Aames 2000-1
Mortgage Pass-Through Certificates
Realized Loss Report forJune 25, 2001 Distribution
Realized Loss Report - Collateral |
COLLATERAL REALIZED LOSSES | ADJUSTABLE 2 | ADJUSTABLE 1 | FIXED | TOTAL | ||||
Current | ||||||||
Number of Loans Liquidated | - | - | 1 | 1 | ||||
Collateral Realized Loss/(Gain) Amount | - | - | 5,128.18 | 5,128.18 | ||||
Net Liquidation Proceeds | - | - | 4,831.41 | 4,831.41 | ||||
Cumulative | ||||||||
Number of Loans Liquidated | - | - | 1 | 1 | ||||
Collateral Realized Loss/(Gain) Amount | - | - | 5,128.18 | 5,128.18 | ||||
Net Liquidation Proceeds | - | - | 4,831.41 | 4,831.41 | ||||
Note: Collateral realized losses may include adjustments to loans liquidated in prior periods. | ||||||||
Loss Percentage | 0.0011% | 0.0011% | 0.0011% | 0.0033% | ||||
Annualized Loss Percentage | 0.0000% | 0.0000% | 0.0025% | 0.0025% | ||||
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Collateral Loss Severity Approximation by Groups
Collateral Loss Severity Approximation
Page 24 of 28 | © COPYRIGHT 2001 Deutsche Bank |
Aames 2000-1
Mortgage Pass-Through Certificates
Realized Loss Report forJune 25, 2001 Distribution
Realized Loss Report - Collateral |
ADJUSTABLE 2 | ADJUSTABLE 1 | FIXED | TOTAL | ||||
MDR | 0.00% | 0.00% | 0.01% | 0.00% | |||
3 Months Avg MDR | 0.00% | 0.00% | 0.00% | 0.00% | |||
12 Months Avg MDR | |||||||
Avg MDR Since Cut-off | 0.00% | 0.00% | 0.00% | 0.00% | |||
CDR | 0.00% | 0.00% | 0.06% | 0.03% | |||
3 Months Avg CDR | 0.00% | 0.00% | 0.02% | 0.01% | |||
12 Months Avg CDR | |||||||
Avg CDR Since Cut-off | 0.00% | 0.00% | 0.01% | 0.00% | |||
SDA | 0.00% | 0.00% | 0.29% | 0.13% | |||
3 Months Avg SDA Approximation | 0.00% | 0.00% | 0.11% | 0.05% | |||
12 Months Avg SDA Approximation | |||||||
Avg SDA Since Cut-off Approximation | 0.00% | 0.00% | 0.05% | 0.02% | |||
Loss Severity Approximation for Current Period | 51.49% | 51.49% | |||||
3 Months Avg Loss Severity Approximation | 51.49% | 51.49% | |||||
12 Months Avg Loss Severity Approximation | |||||||
Avg Loss Severity Approximation Since Cut-off | 51.49% | 51.49% | |||||
CDR by Groups
Total CDR
SDA by Groups
Total SDA
Page 25 of 28 | © COPYRIGHT 2001 Deutsche Bank |
Aames 2000-1
Mortgage Pass-Through Certificates
Realized Loss Report forJune 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 26 of 28 | © COPYRIGHT 2001 Deutsche Bank |