<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
________________________________
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) November 22, 1999
Saxon Asset Securities Company
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
Virginia 34-0-20552 54-1810895
- ---------------------------- ------------------------ -------------------
(State or other jurisdiction (Commission File Number) (IRS Employer
of incorporation) Identification No.)
4880 Cox Road, Glen Allen, Virginia 23060
-----------------------------------------
(Address of principal executive offices)(Zip Code)
Registrant's telephone number, including area code (804) 967-7400
--------------
- --------------------------------------------------------------------------------
(Former name or former address, if changed since last report.)
<PAGE>
Item 1. Changes in Control of Registrant. Not Applicable.
Item 2. Acquisition or Disposition of Assets. Not Applicable.
Item 3. Bankruptcy or Receivership. Not Applicable.
Item 4. Changes in Registrant's Certifying Accountant. Not Applicable.
Item 5. Other Events.
On November 17, 1999, the Registrant entered into an underwriting
agreement with Morgan Stanley & Co. Incorporated (the "Underwriter"),
pursuant to which the Underwriter agreed to purchase and offer for sale
to the public, the Registrant's Mortgage Loan Asset Backed
Certificates, Series 1999-4, Class AV-1, Class MV-1, Class MV-2, and
Class BV-1 Certificates (collectively, the "Underwritten
Certificates"). The Underwritten Certificates are registered for sale
under the Registrant's effective shelf Registration Statement on Form
S-3 (333-87351), and are offered pursuant to a Prospectus dated
November 19, 1999, and a Prospectus Supplement dated November 19, 1999,
to be filed with the Securities and Exchange Commission pursuant to
Registration No. 333-87351.
In connection with the offering of the Underwritten Certificates,
the Underwriter has prepared and disseminated to potential purchasers
certain "Computational Materials," as such term is defined in the No-
Action response letter to Kidder, Peabody and Co. Incorporated and
certain affiliates thereof (publicly available, May 20, 1994). The
Computational Materials furnished to certain prospective investors by
the Underwriter are filed herewith as Exhibit 99.1.
Item 6. Resignations of Registrant's Directors. Not Applicable.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
Not Applicable.
Item 8. Change in Fiscal Year. Not Applicable.
Exhibits
- --------
99.1 Copy of "Computational Materials" as provided by Morgan Stanley & Co.
Incorporated.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
SAXON ASSET SECURITIES COMPANY
By: /s/ Bradley D. Adams
--------------------
Bradley D. Adams, Vice President
November 22, 1999
<PAGE>
INDEX TO EXHIBITS
-----------------
Page
----
99.1 Copy of Computational Materials as provided by Morgan Stanley & Co.
Incorporated
<PAGE>
- --------------------------------------------------------------------------------
MORGAN STANLEY DEAN WITTER [LOGO APPEARS HERE] November 1999
Securitized Products Group
- --------------------------------------------------------------------------------
Approximately $370,000,000
Saxon Asset Securities Trust, Series 1999-4
Saxon Mortgage, Inc.
Seller and Master Servicer
Meritech Mortgage Services, Inc.
Servicer
Transaction Highlights
----------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Approx Average Life
Class Size Tranche Type / Subordination Expected Ratings (years)
Class/(1)/ ($millions) Collateral Group % (Moody's / S&P) Approx. Legal Final/(2)/ Spread Benchmark
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A1 303,437 Floater / ARM 82.00% Aaa / AAA 2.4384 *30 Years 1-month LIBOR
M1 27,568 Floater Mezzanine / ARM 7.45% Aa2 / AA 4.5406 *30 Years 1-month LIBOR
M2 20,340 Floater Mezzanine / ARM 5.50% A2 / A 4.4968 *30 Years 1-month LIBOR
B1 18,655 Floater Subordinate / 5.04% Baa2 / BBB 4.4773 *30 Years 1-month LIBOR
ARM
- -----------------------------------------------------------------------------------------------------------------------------------
Total $ 370.00 -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) All numbers are approximate
(2) The Legal Final date is as of the date of prefunding, which can be 1-90
days after settlement
Seller and Master Servicer: Saxon Mortgage, Inc.
Servicer: Meritech Mortgage Services, Inc.
Trustee: Chase Bank of Texas, NA
Managers: MORGAN STANLEY DEAN WITTER
Collateral: Floating-rate conventional home equity loans
secured by first lien mortgages. See
"Collateral Description" within for more
detail.
Prepayment Speed:
Floating-Rate Certificates: All classes are priced at 100% of the
prepayment assumption ("PPC"). 100% PPC
describes prepayments starting at 4.0% CPR in
month 1, increasing by approximately 1.476%
CPR per month to 35% CPR in month 22, and
remaining at 35% CPR thereafter.
Expected Pricing Date: {September 17, 1999}
Expected Settlement: On or before November 23rd, 1999, through DTC,
Euroclear and CEDEL.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. The actual characteristics and performance of the home
equity loans will differ from the assumptions used in preparing these materials,
which are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that the loans will prepay at a constant rate or
follow a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS, SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide, In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
* = Less than or equal to.
<PAGE>
Transaction Highlights
----------------------
(continued)
Distribution Dates: The 25th of each month, beginning December 1999.
First coupon will be set TWO business days before
settlement date.
Adjustable Rate Available All of the classes are subject to an available
Funds Cap: funds cap. The cap is calculated as the total
scheduled interest for the related due period on
the loans less the monthly servicing fee and the
master servicing fee (totaling approximately
0.55%) divided by the outstanding certificate
principal balance (divided by actual/360).
Shortfalls due to this available funds cap WILL be
carried forward (but will not earn interest).
Carryover Amount: If on any Distribution Date the Pass Through Rate
for a Class of the Certificates is based on the
Available Funds Cap, the excess of (i) the amount of
interest that such Class would have been entitled to
receive on such Distribution Date based on LIBOR
plus the Applicable Spread (but not more than the
weighted average of the maximum lifetime net
Mortgage Interest Rates) over (ii) the amount of
interest such Class received on such Distribution
Date based on the Available Funds Cap, together with
the unpaid portion of any such excess from prior
Distribution Dates (and interest accrued thereon at
the then applicable Pass Through Rate, without
giving effect to the Available Funds Cap)
Interest Carry Forward: Any interest due but not paid to the certificates is
carried forward and paid in future periods to the
extent interest funds are available. Any Interest
Carry Forward amount WILL earn interest at the
current certificate rate.
Clean-up Call: 10% of original aggregate mortgage loan principal
balance
Coupon Step Up: After the Clean-up Date and should the 10% Clean-up
Call not be exercised the spread to LIBOR on Classes
{?} will double, and the spread to LIBOR on Classes
{?} will increase by 50% as an incentive for Saxon
to call the bonds.
Prefunding: At closing, the Depositor may deposit funds into a
Prefunding Account to be used to purchase additional
mortgage loans during a set period (not to exceed 90
days). Any amounts remaining in the account at the
end of the period will be distributed as a
prepayment of principal to the holders of the
Certificates.
Tax Status: REMIC
ERISA Eligibility: The senior certificates are ERISA eligible; All
other Certificate Classes are NOT ERISA eligible.
SMMEA Eligibility: Only the Class AV-1 and MV-1 certificates are SMMEA
eligible.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Saxon Mortgage, Inc. with respect to the expected characteristics of
the pool of home equity loans in which these securities will represent undivided
beneficial interests. The actual characteristics and performance of the home
equity loans will differ from the assumptions used in preparing these materials,
which are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that the loans will prepay at a constant rate or
follow a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS, SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROPSECTUS AND PROSPECTUS SULLPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide, In addition, please note that
this information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<PAGE>
MORGAN STANLEY DEAN
WITTER
Saxon 1999-4
All records
1,715 records
Balance: 205,746,214
Aggregate Scheduled Principal Balances:
205,746,214.29
Average Scheduled Principal Balance: 119,968.64
Min Scheduled Principal Balance: 16,418.45
Max Scheduled Principal Balance: 665,000.00
Weighted Average Coupon (One Year CMTs): 9.666
Weighted Average Coupon (2/28 LIBOR): 9.971
Weighted Average Coupon (3/27 LIBOR): 10.115
Weighted Average Coupon (Six Month LIBOR):
8.447
Weighted Average Margin (One Year CMTs): 6.558
Weighted Average Margin (2/28 LIBOR): 6.406
Weighted Average Margin (3/27 LIBOR): 6.336
Weighted Average Margin (Six Month LIBOR): 6.029
Weighted Average Coupon: 10.009
Min Coupon: 5.850
Max Coupon: 13.990
Weighted Average Maximum Rate: 16.573
Min Maximum Rate: 12.850
Max Maximum Rate: 20.000
Weighted Average Minimum Rate: 9.872
Min Minimum Rate: 4.950
Max Minimum Rate: 13.990
Weighted Average Original LTV Ratio: 79.644
Weighted Average Remaining Amortization Term:
357.79
Min Remaining Amort Term: 265
Max Remaining Amort Term: 360
% 2nd Liens: 0.00
% Single Family Detached: 78.16
% Single Family Attached: 1.18
% PUD: 9.10
% Condominimum: 4.61
% 2-4 Family: 4.77
<PAGE>
% Townhouses: 0.65
% Manufactured Home: 1.52
Weighted Average Servicing Fee Rate: 0.50
Saxon Credit Grade
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
Saxon Credit Number of Number of Current Current
Grade Loans Loans(%) Balances($) Balance(%)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
A+ 13 0.76 1,491,072 0.72
- ----------------------------------------------------------------------------------------------
A 76 4.43 11,812,715 5.74
- ----------------------------------------------------------------------------------------------
A- 730 42.57 99,067,048 48.15
- ----------------------------------------------------------------------------------------------
B 483 28.16 54,227,100 26.36
- ----------------------------------------------------------------------------------------------
C 327 19.07 30,449,638 14.80
- ----------------------------------------------------------------------------------------------
D 86 5.01 8,698,641 4.23
- ----------------------------------------------------------------------------------------------
Total: 1,715 100.00 205,746,214 100.00
- ----------------------------------------------------------------------------------------------
</TABLE>
1. Current Scheduled Principal Balance($)
- ------------------------------------------------------------------------
Number of Scheduled
Current Scheduled Mortgage Principal
Principal Balance($) Loans(%) Balance(%)
- ------------------------------------------------------------------------
0.01 - 25,000.00 0.82 0.15
- ------------------------------------------------------------------------
25,000.01 - 50,000.00 10.67 3.61
- ------------------------------------------------------------------------
50,000.01 - 75,000.00 21.63 11.37
- ------------------------------------------------------------------------
75,000.01 - 100,000.00 16.91 12.29
- ------------------------------------------------------------------------
100,000.01 - 150,000.00 27.06 27.63
- ------------------------------------------------------------------------
150,000.01 - 200,000.00 10.55 15.12
- ------------------------------------------------------------------------
200,000.01 - 250,000.00 6.18 11.50
- ------------------------------------------------------------------------
250,000.01 - 300,000.00 2.68 6.17
- ------------------------------------------------------------------------
300,000.01 - 350,000.00 1.11 2.97
- ------------------------------------------------------------------------
350,000.01 - 400,000.00 0.93 2.97
- ------------------------------------------------------------------------
400,000.01 - 450,000.00 0.58 2.08
- ------------------------------------------------------------------------
450,000.01 - 500,000.00 0.29 1.19
- ------------------------------------------------------------------------
500,000.01 - 550,000.00 0.12 0.52
- ------------------------------------------------------------------------
550,000.01 - 600,000.00 0.17 0.87
- ------------------------------------------------------------------------
600,000.01 - 650,000.00 0.12 0.62
- ------------------------------------------------------------------------
650,000.01 - 700,000.00 0.17 0.96
- ------------------------------------------------------------------------
Totals: 100.00 100.00
- ------------------------------------------------------------------------
Minimum: 16,418
Maximum: 665,000
Average: 119,969
<PAGE>
2. Current Mortgage Interest Rate(%)
- ---------------------------------------------------------------------------
Current Number of Scheduled
Mortgage Interest Mortgage Principal
Rate(%) Loans(%) Balance(%)
- ---------------------------------------------------------------------------
5.51 - 6.00 0.06 0.11
- ---------------------------------------------------------------------------
7.01 - 7.50 0.17 0.15
- ---------------------------------------------------------------------------
7.51 - 7.75 0.35 0.42
- ---------------------------------------------------------------------------
7.76 - 8.00 0.99 1.45
- ---------------------------------------------------------------------------
8.01 - 8.25 1.52 1.86
- ---------------------------------------------------------------------------
8.26 - 8.50 1.98 2.93
- ---------------------------------------------------------------------------
8.51 - 8.75 3.62 4.52
- ---------------------------------------------------------------------------
8.76 - 9.00 5.89 6.90
- ---------------------------------------------------------------------------
9.01 - 9.25 5.71 6.82
- ---------------------------------------------------------------------------
9.26 - 9.50 7.00 8.19
- ---------------------------------------------------------------------------
9.51 - 9.75 8.05 8.77
- ---------------------------------------------------------------------------
9.76 - 10.00 12.65 14.73
- ---------------------------------------------------------------------------
10.01 - 10.25 6.65 6.13
- ---------------------------------------------------------------------------
10.26 - 10.50 9.91 8.86
- ---------------------------------------------------------------------------
10.51 - 10.75 7.93 6.23
- ---------------------------------------------------------------------------
10.76 - 11.00 9.74 8.92
- ---------------------------------------------------------------------------
11.01 - 11.25 3.67 2.84
- ---------------------------------------------------------------------------
11.26 - 11.50 4.02 3.28
- ---------------------------------------------------------------------------
11.51 - 11.75 2.80 2.20
- ---------------------------------------------------------------------------
11.76 - 12.00 2.92 1.99
- ---------------------------------------------------------------------------
12.01 - 12.25 1.17 0.88
- ---------------------------------------------------------------------------
12.26 - 12.50 1.63 0.95
- ---------------------------------------------------------------------------
12.51 - 12.75 0.87 0.49
- ---------------------------------------------------------------------------
12.76 - 13.00 0.52 0.27
- ---------------------------------------------------------------------------
13.26 - 13.50 0.06 0.05
- ---------------------------------------------------------------------------
13.76 - 14.00 0.12 0.05
- ---------------------------------------------------------------------------
Totals: 100.00 100.00
- ---------------------------------------------------------------------------
Minimum: 5.8500
Maximum: 13.9900
Weighted Average: 10.0095
<PAGE>
3. Maximum Lifetime Mortgage Interest
Rate(%)
- -----------------------------------------------------------
Maximum Lifetime Number of Scheduled
Mortgage Interest Mortgage Principal
Rate(%) Loans(%) Balance(%)
- -----------------------------------------------------------
12.500 - 12.999 0.06 0.11
- -----------------------------------------------------------
13.000 - 13.499 0.12 0.10
- -----------------------------------------------------------
13.500 - 13.999 0.99 1.23
- -----------------------------------------------------------
14.000 - 14.499 1.57 2.29
- -----------------------------------------------------------
14.500 - 14.999 5.66 6.14
- -----------------------------------------------------------
15.000 - 15.499 8.57 9.67
- -----------------------------------------------------------
15.500 - 15.999 14.11 17.12
- -----------------------------------------------------------
16.000 - 16.499 9.10 9.50
- -----------------------------------------------------------
16.500 - 16.999 18.66 18.91
- -----------------------------------------------------------
17.000 - 17.499 10.03 9.56
- -----------------------------------------------------------
17.500 - 17.999 16.09 14.05
- -----------------------------------------------------------
18.000 - 18.499 5.77 4.79
- -----------------------------------------------------------
18.500 - 18.999 5.48 4.05
- -----------------------------------------------------------
19.000 - 19.499 2.16 1.55
- -----------------------------------------------------------
19.500 - 19.999 1.57 0.90
- -----------------------------------------------------------
20.000 - 20.499 0.06 0.02
- -----------------------------------------------------------
Totals: 100.00 100.00
- -----------------------------------------------------------
Minimum: 12.8500
Maximum: 20.0000
Weighted Average: 16.5729
4. Minimum Lifetime Mortgage Interest Rate(%)
- -----------------------------------------------------------
Minimum Lifetime Number of Scheduled
Mortgage Interest Mortgage Principal
Rate(%) Loans(%) Balance(%)
- -----------------------------------------------------------
4.500 - 4.999 0.12 0.24
- -----------------------------------------------------------
5.000 - 5.499 0.23 0.35
- -----------------------------------------------------------
5.500 - 5.999 0.29 0.33
- -----------------------------------------------------------
6.000 - 6.499 0.41 0.75
- -----------------------------------------------------------
6.500 - 6.999 0.82 0.92
- -----------------------------------------------------------
7.000 - 7.499 0.99 1.10
- -----------------------------------------------------------
7.500 - 7.999 2.39 2.87
- -----------------------------------------------------------
8.000 - 8.499 2.57 3.10
- -----------------------------------------------------------
8.500 - 8.999 8.86 10.53
- -----------------------------------------------------------
9.000 - 9.499 10.15 12.15
- -----------------------------------------------------------
9.500 - 9.999 21.17 24.18
- -----------------------------------------------------------
10.000 - 10.499 12.94 12.00
- -----------------------------------------------------------
10.500 - 10.999 20.12 17.05
- -----------------------------------------------------------
11.000 - 11.499 7.46 6.23
- -----------------------------------------------------------
11.500 - 11.999 6.71 5.24
- -----------------------------------------------------------
12.000 - 12.499 2.62 1.81
- -----------------------------------------------------------
12.500 - 12.999 1.87 1.02
- -----------------------------------------------------------
13.000 - 13.499 0.12 0.03
- -----------------------------------------------------------
13.500 - 13.999 0.17 0.10
- -----------------------------------------------------------
Totals: 100.00 100.00
- -----------------------------------------------------------
Minimum: 4.9500
Maximum: 13.9900
Weighted Average: 9.872046
<PAGE>
5. Next Interest Adjustment Date
- -------------------------------------------------------------------------------
Number of Scheduled
Next Interest Mortgage Principal
Adjustment Date Loans(%) Balance(%)
- -------------------------------------------------------------------------------
December 1999 0.12 0.21
- -------------------------------------------------------------------------------
January 2000 0.17 0.23
- -------------------------------------------------------------------------------
February 2000 0.06 0.03
- -------------------------------------------------------------------------------
March 2000 0.47 0.48
- -------------------------------------------------------------------------------
April 2000 0.41 0.54
- -------------------------------------------------------------------------------
May 2000 0.17 0.17
- -------------------------------------------------------------------------------
September 2000 0.06 0.17
- -------------------------------------------------------------------------------
October 2000 0.41 0.86
- -------------------------------------------------------------------------------
November 2000 0.35 0.49
- -------------------------------------------------------------------------------
March 2001 0.06 0.06
- -------------------------------------------------------------------------------
April 2001 0.52 0.85
- -------------------------------------------------------------------------------
May 2001 1.92 2.18
- -------------------------------------------------------------------------------
June 2001 1.34 1.71
- -------------------------------------------------------------------------------
July 2001 5.31 5.36
- -------------------------------------------------------------------------------
August 2001 7.06 7.00
- -------------------------------------------------------------------------------
September 2001 18.54 16.51
- -------------------------------------------------------------------------------
October 2001 14.99 13.28
- -------------------------------------------------------------------------------
November 2001 3.44 3.18
- -------------------------------------------------------------------------------
April 2002 0.29 0.15
- -------------------------------------------------------------------------------
May 2002 0.23 0.28
- -------------------------------------------------------------------------------
June 2002 0.64 0.70
- -------------------------------------------------------------------------------
July 2002 1.52 1.75
- -------------------------------------------------------------------------------
August 2002 4.43 4.69
- -------------------------------------------------------------------------------
September 2002 13.18 14.98
- -------------------------------------------------------------------------------
October 2002 16.97 17.13
- -------------------------------------------------------------------------------
November 2002 7.35 7.03
- -------------------------------------------------------------------------------
Totals: 100.00 100.00
- -------------------------------------------------------------------------------
Minimum: 1999-12-01
Maximum: 2002-11-01
Weighted Average: 2002-02-05
<PAGE>
6. Gross Margin (%)
- -------------------------------------------------------------------------------
Number of Scheduled
Mortgage Principal
Gross Margin (%) Loans(%) Balance(%)
- -------------------------------------------------------------------------------
3.000 - 3.999 0.12 0.10
- -------------------------------------------------------------------------------
4.000 - 4.999 2.45 2.59
- -------------------------------------------------------------------------------
5.000 - 5.999 21.87 25.26
- -------------------------------------------------------------------------------
6.000 - 6.999 46.71 46.82
- -------------------------------------------------------------------------------
7.000 - 7.999 25.66 23.06
- -------------------------------------------------------------------------------
8.000 - 8.999 3.09 2.12
- -------------------------------------------------------------------------------
9.000 - 9.999 0.12 0.05
- -------------------------------------------------------------------------------
Totals: 100.00 100.00
- -------------------------------------------------------------------------------
Minimum: 3.7500
Maximum: 9.6500
Weighted Average: 6.3690
7. Original Loan-to-Value Ratio (%)
- -------------------------------------------------------------------------------
Original Number of Scheduled
Loan-to-Value Mortgage Principal
Ratio (%) Loans(%) Balance(%)
- -------------------------------------------------------------------------------
20.001 - 25.000 0.12 0.15
- -------------------------------------------------------------------------------
25.001 - 30.000 0.12 0.07
- -------------------------------------------------------------------------------
30.001 - 35.000 0.23 0.17
- -------------------------------------------------------------------------------
35.001 - 40.000 0.41 0.26
- -------------------------------------------------------------------------------
40.001 - 45.000 0.35 0.20
- -------------------------------------------------------------------------------
45.001 - 50.000 1.05 1.10
- -------------------------------------------------------------------------------
50.001 - 55.000 1.11 0.91
- -------------------------------------------------------------------------------
55.001 - 60.000 2.04 1.81
- -------------------------------------------------------------------------------
60.001 - 65.000 5.77 4.33
- -------------------------------------------------------------------------------
65.001 - 70.000 7.46 7.05
- -------------------------------------------------------------------------------
70.001 - 75.000 11.43 11.41
- -------------------------------------------------------------------------------
75.001 - 80.000 28.34 28.54
- -------------------------------------------------------------------------------
80.001 - 85.000 21.11 21.48
- -------------------------------------------------------------------------------
85.001 - 90.000 20.41 22.46
- -------------------------------------------------------------------------------
90.001 - 95.000 0.06 0.07
- -------------------------------------------------------------------------------
Totals: 100.00 100.00
- -------------------------------------------------------------------------------
Minimum: 21.37
Maximum: 90.13
Weighted Average by Original Balance: 79.65
8. Occupancy Type
- -------------------------------------------------------------------------------
Number of Scheduled
Mortgage Principal
Occupancy Type Loans(%) Balance(%)
- -------------------------------------------------------------------------------
Primary Home 93.99 95.91
- -------------------------------------------------------------------------------
Second Home 0.52 0.46
- -------------------------------------------------------------------------------
Investor 5.48 3.64
- -------------------------------------------------------------------------------
Totals: 100.00 100.00
- -------------------------------------------------------------------------------
9. Origination Program
- -------------------------------------------------------------------------------
Number of Scheduled
Mortgage Principal
Origination Program Loans(%) Balance(%)
- -------------------------------------------------------------------------------
Full Documentation 79.94 77.49
- -------------------------------------------------------------------------------
Limited Documentation 3.62 4.70
- -------------------------------------------------------------------------------
Stated Documentation 16.44 17.80
- -------------------------------------------------------------------------------
Totals: 100.00 100.00
- -------------------------------------------------------------------------------
10. Mortgage Loan Purpose
- -------------------------------------------------------------------------------
Number of Scheduled
Mortgage Principal
Mortgage Loan Purpose Loans(%) Balance(%)
- -------------------------------------------------------------------------------
Purchase 43.44 41.91
- -------------------------------------------------------------------------------
Refinance (cash-out) 45.77 46.74
- -------------------------------------------------------------------------------
Refinance (no cash-out) 10.79 11.35
- -------------------------------------------------------------------------------
Totals: 100.00 100.00
- -------------------------------------------------------------------------------
<PAGE>
11. Property Types of Mortgaged Properties
- -------------------------------------------------------------------------------
Number of Scheduled
Mortgage Principal
Property Type Loans(%) Balance(%)
- -------------------------------------------------------------------------------
Single Family Attached 1.57 1.18
- -------------------------------------------------------------------------------
Single Family Detached 78.48 78.16
- -------------------------------------------------------------------------------
Townhouses 0.64 0.65
- -------------------------------------------------------------------------------
Low-Rise Condo 5.19 4.45
- -------------------------------------------------------------------------------
High-Rise Condo 0.23 0.17
- -------------------------------------------------------------------------------
2-4 Family 5.25 4.77
- -------------------------------------------------------------------------------
PUD 6.06 9.10
- -------------------------------------------------------------------------------
Manufactured Housing 2.57 1.52
- -------------------------------------------------------------------------------
Totals: 100.00 100.00
- -------------------------------------------------------------------------------
<PAGE>
12. Loan Types
- -------------------------------------------------------------------------------
Number of Scheduled
Mortgage Principal
Loan Types Loans(%) Balance(%)
- -------------------------------------------------------------------------------
One Year CMT 0.52 1.14
- -------------------------------------------------------------------------------
2/28 LIBOR 53.41 50.48
- -------------------------------------------------------------------------------
3/27 LIBOR 44.66 46.73
- -------------------------------------------------------------------------------
Six Month LIBOR 1.40 1.65
- -------------------------------------------------------------------------------
Totals: 100.00 100.00
- -------------------------------------------------------------------------------
13. Remaining Amortization Term
(Months)
- -------------------------------------------------------------------------------
Remaining Number of Scheduled
Amortization Mortgage Principal
Term (Months) Loans(%) Balance(%)
- -------------------------------------------------------------------------------
265 - 276 0.06 0.03
- -------------------------------------------------------------------------------
301 - 312 0.06 0.03
- -------------------------------------------------------------------------------
325 - 336 0.12 0.06
- -------------------------------------------------------------------------------
337 - 348 0.87 1.04
- -------------------------------------------------------------------------------
349 - 360 98.89 98.84
- -------------------------------------------------------------------------------
Totals: 100.00 100.00
- -------------------------------------------------------------------------------
Minimum: 265
Maximum: 360
Weighted Average: 357.78584268
14. State Distribution of Mortgage
Premises
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Number of Scheduled
State Distribution Mortgage Principal
of Mortgage Premises Loans(%) Balance(%)
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Alaska 0.41 0.34
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Arizona 2.97 2.46
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Arkansas 0.64 0.40
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<PAGE>
California 20.58 29.57
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Colorado 4.78 5.54
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Connecticut 1.05 0.99
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Delaware 0.29 0.29
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Florida 3.62 3.07
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Georgia 1.98 2.13
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Hawaii 1.22 2.38
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Idaho 1.05 0.69
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Illinois 5.60 5.77
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Indiana 2.62 1.52
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Iowa 0.47 0.30
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Kansas 0.82 0.77
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Kentucky 1.34 0.93
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Louisiana 0.99 0.73
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Maine 0.12 0.04
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Maryland 0.99 1.18
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Massachusetts 0.58 0.65
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Michigan 5.13 3.35
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Minnesota 1.92 1.57
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Mississippi 0.17 0.09
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Missouri 2.86 1.89
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Montana 0.12 0.09
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Nebraska 0.06 0.03
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Nevada 1.40 1.19
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New Hampshire 0.06 0.05
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New Jersey 0.99 1.06
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New Mexico 0.64 0.60
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New York 0.99 1.29
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North Carolina 2.97 1.98
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North Dakota 0.12 0.08
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Ohio 5.07 3.22
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Oklahoma 1.11 0.84
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Oregon 2.97 3.27
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Pennsylvania 2.10 1.80
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Rhode Island 0.23 0.21
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South Carolina 0.47 0.36
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Tennessee 0.87 0.83
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Texas 5.77 4.74
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Utah 2.45 2.24
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Vermont 0.06 0.05
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Virginia 2.22 2.99
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Washington 4.96 5.23
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West Virginia 0.12 0.06
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Wisconsin 2.04 1.17
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Totals: 100.00 100.00
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