|
Aames 2001-3 |
Mortgage Pass-Through Certificates |
Series 2001-3 |
| Realized Loss Report for June 28, 2002 Distribution |
Realized Loss Report - Collateral |
COLLATERAL REALIZED LOSSES | GROUP 2 | GROUP 1 | TOTAL | |||||
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. | ||||||||
SPACE INTENTIONALLY LEFT BLANK | ||||||||
| Collateral Loss Severity Approximation by Groups | Collateral Loss Severity Approximation |
Page 23 of 27 | © COPYRIGHT 2002 Deutsche Bank |
Aames 2001-3 |
Mortgage Pass-Through Certificates |
Series 2001-3 |
| Realized Loss Report for June 28, 2002 Distribution |
Realized Loss Report - Collateral |
DEFAULT SPEEDS | GROUP 2 | GROUP 1 | TOTAL | |||||
MDR | 0.00% | 0.00% | 0.00% | |||||
3 Months Avg MDR | 0.00% | 0.00% | 0.00% | |||||
12 Months Avg MDR | ||||||||
Avg MDR Since Cut-off | 0.00% | 0.00% | 0.00% | |||||
CDR | 0.00% | 0.00% | 0.00% | |||||
3 Months Avg CDR | 0.00% | 0.00% | 0.00% | |||||
12 Months Avg CDR | ||||||||
Avg CDR Since Cut-off | 0.00% | 0.00% | 0.00% | |||||
SDA | 0.00% | 0.00% | 0.00% | |||||
3 Months Avg SDA Approximation | 0.00% | 0.00% | 0.00% | |||||
12 Months Avg SDA Approximation | ||||||||
Avg SDA Since Cut-off Approximation | 0.00% | 0.00% | 0.00% | |||||
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 | ||||||||
| CDR by Groups | Total CDR |
| SDA by Groups | Total SDA |
Page 24 of 27 | © COPYRIGHT 2002 Deutsche Bank |
Aames 2001-3 |
Mortgage Pass-Through Certificates |
Series 2001-3 |
| Realized Loss Report for June 28, 2002 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 2002 Deutsche Bank |