<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) August 6, 1999
Saxon Asset Securities Company
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
Virginia 34-0-20552 52-1785164
- ---------------------------- ------------------------ -------------------
(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 July 29, 1999, the Registrant entered into an underwriting
agreement with Merrill Lynch, Pierce, Fenner & Smith Incorporated, Banc
of America Securities LLC, Prudential Securities Incorporated and Banc
One Capital Markets, Inc. (the "Underwriters"), pursuant to which the
Underwriters agreed to purchase and offer for sale to the public, the
Registrant's Mortgage Loan Asset Backed Certificates, Series 1999-3,
Class AF-1, Class AF-2, Class AF-3, Class AF-4, Class AF-5, Class AF-6,
Class MF-1, Class MF-2, Class BF-1, Class BF-1A, Class AV-1, Class AV-
2, Class MV-1, Class MV-2, Class BV-1 and Class BV-1A Certificates
(collectively, the "Underwritten Certificates"). The Underwritten
Certificates are registered for sale under the Registrant's effective
shelf Registration Statement on Form S-3 (333-59479), and are offered
pursuant to a Prospectus dated September 21, 1998, and a Prospectus
Supplement dated August 6, 1999, to be filed with the Securities and
Exchange Commission pursuant to Registration No. 333-59479.
In connection with the offering of the Underwritten
Certificates, the Underwriters have 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 lead Underwriter, Merrill Lynch, Pierce, Fenner &
Smith Incorporated, are filed herewith as Exhibit 99.1. In addition,
Banc of America Securities LLC, Prudential Securities Incorporated and
Banc One Capital Markets, Inc., as co-underwriters, have furnished
Computational Materials to certain prospective investors, which are
substantially identical to the Computational Materials furnished by
Merrill Lynch, Fenner & Smith Incorporated, other than the disclosure
in each related co-underwriter's legend. Therefore, only each co-
underwriter's legend has been filed herewith.
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 Merrill Lynch, Pierce,
Fenner & Smith Incorporated.
99.2 Copy of Legend to "Computational Materials" as provided by Banc of
America Securities LLC.
99.3 Copy of Legend to "Computational Materials" as provided by Prudential
Securities Incorporated.
99.4 Copy of Legend to "Computational Materials" as provided by Banc One
Capital Markets, Inc.
<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
August 6, 1999
<PAGE>
INDEX TO EXHIBITS
-----------------
Page
----
99.1 Copy of Computational Materials as provided by Merrill Lynch,
Pierce, Fenner & Smith Incorporated
99.2 Copy of Legend to Computational Materials as provided by Banc
of America Securities LLC
99.3 Copy of Legend to Computational Materials as provided by
Prudential Securities Incorporated
99.4 Copy of Legend to Computational Materials provided by Banc One
Capital Markets, Inc.
<PAGE>
EXHIBIT 99.1
[LOGO OF MERRILL LYNCH COMPUTATIONAL MATERIALS FOR
APPEARS HERE] SAXON ASSET SECURITIES TRUST, SERIES 1999-3
Computational Materials
$850,000,000 (Approx.)
SAXON ASSET SECURITIES TRUST 1999-3
[LOGO OF SAXON APPEARS HERE]
JULY 27, 1999
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are furnished to you solely by
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not by
the issuer of the securities or any of its affiliates. The issuer of these
securities has not prepared or taken part in the preparation of these materials.
Neither Merrill Lynch, the issuer of the securities nor any of its affiliates
makes any representation as to the accuracy or completeness of the information
herein. The information herein is preliminary, and will be superseded by the
applicable Prospectus Supplement and by any other information subsequently filed
with the Securities and Exchange Commission. The information herein may not be
provided by the addressees to any third party other than the addressee's legal,
tax, financial and/or accounting advisors for the purposes of evaluating said
material.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated therein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be construed
as either projections or predictions or as legal, tax, financial or accounting
advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment assumptions and actual prepayment experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower or
faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the securities may differ from those shown in the
Computational Materials due to differences between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the Computational
Materials are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with the Securities and Exchange Commission. This communication shall not
constitute an offer to sell or the solicitation of any offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for
definitive Computational Materials on any matter discussed in this
communication. A final prospectus and prospectus supplement may be obtained by
contacting the Merrill Lynch Trading Desk at (212) 449-3659.
Please be advised that asset-backed securities may not be appropriate for all
investors. Potential investors must be willing to assume, among other things,
market price volatility, prepayments, yield curve and interest rate risk.
Investors should fully consider the risk of an investment in these securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
- --------------------------------------------------------------------------------
2
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
$850,000,000 (Approx.)
Saxon Asset Securities Trust 1999-3
Transaction Highlights
----------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------
Class Size Tranche Type / Expected Ratings Average Life Payment
Class(1) ($millions) Collateral Group (Moody's / (years) (2) Window(3)
Fitch)
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AF-1 154.198 Floater Sequential/FRM Aaa / AAA 0.92 / 0.92 20 (09/99 to 04/01)
AF-2 70.000 Fixed Sequential/FRM Aaa / AAA 2.04 / 2.04 10 (04/01 to 01/02)
AF-3 67.000 Fixed Sequential/FRM Aaa / AAA 3.05 / 3.05 19 (01/02 to 07/03)
AF-4 56.000 Fixed Sequential/FRM Aaa / AAA 5.11 / 5.11 37 (07/03 to 07/06)
AF-5 32.000 Fixed Sequential/FRM Aaa / AAA 7.34 / 11.21 6 (07/06 to 12/06)
AF-6 42.133 Fixed NAS/FRM Aaa / AAA 6.22 / 6.63 51 (10/02 to 12/06)
MF-1 24.639 Fixed Mezzanine/FRM Aa2 / AA 5.34 / 6.10 52 (09/02 to 12/06)
MF-2 19.711 Fixed Mezzanine/FRM A2 / A 5.34 / 6.01 52 (09/02 to 12/06)
BF-1 14.784 Fixed Subordinate/FRM Baa2 / BBB 5.34 / 5.80 52 (09/02 to 12/06)
BF-1A 12.320 Fixed Subordinate/FRM Baa2 / BBB (4) 0.83 / 0.83 21 (09/99 to 05/01)
AV-1 202.526 Senior Floater/ARM Aaa / AAA 2.40 / 2.49 88 (09/99 to 12/06)
AV-2 77.888 Senior Floater/ARM Aaa / AAA 2.38 / 2.46 88 (09/99 to 12/06)
MV-1 27.684 Floater Mezzanine/ARM Aa2 / AA 4.66 / 4.85 48 (01/03 to 12/06)
MV-2 23.219 Floater Mezzanine/ARM A2 / A 4.55 / 4.70 51 (10/02 to 12/06)
BV-1 14.289 Floater Subordinate/ARM Baa2 / BBB 4.50 / 4.54 52 (09/02 to 12/06)
BV-1A 11.609 Fixed Subordinate/ARM Baa2 / BBB (4) 0.84 / 0.84 19 (09/99 to 03/01)
- ---------------------------------------------------------------------------------------------------
</TABLE>
(1) Classes AF-1 through AF-6, MF-1, MF-2, BF-1 and BF-1A are backed by a fixed
rate pool. Classes AV-1, AV-2, MV-1, MV-2, BV-1 and BV-1A are backed by an
ARM pool.
(2) Average life shown to 10% call first, followed by to maturity. See
"Prepayment Speed" below.
(3) Payment windows are shown to 10% call for all Classes.
(4) Pending final rating agency approval.
Seller and Master Servicer: Saxon Mortgage, Inc.
Depositor: Saxon Asset Securities Company
Servicer: Meritech Mortgage Services, Inc.
Trustee: Chase Bank of Texas, NA
Underwriters: Merrill Lynch & Co. (Lead-Manager)
Bank of America Securities, Prudential Securities,
Banc One Capital Markets (Co-Managers).
Collateral: Group I will consist of fixed rate, conventional
home equity loans secured by first and second
lien mortgages. Group II will consist of
adjustable rate, conventional home equity loans
secured by first lien mortgages. Group II will be
divided into Sub Pool II-A and Sub Pool II-B,
with Sub Pool II-A consisting of agency
conforming balance mortgages. See "Collateral
Description" within for more detail.
Prepayment Speed:
Fixed-Rate Certificates: All classes are priced at 100% of the prepayment
assumption ("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.
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 Settlement: August 18, 1999, through DTC, Euroclear and CEDEL.
- --------------------------------------------------------------------------------
3
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
Distribution Dates: The 25th of each month, beginning September, 1999
- --------------------------------------------------------------------------------
4
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
Fixed Rate Class Available Certain Group I Certificates, possibly the Class
Funds Cap: AF-5, AF-6, MF and BF certificates may be subject
to an available funds cap. The cap is calculated
as the weighted average coupon for the fixed rate
group less the Servicing Fee and the Master
Servicing Fee (which combined is approximately
0.55%). Shortfalls due to this available funds cap
will NOT be carried forward.
Adjustable Rate Class All of the ARM classes are subject to an available
Available Funds Cap: funds cap. The cap is calculated as the total
scheduled interest for the related due period on
the ARM group loans less the monthly servicing fee
and the master servicing fee (totaling
approximately 0.55%) divided by the outstanding
ARM certificate principal balance (divided by
actual/360).
Group II Certificates If on any Distribution Date the Pass Through Rate
Carryover Amount: for a Class of the Group II Certificates is based
on upon the Group II 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 for Group II) over (ii) the amount
of interest such Class received on such
Distribution Date based on the Group II 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
Group II 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 applicable pass-through 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 coupon on
Classes AF-5, MF-1, MF-2 and BF-1 will increase by
50 basis points. In addition, the spread to LIBOR
on Classes AV-1 and AV-2 will double, and the
spread to LIBOR on Classes MV-1, MV-2 and BV-1
will increase by 50%.
Prefunding: At closing, the Depositor will 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 in the applicable
group.
Group 1 Prefunding Amount: 172,111,285 (Approx.)
Group 2 Prefunding Amount: 124,826,644 (Approx.)
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, AV-2 and MV-1 Certificates
are SMMEA eligible.
- --------------------------------------------------------------------------------
5
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
<TABLE>
<CAPTION>
Computational Materials for
Saxon Asset Securities Trust 1999-3
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
Initial Class Size: Group I Certificates Group II Certificates
----------------------------------------- ---------------------------------------------------
Class AF-1 through Class AF-6 85.50% Class AV 78.50%
Class MF-1 5.00% Class MV-1 7.75%
Class MF-2 4.00% Class MV-2 6.50%
Class BF-1 3.00% Class BV-1 4.00%
Class BF-1A 2.50% Class BV-1A 3.25%
</TABLE>
Credit Enhancement: A combination of:
- Monthly excess cash flow;
- Cross-collateralization;
- Bond subordination and overcollateralization.
Distributions
of Interest: Interest collections with respect to each Group
(net of servicing, master servicing and trustee fees) will
be allocated in the following priority:
(1) Current interest and any interest carry forward amount
(plus interest on this amount) to the Class A Certificates;
(2) Current interest to the Class M-1 Certificates;
(3) Current interest to the Class M-2 Certificates;
(4) Current interest to the Class B-1 and B-1A
Certificates, concurrently;
(5) Extra Principal Distributions (see below);
(6) Excess applied to any interest carry forward on
subordinate classes;
(7) Excess made available to any other subordinate classes;
(8) Excess made available to the other collateral group
(i.e., cross-collateralization - repeat steps #1 through
#6, above);
(9) In the case of Group II, to the Group II Certificates
(in the order described above) for interest shortfall
carryover;
(10) Class B-1A Additional Principal;
(11) Excess to the Residual holder.
Extra Principal
Distribution Amount: With respect to any Distribution Date, the excess
of all realized losses for a Group over all extra
principal distributed for such Group with respect to prior
Distribution Dates.
If on any Distribution Date, after giving effect to any
Extra Principal Distribution Amount, the aggregate
principal balance of the certificates with respect to a
Group exceed the aggregate principal balance of the
mortgages in such Group, the principal balance of the
Subordinate Certificates (not the Class A Certificates) of
such Group will be reduced by an amount equal to such
excess (an Applied Realized Loss Amount), in inverse order
of seniority, until each class has been reduced to zero.
The extra principal is made available at the top of the
principal distribution waterfall as an additional
principal distribution amount. Simultaneously, the
certificate balance of any subordinate class previously
reduced by an applied realized loss amount will then be
increased, in direct order of seniority, by the lesser of
(i) such Extra Principal Distribution Amount, and (ii) the
unpaid Realized Loss Amount applicable to such class.
After any such increase, such class will thereafter be
entitled to distributions of principal and interest with
respect to the certificate balance as so increased.
This mechanism has the effect of rebuilding credit
enhancement by effectively paying excess interest as
principal to build over-collateralization and then
reestablishing the principal balance of previously
written-down subordinate certificates.
- --------------------------------------------------------------------------------
6
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
<TABLE>
<CAPTION>
Computational Materials for
Saxon Asset Securities Trust 1999-3
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C>
Principal Cashflow
Priority: Collections of Principal BEFORE the Stepdown Date, or if a Trigger Event exists, will be allocated in the
following priority:
Group I Cashflows:
(1) Pay AF-6 according to the following Lockout Percentage:
Distribution Date:
Sept. 1999 - Aug. 2002 0%
Sept. 2002 - Aug. 2004 45%
Sept. 2004 - Aug. 2005 80%
Sept. 2005 - Aug. 2006 100%
Sept. 2006 & thereafter 300%
(2) Pay Classes AF-1 through AF-6 sequentially until each is reduced to zero.
(3) Pay Classes MF-1, MF-2, BF-1, and BF-1A sequentially until each is reduced to
zero.
Group II Cashflows:
(1) Pay Class AV-1 from Sub Pool II-A principal collections and Class AV-2 from Sub
Pool II-B principal collections until each is reduced to zero.
(2) Pay Classes MV-1, MV-2, BV-1, and BV-1A sequentially until each is reduced
to zero.
Collections of Principal ON and AFTER the Stepdown Date, assuming no Trigger Event exists, will be allocated
in the following priority:
Group I Cashflows:
Pay the AF-1 through AF-6 (according to the priority described above), Class MF-1, Class MF-2, Class BF-
1, and Class BF-1A concurrently in accordance with enhancement targets equal to two (2) times the
initial enhancement for each class:
Approximate Approximate Targeted
Targeted % of Pool Credit Enhancement
Class AF-1 through AF-6 71.00% 29.00%
Class MF-1 10.00% 19.00%
Class MF-2 8.00% 11.00%
Class BF-1 6.00% 5.00%
Class BF-1A 5.00% 0.0%
Group II Cashflows:
Pay Class AV, MV-1, MV-2, BV-1, and BV-1A concurrently in accordance with the enhancement targets equal
to two (2) times the initial enhancement for each class:
Approximate Approximate Targeted
Targeted % of Pool Credit Enhancement
Class AV 57.00% 43.00%
Class MV-1 15.50% 27.50%
Class MV-2 13.00% 14.50%
Class BV-1 8.00% 6.50%
Class BV-1A 6.50% 0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
7
Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not
received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another
copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will be superseded by the information set forth in the
final prospectus supplement.
</TABLE>
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
<TABLE>
<S> <C>
Computational Materials for
Saxon Asset Securities Trust 1999-3
- ------------------------------------------------------------------------------------------------------------------------------------
Class B-1A
Additional Principal: After paying the amounts of interest and principal due on the Certificates described above, the Trustee will
apply a portion of the remaining InterestFunds, the "Applicable Percentage," with respect to a Group, if
any, to the payment of additional principal to the Class B-1A Certificates relating to such Group. The
"Applicable Percentage" for each Group and Distribution Date is set forth below:
Group I Group II
September 1999 - August 2001 67.5% 65.0%
September 2001 and thereafter 100.0% 100.0%
Stepdown Date: With respect to a Group, the earlier of (1) the date on which the principal balance of the Class A
Certificates is reduced to zero and (2) the later of (x) the 37th Distribution Date and (y) the first
Distribution Date on which (i) with respect to Group I, the principal balance of the Group I Senior
Certificates is less than or equal to 71.0% of the principal balance of the Group I Loans or (ii) with
respect to Group II, the principal balance of the Group II Senior Certificates is less than or equal to
57.0% of the principal balance of the Group II Loans.
Trigger Event: Occurs with respect to a Loan Group when 60+ day delinquency percentage is greater than (x) [50%] of the
Senior Enhancement Percentage for the Group I Certificates or (y) [40%] of the Senior Enhancement Percentage
for the Group II Certificates.
Prospectus: The Offered Certificates are being offered pursuant to a Prospectus which includes a Prospectus Supplement
(together, the "Prospectus"). Complete information with respect to the Offered Certificates and the
collateral is contained in the Prospectus. The foregoing is qualified in its entirety by the information
appearing in the Prospectus. To the extent that the foregoing is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales of the Offered Certificates may not be consummated unless the
purchaser has received the Prospectus.
- ------------------------------------------------------------------------------------------------------------------------------------
8
Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not
received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another
copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will be superseded by the information set forth in the
final prospectus supplement.
</TABLE>
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
To Call
% of Pricing Prepayment Assumptions
0% 75% 90% 100% 125% 150% 175%
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AF1 WAL 10.88 1.15 1.00 0.92 0.78 0.69 0.62
Begin 1 1 1 1 1 1 1
End 178 25 22 20 16 14 12
AF2 WAL 14.85 2.66 2.25 2.04 1.66 1.41 1.22
Begin 178 25 22 20 16 14 12
End 178 39 32 29 24 20 17
AF3 WAL 15.63 4.18 3.43 3.05 2.37 1.97 1.69
Begin 178 39 32 29 24 20 17
End 233 65 53 47 33 27 23
AF4 WAL 23.81 7.69 5.96 5.11 3.69 2.64 2.24
Begin 233 65 53 47 33 27 23
End 326 118 99 83 59 36 30
AF5 WAL 28.12 9.85 8.27 7.34 5.66 4.32 2.76
Begin 326 118 99 83 59 36 30
End 340 118 99 88 70 57 36
AF6 WAL 12.52 6.92 6.53 6.22 5.42 4.69 3.85
Begin 37 37 37 38 42 46 36
End 178 118 99 88 70 57 47
MF1 WAL 20.44 7.10 5.94 5.34 4.45 4.03 3.89
Begin 178 44 37 37 39 41 44
End 340 118 99 88 70 57 47
MF2 WAL 20.44 7.10 5.94 5.34 4.4 3.89 3.65
Begin 178 44 37 37 38 39 40
End 340 118 99 88 70 57 47
BF1 WAL 20.39 7.10 5.94 5.34 4.37 3.81 3.49
Begin 178 44 37 37 37 38 38
End 340 118 99 88 70 57 47
BF1A WAL 0.75 0.80 0.82 0.83 0.87 0.91 0.97
Begin 1 1 1 1 1 1 1
End 17 19 20 21 22 25 27
</TABLE>
- --------------------------------------------------------------------------------
9
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
To Call
% of Pricing Prepayment Assumptions
0% 75% 90% 100% 125% 150% 175%
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AV1 WAL 20.76 3.16 2.67 2.40 1.85 1.47 1.31
Begin 1 1 1 1 1 1 1
End 340 118 99 88 70 34 29
AV2 WAL 20.64 3.14 2.65 2.38 1.83 1.46 1.29
Begin 1 1 1 1 1 1 1
End 340 118 99 88 70 34 29
MV1 WAL 27.08 5.81 4.99 4.66 4.51 4.43 3.7
Begin 290 37 39 41 45 34 29
End 340 118 99 88 70 57 47
MV2 WAL 27.08 5.81 4.95 4.55 4.05 3.74 3.13
Begin 290 37 38 38 40 39 33
End 340 118 99 88 70 57 47
BV1 WAL 27.08 5.80 4.91 4.5 3.88 3.45 2.92
Begin 290 37 37 37 38 36 31
End 340 118 99 88 70 57 47
BV1A WAL 0.78 0.82 0.83 0.84 0.85 0.88 0.90
Begin 1 1 1 1 1 1 1
End 17 19 19 19 20 22 23
</TABLE>
- --------------------------------------------------------------------------------
10
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
To Maturity
% of Pricing Prepayment Assumptions
0% 75% 90% 100% 125% 150% 175%
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AF1 WAL 10.88 1.15 1.00 0.92 0.78 0.69 0.62
Begin 1 1 1 1 1 1 1
End 178 25 22 20 16 14 12
AF2 WAL 14.85 2.66 2.25 2.04 1.66 1.41 1.22
Begin 178 25 22 20 16 14 12
End 178 39 32 29 24 20 17
AF3 WAL 15.63 4.18 3.43 3.05 2.37 1.97 1.69
Begin 178 39 32 29 24 20 17
End 233 65 53 47 33 27 23
AF4 WAL 23.81 7.83 6.01 5.11 3.69 2.64 2.24
Begin 233 65 53 47 33 27 23
End 326 135 110 83 59 36 30
AF5 WAL 28.57 14.18 12.37 11.21 7.86 4.86 2.76
Begin 326 135 110 83 59 36 30
End 357 239 202 183 173 141 36
AF6 WAL 12.52 7.04 6.76 6.63 6.46 6.5 5.7
Begin 37 37 37 38 42 46 36
End 178 178 178 178 171 139 118
MF1 WAL 20.51 7.89 6.75 6.1 5.04 4.51 4.39
Begin 178 44 37 37 39 41 44
End 353 182 178 170 135 110 91
MF2 WAL 20.49 7.89 6.66 6.01 4.92 4.31 4.01
Begin 178 44 37 37 38 39 40
End 350 178 170 153 121 99 82
BF1 WAL 20.39 7.68 6.43 5.8 4.72 4.1 3.74
Begin 178 44 37 37 37 38 38
End 343 174 146 132 104 85 71
BF1A WAL 0.75 0.80 0.82 0.83 0.87 0.91 0.97
Begin 1 1 1 1 1 1 1
End 17 19 20 21 22 25 27
</TABLE>
- --------------------------------------------------------------------------------
11
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
To Maturity
% of Pricing Prepayment Assumptions
0% 75% 90% 100% 125% 150% 175%
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AV1 WAL 20.86 3.28 2.77 2.49 1.91 1.47 1.31
Begin 1 1 1 1 1 1 1
End 359 208 172 153 118 34 29
AV2 WAL 20.73 3.25 2.74 2.46 1.88 1.46 1.29
Begin 1 1 1 1 1 1 1
End 358 204 168 149 114 34 29
MV1 WAL 27.34 6.09 5.2 4.85 4.65 4.97 4.13
Begin 290 37 39 41 45 34 29
End 357 178 147 131 101 94 77
MV2 WAL 27.33 6.03 5.11 4.7 4.14 3.81 3.19
Begin 290 37 38 38 40 39 33
End 356 162 133 119 92 74 60
BV1 WAL 27.31 5.87 4.95 4.54 3.9 3.47 2.93
Begin 290 37 37 37 38 36 31
End 354 138 114 101 79 63 52
BV1A WAL 0.78 0.82 0.83 0.84 0.85 0.88 0.90
Begin 1 1 1 1 1 1 1
End 17 19 19 19 20 22 23
</TABLE>
- --------------------------------------------------------------------------------
12
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
Saxon Mortgage 1999-3 Collateral Description
- --------------------------------------------------------------------------------
Fixed Pool (Group I Mortgage Loans)
-----------------------------------
Pool Cut Off Date 08/01/1999
Loan Count: 3,756
Total Current Balance: 320,583,965
Avg. Current Balance: 85,352
Min Current Balance: 11,160
Max Current Balance: 518,745
Avg. Original Balance: 85,507
Min Original Balance: 11,200
Max Original Balance: 520,000
Wtd Avg. Rate 10.068
Min Rate 6.870
Max Rate 14.990
Wtd Avg. Original Amort Term 342.24
Wtd Avg. Rem Amort Term 339.90
Wtd Avg. Seasoning 2.33
Wtd Avg. CLTV 77.91
Min CLTV 11.36
Max CLTV 100.00
% Second Liens 1.16
% Balloon Loans 52.87
Wtd Avg FICO Score 600.95 ( for FICO >0 )
Min FICO Score 425 ( for FICO >0 )
Max FICO Score 819 ( for FICO >0 )
Wtd Avg DTI 38.19 ( for DTI >0 )
Max Maturity Date 08/01/2029
Max Zip Code Concentration 0.26% ( ZipCode: 92562 )
Prepayment Penalties 67.17%
- --------------------------------------------------------------------------------
13
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Arms Pool (Group II Mortgage Loans)
-----------------------------------
<S> <C> <C> <C>
Pool Cut Off Date 08/01/1999 Wtd Avg. CLTV 78.42
Loan Count: 1,998 Min CLTV 14.17
Total Current Balance: 232,387,856 Max CLTV 95.00
Avg. Current Balance: 116,310 Wtd Avg FICO Score 578.76 ( for FICO >0 )
Min Current Balance: 17,976 Min FICO Score 411 ( for FICO >0 )
Max Current Balance: 749,332 Max FICO Score 797 ( for FICO >0 )
Avg. Original Balance: 116,492 Wtd Avg DTI 41.17 ( for DTI >0 )
Min Original Balance: 18,000 Max Maturity Date 08/01/2029
Max Original Balance: 750,000 Max Zip Code 0.51% ( ZipCode: 20854 )
Wtd Avg.Rate by Loan Type Prepayment Penalties 80.31%
One Year CMT 9.012
2/28 LIBOR 9.944
3/12 LIBOR 10.291
3/17 LIBOR 9.500
3/27 LIBOR 10.023
Six Month LIBOR 9.391
Wtd Avg. Gross Margin by Loan Type
One Year CMT 6.548
2/28 LIBOR 6.373
3/12 LIBOR 7.006
3/17 LIBOR 5.000
3/27 LIBOR 6.286
Six Month LIBOR 6.674
Wtd Avg. Rate 9.959
Min Rate 5.850
Max Rate 14.500
Wtd Avg. Margin 6.343
Min Margin 2.875
Max Margin 11.250
Wtd Avg. Lifecap 16.568
Wtd Avg. Lifefloor 9.861
Wtd Avg Initial Rate Cap 2.968
Wtd Avg Periodic Rate Cap 1.108
Wtd Avg Months to Roll 25.60
Wtd Avg Interest Rate Freq 6.08
Wtd Avg. Original Amort Term 359.81
Wtd Avg. Rem Amort Term 356.82
Wtd Avg. Seasoning 2.99
</TABLE>
- --------------------------------------------------------------------------------
14
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARMs Sub Pool II-A
------------------
<S> <C> <C> <C>
Pool Cut Off Date 08/01/1999 Wtd Avg. CLTV 78.69
Loan Count: 1,728 Min CLTV 14.17
Total Current Balance: 167,839,954 Max CLTV 95.00
Avg. Current Balance: 97,130 Wtd Avg FICO Score 580.10 ( for FICO >0 )
Min Current Balance: 17,976 Min FICO Score 411 ( for FICO >0 )
Max Current Balance: 240,000 Max FICO Score 797 ( for FICO >0 )
Avg. Original Balance: 97,281 Wtd Avg DTI 40.55 ( for DTI >0 )
Min Original Balance: 18,000 Max Maturity Date 08/01/2029
Max Original Balance: 240,000 Max Zip Code 0.47% ( ZipCode: 60620 )
Concentration
Wtd Avg. by Loan Type Prepayment Penalties 81.08%
One Year CMT 8.713
2/28 LIBOR 10.018
3/12 LIBOR 10.291
3/27 LIBOR 10.060
Six Month LIBOR 9.391
Wtd Avg. by Loan Type
One Year CMT 6.294
2/28 LIBOR 6.424
3/12 LIBOR 7.006
3/27 LIBOR 6.350
Six Month LIBOR 6.674
Wtd Avg. Rate 10.011
Min Rate 5.850
Max Rate 14.500
Wtd Avg. Margin 6.397
Min Margin 2.875
Max Margin 11.250
Wtd Avg. Lifecap 16.603
Wtd Avg. Lifefloor 9.921
Wtd Avg Initial Rate Cap 2.962
Wtd Avg Periodic Rate Cap 1.090
Wtd Avg Months to Roll 25.54
Wtd Avg Interest Rate Freq 6.07
Wtd Avg. Original Amort Term 359.79
Wtd Avg. Rem Amort Term 356.82
Wtd Avg. Seasoning 2.97
</TABLE>
- --------------------------------------------------------------------------------
15
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARMS Sub Pool II-B
<S> <C> <C> <C>
Pool Cut Off Date 08/01/1999 Max CLTV 95.00
Loan Count: 270 Wtd Avg FICO Score 575.32 ( for FICO >0 )
Total Current Balance: 64,547,902 Min FICO Score 443 ( for FICO >0 )
Avg. Current Balance: 239,066 Max FICO Score 751 ( for FICO >0 )
Min Current Balance: 30,320 Wtd Avg DTI 42.78 ( for DTI >0 )
Max Current Balance: 749,332 Max Maturity Date 08/01/2029
Avg. Original Balance: 239,448 Max Zip Code 1.85% ( ZipCode: 20854 )
Min Original Balance: 30,320 Prepayment Penalties 78.30%
Max Original Balance: 750,000
Wtd Avg. by Loan Type
One Year CMT 9.538
2/28 LIBOR 9.750
3/17 LIBOR 9.500
3/27 LIBOR 9.931
Wtd Avg. Gross Margin by Loan Type
One Year CMT 6.995
2/28 LIBOR 6.239
3/17 LIBOR 5.000
3/27 LIBOR 6.126
Wtd Avg. Rate 9.822
Min Rate 7.990
Max Rate 12.500
Wtd Avg. Margin 6.204
Min Margin 4.000
Max Margin 9.250
Wtd Avg. Lifecap 16.478
Wtd Avg. Lifefloor 9.707
Wtd Avg Initial Rate Cap 2.983
Wtd Avg Periodic Rate Cap 1.153
Wtd Avg Months to Roll 25.75
Wtd Avg Interest Rate Freq 6.10
Wtd Avg. Original Amort Term 359.88
Wtd Avg. Rem Amort Term 356.82
Wtd Avg. Seasoning 3.06
Wtd Avg. CLTV 77.71
Min CLTV 30.00
</TABLE>
- --------------------------------------------------------------------------------
16
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Fixed Pool (Group I Mortgage Loans)
- ---------------------------------------------------------------------------------------
Current Rate
- ---------------------------------------------------------------------------------------
% By
Count Current Balance Balance
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6.750 - 6.999 4 312,349 0.10
7.000 - 7.249 1 148,965 0.05
7.250 - 7.499 4 650,299 0.20
7.500 - 7.749 21 2,617,559 0.82
7.750 - 7.999 26 3,517,181 1.10
8.000 - 8.249 50 5,555,763 1.73
8.250 - 8.499 85 9,000,003 2.81
8.500 - 8.749 175 17,697,656 5.52
8.750 - 8.999 275 29,935,866 9.34
9.000 - 9.249 163 15,971,715 4.98
9.250 - 9.499 202 22,176,404 6.92
9.500 - 9.749 273 24,512,405 7.65
9.750 - 9.999 392 36,039,180 11.24
10.000 - 10.249 155 13,750,194 4.29
10.250 - 10.499 227 19,237,083 6.00
10.500 - 10.749 323 27,071,218 8.44
10.750 - 10.999 299 23,015,257 7.18
11.000 - 11.249 161 11,258,712 3.51
11.250 - 11.499 143 11,109,811 3.47
11.500 - 11.749 179 11,674,964 3.64
11.750 - 11.999 142 9,785,244 3.05
12.000 - 12.249 108 6,781,029 2.12
12.250 - 12.499 85 4,655,039 1.45
12.500 - 12.749 79 4,219,048 1.32
12.750 - 12.999 63 3,816,860 1.19
13.000 - 13.249 36 1,977,028 0.62
13.250 - 13.499 29 1,358,449 0.42
13.500 - 13.749 19 1,173,092 0.37
13.750 - 13.999 14 514,732 0.16
14.000 - 14.249 13 553,330 0.17
14.250 - 14.499 2 74,129 0.02
14.500 - 14.749 2 101,955 0.03
14.750 - 14.999 6 321,446 0.10
- ---------------------------------------------------------------------------------------
3,756 320,583,965 100.00
</TABLE>
- --------------------------------------------------------------------------------
17
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Remaining Amort Term
- ---------------------------------------------------------------------------------------------
% By
Count Current Balance Balance
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
59 - 60 1 25,682 0.01
109 - 120 28 1,376,527 0.43
133 - 144 7 386,456 0.12
157 - 168 1 38,134 0.01
169 - 180 414 25,879,700 8.07
229 - 240 75 4,938,641 1.54
289 - 300 3 234,346 0.07
337 - 348 5 692,391 0.22
349 - 360 3,222 287,012,088 89.53
- ---------------------------------------------------------------------------------------------
3,756 320,583,965 100.00
</TABLE>
<TABLE>
<CAPTION>
Combined Loan To Value
- ---------------------------------------------------------------------------------------------
% By
Count Current Balance Balance
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
10.01 - 15.00 3 106,005 0.03
15.01 - 20.00 1 54,891 0.02
20.01 - 25.00 13 615,901 0.19
25.01 - 30.00 16 1,005,295 0.31
30.01 - 35.00 22 942,559 0.29
35.01 - 40.00 31 1,513,899 0.47
40.01 - 45.00 39 2,409,885 0.75
45.01 - 50.00 65 3,687,076 1.15
50.01 - 55.00 69 4,962,917 1.55
55.01 - 60.00 120 8,555,532 2.67
60.01 - 65.00 229 16,836,270 5.25
65.01 - 70.00 347 26,517,894 8.27
70.01 - 75.00 528 46,191,586 14.41
75.01 - 80.00 1,025 95,547,371 29.80
80.01 - 85.00 492 41,312,795 12.89
85.01 - 90.00 653 60,003,311 18.72
90.01 - 95.00 86 9,625,323 3.00
95.01 - 100.00 17 695,455 0.22
- ---------------------------------------------------------------------------------------------
3,756 320,583,965 100.00
</TABLE>
- --------------------------------------------------------------------------------
18
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Current Balance
- ---------------------------------------------------------------------------------------------
% By
Count Current Balance Balance
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
10,000.01 - 25,000.00 115 2,507,250 0.78
25,000.01 - 50,000.00 969 37,238,453 11.62
50,000.01 - 75,000.00 1,039 64,326,588 20.07
75,000.01 - 100,000.00 618 53,618,775 16.73
100,000.01 - 150,000.00 601 73,267,166 22.85
150,000.01 - 200,000.00 233 39,883,627 12.44
200,000.01 - 250,000.00 86 19,368,161 6.04
250,000.01 - 300,000.00 50 13,690,119 4.27
300,000.01 - 350,000.00 26 8,356,797 2.61
350,000.01 - 400,000.00 5 1,868,187 0.58
400,000.01 - 450,000.00 6 2,569,355 0.80
450,000.01 - 500,000.00 7 3,370,742 1.05
500,000.01 - 525,000.00 1 518,745 0.16
- ---------------------------------------------------------------------------------------------
3,756 320,583,965 100.00
</TABLE>
<TABLE>
<CAPTION>
Loan Type
- ---------------------------------------------------------------------------------------------
% By
Count Current Balance Balance
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
10YR FIX 28 1,376,527 0.43
12YR FIX 7 386,456 0.12
15/30 BAL 1,889 169,495,143 52.87
15YR FIX 415 25,917,835 8.08
20YR FIX 75 4,938,641 1.54
25YR FIX 3 234,346 0.07
30YR FIX 1,338 118,209,336 36.87
5YR FIX 1 25,682 0.01
- ---------------------------------------------------------------------------------------------
3,756 320,583,965 100.00
</TABLE>
- --------------------------------------------------------------------------------
19
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
Property Type
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
2-4 UNITS 205 17,927,005 5.59
CONDO - HIGH RISE 19 1,699,325 0.53
CONDO - LOW RISE 115 7,664,500 2.39
MANUFACTURED HOME 211 12,926,134 4.03
PUD 148 19,220,945 6.00
PUD - DEMINIMUS 1 104,963 0.03
SINGLE FAMILY ATTACHED 89 5,377,048 1.68
SINGLE FAMILY DETACHED 2,938 253,704,374 79.14
TOWNHOUSE 30 1,959,671 0.61
- --------------------------------------------------------------------------------
3,756 320,583,965 100.00
Occupancy
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
INVESTOR 351 21,177,225 6.61
PRIMARY 3,384 297,227,944 92.71
SECOND HOME 21 2,178,796 0.68
- --------------------------------------------------------------------------------
3,756 320,583,965 100.00
Lien Summary
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
1 3,664 316,865,705 98.84
2 92 3,718,260 1.16
- --------------------------------------------------------------------------------
3,756 320,583,965 100.00
- --------------------------------------------------------------------------------
20
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
Documentation Level
- -------------------------------------------------------------------------------
% By
Count Current Balance Balance
- -------------------------------------------------------------------------------
FULL 3,011 243,035,129 75.81
LIMITED 273 31,274,267 9.76
NO RATIO 20 1,225,469 0.38
STATED INCOME 452 45,049,100 14.05
- -------------------------------------------------------------------------------
3,756 320,583,965 100.00
Loan Purpose
- -------------------------------------------------------------------------------
% By
Count Current Balance Balance
- -------------------------------------------------------------------------------
PURCHASE 1,103 93,975,196 29.31
REFINANCE - NO CASH OUT 506 49,026,342 15.29
REFINANCE - CASH OUT 2,147 177,582,427 55.39
- -------------------------------------------------------------------------------
3,756 320,583,965 100.00
- --------------------------------------------------------------------------------
21
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
State
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
ALASKA 2 74,782 0.02
ARIZONA 83 6,110,458 1.91
ARKANSAS 12 791,336 0.25
CALIFORNIA 309 40,619,382 12.67
COLORADO 68 7,318,702 2.28
CONNECTICUT 46 3,765,764 1.17
DELAWARE 17 1,712,663 0.53
DISTRICT OF COLUMBIA 9 1,092,006 0.34
FLORIDA 283 23,882,116 7.45
GEORGIA 160 14,006,465 4.37
HAWAII 17 3,035,347 0.95
IDAHO 15 1,109,994 0.35
ILLINOIS 116 9,087,784 2.83
INDIANA 85 5,153,876 1.61
IOWA 62 3,952,525 1.23
KANSAS 81 6,864,440 2.14
KENTUCKY 34 2,230,346 0.70
LOUISIANA 109 7,595,185 2.37
MARYLAND 57 6,262,530 1.95
MASSACHUSETTS 24 2,667,565 0.83
MICHIGAN 163 11,803,656 3.68
MINNESOTA 93 8,512,155 2.66
MISSISSIPPI 42 2,774,843 0.87
MISSOURI 171 11,487,482 3.58
MONTANA 5 373,320 0.12
NEBRASKA 29 2,316,512 0.72
NEVADA 16 1,483,360 0.46
NEW JERSEY 64 7,821,581 2.44
NEW MEXICO 43 3,691,314 1.15
NEW YORK 57 7,386,192 2.30
NORTH CAROLINA 141 10,494,273 3.27
NORTH DAKOTA 2 80,782 0.03
OHIO 173 11,377,006 3.55
OKLAHOMA 77 5,729,379 1.79
OREGON 81 8,377,476 2.61
PENNSYLVANIA 187 12,607,173 3.93
RHODE ISLAND 9 1,061,041 0.33
- --------------------------------------------------------------------------------
22
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
SOUTH CAROLINA 42 3,465,238 1.08
SOUTH DAKOTA 2 76,879 0.02
TENNESSEE 149 11,202,376 3.49
TEXAS 298 20,487,020 6.39
UTAH 32 3,119,849 0.97
VERMONT 1 67,931 0.02
VIRGINIA 148 14,639,900 4.57
WASHINGTON 76 8,402,627 2.62
WEST VIRGINIA 29 1,590,783 0.50
WISCONSIN 33 2,531,768 0.79
WYOMING 4 288,785 0.09
- --------------------------------------------------------------------------------
3,756 320,583,965 100.00
Grade
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
A+ 173 15,664,130 4.89
A 822 82,027,260 25.59
A- 1,580 140,943,456 43.96
B 643 47,444,468 14.80
C 464 29,224,857 9.12
D 74 5,279,794 1.65
- --------------------------------------------------------------------------------
3,756 320,583,965 100.00
Amortization Type (Balloon vs Non)
- --------------------------------------------------------------------------------
Count Current Balance % By
Balance
- --------------------------------------------------------------------------------
PARTIALLY AMORTIZING (Y) 1,889 169,495,143 52.87
FULLY AMORTIZING (N) 1,867 151,088,822 47.13
- --------------------------------------------------------------------------------
3,756 320,583,965 100.00
- --------------------------------------------------------------------------------
23
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
Arms Pool (Group II Mortgage Loans)
- -------------------------------------------------------------------------------
Current Rate
- -------------------------------------------------------------------------------
% By
Count Current Balance Balance
- -------------------------------------------------------------------------------
5.750 - 5.999 1 233,102 0.10
6.750 - 6.999 1 146,114 0.06
7.000 - 7.249 4 313,433 0.13
7.250 - 7.499 2 278,674 0.12
7.500 - 7.749 5 712,154 0.31
7.750 - 7.999 16 2,057,795 0.89
8.000 - 8.249 13 2,078,563 0.89
8.250 - 8.499 31 4,728,771 2.03
8.500 - 8.749 53 7,751,616 3.34
8.750 - 8.999 141 21,016,161 9.04
9.000 - 9.249 83 10,418,265 4.48
9.250 - 9.499 141 17,269,407 7.43
9.500 - 9.749 189 23,452,716 10.09
9.750 - 9.999 321 42,805,914 18.42
10.000 - 10.249 105 10,300,310 4.43
10.250 - 10.499 175 19,553,554 8.41
10.500 - 10.749 189 20,271,103 8.72
10.750 - 10.999 200 22,505,165 9.68
11.000 - 11.249 66 4,936,950 2.12
11.250 - 11.499 72 6,548,426 2.82
11.500 - 11.749 68 5,281,867 2.27
11.750 - 11.999 46 3,788,080 1.63
12.000 - 12.249 23 2,170,228 0.93
12.250 - 12.499 13 815,561 0.35
12.500 - 12.749 21 1,338,655 0.58
12.750 - 12.999 5 436,295 0.19
13.000 - 13.249 2 83,933 0.04
13.250 - 13.499 6 443,725 0.19
13.500 - 13.749 2 211,769 0.09
13.750 - 13.999 2 261,004 0.11
14.000 - 14.249 1 38,889 0.02
14.500 - 14.749 1 139,658 0.06
- -------------------------------------------------------------------------------
1,998 232,387,856 100.00
- --------------------------------------------------------------------------------
24
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
Remaining Amort Term
- -------------------------------------------------------------------------------
% By
Count Current Balance Balance
- -------------------------------------------------------------------------------
176 - 180 4 196,213 0.08
229 - 240 1 66,121 0.03
337 - 348 15 1,599,360 0.69
349 - 360 1,978 230,526,161 99.20
- -------------------------------------------------------------------------------
1,998 232,387,856 100.00
Combined Loan To Value
- -------------------------------------------------------------------------------
% By
Count Current Balance Balance
- -------------------------------------------------------------------------------
10.01 - 15.00 1 34,975 0.02
15.01 - 20.00 1 54,970 0.02
20.01 - 25.00 4 241,402 0.10
25.01 - 30.00 3 384,671 0.17
30.01 - 35.00 10 392,833 0.17
35.01 - 40.00 11 850,027 0.37
40.01 - 45.00 7 418,647 0.18
45.01 - 50.00 25 2,568,918 1.11
50.01 - 55.00 23 2,532,987 1.09
55.01 - 60.00 50 4,269,043 1.84
60.01 - 65.00 133 13,342,701 5.74
65.01 - 70.00 182 20,703,140 8.91
70.01 - 75.00 292 33,404,424 14.37
75.01 - 80.00 573 71,270,597 30.67
80.01 - 85.00 302 32,815,855 14.12
85.01 - 90.00 376 48,556,861 20.89
90.01 - 95.00 5 545,805 0.23
- -------------------------------------------------------------------------------
1,998 232,387,856 100.00
- --------------------------------------------------------------------------------
25
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
Current Balance
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
15,000.01 - 25,000.00 18 394,801 0.17
25,000.01 - 50,000.00 264 10,525,559 4.53
50,000.01 - 75,000.00 475 29,767,998 12.81
75,000.01 - 100,000.00 348 30,430,862 13.09
100,000.01 - 150,000.00 473 57,704,509 24.83
150,000.01 - 200,000.00 196 33,927,795 14.60
200,000.01 - 250,000.00 94 20,968,635 9.02
250,000.01 - 300,000.00 41 11,330,392 4.88
300,000.01 - 350,000.00 30 9,691,995 4.17
350,000.01 - 400,000.00 19 7,108,036 3.06
400,000.01 - 450,000.00 16 6,867,238 2.96
450,000.01 - 500,000.00 9 4,289,093 1.85
550,000.01 - 600,000.00 6 3,422,482 1.47
600,000.01 - 650,000.00 5 3,163,119 1.36
650,000.01 - 700,000.00 2 1,327,383 0.57
700,000.01 - 750,000.00 2 1,467,959 0.63
- --------------------------------------------------------------------------------
1,998 232,387,856 100.00
Loan Type
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
1/1 CMT 22 3,089,010 1.33
2/28 Arm 1,179 132,628,687 57.07
3/12 Arm 4 196,213 0.08
3/17 Arm 1 66,121 0.03
3/27 Arm 771 94,206,769 40.54
6ML 21 2,201,056 0.95
- --------------------------------------------------------------------------------
1,998 232,387,856 100.00
- --------------------------------------------------------------------------------
26
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
Property Type
- ------------------------------------------------------------------------------
% By
Count Current Balance Balance
- ------------------------------------------------------------------------------
2-4 UNITS 102 9,715,241 4.18
CONDO - HIGH RISE 7 1,005,475 0.43
CONDO - LOW RISE 89 8,675,658 3.73
MANUFACTURED HOME 48 3,342,982 1.44
PUD 93 15,367,976 6.61
PUD - DEMINIMUS 2 479,578 0.21
SINGLE FAMILY ATTACHED 26 2,817,552 1.21
SINGLE FAMILY DETACHED 1,626 190,318,994 81.90
TOWNHOUSE 5 664,401 0.29
- ------------------------------------------------------------------------------
1,998 232,387,856 100.00
Occupancy
- ------------------------------------------------------------------------------
% By
Count Current Balance Balance
- ------------------------------------------------------------------------------
INVESTOR 131 10,190,222 4.39
PRIMARY 1,858 221,452,711 95.29
SECOND HOME 9 744,922 0.32
- ------------------------------------------------------------------------------
1,998 232,387,856 100.00
Lien Summary
- ------------------------------------------------------------------------------
% By
Count Current Balance Balance
- ------------------------------------------------------------------------------
1 1,998 232,387,856 100.00
- ------------------------------------------------------------------------------
1,998 232,387,856 100.00
- --------------------------------------------------------------------------------
27
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
Documentation Level
- ----------------------------------------------------------------------------
% By
Count Current Balance Balance
- ----------------------------------------------------------------------------
FULL 1,592 175,899,252 75.69
LIMITED 92 16,201,569 6.97
NO RATIO 4 369,016 0.16
STATED INCOME 310 39,918,019 17.18
- ----------------------------------------------------------------------------
1,998 232,387,856 100.00
Loan Purpose
- ----------------------------------------------------------------------------
% By
Count Current Balance Balance
- ----------------------------------------------------------------------------
PURCHASE 772 87,692,644 37.74
REFINANCE - NO CASH OUT 245 30,552,224 13.15
REFINANCE - CASH OUT 981 114,142,988 49.12
- ----------------------------------------------------------------------------
1,998 232,387,856 100.00
- --------------------------------------------------------------------------------
28
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
State
- ---------------------------------------------------------------------------
% By
Count Current Balance Balance
- ---------------------------------------------------------------------------
ALASKA 6 691,541 0.30
ARIZONA 61 6,271,284 2.70
ARKANSAS 6 253,742 0.11
CALIFORNIA 364 65,221,925 28.07
COLORADO 62 8,497,420 3.66
CONNECTICUT 28 2,854,885 1.23
DELAWARE 16 1,752,617 0.75
DISTRICT OF COLUMBIA 1 373,312 0.16
FLORIDA 75 7,125,371 3.07
GEORGIA 24 2,548,107 1.10
HAWAII 4 763,132 0.33
IDAHO 18 1,720,591 0.74
ILLINOIS 103 11,727,909 5.05
INDIANA 86 5,512,541 2.37
IOWA 17 1,263,484 0.54
KANSAS 18 1,768,399 0.76
KENTUCKY 17 1,917,548 0.83
LOUISIANA 17 1,623,442 0.70
MAINE 1 123,504 0.05
MARYLAND 24 5,618,161 2.42
MASSACHUSETTS 18 1,824,807 0.79
MICHIGAN 106 7,862,394 3.38
MINNESOTA 53 6,269,164 2.70
MISSISSIPPI 10 746,287 0.32
MISSOURI 54 3,947,954 1.70
MONTANA 3 278,160 0.12
NEBRASKA 4 286,987 0.12
NEVADA 35 4,037,117 1.74
NEW HAMPSHIRE 3 262,485 0.11
NEW JERSEY 24 3,296,001 1.42
NEW MEXICO 9 789,962 0.34
NEW YORK 8 1,089,382 0.47
NORTH CAROLINA 50 3,985,162 1.71
NORTH DAKOTA 1 29,493 0.01
OHIO 173 14,276,466 6.14
OKLAHOMA 23 1,585,512 0.68
OREGON 66 8,199,337 3.53
- --------------------------------------------------------------------------------
29
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
PENNSYLVANIA 54 5,020,800 2.16
RHODE ISLAND 1 193,354 0.08
SOUTH CAROLINA 15 1,341,446 0.58
TENNESSEE 17 1,555,601 0.67
TEXAS 85 8,512,506 3.66
UTAH 57 7,866,558 3.39
VIRGINIA 26 3,612,395 1.55
WASHINGTON 122 15,185,353 6.53
WEST VIRGINIA 6 483,808 0.21
WISCONSIN 25 1,675,449 0.72
WYOMING 2 545,001 0.23
- --------------------------------------------------------------------------------
1,998 232,387,856 100.00
Grade
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
A+ 1 203,847 0.09
A 20 4,155,468 1.79
A- 948 121,669,798 52.36
B 498 56,345,166 24.25
C 421 38,956,783 16.76
D 110 11,056,794 4.76
- --------------------------------------------------------------------------------
1,998 232,387,856 100.00
Gross Margin
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
2.000 - 2.999 1 203,847 0.09
3.000 - 3.999 3 248,811 0.11
4.000 - 4.999 62 9,839,602 4.23
5.000 - 5.999 411 54,597,314 23.49
6.000 - 6.999 1,033 115,119,120 49.54
7.000 - 7.999 423 46,302,351 19.92
8.000 - 8.999 59 5,631,241 2.42
9.000 - 9.999 5 379,739 0.16
11.000 - 11.999 1 65,832 0.03
- --------------------------------------------------------------------------------
1,998 232,387,856 100.00
- --------------------------------------------------------------------------------
30
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
Gross Life Cap
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
12.500 - 12.999 2 379,217 0.16
13.000 - 13.499 3 342,499 0.15
13.500 - 13.999 13 1,643,529 0.71
14.000 - 14.499 22 3,398,774 1.46
14.500 - 14.999 99 12,213,796 5.26
15.000 - 15.499 127 16,013,822 6.89
15.500 - 15.999 310 42,497,834 18.29
16.000 - 16.499 228 25,515,943 10.98
16.500 - 16.999 445 56,546,253 24.33
17.000 - 17.499 239 24,666,640 10.61
17.500 - 17.999 306 32,006,272 13.77
18.000 - 18.499 89 7,701,129 3.31
18.500 - 18.999 68 5,197,655 2.24
19.000 - 19.499 25 2,198,540 0.95
19.500 - 19.999 17 1,586,062 0.68
20.000 - 20.499 4 340,235 0.15
20.500 - 20.999 1 139,658 0.06
- --------------------------------------------------------------------------------
1,998 232,387,856 100.00
- --------------------------------------------------------------------------------
31
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
Gross Life Floor
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
3.500 - 3.999 1 114,393 0.05
4.500 - 4.999 2 778,101 0.33
5.000 - 5.499 1 69,238 0.03
5.500 - 5.999 7 1,495,691 0.64
6.000 - 6.499 13 1,506,435 0.65
6.500 - 6.999 12 1,051,611 0.45
7.000 - 7.499 13 1,841,969 0.79
7.500 - 7.999 23 3,298,294 1.42
8.000 - 8.499 43 6,088,706 2.62
8.500 - 8.999 191 28,281,001 12.17
9.000 - 9.499 219 26,612,008 11.45
9.500 - 9.999 499 64,219,483 27.63
10.000 - 10.499 275 29,480,069 12.69
10.500 - 10.999 377 41,610,179 17.91
11.000 - 11.499 135 11,211,369 4.82
11.500 - 11.999 114 9,069,947 3.90
12.000 - 12.499 36 2,985,790 1.28
12.500 - 12.999 25 1,593,389 0.69
13.000 - 13.499 7 467,753 0.20
13.500 - 13.999 4 472,773 0.20
14.500 - 14.999 1 139,658 0.06
- --------------------------------------------------------------------------------
1,998 232,387,856 100.00
Periodic Rate Cap
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
1.000 1,679 187,267,576 80.58
1.500 294 41,419,623 17.82
2.000 23 3,123,798 1.34
3.000 2 576,859 0.25
- --------------------------------------------------------------------------------
1,998 232,387,856 100.00
- --------------------------------------------------------------------------------
32
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
Next Roll Date
- --------------------------------------------------------------------------------
% By
Count Current Balance Balance
- --------------------------------------------------------------------------------
1999-09 1 65,832 0.03
1999-10 5 592,821 0.26
1999-11 7 608,413 0.26
1999-12 6 688,318 0.30
2000-01 3 350,654 0.15
2000-02 3 423,918 0.18
2000-04 7 945,251 0.41
2000-05 8 1,112,287 0.48
2000-06 9 944,795 0.41
2000-07 2 260,381 0.11
2000-08 3 380,732 0.16
2000-10 5 267,527 0.12
2000-11 10 1,426,781 0.61
2000-12 9 1,359,021 0.58
2001-01 11 1,620,054 0.70
2001-02 19 1,794,180 0.77
2001-03 51 6,571,342 2.83
2001-04 356 41,982,885 18.07
2001-05 328 36,835,428 15.85
2001-06 208 23,901,033 10.28
2001-07 159 14,242,849 6.13
2001-08 12 1,544,250 0.66
2001-11 1 66,052 0.03
2001-12 1 75,833 0.03
2002-01 5 234,132 0.10
2002-02 8 1,279,574 0.55
2002-03 32 4,449,842 1.91
2002-04 154 18,814,326 8.10
2002-05 157 19,335,053 8.32
2002-06 204 24,710,172 10.63
2002-07 163 19,210,860 8.27
2002-08 51 6,293,260 2.71
- --------------------------------------------------------------------------------
1,998 232,387,856 100.00
- --------------------------------------------------------------------------------
33
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-3
- --------------------------------------------------------------------------------
FOR ADDITIONAL INFORMATION PLEASE CALL:
Asset Backed Finance
- --------------------
Pete Cerwin (212) 449-3270
Ken Mulford (212) 449-0752
Peter Cai (212) 449-6384
ABS Trading/Syndicate
- ---------------------
Scott Soltas (212) 449-3659
Terrence Mack (212) 449-3659
Brian Kane (212) 449-3659
ABS Trading
- -----------
Vince Mora (212) 449-5320
Dan Pace (212) 449-5320
Asset Backed Research
- ---------------------
Chris Flanagan (212) 449-1655
Ralph DiSerio (212) 449-1629
Ryan Asato (212) 449-9622
- --------------------------------------------------------------------------------
34
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
<PAGE>
EXHIBIT 99.2
Banc of America Securities LLC
[BANK OF AMERICA LOGO APPEARS HERE]
- --------------------------------------------------------------------------------
RMBS New Issue Term Sheet
$850,000,000 Certificates (approximate)
Saxon Asset Securities Trust
Home Equity Loan Asset-Backed Certificates,
Series 1999-3
Classes AF-1, AF-2, AF-3, AF-4, AF-5, AF-6, MF-1, MF-2, BF-1, BF-1A, AV-1, AV-2,
MV-1, MV-2, BV-1 and BV-1A
Saxon Mortgage, Inc.
(Seller and Servicer)
[SAXON LOGO APPEARS HERE]
July 27, 1999
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.
<PAGE>
EXHIBIT 99.3
The information provided herein has been provided to Prudential Securities
Incorporated ("PSI") by Merrill Lynch & Co. as an underwriter for the Saxon
Asset Securities Trust 1999-3 transaction. The analyses in this report is
accurate to the best of PSI's knowledge and is based on information provided by
Saxon Mortgage, Inc. and Merrill Lynch & Co.. PSI makes no representations as to
the accuracy of such information provided to it, and PSI has not independently
verified such information. All assumptions and information in this report are as
of this date and are subject to change. All analyses are based on certain
assumptions noted herein and different assumptions could yield substantially
different results. You are cautioned that there is no universally accepted
method for analyzing financial instruments. You should review the assumptions;
here may be differences between these assumptions and your actual business
practices. Further, PSI does not guarantee any results and there is no guarantee
as to the liquidity of the instruments involved in this analysis. The decision
to adopt any strategy remains your responsibility. PSI (or any of its
affiliates) or their officers, directors, analysts or employees may have
positions in securities, commodities or derivative instruments thereon referred
to herein, and may, as principal or agent, buy or sell such securities,
commodities or derivative instruments. In addition, PSI may make a market in the
securities referred to herein. Neither the information nor the assumptions
reflected herein shall be construed to be, or constitute, an offer to sell or
buy or a solicitation of an offer to sell or buy any securities, commodities or
derivative instruments mentioned herein. No sale of any securities, commodities
or derivative instruments should be consummated without the purchaser first
having received a prospectus and, if required, prospectus supplement. Finally,
PSI has not addressed the legal, accounting and tax implications of the analysis
with respect to you, and PSI strongly urges you to seek advice from your
counsel, accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERM SHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERM SHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
EXHIBIT 99.4
The analysis above has been prepared solely for informational purposes and is
not 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.
Banc One Capital Markets, Inc. a BANK ONE Company (BOCM) and others associated
with it may have positions in, and may effect transactions in securities and
instruments of the issuer mentioned herein and may also perform or seek to
perform investment banking services for the issuer of such securities and
instruments. The information provided above is based on or derived from
information provided by the issuer. No representation is made that it is
accurate or complete. BOCM makes no representations that the above referenced
security will actually perform as described in any scenario presented.This
material supersedes any previously distributed material and will be superseded
by the information in the final prospectus supplement.
