<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 12, 1999
Saxon Asset Securities Company
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(Exact name of registrant as specified in charter)
Virginia 34-0-20552 54-1810895
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(State or other jurisdiction (Commission File Number) (IRS Employer
of incorporation) Identification No.)
4880 Cox Road, Glen Allen, Virginia 23060
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(Address of principal executive offices)(Zip Code)
Registrant's telephone number, including area code (804) 967-7400
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(Former name or former address, if changed since last report.)
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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.
It is expected that during November 1999, a series of certificates,
entitled Mortgage Loan Asset Backed Certificates, Series 1999-4 (the
"Certificates"), will be issued pursuant to a trust agreement, to be entered
into by and among Saxon Asset Securities Company (the "Registrant"), Saxon
Mortgage, Inc., and Chase Bank of Texas, N. A. The offering and sale of certain
classes of the Certificates (the "Underwritten Certificates") will be registered
under the Registrant's registration statement on Form S-3 (no. 333-87351) and
sold to Morgan Stanley & Co. Incorporated (the "Underwriter") pursuant to an
underwriting agreement to be entered into by and between the Registrant and
the Underwriter.
In connection with the expected sale of the Underwritten Certificates,
Morgan Stanley & Co. Incorporated has advised the Registrant that it has
furnished to prospective investors certain information attached hereto as
exhibit 99.1 that may be considered "computational materials" (as defined in the
no-action letter dated May 20, 1994 issued by the Division of Corporation
Finance of the Securities and Exchange Commission (the "Commission") to Kidder,
Peabody Acceptance Corporation I, Kidder, Peabody & Co. Incorporated, and Kidder
Structured Asset Corporation and the no-action letter dated May 27, 1994 issued
by the Division of Corporation Finance of the Commission to the Public
Securities Association) and "Collateral Term Sheets" (as defined in the no-
action letter dated February 17, 1995 issued by the Division of Corporation
Finance of the Commission to the Public Securities Association).
The Collateral Term Sheets attached hereto have been prepared and
provided to the Registrant by Morgan Stanley & Co. Incorporated. The information
in such Collateral Term Sheets is preliminary and will be superseded by the
final Prospectus Supplement relating to the Underwritten Certificates and by any
other information subsequently filed with the Commission.
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.
Exhibit
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99.1 Copy of Collateral Term Sheets as provided by Morgan Stanley & Co.
Incorporated.
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
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Bradley D. Adams, Vice President
November 15, 1999
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INDEX TO EXHIBITS
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Page
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99.1 Copy of Collateral Term Sheets as provided by Morgan Stanley & Co.
Incorporated
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MORGAN STANLEY DEAN WITTER [LOGO] September 1999
Securitized Products Group
Approximately $385,000,000 (+ 10%)
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{Saxon Asset Securities Trust, Series 1999-4}
--OR--
{Morgan Stanley Capital I, Series 1999-2}
Saxon Mortgage, Inc.
Seller and Master Servicer
Meritech Mortgage Services, Inc.
Servicer
Transaction Highlights
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<TABLE>
<CAPTION>
Approx Average Life
Class Size Tranche Type / Collateral Expected Ratings (years)
Class/(1)/ ($millions) Group (Moody's / S&P) Approx. Legal Final/(2)/ Spread Benchmark
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A1 302.225 (+ 10%) Floater / ARM Aaa / AAA 2.1-2.7 * 30 Years 1-month LIBOR
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M1 29.8375 (+ 10%) Floater Mezzanine / ARM Aa2 / AA 4.3-5.0 * 30 Years 1-month LIBOR
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M2 25.025 (+ 10%) Floater Mezzanine / ARM A2 / A 4.3-5.0 * 30 Years 1-month LIBOR
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B1 27.9125 (+ 10%) Floater Subordinate / ARM Baa2 / BBB 4.3-5.0 * 30 Years 1-month LIBOR
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Total $385.00 (+ 10%) -- -- -- -- -- --
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</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 xx, 1999}
Expected Settlement: {On or before November 23/rd/, 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
discriminated 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
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(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 predicable pattern. This information may not be used or otherwise
discriminated 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.
<PAGE>
Collateral Description
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Adjustable Rate Home Equity Loans
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Aggregate Pool Balance: $385,000,000 (+ 10%)
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Wtg Average Coupon: 9.5% - 10.25%
Wtg Average Margin: 6.10% - 6.50%
Wtd Average Life Cap: 14% - 17%
Wtg Average Life Floor: 9.0% - 10.0%
Wtd Average Original Amort Term: 355-360 months
Wtd Average Rem Amort Term: 350-360 months
Wtd Average CLTV: 75%-80%
Wtd Average FICO Score: 560-600
Minimum Loan Type Distribution: 2/28: more than 50%
3/27: less than 50%
Full Documentation more than = 72%
Stated Documentation less than = 20%
Borrower Quality Statistics A- or Better more than = 50%
D less than = 5%
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
discriminated 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, pleasae 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.
