Aames 2000-2
Mortgage Pass-Through Certificates
Realized Loss Report for April 25, 2001 Distribution
Realized Loss Report - Collateral |
COLLATERAL REALIZED LOSSES | | | ADJUSTABLE 2 | ADJUSTABLE 1 | FIXED | TOTAL |
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| Current | | | | | | | |
| Number of Loans Liquidated | | | - | - | - | - |
| Collateral Realized Loss/(Gain) Amount | | - | - | - | - |
| Net Liquidation Proceeds | | | - | - | - | - |
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| Cumulative | | | | | | | |
| Number of Loans Liquidated | | | - | - | - | - |
| Collateral Realized Loss/(Gain) Amount | | - | - | - | - |
| Net Liquidation Proceeds | | | - | - | - | - |
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| Note: Collateral realized losses may include adjustments to loans liquidated in prior periods. | | | |
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| Loss Percentage | | | | 0.0000% | 0.0000% | 0.0000% | 0.0000% |
| Annualized Loss Percentage | | | 0.0000% | 0.0000% | 0.0000% | 0.0000% |
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Collateral Loss Severity Approximation by Groups
Collateral Loss Severity Approximation
| | | | | | | Page 23 of 27 | © COPYRIGHT 2001 Deutsche Bank |
Aames 2000-2
Mortgage Pass-Through Certificates
Realized Loss Report for April 25, 2001 Distribution
Realized Loss Report - Collateral |
DEFAULT SPEEDS | | | | ADJUSTABLE 2 | ADJUSTABLE 1 | FIXED | TOTAL |
| | | | | | | | |
| MDR | | | | 0.00% | 0.00% | 0.00% | 0.00% |
| 3 Months Avg MDR | | | 0.00% | 0.00% | 0.00% | 0.00% |
| 12 Months Avg MDR | | | | | | |
| Avg MDR Since Cut-off | | | 0.00% | 0.00% | 0.00% | 0.00% |
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| CDR | | | | 0.00% | 0.00% | 0.00% | 0.00% |
| 3 Months Avg CDR | | | 0.00% | 0.00% | 0.00% | 0.00% |
| 12 Months Avg CDR | | | | | | |
| Avg CDR Since Cut-off | | | 0.00% | 0.00% | 0.00% | 0.00% |
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| SDA | | | | 0.00% | 0.00% | 0.00% | 0.00% |
| 3 Months Avg SDA Approximation | | | 0.00% | 0.00% | 0.00% | 0.00% |
| 12 Months Avg SDA Approximation | | | | | |
| Avg SDA Since Cut-off Approximation | | 0.00% | 0.00% | 0.00% | 0.00% |
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| 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 | | | | | |
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CDR by Groups
Total CDR
SDA by Groups
Total SDA
| | | | | | | Page 24 of 27 | © COPYRIGHT 2001 Deutsche Bank |
Aames 2000-2
Mortgage Pass-Through Certificates
Realized Loss Report for April 25, 2001 Distribution
Realized Loss Report - Collateral |
CDR Avg since Cut-Off by Groups
Total CDR Avg since Cut-Off
SDA Avg since Cut-Off by Groups
Total SDA Avg since Cut-Off
COLLATERAL REALIZED LOSS CALCULATION METHODOLOGY | | | | |
| Monthly Default Rate (MDR): (Beg Principal Balance of Liquidated Loans)/(Total Beg Principal Balance) | | |
| Conditional Default Rate (CDR): 1-((1-MDR)/\12) | | | | | |
| SDA Standard Default Assumption: CDR/IF(WAS<61,MIN(30,WAS)*0.02,MAX(0.03,MIN(30,WAS)*0.02-0.0095*(WAS-60))) |
| Average MDR over period between nth month and mth month (AvgMDRn,m): [(1-MDRn) * (1-MDRn+1) *...*(1-MDRm)]/\(1/months in period n,m) |
| Average CDR over period between the nth month and mth month (AvgCDRn,m): 1-((1-AvgMDRn,m)/\12) | |
| Average SDA Approximation over period between the nth month and mth month: | | | |
| AvgCDRn,m/IF(Avg WASn,m<61,MIN(30,Avg WASn,m)*0.02,MAX(0.03,MIN(30,Avg WASn,m)*0.02-0.0095*(Avg WASn,m-60))) |
| Average WASn,m: (WASn + WASn+1 +...+ WASm )/(number of months in the period n,m) | | |
| Loss Severity Approximation for current period: sum(Realized Loss Amount)/sum(Beg Principal Balance of Liquidated Loans) | |
| Average Loss Severity Approximation over period between nth month and mth month: Avg(Loss Severityn,m) | |
| Note: Default rates are calculated since deal issue date and include realized gains and additional realized losses and gains from prior periods. |
| Dates correspond to distribution dates. | | | | | |
| | | | | | | Page 25 of 27 | © COPYRIGHT 2001 Deutsche Bank |
