=(1)-(3)-(5)+(6)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
A-F 3,707,206.72 - - 179,981,145.43
A-V 5,299,049.40 - - 184,991,499.11
C - - (2,020,659.50) 12,615,791.18
R-II - - - -
- ---------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------
Total 9,006,256.12 - (2,020,659.50) 377,588,435.72
- ---------------------------------------------------------------------------------------------
</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 191,235,000.00 954.737279 5.800029 13.585579
A-V 12/15/99 01/17/00 A-Act/360 00253CFN2 202,035,000.00 935.804043 6.065180 20.163193
C - 6,795,043.05 2,153.989397 - -
R-II - - - - -
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------
Current
Total Principal
Class Distribution Balance
- ------------------------------------------------------------
(4)=(2)+(3) (5)
- ------------------------------------------------------------
<S> <C> <C>
A-F 19.385608 941.151700
A-V 26.228373 915.640850
C - 1,856.616814
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 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC II SERIES 1999-1
Certificate Payment Report for January 18, 2000 Distribution
<TABLE>
<CAPTION>
DISTRIBUTION IN DOLLARS - TO DATE
- ---------------------------------------------------------------------------------------------------------------------
Original Unscheduled Scheduled Total
Class Face Value Interest Principal Principal Principal
- ---------------------------------------------------------------------------------------------------------------------
(1) (2) (3) (4) (5)=(3)+(4)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
A-F 191,235,000.00 6,836,291.41 9,876,514.99 1,377,339.58 11,253,854.57
A-V 202,035,000.00 5,387,722.03 16,198,323.43 845,177.46 17,043,500.89
C 6,795,043.05 - - - -
R-II - - - - -
- ---------------------------------------------------------------------------------------------------------------------
Total 400,065,043.05 12,224,013.44 26,074,838.42 2,222,517.04 28,297,355.46
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------------------
Current
Total Realized Deferred Principal
Class Distribution Losses Interest Balance
- --------------------------------------------------------------------------------------------
(6)=(2)+(5) (7) (8) (9)=(1)-(5)-(7)+(8)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
A-F 18,090,145.98 - - 179,981,145.43
A-V 22,431,222.92 - - 184,991,499.11
C - - 5,820,748.13 12,615,791.18
R-II - - - -
- --------------------------------------------------------------------------------------------
Total 40,521,368.90 - 5,820,748.13 377,588,435.72
- --------------------------------------------------------------------------------------------
</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% 182,579,183.61 1,109,168.54 - - -
A-V 6.86250% 189,065,169.88 1,225,378.63 - - -
C 14,636,450.68 - - - -
R-II - - - - -
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Total 386,280,804.17 2,334,547.17 - - -
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------
Paid or Current
Optimal Deferred Unpaid
Class Interest Interest Interest
- ---------------------------------------------------------------------------
(5)=(1)-(2)+(3)+(4) (6) (7)=(5)-(6)
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
A-F 1,109,168.54 1,109,168.54 -
A-V 1,225,378.63 1,225,378.63 -
C - (2,020,659.50) -
R-II - - -
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
- ---------------------------------------------------------------------------
Total 2,334,547.17 313,887.67 -
- ---------------------------------------------------------------------------
</TABLE>
Page 5 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
Collection Account Report for January 18, 2000 Distribution
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
COLLECTION ACCOUNT REPORT
- -----------------------------------------------------------------------------------------------------------------------------
SUMMARY ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Principal Collections 3,755,422.03 2,265,955.04 6,021,377.07
Principal Withdrawals 0.00 0.00 0.00
Principal Other Accounts 0.00 0.00 0.00
TOTAL NET PRINCIPAL 3,755,422.03 2,265,955.04 6,021,377.07
Interest Collections 1,709,308.83 1,579,819.90 3,289,128.73
Interest Withdrawals 0.00 (1,461.06) (1,461.06)
Interest Other Accounts 0.00 0.00 0.00
Interest Fees (105,280.45) (104,581.14) (209,861.59)
TOTAL NET INTEREST 1,604,028.38 1,473,777.70 3,077,806.08
TOTAL AVAILABLE FUNDS TO BONDHOLDERS 5,359,450.41 3,739,732.74 9,099,183.15
TOTAL REMITANCE DUE FROM SERVICER 5,399,728.54 3,778,679.00 9,178,407.54
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PRINCIPAL - COLLECTIONS ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Scheduled Principal 104,131.61 235,796.14 339,927.75
Curtailments 0.00 0.00 0.00
Prepayments in Full 3,651,290.42 1,966,224.59 5,617,515.01
Repurchases/Substitutions 0.00 0.00 0.00
Liquidations 0.00 127,569.88 127,569.88
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 (63,635.57) (63,635.57)
Mortgage Replacement Amount 0.00 0.00 0.00
TOTAL PRINCIPAL COLLECTED 3,755,422.03 2,265,955.04 6,021,377.07
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 6 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLECTION ACCOUNT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
COLLECTION ACCOUNT REPORT
- ---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL - WITHDRAWALS ADJUSTABLE FIXED TOTAL
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SPACE INTENTIONALLY LEFT BLANK
- ---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL - OTHER ACCOUNTS ADJUSTABLE FIXED TOTAL
- ---------------------------------------------------------------------------------------------------------------------------
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 1,664,718.27 1,559,488.69 3,224,206.96
Repurchases/Substitutions 0.00 0.00 0.00
Liquidations 0.00 1,208.61 1,208.61
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 (351,230.03) (293,970.95) (645,200.98)
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 335,419.58 280,567.53 615,987.11
Closing Date Deposits 0.00 0.00 0.00
Insurer Interest to Cover PPIS 0.00 0.00 0.00
Prepayment Penalties 60,401.01 32,526.02 92,927.03
TOTAL INTEREST COLLECTED 1,709,308.83 1,579,819.90 3,289,128.73
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 7 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLECTION ACCOUNT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
COLLECTION ACCOUNT REPORT
- -------------------------------------------------------------------------------------------------------------------------
INTEREST - WITHDRAWALS ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Unpaid Servicing Fees 0.00 0.00 0.00
Advances Reimbursed 0.00 1,461.06 1,461.06
TOTAL INTEREST WITHDRAWLS 0.00 1,461.06 1,461.06
- -------------------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------------------
INTEREST - FEES ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Servicing Fees 65,002.32 65,634.88 130,637.20
Back Up Servicing Fees 4,040.64 3,951.92 7,992.56
Certificate Insurance Premiums 36,237.49 34,994.34 71,231.83
Trustee Fees 0.00 0.00 0.00
TOTAL INTEREST OTHER FEES 105,280.45 104,581.14 209,861.59
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 8 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
CREDIT ENHANCEMENT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
CREDIT ENHANCEMENT REPORT
- ---------------------------------------------------------------------------------------------------------------------------------
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 36,237.49 34,994.34 71,231.83
Insurance Premium Paid 36,237.49 34,994.34 71,231.83
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
- ---------------------------------------------------------------------------------------------------------------------------------
STRUCTURAL FEATURES ADJUSTABLE FIXED TOTAL
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Extra Principal Distribution Amt 318,248.74 332,083.14 650,331.88
Overcollateralization Amount 5,203,717.74 7,381,186.59 12,584,904.33
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 6,604,218.54 3,769,822.33 10,374,040.87
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 9 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
COLLATERAL REPORT
- --------------------------------------------------------------------------------------------------------------------------------
COLLATERAL ADJUSTABLE FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Loan Count:
ORIGINAL 1786 3011 4797
Prior 2,144 2,888 5,032
Prefunding - - -
Scheduled Paid Offs - - -
Full Voluntary Prepayments (42) (34) (76)
Repurchases - - -
Liquidations - (3) (3)
----------------------------------------------------------------------------------------------------------------------------
Current 2,102 2,851 4,953
PRINCIPAL BALANCE:
Original 163,359,100.25 196,707,741.38 360,066,841.63
Prior 193,950,638.88 189,691,922.63 383,642,561.51
Prefunding - - -
Scheduled Principal (104,131.61) (235,796.14) (339,927.75)
Partial and Full Voluntary Prepayments (3,651,290.42) (1,966,224.59) (5,617,515.01)
Repurchases - - -
----------------------------------------------------------------------------------------------------------------------------
Liquidations - (127,569.88) (127,569.88)
Current 190,195,216.85 187,362,332.02 377,557,548.87
- --------------------------------------------------------------------------------------------------------------------------------
</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>
[MARK] Fixed
----
[MARK] Adjustable
----
CURRENT PRIN BALANCE BY GROUPS TOTAL CURRENT PRINCIPAL BALANCE
(IN MILLIONS OF DOLLARS) (IN MILLIONS OF DOLLARS)
[GRAPH] [GRAPH]
Page 10 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
COLLATERAL REPORT
- -------------------------------------------------------------------------------------------------------------------------
CHARACTERISTICS ADJUSTABLE FIXED TOTAL
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Weighted Average Coupon Original 10.202764% 9.908650% 10.042087%
Weighted Average Coupon Prior 10.277955% 9.887166% 10.085077%
Weighted Average Coupon Current 10.299847% 9.873044% 10.088815%
---------------------------------------------------------------------------------------------------------------------
Weighted Average Months to Maturity Original 354 316 333
Weighted Average Months to Maturity Prior 351 311 331
Weighted Average Months to Maturity Current 350 310 330
---------------------------------------------------------------------------------------------------------------------
Weighted Avg Remaining Amortization Term Original 355 316 334
Weighted Avg Remaining Amortization Term Prior 351 312 332
Weighted Avg Remaining Amortization Term Current 350 311 331
---------------------------------------------------------------------------------------------------------------------
Weighted Average Seasoning Original 3.10 3.06 3.08
Weighted Average Seasoning Prior 6.37 7.03 6.70
Weighted Average Seasoning Current 7.36 8.02 7.69
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: ORIGINAL INFORMATION REFERS TO DEAL ISSUE.
[MARK] Fixed
----
[MARK] Adjustable
----
WAC BY GROUPS TOTAL WAC
[GRAPH] [GRAPH]
WARAT BY GROUPS TOTAL WARAT
[GRAPH] [GRAPH]
NOTE: DATES CORRESPOND TO DISTRIBUTION DATES.
Page 11 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
COLLATERAL REPORT
- ------------------------------------------------------------------------------------------------------------------------------
GRARM CHARACTERISTICS ADJUSTABLE FIXED TOTAL
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Weighted Average Margin Original 5.948%
Weighted Average Margin Prior 5.932%
Weighted Average Margin Current 5.930%
--------------------------------------------------------------------------------------------------------------------------
Weighted Average Max Rate Original 16.953%
Weighted Average Max Rate Prior 16.836%
Weighted Average Max Rate Current 16.833%
--------------------------------------------------------------------------------------------------------------------------
Weighted Average Min Rate Original 10.160%
Weighted Average Min Rate Prior 10.177%
Weighted Average Min Rate Current 10.176%
--------------------------------------------------------------------------------------------------------------------------
Weighted Average Cap Up Original 2.735%
Weighted Average Cap Up Prior 2.604%
Weighted Average Cap Up Current 2.602%
--------------------------------------------------------------------------------------------------------------------------
Weighted Average Cap Down Original 2.735%
Weighted Average Cap Down Prior 2.604%
Weighted Average Cap Down Current 2.602%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: ORIGINAL INFORMATION REFERS TO DEAL ISSUE.
<TABLE>
<CAPTION>
SERVICING FEES / ADVANCES ADJUSTABLE FIXED TOTAL
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Servicing Fees 65,002.32 65,634.88 130,637.20
Delinquent Servicing Fees 15,810.45 13,403.42 29,213.87
TOTAL SERVICING FEES 80,812.77 79,038.30 159,851.07
Total Servicing Fees 80,812.77 79,038.30 159,851.07
Compensating Interest 0.00 0.00 0.00
Delinquent Servicing Fees (15,810.45) (13,403.42) (29,213.87)
COLLECTED SERVICING FEES 65,002.32 65,634.88 130,637.20
Prepayment Interest Shortfall 0.00 0.00 0.00
Total Advanced Interest 335,419.58 280,567.53 615,987.11
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
ADDITIONAL COLLATERAL INFORMATION ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SPACE INTENTIONALLY LEFT BLANK
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 12 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
Delinquency Report for January 18, 2000 Distribution
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
DELINQUENCY REPORT - TOTAL
- ---------------------------------------------------------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
DELINQUENT Balance 10,120,290.29 1,532,842.72 868,023.01 12,521,156.02
% Balance 2.68% 0.41% 0.23% 3.32%
# Loans 161 27 12 200
% # Loans 3.25% 0.55% 0.24% 4.04%
- ---------------------------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance 149,219.99 871,872.07 2,771,009.95 14,735,517.27 18,527,619.28
% Balance 0.04% 0.23% 0.73% 3.90% 4.91%
# Loans 1 12 50 223 286
% # Loans 0.02% 0.24% 1.01% 4.50% 5.77%
- ---------------------------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance 825,160.60 66,253.43 157,833.29 200,256.85 1,249,504.17
% Balance 0.22% 0.02% 0.04% 0.05% 0.33%
# Loans 11 1 2 4 18
% # Loans 0.22% 0.02% 0.04% 0.08% 0.36%
- ---------------------------------------------------------------------------------------------------------------------------------
REO Balance - - - 805,355.77 805,355.77
% Balance 0.00% 0.00% 0.00% 0.21% 0.21%
# Loans - - - 6 6
% # Loans 0.00% 0.00% 0.00% 0.12% 0.12%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL Balance 974,380.59 11,058,415.79 4,461,685.96 16,609,152.90 33,103,635.24
% Balance 0.26% 2.93% 1.18% 4.40% 8.77%
# Loans 12 174 79 245 510
% # Loans 0.24% 3.51% 1.59% 4.95% 10.30%
- ---------------------------------------------------------------------------------------------------------------------------------
</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 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
DELINQUENCY REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
DELINQUENCY REPORT - FIXED GROUP
- ---------------------------------------------------------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
DELINQUENT Balance 4,271,794.68 895,473.61 373,597.72 5,540,866.01
% Balance 2.28% 0.48% 0.20% 2.96%
# Loans 85 17 7 109
% # Loans 2.98% 0.60% 0.25% 3.82%
- ---------------------------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance - 175,052.71 971,432.98 5,531,172.63 6,677,658.32
% Balance 0.00% 0.09% 0.52% 2.95% 3.56%
# Loans - 4 20 103 127
% # Loans 0.00% 0.14% 0.70% 3.61% 4.45%
- ---------------------------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance 213,572.08 66,253.43 71,774.81 110,428.43 462,028.75
% Balance 0.11% 0.04% 0.04% 0.06% 0.25%
# Loans 5 1 1 3 10
% # Loans 0.18% 0.04% 0.04% 0.11% 0.35%
- ---------------------------------------------------------------------------------------------------------------------------------
REO Balance - - - 109,150.00 109,150.00
% Balance 0.00% 0.00% 0.00% 0.06% 0.06%
# Loans - - - 2 2
% # Loans 0.00% 0.00% 0.00% 0.07% 0.07%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL Balance 213,572.08 4,513,100.82 1,938,681.40 6,124,348.78 12,789,703.08
% Balance 0.11% 2.41% 1.03% 3.27% 6.83%
# Loans 5 90 38 115 248
% # Loans 0.18% 3.16% 1.33% 4.03% 8.70%
- ---------------------------------------------------------------------------------------------------------------------------------
</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 14 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
DELINQUENCY REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
DELINQUENCY REPORT - ADJUSTABLE GROUP
- ---------------------------------------------------------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
DELINQUENT Balance 5,848,495.61 637,369.11 494,425.29 6,980,290.01
% Balance 3.07% 0.34% 0.26% 3.67%
# Loans 76 10 5 91
% # Loans 3.62% 0.48% 0.24% 4.33%
- ---------------------------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance 149,219.99 696,819.36 1,799,576.97 9,204,344.64 11,849,960.96
% Balance 0.08% 0.37% 0.95% 4.84% 6.23%
# Loans 1 8 30 120 159
% # Loans 0.05% 0.38% 1.43% 5.71% 7.56%
- ---------------------------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance 611,588.52 - 86,058.48 89,828.42 787,475.42
% Balance 0.32% 0.00% 0.05% 0.05% 0.41%
# Loans 6 - 1 1 8
% # Loans 0.29% 0.00% 0.05% 0.05% 0.38%
- ---------------------------------------------------------------------------------------------------------------------------------
REO Balance - - - 696,205.77 696,205.77
% Balance 0.00% 0.00% 0.00% 0.37% 0.37%
# Loans - - - 4 4
% # Loans 0.00% 0.00% 0.00% 0.19% 0.19%
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL Balance 760,808.51 6,545,314.97 2,523,004.56 10,484,804.12 20,313,932.16
% Balance 0.40% 3.44% 1.33% 5.51% 10.68%
# Loans 7 84 41 130 262
% # Loans 0.33% 4.00% 1.95% 6.18% 12.46%
- ---------------------------------------------------------------------------------------------------------------------------------
</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 15 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REO REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
REO REPORT - MORTGAGE LOANS THAT BECOME REO DURING CURRENT DISTRIBUTION
- ----------------------------------------------------------------------------------------------------------------------------------
SUMMARY LOAN GROUP
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
Total Loan Count = 3 Loan Group 1 = Fixed Group; REO Book Value = 113,851.00
Total Original Principal Balance = 283,050.00 Loan Group 2 = Adjustable Group; REO Book Value = 708,413.00
Total Current Balance = 282,887.94
REO Book Value = 822,264.00
- ----------------------------------------------------------------------------------------------------------------------------------
</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>
9484507 1 24,000.00 24,000.00 May-01-99 15.170% FL - 45.20% 360 Apr-14-99
1459392 2 56,550.00 56,473.40 May-01-99 14.500% FL - 65.00% 360 Aug-19-98
9478175 2 202,500.00 202,414.54 May-01-99 10.220% TX - 90.00% 360 Mar-30-99
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 16 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS
- ---------------------------------------------------------------------------------------------------------------------------------
VOLUNTARY PREPAYMENTS ADJUSTABLE FIXED TOTAL
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CURRENT
Number of Paid in Full Loans 42 34 76
Number of Repurchased Loans - - -
- ---------------------------------------------------------------------------------------------------------------------------------
Total Number of Loans Prepaid in Full 42 34 76
Paid in Full Balance 3,651,290.42 1,966,224.59 5,617,515.01
Repurchased Loans Balance - - -
Curtailments Amount - - -
- ---------------------------------------------------------------------------------------------------------------------------------
Total Prepayment Amount 3,651,290.42 1,966,224.59 5,617,515.01
CUMULATIVE
Number of Paid in Full Loans 127 154 281
Number of Repurchased Loans - - -
- ---------------------------------------------------------------------------------------------------------------------------------
Total Number of Loans Prepaid in Full 127 154 281
Paid in Full Balance 12,491,795.28 8,028,933.69 20,520,728.97
Repurchased Loans Balance - - -
Curtailments Amount (83,220.79) (158,587.56) (241,808.35)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Prepayment Amount 12,408,574.49 7,870,346.13 20,278,920.62
SPACE INTENTIONALLY LEFT BLANK
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
TOTAL PREPAYMENTS BY GROUPS TOTAL PREPAYMENTS (IN THOUSANDS OF DOLLARS)
(IN THOUSANDS OF DOLLARS)
[GRAPH] [GRAPH]
Page 17 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS
- -----------------------------------------------------------------------------------------------------------------------------
VOLUNTARY PREPAYMENT RATES ADJUSTABLE FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SMM 1.88% 1.04% 1.47%
3 Months Avg SMM 1.54% 0.88% 1.22%
12 Months Avg SMM
Avg SMM Since Cut-off 1.05% 0.69% 0.88%
CPR 20.40% 11.77% 16.24%
3 Months Avg CPR 16.99% 10.09% 13.65%
12 Months Avg CPR
Avg CPR Since Cut-off 11.93% 8.01% 10.01%
PSA 1386.56% 733.78% 1056.33%
3 Months Avg PSA Approximation 1332.98% 717.74% 1019.02%
12 Months Avg PSA Approximation
Avg PSA Since Cut-off Approximation 1191.97% 722.94% 950.50%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
[MARK] Fixed --------
[MARK] Adjustable --------
CPR BY GROUPS TOTAL CPR
[GRAPH] [GRAPH]
PSA BY GROUPS TOTAL PSA
[GRAPH] [GRAPH]
Page 18 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS
- --------------------------------------------------------------------------------
[MARK] Fixed -------
[MARK] 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 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT DETAIL REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT DETAIL REPORT - LOANS PREPAID IN FULL DURING CURRENT DISTRIBUTION
- ---------------------------------------------------------------------------------------------------------------------------------
SUMMARY LOAN GROUP
- ----------------------------------------------- ----------------------------------------------------
<S> <C>
Total Loan Count = 76 Loan Group 1 = Fixed Group
Total Original Principal Balance = 5,647,365.00 Loan Group 2 = Adjustable Group
Total Prepayment Amount = 5,617,515.01
- ----------------------------------------------- ---------------------------------------------------
</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>
82953 1 15,000.00 14,940.63 Dec-31-99 11.600% CA - 14.10% Paid Off - 360 Oct-14-98
4499174 1 31,800.00 31,706.31 Dec-31-99 12.750% PA - 64.80% Paid Off - 360 Nov-30-98
4667743 1 24,000.00 23,914.64 Dec-31-99 12.500% MI - 63.10% Paid Off - 360 Sep-24-98
6459749 1 23,700.00 23,203.68 Dec-31-99 12.000% TX - 64.90% Paid Off - 180 Dec-11-98
7211457 1 40,000.00 39,302.29 Dec-31-99 11.450% CT - 75.00% Paid Off - 180 Jan-29-99
7238886 1 16,200.00 15,346.13 Dec-31-99 12.100% PA - 65.00% Paid Off - 360 Mar-29-99
7248210 1 50,000.00 48,945.50 Dec-31-99 11.650% MA - 59.00% Paid Off - 180 Mar-31-99
7252005 1 41,400.00 41,032.92 Dec-31-99 10.500% PA - 89.00% Paid Off - 240 Mar-31-99
7256191 1 19,000.00 18,692.45 Dec-31-99 10.750% IN - 53.00% Paid Off - 180 Mar-31-99
7256604 1 22,500.00 22,299.14 Dec-31-99 9.200% PA - 90.00% Paid Off - 240 Mar-26-99
7256973 1 25,000.00 24,967.60 Dec-31-99 10.150% NY - 36.00% Paid Off - 360 Apr-05-99
7262396 1 50,000.00 49,342.26 Dec-31-99 13.000% CA - 57.40% Paid Off - 180 Mar-30-99
7269447 1 33,750.00 33,371.52 Dec-31-99 13.000% CA - 65.00% Paid Off - 180 Apr-27-99
7270305 1 58,000.00 57,281.00 Dec-31-99 9.900% NJ - 43.00% Paid Off - 180 May-03-99
7273584 1 64,000.00 63,865.82 Dec-31-99 11.200% GA - 80.00% Paid Off - 360 Apr-28-99
7285442 1 150,000.00 149,305.93 Dec-31-99 11.000% MI - 45.00% Paid Off - 360 Apr-30-99
7613148 1 15,000.00 14,838.06 Dec-31-99 11.400% CA - 61.00% Paid Off - 180 Jun-03-99
9393048 1 20,800.00 20,748.02 Dec-31-99 13.690% NY - 65.00% Paid Off - 360 Oct-05-98
9395792 1 185,280.00 184,104.23 Dec-31-99 8.490% CA - 84.90% Paid Off - 360 Oct-15-98
9417990 1 103,500.00 102,915.24 Dec-31-99 9.000% UT - 90.00% Paid Off - 360 Nov-17-98
9418237 1 FCL 48,100.00 48,058.21 Dec-31-99 14.920% MI - 64.10% Paid Off - 360 Nov-23-98
9432582 1 33,750.00 33,663.21 Dec-31-99 12.690% IN - 75.00% Paid Off - 360 Dec-09-98
9437754 1 42,250.00 41,830.03 Dec-31-99 14.170% MI - 65.00% Paid Off - 360 Dec-28-98
9458328 1 305,000.00 302,524.25 Dec-31-99 8.990% CA - 76.20% Paid Off - 360 Feb-24-99
9469818 1 116,160.00 115,691.52 Dec-31-99 8.850% MI - 80.00% Paid Off - 360 Mar-22-99
9470220 1 10,000.00 9,887.73 Dec-31-99 12.990% NV - 90.00% Paid Off - 180 Mar-10-99
9476474 1 67,000.00 66,657.71 Dec-31-99 8.490% CA - 30.70% Paid Off - 360 Mar-30-99
9477209 1 75,200.00 75,056.59 Dec-31-99 11.670% TX - 80.00% Paid Off - 360 Apr-14-99
9489096 1 45,000.00 44,950.15 Dec-31-99 13.240% TX - 61.60% Paid Off - 360 Apr-26-99
9497196 1 FCL 74,000.00 74,000.00 Dec-31-99 16.040% LA - 59.20% Paid Off - 360 May-06-99
9498877 1 27,750.00 27,691.51 Dec-31-99 10.510% IN - 75.00% Paid Off - 360 May-07-99
9499431 1 23,200.00 23,161.69 Dec-31-99 11.440% MI - 74.80% Paid Off - 360 May-13-99
9507175 1 FCL 73,000.00 72,947.56 Dec-31-99 11.070% FL - 59.80% Paid Off - 360 May-27-99
9512306 1 50,000.00 49,981.06 Dec-31-99 10.720% SC - 59.10% Paid Off - 360 May-28-99
1463047 2 152,100.00 150,281.53 Dec-31-99 9.850% CO - 90.00% Paid Off - 360 Mar-17-99
1464582 2 124,000.00 123,282.71 Dec-31-99 9.000% CA - 80.00% Paid Off - 360 Dec-15-98
1468294 2 44,000.00 43,920.98 Dec-31-99 9.990% CA - 80.00% Paid Off - 360 Jul-06-99
1469266 2 216,000.00 215,436.71 Dec-31-99 9.300% CA - 90.00% Paid Off - 360 May-24-99
1470175 2 92,700.00 92,529.36 Dec-31-99 9.950% FL - 90.00% Paid Off - 360 Jun-28-99
7251939 2 FCL 90,000.00 89,815.09 Dec-31-99 9.350% FL - 61.00% Paid Off - 360 Mar-29-99
9397132 2 79,300.00 79,123.44 Dec-31-99 13.790% OH - 66.00% Paid Off - 360 Oct-13-98
9409203 2 100,000.00 99,409.57 Dec-31-99 9.710% FL - 64.90% Paid Off - 360 Oct-26-98
9412964 2 98,990.00 94,542.58 Dec-31-99 9.250% IL - 89.90% Paid Off - 360 Nov-06-98
9417869 2 97,500.00 96,760.90 Dec-31-99 9.990% OH - 75.00% Paid Off - 360 Dec-15-98
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 20 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT DETAIL REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT DETAIL REPORT - LOANS PREPAID IN FULL DURING CURRENT DISTRIBUTION
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
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>
9419268 2 62,250.00 61,967.44 Dec-31-99 10.530% CA - 75.00% Paid Off - 360 Nov-30-98
9420851 2 223,200.00 222,007.64 Dec-31-99 9.770% OR - 80.00% Paid Off - 360 Nov-19-98
9424385 2 90,000.00 89,767.52 Dec-31-99 12.170% OH - 75.00% Paid Off - 360 Nov-30-98
9430377 2 35,700.00 35,608.38 Dec-31-99 12.700% KY - 70.00% Paid Off - 360 Dec-09-98
9437320 2 82,500.00 82,054.48 Dec-31-99 9.220% CO - 75.00% Paid Off - 360 Dec-18-98
9442723 2 121,500.00 121,033.39 Dec-31-99 10.330% CO - 90.00% Paid Off - 360 Jan-06-99
9443584 2 40,000.00 39,759.23 Dec-31-99 8.150% SC - 80.00% Paid Off - 360 Jan-05-99
9455841 2 146,000.00 145,732.93 Dec-31-99 13.720% SC - 57.20% Paid Off - 360 Feb-23-99
9457348 2 188,500.00 188,279.02 Dec-31-99 14.520% NC - 65.00% Paid Off - 360 Feb-10-99
9457860 2 43,200.00 42,307.46 Dec-31-99 10.020% NC - 80.00% Paid Off - 180 Feb-17-99
9458336 2 52,650.00 52,569.53 Dec-31-99 13.970% WI - 65.00% Paid Off - 360 Feb-18-99
9461523 2 126,000.00 125,687.17 Dec-31-99 11.490% WA - 63.00% Paid Off - 360 Mar-26-99
9469303 2 FCL 49,000.00 48,936.49 Dec-31-99 10.150% TN - 70.00% Paid Off - 360 Mar-23-99
9470344 2 20,000.00 19,916.00 Dec-31-99 8.650% NC - 80.00% Paid Off - 360 Mar-11-99
9474773 2 79,800.00 79,524.45 Dec-31-99 9.600% CO - 70.00% Paid Off - 360 Mar-26-99
9474935 2 70,500.00 70,379.14 Dec-31-99 12.120% OH - 75.00% Paid Off - 360 Mar-26-99
9475796 2 58,000.00 57,802.60 Dec-31-99 9.670% KY - 82.80% Paid Off - 360 Mar-29-99
9482431 2 59,250.00 59,141.93 Dec-31-99 10.980% CO - 75.00% Paid Off - 360 Apr-09-99
9485112 2 35,280.00 35,196.76 Dec-31-99 10.650% OR - 56.00% Paid Off - 360 Apr-20-99
9485120 2 51,075.00 50,964.79 Dec-31-99 11.510% NY - 75.00% Paid Off - 360 Apr-12-99
9485171 2 46,200.00 46,143.65 Dec-31-99 13.640% CO - 60.00% Paid Off - 360 Apr-14-99
9495436 2 32,500.00 32,470.15 Dec-31-99 14.270% MI - 65.00% Paid Off - 360 May-07-99
9495711 2 115,200.00 115,055.10 Dec-31-99 11.640% MA - 72.00% Paid Off - 360 May-05-99
9499148 2 33,800.00 33,753.99 Dec-31-99 13.790% OH - 65.00% Paid Off - 360 May-14-99
9505644 2 26,000.00 25,979.70 Dec-31-99 14.770% SC - 65.00% Paid Off - 360 May-26-99
9509577 2 52,000.00 51,901.23 Dec-31-99 10.790% OH - 80.00% Paid Off - 360 May-28-99
9512225 2 42,750.00 42,721.56 Dec-31-99 11.340% MS - 62.00% Paid Off - 360 Jun-10-99
9516018 2 123,500.00 123,321.81 Dec-31-99 11.010% CO - 68.90% Paid Off - 360 Jun-15-99
9539352 2 241,280.00 240,806.68 Dec-31-99 8.160% IL - 78.00% Paid Off - 360 Jul-13-99
9543635 2 23,400.00 23,354.22 Dec-31-99 9.850% TX - 58.50% Paid Off - 360 Jun-15-99
9543732 2 90,400.00 90,267.52 Dec-31-99 9.570% MN - 80.00% Paid Off - 360 Jul-02-99
9560971 2 112,000.00 111,775.59 Dec-31-99 9.470% NJ - 78.00% Paid Off - 360 Jun-30-99
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 21 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
REALIZED LOSS REPORT - COLLATERAL
- ----------------------------------------------------------------------------------------------------------------------------------
COLLATERAL REALIZED LOSSES ADJUSTABLE FIXED TOTAL
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CURRENT
Number of Loans Liquidated - 3 3
Collateral Realized Loss/(Gain) Amount - 63,635.57 63,635.57
Net Liquidation Proceeds - 63,934.31 63,934.31
CUMULATIVE
Number of Loans Liquidated - 6 6
Collateral Realized Loss/(Gain) Amount - 116,320.27 116,320.27
Net Liquidation Proceeds - 79,370.49 79,370.49
Note: Collateral realized losses may include adjustments to loans liquidated
in prior periods.
Loss Percentage 0.0000% 0.0591%
Annualized Loss Percentage 0.0000% 0.0268%
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
[MARK] Fixed -------- 3 Months Moving Average
[MARK] Adjustable -------- ---------
COLLATERAL LOSS SEVERITY APPROXIMATION COLLATERAL LOSS SEVERITY
BY GROUPS APPROXIMATION
[GRAPH] [GRAPH]
Page 22 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR JANUARY 18, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
REALIZED LOSS REPORT - COLLATERAL
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DEFAULT SPEEDS ADJUSTABLE FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MDR 0.00% 0.07% 0.03%
3 Months Avg MDR 0.00% 0.03% 0.02%
12 Months Avg MDR
Avg MDR Since Cut-off 0.00% 0.02% 0.01%
CDR 0.00% 0.80% 0.40%
3 Months Avg CDR 0.00% 0.41% 0.20%
12 Months Avg CDR
Avg CDR Since Cut-off 0.00% 0.21% 0.10%
SDA 0.00% 5.01% 2.59%
3 Months Avg SDA Approximation 0.00% 2.92% 1.52%
12 Months Avg SDA Approximation
Avg SDA Since Cut-off Approximation 0.00% 1.85% 0.96%
Loss Severity Approximation for Current Period 49.88% 49.88%
3 Months Avg Loss Severity Approximation 63.61% 63.61%
12 Months Avg Loss Severity Approximation
Avg Loss Severity Approximation Since Cut-off 63.61% 63.61%
- --------------------------------------------------------------------------------------------------------------------------------
[MARK] Fixed --------
[MARK] Adjustable --------
</TABLE>
CDR BY GROUPS TOTAL CDR
[GRAPH] [GRAPH]
SDA BY GROUPS TOTAL SDA
[GRAPH] [GRAPH]
Page 23 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR JANUARY 18, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
REALIZED LOSS REPORT - COLLATERAL
- -------------------------------------------------------------------------------
[MARK] Fixed --------
[MARK] Adjustable --------
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
- -------------------------------------------------------------------------------
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-LESS THAN-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-LESS THAN-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 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS DETAIL REPORT FOR JANUARY 18, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
REALIZED LOSS DETAIL REPORT - LOANS LIQUIDATED DURING CURRENT DISTRIBUTION
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY LOAN GROUP
- -------------------------------------------------------------- ---------------------------------------------------------
<S> <C>
Total Loan Count = 3 Loan Group 1 = Fixed Group
Total Original Principal Balance = 128,150.00 Loan Group 2 = Adjustable Group
Total Prior Principal Balance = 127,569.88
Total Realized Loss Amount = 63,635.57
Total Net Liquidation Proceeds = 63,934.31
- -------------------------------------------------------------- ----------------------------------------------------------
<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>
1467115 1 FLC 64,000.00 64,000.00 29,951.84 9.800% OH - 80.00% 360 Jun-15-99
4493605 1 29,700.00 29,132.73 29,132.73 11.800% PA - 84.80% 180 Oct-01-98
9454551 1 FLC 34,450.00 34,437.15 4,551.00 13.920% FL - 65.00% 360 Feb-08-99
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 25 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES
TRIGGERS, ADJ. RATE CERT. AND MISCELLANEOUS REPORT FOR JANUARY 18, 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
- --------------------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE CERTIFICATE INFORMATION ADJUSTABLE FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------------
SPACE INTENTIONALLY LEFT BLANK
- --------------------------------------------------------------------------------------------------------------------------------
ADDITIONAL INFORMATION ADJUSTABLE FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------------
Supplemental Interest Amounts 0.00 0.00 0.00
Supplemental Interest Amounts Unpaid 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 26 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
JANUARY 18, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
CONTENTS
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
-----------------------------------------------------------------------
<TABLE>
<CAPTION>
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
-----------------------------------------------------------------------
ISSUANCE INFORMATION
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
<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: January 18, 2000
Greenwich Capital Markets, Inc. Co-Lead Underwriter Record Date: January 14, 2000
Lehman Brothers Securities Corporation Co-Lead Underwriter December 31, 1999
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 1 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC I SERIES 1999-2
CERTIFICATE PAYMENT REPORT FOR JANUARY 18, 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>
A-F 229,500,000.00 228,453,750.47 1,444,779.59 1,528,271.53 2,973,051.12 - - 226,925,478.94
A-V1 155,000,000.00 153,646,851.73 994,372.55 736,502.45 1,730,875.00 - - 152,910,349.28
A-V2 15,500,000.00 15,464,328.54 100,958.44 21,590.96 122,549.40 - - 15,442,737.58
C 3,494,923.86 4,084,180.19 - - - - 658,601.94 4,742,782.13
R-II - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Total 403,494,923.86 401,649,110.93 2,540,110.58 2,286,364.94 4,826,475.52 - 658,601.94 400,021,347.93
- -----------------------------------------------------------------------------------------------------------------------------------
<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 229,500,000.00 995.441179 6.295336 6.659135 12.954471 988.782043
A-V1 12/15/99 01/17/00 A-Act/360 00253CFS1 155,000,000.00 991.270011 6.415307 4.751629 11.166936 986.518382
A-V2 12/15/99 01/17/00 A-Act/360 00253CFT9 15,500,000.00 997.698615 6.513448 1.392965 7.906413 996.305650
C - 3,494,923.86 1,168.603481 - - - 1,357.048771
R-II - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 2 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC I SERIES 1999-2
CERTIFICATE PAYMENT REPORT FOR JANUARY 18, 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 2,896,175.84 2,193,832.16 380,688.89 2,574,521.05 5,470,696.89 - - 226,925,478.94
A-V1 155,000,000.00 1,675,888.18 1,959,868.32 129,782.40 2,089,650.72 3,765,538.90 - - 152,910,349.28
A-V2 15,500,000.00 169,807.50 42,926.29 14,336.14 57,262.43 227,069.93 - - 15,442,737.58
C 3,494,923.86 - - - - - - 1,247,858.27 4,742,782.13
R-II - - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Total 403,494,923.86 4,741,871.52 4,196,626.77 524,807.43 4,721,434.20 9,463,305.72 - 1,247,858.27 400,021,347.93
- -----------------------------------------------------------------------------------------------------------------------------------
<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% 228,453,750.47 1,444,779.59 - - - 1,444,779.59 1,444,779.59 -
A-V1 6.85250% 153,646,851.73 994,372.55 - - - 994,372.55 994,372.55 -
A-V2 6.91250% 15,464,328.54 100,958.44 - - - 100,958.44 100,958.44 -
C 4,084,180.19 - - - - - 658,601.94 -
R-II - - - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Total 401,649,110.93 2,540,110.58 - - - 2,540,110.58 3,198,712.52 -
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 3 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC II SERIES 1999-2
CERTIFICATE PAYMENT REPORT FOR JANUARY 18, 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 22,950.00 22,845.37 144.48 152.83 297.31 - - 22,692.54
LT-MF 232,971,973.85 232,140,497.93 1,769,848.72 1,202,905.09 2,972,753.81 (21.47) 32.53 230,937,646.84
LT-AV1 15,500.00 15,364.69 99.44 73.65 173.09 0.01 - 15,291.03
LT-MV1 154,984,500.00 154,057,245.08 1,184,747.52 545,954.39 1,730,701.91 (42.59) 19.05 153,511,352.33
LT-AV2 1,550.00 1,546.43 8.70 2.16 10.86 - - 1,544.27
- ------------------------------------------------------------------------------------------------------------------------------------
LT-MV2 15,498,450.00 15,492,328.57 115,000.98 7,537.57 122,538.55 (2.97) 1.41 15,484,795.38
R-I - - - - - - - -
- ------------------------------------------------------------------------------------------------------------------------------------
Total 403,494,923.85 401,729,828.07 3,069,849.84 1,756,625.69 4,826,475.53 (67.02) 52.99 399,973,322.39
- ------------------------------------------------------------------------------------------------------------------------------------
<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 22,950.00 995.440959 6.295425 6.659259 12.954684 988.781699
LT-MF F-30/360 232,971,973.85 996.431005 7.596831 5.163304 12.760135 991.267932
LT-AV1 12/15/99 01/17/00 A-Act/360 15,500.00 991.270323 6.415484 4.751613 11.167097 986.518065
LT-MV1 A-Act/360 154,984,500.00 994.017112 7.644297 3.522639 11.166935 990.494871
LT-AV2 12/15/99 01/17/00 A-Act/360 1,550.00 997.696774 5.612903 1.393548 7.006452 996.303226
- ------------------------------------------------------------------------------------------------------------------------------------
LT-MV2 A-Act/360 15,498,450.00 999.605030 7.420160 0.486343 7.906504 999.118969
R-I - - - - - - -
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 4 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REMIC II SERIES 1999-2
CERTIFICATE PAYMENT REPORT FOR JANUARY 18, 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>
LT-AF 22,950.00 289.62 219.38 38.08 257.46 547.08 - - 22,692.54
LT-MF 232,971,973.85 3,435,747.34 1,653,643.67 380,758.81 2,034,402.48 5,470,149.82 (21.47) 54.00 230,937,646.84
LT-AV1 15,500.00 167.59 195.99 12.97 208.96 376.55 0.01 - 15,291.03
LT-MV1 154,984,500.00 2,291,910.41 1,343,359.20 129,892.69 1,473,251.89 3,765,162.30 (42.59) 61.63 153,511,352.33
LT-AV2 1,550.00 16.35 4.29 1.44 5.73 22.08 - - 1,544.27
LT-MV2 15,498,450.00 216,109.66 - 13,661.95 13,661.95 229,771.61 (2.97) 4.36 15,484,795.38
R-I - - - - - - - - -
- ------------------------------------------------------------------------------------------------------------------------------------
Total 403,494,923.85 5,944,240.97 2,997,422.53 524,365.94 3,521,788.47 9,466,029.44 (67.02) 119.99 399,973,322.39
- ------------------------------------------------------------------------------------------------------------------------------------
<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)
- ------------------------------------------------------------------------------------------------------------------------------------
LT-AF 7.58900% 22,845.37 144.48 - - - 144.48 144.48 -
LT-MF 9.14909% 232,140,497.93 1,769,881.25 - - - 1,769,881.25 1,769,881.25 -
LT-AV1 6.85250% 15,364.69 99.44 - - - 99.44 99.44 -
LT-MV1 9.22859% 154,057,245.08 1,184,766.57 - - - 1,184,766.57 1,184,766.57 -
LT-AV2 6.91250% 1,546.43 8.70 - - - 8.70 8.70 -
- ------------------------------------------------------------------------------------------------------------------------------------
LT-MV2 9.11827% 15,492,328.57 115,002.39 - - - 115,002.39 115,002.39 -
R-I - - - - - - - -
- ------------------------------------------------------------------------------------------------------------------------------------
Total 401,729,828.07 3,069,902.83 - - - 3,069,902.83 3,069,902.83 -
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 5 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
COLLECTION ACCOUNT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
COLLECTION ACCOUNT REPORT
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Principal Collections 7,313.79 544,835.11 1,201,475.17 1,753,624.07
Principal Withdrawals 0.00 0.00 0.00 0.00
Principal Other Accounts 223.12 1,154.83 1,517.69 2,895.64
TOTAL NET PRINCIPAL 7,536.91 545,989.94 1,202,992.86 1,756,519.71
Interest Collections 127,936.75 1,328,360.80 1,961,409.75 3,417,707.30
Interest Withdrawals 0.00 0.00 0.00 0.00
Interest Other Accounts 0.00 0.00 0.00 0.00
Interest Fees (12,924.26) (143,475.74) (191,351.49) (347,751.49)
TOTAL NET INTEREST 115,012.49 1,184,885.06 1,770,058.26 3,069,955.81
TOTAL AVAILABLE FUNDS TO BONDHOLDERS 122,326.28 1,729,720.17 2,971,533.43 4,823,579.88
Capitalized Interest 0.00 0.00 0.00 0.00
TOTAL REMITANCE DUE FROM SERVICER 129,489.05 1,816,309.90 3,075,214.63 5,021,013.58
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PRINCIPAL - COLLECTIONS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Scheduled Principal 8,214.10 71,764.42 209,144.97 289,123.49
Curtailments (900.31) (3,755.53) (12,674.55) (17,330.39)
Prepayments in Full 0.00 476,826.22 1,005,004.75 1,481,830.97
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 7,313.79 544,835.11 1,201,475.17 1,753,624.07
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 6 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
COLLECTION ACCOUNT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
COLLECTION ACCOUNT REPORT
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL - WITHDRAWALS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SPACE INTENTIONALLY LEFT BLANK
- --------------------------------------------------------------------------------------------------------------------------
PRINCIPAL - OTHER ACCOUNTS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Prefunded Release Amount 223.12 1,154.83 1,517.69 2,895.64
TOTAL OTHER ACCOUNTS PRINCIPAL 223.12 1,154.83 1,517.69 2,895.64
- --------------------------------------------------------------------------------------------------------------------------
INTEREST - COLLECTIONS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Scheduled Interest 128,630.95 1,335,671.25 1,970,473.56 3,434,775.76
Repurchases/Substitutions 0.00 0.00 0.00 0.00
Liquidations 0.00 0.00 0.00 0.00
Insurance Interest 0.00 0.00 0.00 0.00
Other Additional Interest 0.00 0.00 0.00 0.00
Prepayment Interest Shortfalls 0.00 0.00 0.00 0.00
Delinquent Interest (14,741.68) (164,944.68) (201,644.72) (381,331.08)
Realized Losses 0.00 0.00 0.00 0.00
Compensating Interest 0.00 0.00 0.00 0.00
Other Interest Shortfall (Relief Act) 0.00 0.00 0.00 0.00
Interest Advanced 14,047.48 157,634.23 192,580.91 364,262.62
Closing Date Deposits 0.00 0.00 0.00 0.00
Insurer Interest to Cover PPIS 0.00 0.00 0.00 0.00
Prepayment Penalties 0.00 0.00 0.00 0.00
TOTAL INTEREST COLLECTED 127,936.75 1,328,360.80 1,961,409.75 3,417,707.30
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 7 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
COLLECTION ACCOUNT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
COLLECTION ACCOUNT REPORT
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTEREST - WITHDRAWALS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Unpaid Servicing Fees 0.00 0.00 0.00 0.00
Advances Reimbursed 0.00 0.00 0.00 0.00
TOTAL INTEREST WITHDRAWLS 0.00 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INTEREST - OTHER ACCOUNTS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Capitialized Interest Requirement 0.00 0.00 0.00 0.00
TOTAL OTHER ACCOUNT INTEREST 0.00 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INTEREST - FEES ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Current Servicing Fees 5,761.49 56,886.01 87,670.29 150,317.79
Back Up Servicing Fees 322.78 3,209.82 4,836.71 8,369.31
Certificate Insurance Premiums 2,964.00 29,448.98 43,786.97 76,199.95
Trustee Fees 0.00 0.00 0.00 0.00
PMI 3,875.99 53,930.93 55,057.52 112,864.44
TOTAL INTEREST OTHER FEES 12,924.26 143,475.74 191,351.49 347,751.49
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 8 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
CREDIT ENHANCEMENT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
CREDIT ENHANCEMENT REPORT
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ACCOUNTS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SPACE INTENTIONALLY LEFT BLANK
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
INSURANCE ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insurance Premium Due 2,964.00 29,448.98 43,786.97 76,199.95
Insurance Premium Paid 2,964.00 29,448.98 43,786.97 76,199.95
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
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
STRUCTURAL FEATURES ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Extra Principal Distribution Amt 14,054.05 190,512.51 325,278.67 529,845.23
Overcollateralization Amount 43,603.47 616,313.13 4,034,892.97 4,694,809.57
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 667,950.58 6,549,199.38 6,775,157.27 13,992,307.23
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 9 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
COLLATERAL REPORT
- -----------------------------------------------------------------------------------------------------------------------------------
COLLATERAL ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Loan Count:
ORIGINAL 40 1672 2983 4695
Prior 40 1,661 2,969 4,670
Prefunding 15 203 440 658
Scheduled Paid Offs - - - -
Full Voluntary Prepayments - (8) (22) (30)
Repurchases - - - -
Liquidations - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Current 55 1,856 3,387 5,298
PRINCIPAL BALANCE:
Original 12,355,122.19 140,132,704.74 204,775,276.64 357,263,103.57
Prior 12,349,000.15 139,205,357.09 203,943,717.56 355,498,074.80
Prefunding 3,144,654.69 14,866,140.43 28,218,129.52 46,228,924.64
Scheduled Principal (8,214.10) (71,764.42) (209,144.97) (289,123.49)
Partial and Full Voluntary Prepayments 900.31 (473,070.69) (992,330.20) (1,464,500.58)
Repurchases - - - -
- -----------------------------------------------------------------------------------------------------------------------------------
Liquidations - - - -
Current 15,486,341.05 153,526,662.41 230,960,371.91 399,973,375.37
- -----------------------------------------------------------------------------------------------------------------------------------
PREFUNDING ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
Prefunding Beginning Balance 3,144,877.81 14,867,295.26 28,219,647.21 46,231,820.28
Balance of Subsequent Loans Transfered (3,144,654.69) (14,866,140.43) (28,218,129.52) (46,228,924.64)
Prefunded Amount Dispursed To Offered Certificates (223.12) (1,154.83) (1,517.69) (2,895.64)
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>
<TABLE>
<CAPTION>
[MARK] Fixed -------- Adjustable 2
[MARK] Adjustable 1 --------
<S> <C>
CURRENT PRIN BALANCE BY GROUPS (IN MILLIONS OF DOLLARS) TOTAL CURRENT PRINCIPAL BALANCE (IN MILLIONS OF DOLLARS)
</TABLE>
Page 10 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR JANUARY 18, 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 9.821401% 10.362308% 10.137077% 10.214505%
Weighted Average Coupon Current 9.962604% 10.402998% 10.184999% 10.260030%
- -----------------------------------------------------------------------------------------------------------------------------------
Weighted Average Months to Maturity Original 358 357 324 338
Weighted Average Months to Maturity Prior 358 357 324 338
Weighted Average Months to Maturity Current 357 355 324 337
- -----------------------------------------------------------------------------------------------------------------------------------
Weighted Avg Remaining Amortization Term Original 358 357 325 339
Weighted Avg Remaining Amortization Term Prior 358 357 325 339
Weighted Avg Remaining Amortization Term Current 358 356 324 338
- -----------------------------------------------------------------------------------------------------------------------------------
Weighted Average Seasoning Original 1.75 1.69 1.86 1.79
Weighted Average Seasoning Prior 1.75 1.69 1.86 1.79
Weighted Average Seasoning Current 2.32 2.51 2.59 2.55
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: ORIGINAL INFORMATION REFERS TO DEAL ISSUE.
[MARK] Fixed -------- Adjustable 2
[MARK] Adjustable 1 --------
WARAT BY GROUPS TOTAL WAC
[GRAPH] [GRAPH]
WARAT BY GROUPS TOTAL WARAT
[GRAPH] [GRAPH]
NOTE: DATES CORRESPOND TO DISTRIBUTION DATES.
Page 11 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
COLLATERAL REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
COLLATERAL REPORT
- -----------------------------------------------------------------------------------------------------------------------------------
ARM CHARACTERISTICS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Weighted Average Margin Original 5.919% 5.907%
Weighted Average Margin Prior 5.919% 5.907%
Weighted Average Margin Current 5.904% 5.920%
- -----------------------------------------------------------------------------------------------------------------------------------
Weighted Average Max Rate Original 15.848% 16.424% 10.137%
Weighted Average Max Rate Prior 15.848% 16.424% 10.137%
Weighted Average Max Rate Current 15.996% 16.459% 10.185%
- -----------------------------------------------------------------------------------------------------------------------------------
Weighted Average Min Rate Original 9.821% 10.357% 10.137%
Weighted Average Min Rate Prior 9.821% 10.357% 10.137%
Weighted Average Min Rate Current 9.963% 10.397% 10.124%
- -----------------------------------------------------------------------------------------------------------------------------------
Weighted Average Cap Up Original 2.026% 2.026%
Weighted Average Cap Up Prior 2.026% 2.026%
Weighted Average Cap Up Current 2.034% 2.024%
- -----------------------------------------------------------------------------------------------------------------------------------
Weighted Average Cap Down Original 2.026% 2.026%
Weighted Average Cap Down Prior 2.026% 2.026%
Weighted Average Cap Down Current 2.034% 2.024%
- -----------------------------------------------------------------------------------------------------------------------------------
Note: Original information refers to deal issue.
</TABLE>
<TABLE>
<CAPTION>
SERVICING FEES / ADVANCES ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Current Servicing Fees 5,761.49 56,886.01 87,670.29 150,317.79
Delinquent Servicing Fees 694.21 7,310.44 9,063.81 17,068.46
TOTAL SERVICING FEES 6,455.70 64,196.45 96,734.10 167,386.25
Total Servicing Fees 6,455.70 64,196.45 96,734.10 167,386.25
Compensating Interest 0.00 0.00 0.00 0.00
Delinquent Servicing Fees (694.21) (7,310.44) (9,063.81) (17,068.46)
COLLECTED SERVICING FEES 5,761.49 56,886.01 87,670.29 150,317.79
Prepayment Interest Shortfall 0.00 0.00 0.00 0.00
Total Advanced Interest 14,047.48 157,634.23 192,580.91 364,262.62
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ADDITIONAL COLLATERAL INFORMATION ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SPACE INTENTIONALLY LEFT BLANK
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 12 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
DELINQUENCY REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
DELINQUENCY REPORT - TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
DELINQUENT Balance 7,127,962.69 1,286,050.62 197,194.90 8,611,208.21
% Balance 1.78% 0.32% 0.05% 2.15%
# Loans 105 16 4 125
% # Loans 1.98% 0.30% 0.08% 2.36%
- -----------------------------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance 176,095.57 404,540.54 2,922,007.84 1,348,832.99 4,851,476.94
% Balance 0.04% 0.10% 0.73% 0.34% 1.21%
# Loans 2 8 44 19 73
% # Loans 0.04% 0.15% 0.83% 0.36% 1.38%
- -----------------------------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance 330,276.99 31,344.26 - 121,010.11 482,631.36
% Balance 0.08% 0.01% 0.00% 0.03% 0.12%
# Loans 5 1 - 2 8
% # Loans 0.09% 0.02% 0.00% 0.04% 0.15%
- -----------------------------------------------------------------------------------------------------------------------------------
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 506,372.56 7,563,847.49 4,208,058.46 1,667,038.00 13,945,316.51
% Balance 0.13% 1.89% 1.05% 0.42% 3.49%
# Loans 7 114 60 25 206
% # Loans 0.13% 2.15% 1.13% 0.47% 3.89%
- -----------------------------------------------------------------------------------------------------------------------------------
</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 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
DELINQUENCY REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
DELINQUENCY REPORT - FIXED GROUP
- -----------------------------------------------------------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
DELINQUENT Balance 3,800,262.36 698,872.82 52,000.00 4,551,135.18
% Balance 1.65% 0.30% 0.02% 1.97%
# Loans 63 13 2 78
% # Loans 1.86% 0.38% 0.06% 2.30%
- -----------------------------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance 37,669.06 200,158.84 848,079.14 628,700.54 1,714,607.58
% Balance 0.02% 0.09% 0.37% 0.27% 0.74%
# Loans 1 4 17 11 33
% # Loans 0.03% 0.12% 0.50% 0.32% 0.97%
- -----------------------------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance 217,891.63 31,344.26 - 121,010.11 370,246.00
% Balance 0.09% 0.01% 0.00% 0.05% 0.16%
# Loans 4 1 - 2 7
% # Loans 0.12% 0.03% 0.00% 0.06% 0.21%
- -----------------------------------------------------------------------------------------------------------------------------------
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 255,560.69 4,031,765.46 1,546,951.96 801,710.65 6,635,988.76
% Balance 0.11% 1.75% 0.67% 0.35% 2.87%
# Loans 5 68 30 15 118
% # Loans 0.15% 2.01% 0.89% 0.44% 3.48%
- -----------------------------------------------------------------------------------------------------------------------------------
</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 14 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
DELINQUENCY REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
DELINQUENCY REPORT - ADJUSTABLE 1 GROUP
- -----------------------------------------------------------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
DELINQUENT Balance 2,977,825.48 237,302.95 145,194.90 3,360,323.33
% Balance 1.94% 0.15% 0.09% 2.19%
# Loans 41 3 2 46
% # Loans 2.21% 0.16% 0.11% 2.48%
- -----------------------------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance 138,426.51 204,381.70 2,073,928.70 720,132.45 3,136,869.36
% Balance 0.09% 0.13% 1.35% 0.47% 2.04%
# Loans 1 4 27 8 40
% # Loans 0.05% 0.22% 1.45% 0.43% 2.16%
- -----------------------------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance 112,385.36 - - - 112,385.36
% Balance 0.07% 0.00% 0.00% 0.00% 0.07%
# Loans 1 - - - 1
% # Loans 0.05% 0.00% 0.00% 0.00% 0.05%
- -----------------------------------------------------------------------------------------------------------------------------------
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 250,811.87 3,182,207.18 2,311,231.65 865,327.35 6,609,578.05
% Balance 0.16% 2.07% 1.51% 0.56% 4.31%
# Loans 2 45 30 10 87
% # Loans 0.11% 2.42% 1.62% 0.54% 4.69%
- -----------------------------------------------------------------------------------------------------------------------------------
</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 15 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
DELINQUENCY REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
DELINQUENCY REPORT - ADJUSTABLE 2 GROUP
- -----------------------------------------------------------------------------------------------------------------------------------
CURRENT 1 PAYMENT 2 PAYMTS 3+ PAYMTS TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
DELINQUENT Balance 349,874.85 349,874.85 - 699,749.70
% Balance 2.26% 2.26% 0.00% 4.52%
# Loans 1 - - 1
% # Loans 1.82% 0.00% 0.00% 1.82%
- -----------------------------------------------------------------------------------------------------------------------------------
FORECLOSURE Balance - - - - -
% Balance 0.00% 0.00% 0.00% 0.00% 0.00%
# Loans - - - - -
% # Loans 0.00% 0.00% 0.00% 0.00% 0.00%
- -----------------------------------------------------------------------------------------------------------------------------------
BANKRUPTCY Balance - - - - -
% Balance 0.00% 0.00% 0.00% 0.00% 0.00%
# Loans - - - - -
% # Loans 0.00% 0.00% 0.00% 0.00% 0.00%
- -----------------------------------------------------------------------------------------------------------------------------------
REO Balance - - - - -
% 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 - 349,874.85 349,874.85 - 699,749.70
% Balance 0.00% 2.26% 2.26% 0.00% 4.52%
# Loans - 1 - - 1
% # Loans 0.00% 1.82% 0.00% 0.00% 1.82%
- -----------------------------------------------------------------------------------------------------------------------------------
</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 16 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REO REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
REO REPORT - MORTGAGE LOANS THAT BECOME REO DURING CURRENT DISTRIBUTION
- -----------------------------------------------------------------------------------------------------------------------------------
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 1 Group; REO Book Value = 000.00
Total Current Balance = 000.00 Loan Group 3 = Adjustable 2 Group; REO Book Value = 000.00
REO Book Value = 000.00 Loan Group 3 = Adjustable 2 Group; 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>
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
LOAN NUMBER ORIGINAL STATED CURRENT STATE &
& PRINCIPAL PRINCIPAL PAID TO NOTE LTV AT ORIGINAL ORIGINATION
LOAN GROUP BALANCE BALANCE DATE RATE ORIGINATION TERM DATE
- -----------------------------------------------------------------------------------------------------------------------------------
SPACE INTENTIONALLY LEFT BLANK
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 17 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS
- ---------------------------------------------------------------------------------------------------------------
VOLUNTARY PREPAYMENTS ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CURRENT
Number of Paid in Full Loans - 8 22 30
Number of Repurchased Loans - - - -
------------------------------------------------------------------------------------------------------------
Total Number of Loans Prepaid in Full - 8 22 30
Paid in Full Balance - 476,826.22 1,005,004.75 1,481,830.97
Repurchased Loans Balance - - - -
Curtailments Amount (900.31) (3,755.53) (12,674.55) (17,330.39)
------------------------------------------------------------------------------------------------------------
Total Prepayment Amount (900.31) 473,070.69 992,330.20 1,464,500.58
CUMULATIVE
Number of Paid in Full Loans - 19 36 55
Number of Repurchased Loans - - - -
------------------------------------------------------------------------------------------------------------
Total Number of Loans Prepaid in Full - 19 36 55
Paid in Full Balance - 1,346,155.89 1,665,019.91 3,011,175.80
Repurchased Loans Balance - - - -
Curtailments Amount (900.31) (3,755.53) (12,674.55) (17,330.39)
------------------------------------------------------------------------------------------------------------
Total Prepayment Amount (900.31) 1,342,400.36 1,652,345.36 2,993,845.41
SPACE INTENTIONALLY LEFT BLANK
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
TOTAL PREPAYMENTS BY GROUPS (IN THOUSANDS OF DOLLARS) TOTAL PREPAYMENTS (IN THOUSANDS OF DOLLARS)
[GRAPH] [GRAPH]
</TABLE>
Page 18 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS
- ------------------------------------------------------------------------------------------------------
VOLUNTARY PREPAYMENT RATES ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SMM 0.00% 0.31% 0.43% 0.36%
3 Months Avg SMM
12 Months Avg SMM
Avg SMM Since Cut-off 0.00% 0.46% 0.38% 0.40%
CPR 0.00% 3.62% 5.01% 4.29%
3 Months Avg CPR
12 Months Avg CPR
Avg CPR Since Cut-off 0.00% 5.43% 4.41% 4.66%
PSA 0.00% 722.76% 966.89% 841.42%
3 Months Avg PSA Approximation
12 Months Avg PSA Approximation
Avg PSA Since Cut-off Approximation 0.00% 1291.99% 989.57% 1072.09%
- ------------------------------------------------------------------------------------------------------
[MARK] Fixed ------- Adjustable 2
[MARK] Adjustable 1 -------
CPR BY GROUPS TOTAL CPR
----------------------------------------- ---------------------------------------
[GRAPH] [GRAPH]
----------------------------------------- ---------------------------------------
PSA BY GROUPS TOTAL PSA
----------------------------------------- ---------------------------------------
[GRAPH] [GRAPH]
----------------------------------------- ---------------------------------------
</TABLE>
Page 19 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT REPORT FOR JANUARY 18, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
PREPAYMENT REPORT - VOLUNTARY PREPAYMENTS
- -------------------------------------------------------------------------------
[MARK] Fixed ------- Adjustable 2
[MARK] 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
- -------------------------------------------------------------------------------
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 20 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
PREPAYMENT DETAIL REPORT FOR JANUARY 18, 2000 DISTRIBUTION
<TABLE>
- -----------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT DETAIL REPORT - LOANS PREPAID IN FULL DURING CURRENT DISTRIBUTION
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
SUMMARY LOAN GROUP
- ------------------------------------------------------- ------------------------------------------
Total Loan Count = 30 Loan Group 1 = Fixed Group
Total Original Principal Balance = 1,484,695.00 Loan Group 2 = Adjustable 1 Group
Total Prepayment Amount = 1,481,830.97 Loan Group 3 = Adjustable 2 Group
Loan Group 3 = Adjustable 2 Group
- ------------------------------------------------------- ------------------------------------------
</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>
1470833 1 54,000.00 53,905.80 Dec-31-99 10.125% OH - 80.00% Paid Off - 360 Jun-29-99
7643993 1 15,000.00 14,892.50 Dec-31-99 10.200% AZ - 9.62% Paid Off - 180 Jul-12-99
7653638 1 31,000.00 30,835.55 Dec-31-99 9.000% TX - 49.21% Paid Off - 180 Aug-16-99
7667345 1 13,000.00 12,932.58 Dec-31-99 9.250% MO - 37.14% Paid Off - 180 Sep-01-99
7669984 1 35,200.00 35,007.60 Dec-31-99 8.000% OK - 53.33% Paid Off - 120 Sep-16-99
7673566 1 94,000.00 92,937.17 Dec-31-99 7.450% CA - 40.00% Paid Off - 120 Aug-26-99
7675046 1 45,000.00 44,905.12 Dec-31-99 11.450% CA - 17.31% Paid Off - 180 Sep-29-99
7675941 1 25,000.00 24,863.15 Dec-31-99 8.650% NV - 20.08% Paid Off - 180 Aug-30-99
7690150 1 57,700.00 57,676.82 Dec-31-99 10.450% PA - 84.85% Paid Off - 360 Sep-27-99
7700334 1 66,750.00 66,724.59 Dec-31-99 10.700% AZ - 64.81% Paid Off - 360 Oct-27-99
9463925 1 63,000.00 62,850.05 Dec-31-99 12.000% NV - 63.00% Paid Off - 360 Feb-25-99
9506640 1 FCL 19,950.00 19,944.13 Dec-31-99 11.870% IA - 70.00% Paid Off - 360 Jun-23-99
9513647 1 88,755.00 88,661.24 Dec-31-99 11.100% CA - 97.00% Paid Off - 360 Jul-08-99
9533028 1 41,600.00 41,553.80 Dec-31-99 10.870% TX - 80.00% Paid Off - 360 Jul-09-99
9533532 1 45,500.00 45,427.64 Dec-31-99 10.560% FL - 70.00% Paid Off - 360 Jun-30-99
9541861 1 46,900.00 46,846.46 Dec-31-99 12.080% GA - 70.00% Paid Off - 360 Jun-15-99
9547320 1 46,400.00 46,323.14 Dec-31-99 10.370% UT - 80.00% Paid Off - 360 Jun-17-99
9561277 1 21,000.00 20,989.10 Dec-31-99 13.620% MI - 70.00% Paid Off - 360 Aug-03-99
9563873 1 45,125.00 45,069.47 Dec-31-99 10.490% FL - 94.01% Paid Off - 360 Sep-22-99
9704256 1 50,100.00 50,080.10 Dec-31-99 10.500% PA - 79.52% Paid Off - 360 Sep-30-99
9711201 1 27,000.00 27,000.00 Dec-31-99 16.250% IA - 60.00% Paid Off - 360 Sep-27-99
9738630 1 75,800.00 75,578.74 Dec-31-99 14.500% CA - 33.54% Paid Off - 240 Jun-30-99
9513760 2 18,200.00 18,194.08 Dec-31-99 14.520% MI - 65.00% Paid Off - 360 Aug-10-99
9515194 2 59,200.00 59,153.74 Dec-31-99 10.600% OH - 80.00% Paid Off - 360 Aug-31-99
9534954 2 37,700.00 37,670.90 Dec-31-99 12.520% NC - 62.83% Paid Off - 360 Jul-19-99
9565183 2 68,000.00 68,000.00 Dec-31-99 10.970% CO - 47.89% Paid Off - 360 Sep-27-99
9567178 2 30,240.00 30,232.50 Dec-31-99 12.640% KY - 63.00% Paid Off - 360 Sep-28-99
9570829 2 64,800.00 64,800.00 Dec-31-99 10.310% IL - 90.00% Paid Off - 360 Oct-04-99
9575227 2 128,000.00 128,000.00 Dec-31-99 9.850% OH - 80.00% Paid Off - 360 Oct-05-99
9594736 2 70,775.00 70,775.00 Dec-31-99 10.240% WI - 93.13% Paid Off - 360 Nov-09-99
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 21 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR JANUARY 18, 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%
- ----------------------------------------------------------------------------------------------------------------------------------
[MARK] Fixed -------- Adjustable 2 3 Months Moving Average
[MARK] Adjustable 1 -------- ---------
</TABLE>
<TABLE>
<S> <C>
Collateral Loss Severity Approximation by Groups Collateral Loss Severity Approximation
------------------------------------------------ --------------------------------------
[GRAPH] [GRAPH]
------------------------------------------------ --------------------------------------
</TABLE>
Page 22 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR JANUARY 18, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
REALIZED LOSS REPORT - COLLATERAL
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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
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
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
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
- -----------------------------------------------------------------------------------------------------------------------------------
[MARK] Fixed -------- Adjustable 2
[MARK] Adjustable 1 --------
</TABLE>
CDR BY GROUPS TOTAL CDR
[GRAPH] [GRAPH]
SDA BY GROUPS TOTAL SDA
[GRAPH] [GRAPH]
Page 23 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS REPORT FOR JANUARY 18, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
REALIZED LOSS REPORT - COLLATERAL
- --------------------------------------------------------------------------------
[MARK] Fixed ------- Adjustable 2
[MARK] Adjustable 1
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
- --------------------------------------------------------------------------------
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-LESSTHAN-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-LESSTHAN-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 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
REALIZED LOSS DETAIL REPORT FOR JANUARY 18, 2000 DISTRIBUTION
- --------------------------------------------------------------------------------
REALIZED LOSS DETAIL REPORT - LOANS LIQUIDATED DURING CURRENT DISTRIBUTION
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUMMARY LOAN GROUP
- -------------------------------------------------------- ----------------------------------------------------
<S> <C>
Total Loan Count = 0 Loan Group 1 = Fixed Group
Total Original Principal Balance = 0.00 Loan Group 2 = Adjustable 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
- ----------------------------------------------------------------------------------------------------------------------------------
SPACE INTENTIONALLY LEFT BLANK
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 25 of 26 -C- COPYRIGHT 2000 Deutsche Bank
<PAGE>
[LOGO]
AAMES 1999-2
MORTGAGE PASS-THROUGH CERTIFICATES
TRIGGERS, ADJ. RATE CERT. AND MISCELLANEOUS REPORT FOR
JANUARY 18, 2000 DISTRIBUTION
- -------------------------------------------------------------------------------
TRIGGERS, ADJ. RATE CERT. AND MISCELLANEOUS REPORT
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
ADJUSTABLE RATE CERTIFICATE INFORMATION ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SPACE INTENTIONALLY LEFT BLANK
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
ADDITIONAL INFORMATION ADJUSTABLE 2 ADJUSTABLE 1 FIXED TOTAL
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
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 -C- COPYRIGHT 2000 Deutsche Bank
