<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 30, 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
--------------
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(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 23, 1999, the Registrant entered into an underwriting
agreement with Banc of America Securities LLC (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 1999-5, Class AF, Class MF-1, Class MF-2, and
Class BF 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 23, 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 Banc of America
Securities LLC.
<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 30, 1999
<PAGE>
INDEX TO EXHIBITS
-----------------
Page
----
99.1 Copy of Computational Materials as provided by Banc of America Securities
LLC
<PAGE>
Banc of America Securities LLC
[LOGO]
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RMBS New Issue Term Sheet
Saxon Asset Securities Trust 1999-5
Mortgage Loan Asset Backed Certificates, Series 1999-5
Classes AF, MF1, MF2, & BF
$300,000,000 (approximate)
Saxon Asset Securities Company
Depositor
Saxon Mortgage, Inc.
Seller and Master Servicer
October 7, 1999
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Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The
information contained in this material may be based on assumptions regarding
market conditions and other matters as reflected herein. The Underwriter makes
no representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange
Commission (the "SEC") and incorporated by reference into an effective
registration statement previously filed with the SEC under Rule 415 of the
Securities Act of 1933, including all cases where the material does not pertain
to securities that are ultimately offered for sale pursuant to such registration
statement. Information contained in this material is current as of the date
appearing on this material only. Information in this material regarding any
assets backing any securities discussed herein supersedes all prior information
regarding such assets. Any information in the material, whether regarding the
assets backing any securities discussed herein or otherwise, will be superseded
by the information contained in any final prospectus for any securities actually
sold to you. This material is furnished solely by the Underwriter and not by
the issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
1
<PAGE>
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Saxon Asset Securities Trust 1999-5
Class AF, MF1, MF2, & BF Certificates
$300,000,000 (approximate)
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OFFERED CERTIFICATES*
---------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Expected Approximate Approximate Approximate Approximate Principal
Ratings Average Average Modified Modified Window
Class (See Rating Approximate Life Life Duration Duration (Call)
Class Description Agencies) Size (Call) (Maturity) (Call) (Maturity) in months
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AF PT AAA/Aaa 264,000,000 3.15 3.38 2.56 2.66 1 - 102
- ------------------------------------------------------------------------------------------------------------------------------------
MF1 MEZ AA/Aa2 14,250,000 5.68 6.22 4.31 4.55 37 - 102
- ------------------------------------------------------------------------------------------------------------------------------------
MF2 MEZ A/A2 12,000,000 5.68 6.14 4.24 4.44 37 - 102
- ------------------------------------------------------------------------------------------------------------------------------------
BF SUB BBB/Baa2 9,750,000 5.68 5.93 4.11 4.21 37 - 102
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------
Principal Final
Window Legal
(Maturity) Maturity
Class in months Date
- -----------------------------------------
<S> <C> <C>
AF 1 - 190 12/1/2030
- -----------------------------------------
MF1 37 - 173 12/1/2030
- -----------------------------------------
MF2 37 - 157 12/1/2030
- -----------------------------------------
BF 37 - 136 12/1/2030
- -----------------------------------------
</TABLE>
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Fixed Rate Certificates
- -----------------------
1. All Classes are backed by Fixed Rate Home Equity Mortgage Loans with Agency-
conforming balances.
2. All Classes are payable monthly starting in December 1999 with fixed pass-
through rates calculated on a (30/360) basis accruing from 11/1/99.
3. Classes AF, MF1 and MF2 are priced to call.
4. The Optional Call is 10% of the aggregate Cut-off Date Principal Balance of
the Mortgage Loans plus the original Pre-funded Amount. If the Optional Call
is not exercised by the Servicer the coupons on the Class AF, MF1 and MF2
Certificates will increase by 0.50%.
5. All Classes are priced using 100% PPC. 100% PPC describes prepayments
starting at 2.4% CPR in month 1, increasing by approximately 2.4% CPR per
month to 24% CPR in month 10, and remaining at 24% CPR thereafter.
- --------------------------------------------------------------------------------
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Structure Summary
- -----------------
1. Credit Enhancement is provided using excess cash, overcollateralization and
subordination.
2. On each Distribution Date (a) before the Stepdown Date or (b) with respect
to which a trigger event is in effect, the Principal Distribution Amount
will be distributed sequentially to the Class AF, Class MF1, Class MF2 and
Class BF Certificates, in that order, until each Certificate has been
reduced to zero.
3. Following the occurrence of the Stepdown Date and so long as no Trigger
Event is in effect, the Certificates will be paid in accordance with
enhancement targets equal to two times the initial enhancement level for
each class. The Required Overcollateralization Amount is subject to a floor
equal to 0.50% of the sum of the Cut-off Date Pool Principal Balance and the
Pre-Funded Amount.
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*Illustrative only based upon fixed rate Agency-conforming balance loans
Underwritten by Saxon to Saxon's Underwriting Guidelines.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The
information contained in this material may be based on assumptions regarding
market conditions and other matters as reflected herein. The Underwriter makes
no representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange
Commission (the "SEC") and incorporated by reference into an effective
registration statement previously filed with the SEC under Rule 415 of the
Securities Act of 1933, including all cases where the material does not pertain
to securities that are ultimately offered for sale pursuant to such registration
statement. Information contained in this material is current as of the date
appearing on this material only. Information in this material regarding any
assets backing any securities discussed herein supersedes all prior information
regarding such assets. Any information in the material, whether regarding the
assets backing any securities discussed herein or otherwise, will be superseded
by the information contained in any final prospectus for any securities actually
sold to you. This material is furnished solely by the Underwriter and not by
the issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
2
<PAGE>
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Saxon Asset Securities Trust 1999-5
Classes AF, MF1, MF2, & BF Certificates
$300,000,000 (approximate)
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SUMMARY OF TERMS
----------------
Seller and
Master Servicer: Saxon Mortgage, Inc.
Depositor: Saxon Asset Securities Trust.
Servicer: Meritech Mortgage Services, Inc.
Trustee: Chase Bank of Texas, NA
Offering: Public; subject to a variance of plus or minus 2.0%.
Manager: Banc of America Securities LLC
Expected
Cut-Off Date: November 1, 1999
Expected
Pricing Date: October 7, 1999 or agreed upon date.
Expected
Closing Date: November 30, 1999
Settlement: All Certificates settle with accrued interest.
Registration: Certificates will be available in book-entry form
through DTC, Euroclear or CEDEL.
Payment Date: The 25/th/ of each month (or next succeeding business
day), beginning December 27, 1999.
Final Mortgage
Loans: The Final Mortgage Loans delivered to the Trust, except
for the Prefunded Mortgage Loans, will be based on
balances as of November 1, 1999. All of the Mortgage
Loans delivered to the Trust will be subject to the
Collateral Stipulations set forth herein.
Pre-funding: On the Closing Date, the Depositor may deposit funds
into a Prefunding Account to be used to purchase
additional Fixed Rate Mortgage Loans during a set
period. The Prefunding Account is not expected to
exceed 25% of the aggregate initial Principal Balance
of the Certificates. 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 Class
AF Certificates.
Interest
Remittance Amount: With respect to each Payment Date and each Class of
Certificates, interest accrued during the Accrual
Period at the related Pass-Through Rate on the related
Certificate Principal Balance immediately prior to that
Payment Date.
Accrual Period: Each period relating to the accrual of interest.
Interest on each Certificate will accrue from and
including the first day of each month, commencing
November 1, 1999 to and including the last day of such
month.
Interest Calculation: Class AF, MF1, MF2, and BF Certificates are payable
monthly starting in December 1999 with fixed Pass-
Through Rates calculated on a (30/360) basis. If the
Optional Call is not exercised by the
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The
information contained in this material may be based on assumptions regarding
market conditions and other matters as reflected herein. The Underwriter makes
no representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange
Commission (the "SEC") and incorporated by reference into an effective
registration statement previously filed with the SEC under Rule 415 of the
Securities Act of 1933, including all cases where the material does not pertain
to securities that are ultimately offered for sale pursuant to such registration
statement. Information contained in this material is current as of the date
appearing on this material only. Information in this material regarding any
assets backing any securities discussed herein supersedes all prior information
regarding such assets. Any information in the material, whether regarding the
assets backing any securities discussed herein or otherwise, will be superseded
by the information contained in any final prospectus for any securities actually
sold to you. This material is furnished solely by the Underwriter and not by
the issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
3
<PAGE>
- --------------------------------------------------------------------------------
Saxon Asset Securities Trust 1999-5
Class AF, MF1, MF2, & BF Certificates
$300,000,000 (approximate)
- --------------------------------------------------------------------------------
Servicer, the coupon on the Class AF, MF1 and MF2
Certificates will increase by 0.50%.
Available
Funds Cap: The Certificates may be subject to an available funds
cap. The cap is calculated as the weighted average
coupon for the mortgage loans less the Servicing Fee,
the Master Servicing Fee and the [Trustee Fee].
Shortfalls due to this available funds cap will not be
carried forward.
Optional Call: 10% optional clean-up call.
Denominations: $1,000 minimum and integral multiples of $1 in excess
thereof.
Tax Status: REMIC
ERISA: The senior certificates are expected to be ERISA
eligible; All other Classes of Certificates are not
expected to be ERISA eligible.
SMMEA: Only the Class AF and MF-1 Certificates are expected to
be SMMEA eligible after the end of the Pre-funding
Period.
Rating Agencies: S&P or Moody's plus 1 other.
Contact: Banc of America Securities LLC
Mortgage Syndicate
Chris Hentemann (email: [email protected])
Mark Ryan (email: [email protected])
Alex Cha (email: [email protected])
(704) 386-7744 (Phone)
(704) 335-5904 (Fax)
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The
information contained in this material may be based on assumptions regarding
market conditions and other matters as reflected herein. The Underwriter makes
no representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange
Commission (the "SEC") and incorporated by reference into an effective
registration statement previously filed with the SEC under Rule 415 of the
Securities Act of 1933, including all cases where the material does not pertain
to securities that are ultimately offered for sale pursuant to such registration
statement. Information contained in this material is current as of the date
appearing on this material only. Information in this material regarding any
assets backing any securities discussed herein supersedes all prior information
regarding such assets. Any information in the material, whether regarding the
assets backing any securities discussed herein or otherwise, will be superseded
by the information contained in any final prospectus for any securities actually
sold to you. This material is furnished solely by the Underwriter and not by
the issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
4
<PAGE>
- --------------------------------------------------------------------------------
Saxon Asset Securities Trust 1999-5
Class AF, MF1, MF2, & BF Certificates
$300,000,000 (approximate)
- --------------------------------------------------------------------------------
Saxon Asset Securities Trust 1999-5
Mortgage Loan Asset Backed Certificates, Series 1999-5
Fixed Rate Home Equity Loans
Collateral Stipulations
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
Product Fixed Rate Home Equity Loans
Agency-conforming Balance
<S> <C> <C>
Amount $ 300,000,000 +/- 2%
Settlement Date (est.) November 30, 1999
Weighted Average Gross Coupon *** 9.90%
Servicer and Trustee Fee 0.55%
Weighted Average LTV **** 80.00%
Max LTV 95.00%
LTV ***** 80% **** 39.00%
Occupancy - Owner-occupied *** 89.00%
Delinquency 60+ days 0.00%
Property Type - SFR *** 78.00%
Full Documentation *** 74.00%
Lien Position 100% First
Balloon Loans **** 57.00%
Credit Grade*
A+ 5.00%
A *** 18.00%
A- *** 40.00%
B **** 18.00%
C **** 12.00%
D **** 2.00%
Expected Rating Agencies S&P or Moody's plus 1 other
Approximate Size/Subordination** AAA 88.00% / 12.00%, +/- 1.00%
AA 4.75% / 7.25%, +/_ 1.00%
A 4.00% / 3.25%, +/_ 1.00%
BBB 3.25% / 0.00%, +/_ 1.00%
Expected OC Targets** 2.50%
---------------------------------------------------------------------------------------------
</TABLE>
* Credit Grades are based on Saxon Underwriting Guidelines.
** Approximate Size/Subordination levels are based upon the
Collateral Stipulations outlined above and may be subject to
change based upon the outlined variances.
*** Greater than or equals to
**** Less than or equal to
***** Greater than
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The
information contained in this material may be based on assumptions regarding
market conditions and other matters as reflected herein. The Underwriter makes
no representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange
Commission (the "SEC") and incorporated by reference into an effective
registration statement previously filed with the SEC under Rule 415 of the
Securities Act of 1933, including all cases where the material does not pertain
to securities that are ultimately offered for sale pursuant to such registration
statement. Information contained in this material is current as of the date
appearing on this material only. Information in this material regarding any
assets backing any securities discussed herein supersedes all prior information
regarding such assets. Any information in the material, whether regarding the
assets backing any securities discussed herein or otherwise, will be superseded
by the information contained in any final prospectus for any securities actually
sold to you. This material is furnished solely by the Underwriter and not by
the issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
5
<PAGE>
- --------------------------------------------------------------------------------
Saxon Asset Securities Trust 1999-5
Classes AF, MF1, MF2, & BF Certificates
$300,000,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY*
-------------
<TABLE>
<CAPTION>
AF (To Maturity)
- -------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 75.0% PPC 90.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.00% 18.00% 21.60% 24.00% 30.00% 36.00% 42.00%
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 7.52 7.44 7.42 7.41 7.38 7.34 7.30
Average Life (yrs.) 15.21 4.37 3.72 3.38 2.72 2.23 1.86
Modified Duration (yrs.) 8.37 3.26 2.88 2.66 2.23 1.89 1.61
First Principal Payment Date 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999
Last Principal Payment Date 09/25/2026 12/25/2019 04/25/2017 09/25/2015 07/25/2014 11/25/2011 11/25/2009
Payment Windows (mos.) 322 241 209 190 176 144 120
<CAPTION>
MF-1 (To Maturity)
- -------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 75.0% PPC 90.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.00% 18.00% 21.60% 24.00% 30.00% 36.00% 42.00%
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 8.08 8.05 8.05 8.04 8.02 8.01 8.01
Average Life (yrs.) 19.97 8.05 6.89 6.22 5.09 4.51 4.30
Modified Duration (yrs.) 9.51 5.51 4.90 4.55 3.93 3.59 3.49
First Principal Payment Date 11/25/2014 08/25/2003 01/25/2003 12/25/2002 02/25/2003 04/25/2003 06/25/2003
Last Principal Payment Date 06/25/2026 05/25/2015 11/25/2014 04/25/2014 04/25/2011 03/25/2009 08/25/2007
Payment Windows (mos.) 140 142 143 137 99 72 51
<CAPTION>
MF-2 (To Maturity)
- -------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 75.0% PPC 90.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.00% 18.00% 21.60% 24.00% 30.00% 36.00% 42.00%
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 8.60 8.57 8.56 8.56 8.54 8.52 8.51
Average Life (yrs.) 19.96 8.05 6.82 6.14 4.99 4.34 4.00
Modified Duration (yrs.) 9.14 5.39 4.79 4.44 3.81 3.44 3.24
First Principal Payment Date 11/25/2014 08/25/2003 01/25/2003 12/25/2002 01/25/2003 02/25/2003 03/25/2003
Last Principal Payment Date 04/25/2026 11/25/2014 06/25/2014 12/25/2012 04/25/2010 05/25/2008 12/25/2006
Payment Windows (mos.) 138 136 138 121 88 64 46
<CAPTION>
BF (To Maturity)
- -------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 75.0% PPC 90.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.00% 18.00% 21.60% 24.00% 30.00% 36.00% 42.00%
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 98.685 9.64 9.69 9.71 9.72 9.75 9.77 9.78
Average Life (yrs.) 19.89 7.87 6.58 5.93 4.80 4.15 3.76
Modified Duration (yrs.) 8.49 5.11 4.53 4.21 3.61 3.24 3.01
First Principal Payment Date 11/25/2014 08/25/2003 01/25/2003 12/25/2002 12/25/2002 12/25/2002 01/25/2003
Last Principal Payment Date 11/25/2025 10/25/2014 06/25/2012 03/25/2011 11/25/2008 03/25/2007 12/25/2005
Payment Windows (mos.) 133 135 114 100 72 52 36
</TABLE>
*Illustrative only based upon fixed rate Agency-conforming balance loans
Underwritten by Saxon to Saxon's Underwriting Guidelines.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
6
<PAGE>
- --------------------------------------------------------------------------------
Saxon Asset Securities Trust 1999-5
Class AF, MF1, MF2, & BF Certificates
$300,000,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY*
-------------
<TABLE>
<CAPTION>
AF (To Call)
- -------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 75.0% PPC 90.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.00% 18.00% 21.60% 24.00% 30.00% 36.00% 42.00%
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 7.52 7.42 7.40 7.38 7.34 7.30 7.25
Average Life (yrs.) 15.12 4.13 3.49 3.15 2.52 2.07 1.72
Modified Duration (yrs.) 8.35 3.17 2.77 2.56 2.12 1.79 1.52
First Principal Payment Date 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999
Last Principal Payment Date 07/25/2024 03/25/2011 05/25/2009 05/25/2008 08/25/2006 05/25/2005 06/25/2004
Payment Windows (mos.) 296 136 114 102 81 66 55
<CAPTION>
MF-1 (To Call)
- -------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 75.0% PPC 90.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.00% 18.00% 21.60% 24.00% 30.00% 36.00% 42.00%
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 8.08 8.03 8.02 8.01 7.99 7.98 7.97
Average Life (yrs.) 19.74 7.55 6.32 5.68 4.67 4.16 4.01
Modified Duration (yrs.) 9.48 5.33 4.68 4.31 3.71 3.40 3.31
First Principal Payment Date 11/25/2014 08/25/2003 01/25/2003 12/25/2002 02/25/2003 04/25/2003 06/25/2003
Last Principal Payment Date 07/25/2024 03/25/2011 05/25/2009 05/25/2008 08/25/2006 05/25/2005 06/25/2004
Payment Windows (mos.) 117 92 77 66 43 26 13
<CAPTION>
MF-2 (To Call)
- -------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 75.0% PPC 90.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.00% 18.00% 21.60% 24.00% 30.00% 36.00% 42.00%
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 8.60 8.55 8.54 8.53 8.51 8.49 8.48
Average Life (yrs.) 19.74 7.55 6.32 5.68 4.63 4.05 3.76
Modified Duration (yrs.) 9.11 5.22 4.59 4.24 3.64 3.28 3.09
First Principal Payment Date 11/25/2014 08/25/2003 01/25/2003 12/25/2002 01/25/2003 02/25/2003 03/25/2003
Last Principal Payment Date 07/25/2024 03/25/2011 05/25/2009 05/25/2008 08/25/2006 05/25/2005 06/25/2004
Payment Windows (mos.) 117 92 77 66 44 28 16
<CAPTION>
BF (To Call)
- -------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 75.0% PPC 90.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.00% 18.00% 21.60% 24.00% 30.00% 36.00% 42.00%
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 98.685 9.64 9.69 9.71 9.72 9.75 9.77 9.79
Average Life (yrs.) 19.74 7.55 6.32 5.68 4.61 3.99 3.63
Modified Duration (yrs.) 8.48 5.02 4.43 4.11 3.52 3.15 2.93
First Principal Payment Date 11/25/2014 08/25/2003 01/25/2003 12/25/2002 12/25/2002 12/25/2002 01/25/2003
Last Principal Payment Date 07/25/2024 03/25/2011 05/25/2009 05/25/2008 08/25/2006 05/25/2005 06/25/2004
Payment Windows (mos.) 117 92 77 66 45 30 18
</TABLE>
*Illustrative only based upon fixed rate Agency-conforming balance loans
Underwritten by Saxon to Saxon's Underwriting Guidelines.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
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that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
7
