<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) May 7, 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 April 30, 1999, the Registrant entered into an underwriting
agreement with Merrill Lynch, Pierce, Fenner & Smith Incorporated,
NationsBanc Montgomery Securities LLC, Prudential Securities
Incorporated and Chase Securities 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 1999-2, 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 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 May 7, 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,
NationsBanc Montgomery Securities LLC, Prudential Securities
Incorporated and Chase Securities 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 NationsBanc
Montgomery 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 Chase
Securities Inc.
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, VP
--------------------------------
Bradley D. Adams, Vice President
May 7, 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 NationsBanc
Montgomery 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 Chase Securities
Inc.
<PAGE>
EXHIBIT 99.1
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[LOGO OF MERRILL LYNCH APPEARS HERE]
COMPUTATIONAL MATERIALS FOR
SAXON ASSET SECURITIES TRUST, SERIES 1999-2
- --------------------------------------------------------------------------------
Computational Materials
$474,099,600
SAXON ASSET SECURITIES TRUST 1999-2
[LOGO OF SAXON APPEARS HERE]
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-2
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
$474,099,600
Saxon Asset Securities Trust 1999-2
Transaction Highlights
----------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
Class(1) Class Size Tranche Type / Expected Ratings Average Life Payment
($millions) Collateral Group (Moody's / Fitch) (years) (2) Window(3)
======================================================================================================================
<S> <C> <C> <C> <C> <C>
AF-1 80.000 Floater Sequential / FRM Aaa / AAA 0.92 / 0.92 20 (06/99 to 01/01)
AF-2 33.000 Fixed Sequential / FRM Aaa / AAA 2.04 / 2.04 10 (01/01 to 10/01)
AF-3 36.000 Fixed Sequential / FRM Aaa / AAA 3.05 / 3.05 19 (10/01 to 04/03)
AF-4 27.000 Fixed Sequential / FRM Aaa / AAA 5.12 / 5.12 36 (04/03 to 03/06)
AF-5 16.713 Fixed Sequential / FRM Aaa / AAA 7.19 / 11.27 5 (03/06 to 07/06)
AF-6 21.413 Fixed NAS / FRM Aaa / AAA 6.18 / 6.65 49 (07/02 to 07/06)
MF-1 12.449 Fixed Mezzanine / FRM Aa2 / AA 5.29 / 6.16 50 (06/02 to 07/06)
MF-2 9.337 Fixed Mezzanine / FRM A2 / A 5.28 / 6.16 50 (06/02 to 07/06)
BF-1 8.092 Fixed Subordinate / FRM Baa2 / BBB 5.28 / 6.16 50 (06/02 to 07/06)
BF-1A 4.980 Fixed Subordinate / FRM Baa2 / BBB(4) 0.79 / 0.79 19 (06/99 to 12/00)
AV-1 177.841 Senior Floater / ARM Aaa / AAA 2.33 / 2.43 86 (06/99 to 07/06)
MV-1 16.884 Floater Mezzanine / ARM Aa2 / AA 4.65 / 4.91 46 (10/02 to 07/06)
MV-2 14.070 Floater Mezzanine / ARM A2 / A 4.52 / 4.78 48 (08/02 to 07/06)
BV-1 9.567 Floater Subordinate / Baa2 / BBB 4.46 / 4.72 50 (06/02 to 07/06)
BV-1A 6.754 ARM Baa2 / BBB(4) 0.90 / 0.90 20 (06/99 to 01/01)
Fixed Subordinate / ARM
- ----------------------------------------------------------------------------------------------------------------------
Total $474.100 -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------
</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, 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 approval from Fitch IBCA.
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); Prudential
Securities, NationsBanc Montgomery
Securities LLC and Chase Securities
Inc (Co-Managers).
Collateral: Fixed and floating-rate conventional
home equity loans secured by first and
second lien 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: May 11, 1999, through DTC, Euroclear and CEDEL.
Distribution Dates: The 25th of each month, beginning June, 1999
- --------------------------------------------------------------------------------
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 1999-2
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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 current certificate rate.
Clean-up Call: 10% of original aggregate mortgage loan principal
balance
Coupon Step Up: After the Clean-up Date and should the 10% Clean-
up Call not be exercised, the coupon on Class AF-5
will increase by 50 basis points. In addition, the
spread to LIBOR on Class AV-1 will double, and the
spread to LIBOR on Classes MV and BV-1 will
increase by 50%.
Tax Status: REMIC
ERISA Eligibility: The senior certificates are ERISA eligible; All
other Certificate Classes are NOT ERISA eligible.
SMMEA Eligibility: Only the Class AV-1 and MV-1 certificates are
SMMEA eligible.
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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 1999-2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Initial Class Size: Group I Certificates Group II Certificates
------------------------------------------ ---------------------
<S> <C> <C>
Class AF-1 through Class AF-6 [86.00%] Class AV-1 [79.00%]
Class MF-1 [5.00%] Class MV-1 [7.50%]
Class MF-2 [3.75%] Class MV-2 [6.25%]
Class BF-1 [3.25%] Class BV-1 [4.25%]
Class BF-1A [2.00%] Class BV-1A [3.00%]
</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.
- --------------------------------------------------------------------------------
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]
Computational Materials for
Saxon Asset Securities Trust 1999-2
- --------------------------------------------------------------------------------
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.
Principal Cashflow Collections of Principal BEFORE the Stepdown Date, or if a
Priority: 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:
June 1999 - May 2002 0%
June 2002 - May 2004 45%
June 2004 - May 2005 80%
June 2005 - May 2006 100%
June 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 the Class AV-1 Certificates until its balance 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:
<TABLE>
<CAPTION>
Approximate Approximate Targeted
Targeted % of Pool Credit Enhancement
<S> <C> <C>
Class AF-1 through AF-6 [72.0%] [28.0%]
Class MF-1 [10.0%] [18.0%]
Class MF-2 [7.5%] [10.5%]
Class BF-1 [6.5%] [4.0%]
Class BF-1A [4.0%] [0.0%]
</TABLE>
Group II Cashflows:
Pay Class AV-1, 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-1 [58.0%] [42.0%]
Class MV-1 [15.0%] [27.0%]
Class MV-2 [12.5%] [14.5%]
Class BV-1 [8.5%] [6.0%]
Class BV-1A [6.0%] [0.0%]
- --------------------------------------------------------------------------------
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]
Computational Materials for
Saxon Asset Securities Trust 1999-2
- --------------------------------------------------------------------------------
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 Interest
Funds with respect to a Group, if any, to the payment of
additional principal to the Class B-1A Certificates
relating to such Group.
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 [72.0%] 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
[58.0%] 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.
- --------------------------------------------------------------------------------
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.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-2
- --------------------------------------------------------------------------------
Saxon Mortgage 1999-2 Collateral Description
Fixed Pool (Group I Mortgage Loans)
- --------------------------------------------------------------------------------
Pool Cut Off Date 05/01/1999
Loan Count: 2,815
Total Current Balance: 248,983,838.67
Avg. Current Balance: 88,448.97
Min Current Balance: 5,698.40
Max Current Balance: 499,719.70
Total Original Balance: 249,450,515.00
Avg. Original Balance: 88,614.75
Min Original Balance: 7,065.00
Max Original Balance: 500,000.00
Wtd Avg. Rate 9.978
Min Rate 6.875
Max Rate 16.000
Wtd Avg. Original Amort Term 342.56
Min Original Amort Term 60
Max Original Amort Term 360
Wtd Avg. Rem Amort Term 340.02
Min Rem Amort Term 40
Max Rem Amort Term 359
Wtd Avg. Seasoning 2.55
Min Seasoning 1
Max Seasoning 23
Wtd Avg. LTV 76.31
Min LTV 6.71
Max LTV 95.00
Wtd Avg. CLTV 77.55
Min CLTV 8.70
Max CLTV 100.00
% Second Liens 2.15
% Balloon Loans 49.99
Wtd Avg FICO Score 604.36 (for FICO greater than 0)
Min FICO Score 410 (for FICO greater than 0)
Max FICO Score 810 (for FICO greater than 0)
Wtd Avg DTI 35.79 (for DTI greater than 0)
Min DTI 0.53 (for DTI greater than 0)
Max DTI 110.95 (for DTI greater than 0)
Mortgage Premises
- -----------------
SFR - Detached 78.13
SFR - Attached 2.81
Planned Unit Develop. 5.79
- --------------------------------------------------------------------------------
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.
<PAGE>
[LOGO OF MERRILL LYNCH APPEARS HERE]
Computational Materials for
Saxon Asset Securities Trust 1999-2
- --------------------------------------------------------------------------------
Condominiums 3.34
2-4 Family 6.14
TownHouse 0.61
Manufactured Home 3.18
Min Maturity Date 08/11/2002
Max Maturity Date 04/01/2029
Max Zip Code Concentration 0.45% (Zip Code: 76092)
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Current Rate
- ------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- ------------------------------------------------------------------------------
6.88 - 7.00 1 0.04 75,503.89 0.03
7.01 - 7.50 11 0.39 1,373,729.64 0.55
7.51 - 7.75 31 1.10 4,111,152.18 1.65
7.76 - 8.00 50 1.78 5,489,903.19 2.20
8.01 - 8.25 65 2.31 8,022,096.31 3.22
8.26 - 8.50 153 5.44 17,789,754.32 7.14
8.51 - 8.75 178 6.32 20,592,912.33 8.27
8.76 - 9.00 220 7.82 23,200,483.40 9.32
9.01 - 9.25 139 4.94 14,074,983.47 5.65
9.26 - 9.50 164 5.83 15,408,188.69 6.19
9.51 - 9.75 133 4.72 11,026,562.66 4.43
9.76 - 10.00 222 7.89 19,882,876.13 7.99
10.01 - 10.25 121 4.30 10,099,286.14 4.06
10.26 - 10.50 178 6.32 15,440,718.40 6.20
10.51 - 10.75 152 5.40 12,069,681.58 4.85
10.76 - 11.00 211 7.50 17,366,953.81 6.98
11.01 - 11.25 123 4.37 9,275,241.92 3.73
11.26 - 11.50 152 5.40 11,311,835.13 4.54
11.51 - 11.75 106 3.77 7,725,663.92 3.10
11.76 - 12.00 109 3.87 7,418,605.63 2.98
12.01 - 12.25 55 1.95 3,406,758.91 1.37
12.26 - 12.50 68 2.42 4,292,726.31 1.72
12.51 - 12.75 27 0.96 1,698,616.05 0.68
12.76 - 13.00 59 2.10 3,436,143.59 1.38
13.01 - 13.25 19 0.67 929,111.23 0.37
13.26 - 13.50 21 0.75 1,034,667.14 0.42
13.51 - 13.75 15 0.53 966,001.84 0.39
13.76 - 14.00 18 0.64 809,303.16 0.33
14.01 - 14.25 4 0.14 157,893.27 0.06
14.26 - 14.50 3 0.11 111,279.97 0.04
14.51 - 14.75 2 0.07 79,871.90 0.03
14.76 - 15.00 3 0.11 117,547.77 0.05
15.76 - 16.00 2 0.07 187,784.79 0.08
- ------------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
- ------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Remaining Amort Term
- -----------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -----------------------------------------------------------------------------
40 - 48 1 0.04 5,698.40 0.00
49 - 60 1 0.04 22,895.42 0.01
109 - 120 28 0.99 1,298,728.13 0.52
133 - 144 6 0.21 528,678.05 0.21
157 - 168 1 0.04 84,098.86 0.03
169 - 180 345 12.26 19,531,435.31 7.84
229 - 240 47 1.67 2,975,671.25 1.20
277 - 288 1 0.04 27,333.13 0.01
289 - 300 3 0.11 273,542.62 0.11
337 - 348 14 0.50 1,069,835.02 0.43
349 - 359 2,368 84.12 223,165,922.48 89.63
- -----------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
Combined Loan To Value
- -----------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -----------------------------------------------------------------------------
8.700 - 10.000 1 0.04 49,816.91 0.02
15.001 - 20.000 4 0.14 145,556.76 0.06
20.001 - 25.000 4 0.14 403,515.65 0.16
25.001 - 30.000 4 0.14 154,415.09 0.06
30.001 - 35.000 17 0.60 999,639.26 0.40
35.001 - 40.000 20 0.71 876,902.71 0.35
40.001 - 45.000 36 1.28 2,071,943.65 0.83
45.001 - 50.000 61 2.17 3,620,634.31 1.45
50.001 - 55.000 55 1.95 3,574,630.90 1.44
55.001 - 60.000 99 3.52 7,100,703.43 2.85
60.001 - 65.000 144 5.12 11,025,303.54 4.43
65.001 - 70.000 271 9.63 23,175,644.66 9.31
70.001 - 75.000 429 15.24 37,632,786.20 15.11
75.001 - 80.000 820 29.13 81,203,181.90 32.61
80.001 - 85.000 309 10.98 27,144,749.91 10.90
85.001 - 90.000 459 16.31 41,338,094.86 16.60
90.001 - 95.000 72 2.56 8,231,531.94 3.31
95.001 - 100.000 10 0.36 234,786.99 0.09
- -----------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
- ------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Current Balance
- --------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- --------------------------------------------------------------------------------
5,698.40 - 25,000.00 116 4.12 2,372,112.68 0.95
25,000.01 - 50,000.00 679 24.12 26,564,177.32 10.67
50,000.01 - 75,000.00 732 26.00 45,721,883.84 18.36
75,000.01 - 100,000.00 482 17.12 41,854,257.36 16.81
100,000.01 - 150,000.00 461 16.38 55,677,920.87 22.36
150,000.01 - 200,000.00 189 6.71 32,938,964.33 13.23
200,000.01 - 250,000.00 81 2.88 17,972,025.89 7.22
250,000.01 - 300,000.00 32 1.14 8,800,202.53 3.53
300,000.01 - 350,000.00 13 0.46 4,291,550.58 1.72
350,000.01 - 400,000.00 10 0.36 3,695,967.40 1.48
400,000.01 - 450,000.00 10 0.36 4,245,957.16 1.71
450,000.01 - 499,719.70 10 0.36 4,848,818.71 1.95
- --------------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
Loan Type
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
10YR FIX 28 0.99 1,298,728.13 0.52
12YR FIX 6 0.21 528,678.05 0.21
15/30 BAL 1,279 45.44 124,455,567.36 49.99
15YR FIX 346 12.29 19,615,534.17 7.88
20YR FIX 47 1.67 2,975,671.25 1.20
25YR FIX 4 0.14 300,875.75 0.12
30YR FIX 1,103 39.18 99,780,190.14 40.07
5YR FIX 2 0.07 28,593.82 0.01
- -------------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Property Type
- ------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- ------------------------------------------------------------------------------
2-4 UNITS 160 5.68 15,282,881.04 6.14
CONDO - HIGH RISE 14 0.50 1,305,657.00 0.52
CONDO - LOW RISE 90 3.20 7,007,946.71 2.81
MANUFACTURED HOME 130 4.62 7,930,030.50 3.18
PUD 106 3.77 14,345,638.85 5.76
PUD - DEMINIMUS 1 0.04 70,151.06 0.03
SINGLE FAMILY ATTACHED 98 3.48 6,999,903.65 2.81
SINGLE FAMILY DETACHED 2,194 77.94 194,525,451.93 78.13
TOWNHOUSE 22 0.78 1,516,177.93 0.61
- ------------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
Occupancy
- ------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- ------------------------------------------------------------------------------
INVESTOR 313 11.12 19,171,161.41 7.70
PRIMARY 2,473 87.85 227,062,858.36 91.20
SECOND HOME 29 1.03 2,749,818.90 1.10
- ------------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
Lien Summary
- ------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- ------------------------------------------------------------------------------
1 2,697 95.81 243,629,378.29 97.85
2 118 4.19 5,354,460.38 2.15
- ------------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Documentation Level
- ----------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- ----------------------------------------------------------------------------
FULL 2,219 78.83 182,439,378.62 73.27
LIMITED 191 6.79 23,705,203.57 9.52
NO RATIO 26 0.92 1,484,034.44 0.60
STATED INCOME 379 13.46 41,355,222.04 16.61
- ----------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
Loan Purpose
- ----------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- ----------------------------------------------------------------------------
PURCHASE 750 26.64 66,234,225.01 26.60
REFINANCE 389 13.82 40,307,140.00 16.19
REFINANCE - CASH OUT 1,676 59.54 142,442,473.66 57.21
- ----------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
State
- ---------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- ---------------------------------------------------------------------------
ALASKA 2 0.07 177,315.83 0.07
ARIZONA 70 2.49 5,341,355.01 2.15
ARKANSAS 9 0.32 620,733.38 0.25
CALIFORNIA 231 8.21 29,695,595.97 11.93
COLORADO 61 2.17 7,152,808.40 2.87
CONNECTICUT 41 1.46 3,928,721.16 1.58
DELAWARE 15 0.53 1,031,866.07 0.41
DISTRICT OF COLUMBIA 8 0.28 653,089.60 0.26
FLORIDA 246 8.74 19,828,944.11 7.96
GEORGIA 98 3.48 8,461,941.84 3.40
HAWAII 17 0.60 2,993,412.90 1.20
IDAHO 18 0.64 1,115,879.57 0.45
ILLINOIS 75 2.66 6,875,132.28 2.76
INDIANA 60 2.13 3,625,047.25 1.46
IOWA 30 1.07 2,252,431.04 0.90
KANSAS 11 0.39 775,275.48 0.31
KENTUCKY 13 0.46 836,309.84 0.34
LOUISIANA 84 2.98 5,143,322.62 2.07
MAINE 1 0.04 61,329.69 0.02
MARYLAND 35 1.24 4,139,255.29 1.66
MASSACHUSETTS 27 0.96 3,306,995.34 1.33
MICHIGAN 115 4.09 8,566,944.79 3.44
MINNESOTA 62 2.20 5,748,574.86 2.31
MISSISSIPPI 30 1.07 1,780,699.63 0.72
MISSOURI 107 3.80 7,408,666.68 2.98
MONTANA 6 0.21 563,569.32 0.23
NEBRASKA 24 0.85 2,039,982.28 0.82
NEVADA 8 0.28 967,518.56 0.39
NEW HAMPSHIRE 8 0.28 1,307,962.99 0.53
NEW JERSEY 81 2.88 10,131,810.78 4.07
NEW MEXICO 31 1.10 2,897,578.92 1.16
NEW YORK 58 2.06 6,556,758.54 2.63
NORTH CAROLINA 113 4.01 8,485,668.31 3.41
NORTH DAKOTA 2 0.07 100,640.29 0.04
OHIO 150 5.33 10,668,345.23 4.28
OKLAHOMA 39 1.39 3,162,118.47 1.27
OREGON 89 3.16 10,085,678.96 4.05
PENNSYLVANIA 144 5.12 10,377,000.27 4.17
RHODE ISLAND 5 0.18 342,337.70 0.14
SOUTH CAROLINA 39 1.39 2,981,807.56 1.20
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
SOUTH DAKOTA 4 0.14 180,014.80 0.07
TENNESSEE 107 3.80 6,946,607.38 2.79
TEXAS 201 7.14 15,555,463.74 6.25
UTAH 36 1.28 4,600,147.94 1.85
VERMONT 1 0.04 21,741.80 0.01
VIRGINIA 89 3.16 8,616,854.13 3.46
WASHINGTON 75 2.66 8,163,360.77 3.28
WEST VIRGINIA 16 0.57 934,465.19 0.38
WISCONSIN 22 0.78 1,741,937.70 0.70
WYOMING 1 0.04 32,818.41 0.01
- ---------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
Grade
- ---------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- ---------------------------------------------------------------------------
A+ 188 6.68 17,334,677.19 6.96
A 795 28.24 80,322,698.48 32.26
A- 1,001 35.56 91,215,484.43 36.64
B 434 15.42 32,246,909.96 12.95
C 340 12.08 23,657,844.85 9.50
D 57 2.02 4,206,223.76 1.69
- ---------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
Amortization Type (Balloon vs Non)
- --------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- --------------------------------------------------------------------------
FULLY AMORTIZING 1,536 54.56 124,528,271.31 50.01
PARTIALLY AMORTIZING 1,279 45.44 124,455,567.36 49.99
- --------------------------------------------------------------------------
2,815 100.00 248,983,838.67 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Arms Pool (Group II Mortgage Loans)
- --------------------------------------------------------------------------------
Pool Cut Off Date 05/01/1999
Loan Count: 1,912
Total Current Balance: 225,115,835.21
Avg. Current Balance: 117,738.41
Min Current Balance: 17,511.45
Max Current Balance: 997,414.54
Total Original Balance: 22,578,226.75
Avg. Original Balance: 117,980.24
Min Original Balance: 17,550.00
Max Original Balance: 1,000,000.00
Wtd Avg. Rate
- -------------
Wtd Avg. by Loan Type
One Year CMT 9.435
1/29 LIBOR 10.437
2/28 LIBOR 9.932
3/27 LIBOR 10.154
5/25 LIBOR 7.981
Six Month LIBOR 9.021
Wtd Avg. Gross Margin
- ---------------------
Wtd Avg. by Loan Type
One Year CMT 6.097
1/29 LIBOR 7.218
2/28 LIBOR 6.267
3/27 LIBOR 6.422
5/25 LIBOR 6.066
Six Month LIBOR 5.843
Wtd Avg. Rate 9.874
Min Rate 6.625
Max Rate 14.990
Wtd Avg. Margin 6.257
Min Margin 3.000
Max Margin 9.650
Wtd Avg. Lifecap 16.434
Min Lifecap 12.625
Max Lifecap 21.850
Wtd Avg. Lifefloor 9.709
Min Lifefloor 4.500
Max Lifefloor 14.990
Wtd Avg Initial Rate Cap 2.313
Min Initial Rate Cap 1.000
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Max Initial Rate Cap 3.000
Wtd Avg Periodic Rate Cap 1.182
Min Periodic Rate Cap 1.000
Max Periodic Rate Cap 3.000
Wtd Avg Months to Roll 20.64
Min Months to Roll 1
Max Months to Roll 49
Wtd Avg Interest Rate Freq 6.40
Min Interest Rate Freq 6
Max Interest Rate Freq 12
Wtd Avg. Original Amort Term 359.79
Min Original Amort Term 180
Max Original Amort Term 360
Wtd Avg. Rem Amort Term 355.94
Min Rem Amort Term 176
Max Rem Amort Term 359
Wtd Avg. Seasoning 3.85
Min Seasoning 1
Max Seasoning 29
Wtd Avg. LTV 77.30
Min LTV 13.47
Max LTV 100.61
Wtd Avg. CLTV 77.31
Min CLTV 15.37
Max CLTV 100.61
% Second Liens 0.02
Wtd Avg FICO Score 580.90 (for FICO greater than 0)
Min FICO Score 421 (for FICO greater than 0)
Max FICO Score 794 (for FICO greater than 0)
Wtd Avg DTI 40.14 (for DTI greater than 0)
Min DTI 1.00 (for DTI greater than 0)
Max DTI 74.19 (for DTI greater than 0)
Mortgage Premises
- -----------------
SFR - Detached 81.32
SFR - Attached 2.06
Planned Unit Develop. 6.38
Condominiums 4.43
2-4 Family 4.27
Townhouse 0.31
Manufactured Home 1.24
Min Maturity Date 01/01/2014
Max Maturity Date 04/01/2029
Max Zip Code Concentration 0.70% (Zip Code: 92679)
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Current Rate
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
6.51 - 7.00 1 0.05 395,971.65 0.18
7.01 - 7.50 16 0.84 2,367,477.39 1.05
7.51 - 7.75 9 0.47 1,358,525.47 0.60
7.76 - 8.00 32 1.67 5,245,014.62 2.33
8.01 - 8.25 39 2.04 6,030,783.60 2.68
8.26 - 8.50 62 3.24 8,547,905.98 3.80
8.51 - 8.75 73 3.82 10,737,144.25 4.77
8.76 - 9.00 133 6.96 17,178,605.15 7.63
9.01 - 9.25 112 5.86 15,276,689.18 6.79
9.26 - 9.50 162 8.47 19,842,558.43 8.81
9.51 - 9.75 169 8.84 21,240,162.85 9.44
9.76 - 10.00 214 11.19 27,371,832.37 12.16
10.01 - 10.25 153 8.00 16,866,232.70 7.49
10.26 - 10.50 168 8.79 19,785,431.08 8.79
10.51 - 10.75 138 7.22 13,172,724.15 5.85
10.76 - 11.00 132 6.90 14,902,755.01 6.62
11.01 - 11.25 61 3.19 5,549,666.98 2.47
11.26 - 11.50 73 3.82 5,915,069.03 2.63
11.51 - 11.75 42 2.20 3,208,943.52 1.43
11.76 - 12.00 40 2.09 3,662,921.93 1.63
12.01 - 12.25 16 0.84 1,059,982.79 0.47
12.26 - 12.50 15 0.78 1,337,181.10 0.59
12.51 - 12.75 13 0.68 987,573.24 0.44
12.76 - 13.00 11 0.58 1,086,846.21 0.48
13.01 - 13.25 6 0.31 506,923.49 0.23
13.26 - 13.50 8 0.42 570,586.17 0.25
13.51 - 13.75 3 0.16 121,909.03 0.05
13.76 - 14.00 6 0.31 523,880.63 0.23
14.01 - 14.25 2 0.10 86,343.30 0.04
14.76 - 15.00 3 0.16 178,193.91 0.08
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Remaining Amort Term
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
169 - 180 2 0.10 158,799.67 0.07
229 - 240 3 0.16 159,783.19 0.07
325 - 336 2 0.10 275,956.22 0.12
337 - 348 16 0.84 2,645,553.10 1.18
349 - 360 1,889 98.80 221,875,743.03 98.56
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
Combined Loan To Value
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
15.001 - 20.000 3 0.16 94,219.83 0.04
25.001 - 30.000 1 0.05 29,916.62 0.01
30.001 - 35.000 11 0.58 640,805.67 0.28
35.001 - 40.000 13 0.68 686,998.39 0.31
40.001 - 45.000 10 0.52 703,950.42 0.31
45.001 - 50.000 25 1.31 3,009,710.91 1.34
50.001 - 55.000 35 1.83 4,204,982.91 1.87
55.001 - 60.000 71 3.71 7,872,789.99 3.50
60.001 - 65.000 143 7.48 15,246,303.96 6.77
65.001 - 70.000 194 10.15 19,407,539.07 8.62
70.001 - 75.000 267 13.96 33,414,153.86 14.84
75.001 - 80.000 568 29.71 70,057,999.78 31.12
80.001 - 85.000 234 12.24 27,562,414.62 12.24
85.001 - 90.000 329 17.21 41,254,565.67 18.33
90.001 - 95.000 7 0.37 855,098.85 0.38
100.001 - 100.610 1 0.05 74,384.66 0.03
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Current Balance
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
15,000.01 - 25,000.00 13 0.68 289,285.52 0.13
25,000.01 - 50,000.00 270 14.12 10,900,793.24 4.84
50,000.01 - 75,000.00 391 20.45 24,472,382.19 10.87
75,000.01 - 100,000.00 342 17.89 29,803,998.16 13.24
100,000.01 - 150,000.00 474 24.79 58,084,761.99 25.80
150,000.01 - 200,000.00 207 10.83 35,519,099.61 15.78
200,000.01 - 250,000.00 102 5.33 22,752,337.69 10.11
250,000.01 - 300,000.00 43 2.25 11,844,898.07 5.26
300,000.01 - 350,000.00 22 1.15 7,106,532.19 3.16
350,000.01 - 400,000.00 14 0.73 5,271,000.99 2.34
400,000.01 - 450,000.00 11 0.58 4,661,527.63 2.07
450,000.01 - 500,000.00 4 0.21 1,912,247.01 0.85
500,000.01 - 550,000.00 5 0.26 2,643,963.49 1.17
550,000.01 - 600,000.00 5 0.26 2,903,875.69 1.29
650,000.01 - 700,000.00 4 0.21 2,746,471.55 1.22
700,000.01 - 750,000.00 2 0.10 1,433,399.15 0.64
750,000.01 - 1,000,000.00 3 0.16 2,769,261.04 1.23
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
Loan Type
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
1/1 CMT 115 6.01 15,140,993.38 6.73
1/29 LIBOR ARM 3 0.16 345,110.32 0.15
2/28 LIBOR ARM 1,385 72.44 156,214,544.01 69.39
3/27 LIBOR ARM 299 15.64 38,699,532.58 17.19
5/25 LIBOR ARM 6 0.31 781,465.79 0.35
6ML 104 5.44 13,934,189.13 6.19
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Property Type
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
2-4 UNITS 84 4.39 9,602,699.79 4.27
CONDO - HIGH RISE 8 0.42 580,607.88 0.26
CONDO - LOW RISE 85 4.45 9,381,290.56 4.17
MANUFACTURED HOME 39 2.04 2,789,438.40 1.24
PUD 83 4.34 13,492,892.38 5.99
PUD - DEMINIMUS 4 0.21 878,841.36 0.39
SINGLE FAMILY ATTACHED 36 1.88 4,629,211.43 2.06
SINGLE FAMILY DETACHED 1,563 81.75 183,056,466.62 81.32
TOWNHOUSE 10 0.52 704,386.79 0.31
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
Occupancy
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
INVESTOR 122 6.38 10,028,574.06 4.45
PRIMARY 1,783 93.25 214,399,036.63 95.24
SECOND HOME 7 0.37 688,224.52 0.31
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
Lien Summary
- -----------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -----------------------------------------------------------------------------
1 1,911 99.95 225,065,992.83 99.98
2 1 0.05 49,842.38 0.02
- -----------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Documentation Level
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
FULL 1,443 75.47 160,615,297.57 71.35
LIMITED 112 5.86 18,792,916.76 8.35
NO RATIO 4 0.21 453,857.26 0.20
STATED INCOME 353 18.46 45,253,763.62 20.10
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
Loan Purpose
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
PURCHASE 670 35.04 72,173,718.31 32.06
REFINANCE 237 12.40 29,760,932.35 13.22
REFINANCE - CASH OUT 1,005 52.56 123,181,184.55 54.72
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
State
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
ALASKA 3 0.16 481,668.28 0.21
ARIZONA 54 2.82 5,026,499.32 2.23
ARKANSAS 6 0.31 392,582.98 0.17
CALIFORNIA 336 17.57 60,004,446.95 26.65
COLORADO 59 3.09 7,873,563.50 3.50
CONNECTICUT 37 1.94 4,170,863.42 1.85
DELAWARE 8 0.42 773,810.71 0.34
DISTRICT OF COLUMBIA 3 0.16 918,443.12 0.41
FLORIDA 60 3.14 5,844,935.43 2.60
GEORGIA 31 1.62 3,145,884.96 1.40
HAWAII 1 0.05 223,027.69 0.10
IDAHO 11 0.58 897,461.90 0.40
ILLINOIS 133 6.96 15,159,336.16 6.73
INDIANA 49 2.56 3,411,048.85 1.52
IOWA 10 0.52 568,427.87 0.25
KANSAS 16 0.84 1,133,143.50 0.50
KENTUCKY 19 0.99 2,156,383.58 0.96
LOUISIANA 14 0.73 1,381,302.56 0.61
MAINE 2 0.10 134,599.07 0.06
MARYLAND 26 1.36 3,741,741.41 1.66
MASSACHUSETTS 45 2.35 5,522,477.92 2.45
MICHIGAN 100 5.23 9,377,774.82 4.17
MINNESOTA 51 2.67 4,440,426.76 1.97
MISSISSIPPI 16 0.84 1,402,152.28 0.62
MISSOURI 60 3.14 3,785,272.78 1.68
MONTANA 4 0.21 226,484.06 0.10
NEBRASKA 2 0.10 143,165.20 0.06
NEVADA 28 1.46 3,596,026.23 1.60
NEW HAMPSHIRE 4 0.21 256,781.94 0.11
NEW JERSEY 17 0.89 3,122,645.29 1.39
NEW MEXICO 10 0.52 958,621.32 0.43
NEW YORK 15 0.78 2,128,902.72 0.95
NORTH CAROLINA 57 2.98 4,740,534.62 2.11
OHIO 136 7.11 12,609,483.72 5.60
OKLAHOMA 14 0.73 1,118,805.46 0.50
OREGON 61 3.19 7,208,578.18 3.20
PENNSYLVANIA 57 2.98 5,521,097.21 2.45
RHODE ISLAND 6 0.31 631,074.14 0.28
SOUTH CAROLINA 15 0.78 1,250,851.83 0.56
SOUTH DAKOTA 2 0.10 128,549.45 0.06
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
TENNESSEE 18 0.94 1,783,707.19 0.79
TEXAS 81 4.24 8,400,991.97 3.73
UTAH 58 3.03 6,380,841.35 2.83
VIRGINIA 20 1.05 3,520,720.28 1.56
WASHINGTON 119 6.22 16,271,027.68 7.23
WEST VIRGINIA 3 0.16 166,798.94 0.07
WISCONSIN 34 1.78 2,905,307.59 1.29
WYOMING 1 0.05 77,563.02 0.03
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
Grade
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
A+ 2 0.10 114,517.47 0.05
A 48 2.51 7,210,115.52 3.20
A- 862 45.08 115,176,419.72 51.16
B 446 23.33 47,761,074.51 21.22
C 429 22.44 43,626,724.14 19.38
D 125 6.54 11,226,983.85 4.99
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
Gross Margin
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
3.000 - 3.999 4 0.21 1,090,001.56 0.48
4.000 - 4.999 76 3.97 11,370,784.90 5.05
5.000 - 5.999 423 22.12 56,789,725.81 25.23
6.000 - 6.999 1,006 52.62 115,084,274.74 51.12
7.000 - 7.999 348 18.20 35,994,295.07 15.99
8.000 - 8.999 51 2.67 4,476,465.51 1.99
9.000 - 9.999 4 0.21 310,287.62 0.14
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Gross Life Cap
- -------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- -------------------------------------------------------------------------------
12.500 - 12.999 1 0.05 395,971.65 0.18
13.000 - 13.499 9 0.47 1,262,380.60 0.56
13.500 - 13.999 22 1.15 3,715,170.29 1.65
14.000 - 14.499 44 2.30 6,340,389.69 2.82
14.500 - 14.999 114 5.96 16,793,131.30 7.46
15.000 - 15.499 143 7.48 17,597,275.50 7.82
15.500 - 15.999 303 15.85 37,854,596.26 16.82
16.000 - 16.499 251 13.13 29,316,989.54 13.02
16.500 - 16.999 353 18.46 43,141,575.95 19.16
17.000 - 17.499 222 11.61 23,495,227.03 10.44
17.500 - 17.999 235 12.29 26,129,616.77 11.61
18.000 - 18.499 94 4.92 8,661,936.28 3.85
18.500 - 18.999 73 3.82 6,163,296.72 2.74
19.000 - 19.499 18 0.94 1,995,138.22 0.89
19.500 - 19.999 13 0.68 1,065,283.55 0.47
20.000 - 20.499 6 0.31 566,379.31 0.25
20.500 - 20.999 7 0.37 413,840.97 0.18
21.000 - 21.499 3 0.16 169,690.98 0.08
21.500 - 21.999 1 0.05 37,944.60 0.02
- -------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Gross Life Floor
- --------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- --------------------------------------------------------------------------------
4.500 - 4.999 4 0.21 422,347.15 0.19
5.000 - 5.499 14 0.73 1,484,092.88 0.66
5.500 - 5.999 21 1.10 2,466,974.57 1.10
6.000 - 6.499 15 0.78 1,527,933.53 0.68
6.500 - 6.999 15 0.78 2,001,721.43 0.89
7.000 - 7.499 25 1.31 3,041,509.62 1.35
7.500 - 7.999 48 2.51 7,285,684.05 3.24
8.000 - 8.499 79 4.13 10,982,749.72 4.88
8.500 - 8.999 205 10.72 28,839,421.17 12.81
9.000 - 9.499 212 11.09 26,816,735.92 11.91
9.500 - 9.999 397 20.76 50,588,154.09 22.47
10.000 - 10.499 265 13.86 28,811,946.27 12.80
10.500 - 10.999 298 15.59 33,635,203.96 14.94
11.000 - 11.499 138 7.22 12,853,103.24 5.71
11.500 - 11.999 90 4.71 7,138,286.29 3.17
12.000 - 12.499 27 1.41 2,459,794.47 1.09
12.500 - 12.999 30 1.57 2,622,444.34 1.16
13.000 - 13.499 12 0.63 984,179.08 0.44
13.500 - 13.999 9 0.47 632,663.39 0.28
14.000 - 14.499 5 0.26 342,696.13 0.15
14.500 - 14.999 3 0.16 178,193.91 0.08
- --------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
Periodic Rate Cap
- --------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- --------------------------------------------------------------------------------
1.000 1,397 73.06 158,997,361.92 70.63
1.500 397 20.76 50,615,416.96 22.48
2.000 117 6.12 15,418,135.96 6.85
3.000 1 0.05 84,920.37 0.04
- --------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
Next Roll Date
- --------------------------------------------------------------------------------
% By
% By Current
Count Count Current Balance Balance
- --------------------------------------------------------------------------------
1999-06 11 0.58 1,859,864.32 0.83
1999-07 12 0.63 2,090,665.74 0.93
1999-08 21 1.10 2,346,113.94 1.04
1999-09 23 1.20 2,643,069.52 1.17
1999-10 26 1.36 3,958,724.10 1.76
1999-11 14 0.73 1,322,427.57 0.59
1999-12 14 0.73 2,081,495.89 0.92
2000-01 4 0.21 273,239.46 0.12
2000-02 27 1.41 3,639,039.63 1.62
2000-03 55 2.88 7,778,820.25 3.46
2000-04 25 1.31 2,590,625.24 1.15
2000-05 3 0.16 331,682.05 0.15
2000-06 26 1.36 3,306,883.37 1.47
2000-07 12 0.63 1,540,189.90 0.68
2000-08 19 0.99 1,792,539.76 0.80
2000-09 46 2.41 4,401,873.94 1.96
2000-10 92 4.81 11,768,570.88 5.23
2000-11 93 4.86 9,900,723.12 4.40
2000-12 90 4.71 10,536,408.27 4.68
2001-01 174 9.10 19,954,963.26 8.86
2001-02 332 17.36 37,470,373.39 16.64
2001-03 325 17.00 37,026,194.41 16.45
2001-04 163 8.53 17,020,348.83 7.56
2001-06 3 0.16 223,709.68 0.10
2001-08 3 0.16 476,301.16 0.21
2001-09 4 0.21 570,729.28 0.25
2001-10 10 0.52 1,840,870.63 0.82
2001-11 11 0.58 926,544.42 0.41
2001-12 12 0.63 2,332,246.42 1.04
2002-01 40 2.09 5,734,630.51 2.55
2002-02 134 7.01 16,147,038.20 7.17
2002-03 60 3.14 7,884,361.90 3.50
2002-04 22 1.15 2,563,100.38 1.14
2003-06 6 0.31 781,465.79 0.35
- --------------------------------------------------------------------------------
1,912 100.00 225,115,835.21 100.00
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
% of Pricing Prepayment Assumptions
To Call 0% 75% 90% 100% 125% 150% 175%
AF-1 WAL 10.943 1.156 1.002 0.923 0.781 0.682 0.613
Begin 1 1 1 1 1 1 1
End 178 25 22 20 16 14 12
AF-2 WAL 14.872 2.666 2.249 2.038 1.653 1.395 1.206
Begin 178 25 22 20 16 14 12
End 178 38 32 29 23 19 16
AF-3 WAL 16.337 4.196 3.441 3.050 2.359 1.961 1.676
Begin 178 38 32 29 23 19 16
End 254 66 53 47 33 27 23
AF-4 WAL 24.561 7.713 5.951 5.121 3.688 2.642 2.235
Begin 254 66 53 47 33 27 23
End 327 116 96 82 58 36 30
AF-5 WAL 28.172 9.706 8.039 7.191 5.481 4.203 2.756
Begin 327 116 96 82 58 36 30
End 340 116 96 86 67 55 36
AF-6 WAL 12.529 6.930 6.500 6.179 5.282 4.565 3.779
Begin 37 37 37 38 42 46 36
End 178 116 96 86 67 55 46
MF-1 WAL 20.859 7.037 5.861 5.290 4.382 3.997 3.850
Begin 178 43 37 37 39 41 44
End 340 116 96 86 67 55 46
MF-2 WAL 20.859 7.037 5.861 5.282 4.328 3.847 3.634
Begin 178 43 37 37 38 39 40
End 340 116 96 86 67 55 46
BF-1 WAL 20.859 7.037 5.861 5.282 4.299 3.770 3.475
Begin 178 43 37 37 37 37 38
End 340 116 96 86 67 55 46
BF-1A WAL 0.729 0.771 0.783 0.791 0.815 0.845 0.883
Begin 1 1 1 1 1 1 1
End 16 18 18 19 20 21 24
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
AV-1 WAL 20.417 3.102 2.602 2.331 1.762 1.411 1.248
Begin 1 1 1 1 1 1 1
End 340 116 96 86 67 33 28
MV-1 WAL 26.916 5.738 4.942 4.648 4.604 4.384 3.668
Begin 286 37 40 41 46 33 28
End 340 116 96 86 67 55 46
MV-2 WAL 26.916 5.733 4.883 4.519 4.046 3.661 3.071
Begin 286 37 38 39 40 38 32
End 340 116 96 86 67 55 46
BV-1 WAL 26.916 5.733 4.858 4.460 3.860 3.387 2.858
Begin 286 37 37 37 38 35 30
End 340 116 96 86 67 55 46
BV-1A WAL 0.833 0.880 0.892 0.901 0.926 0.959 1.002
Begin 1 1 1 1 1 1 1
End 18 19 20 20 22 23 25
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
% of Pricing Prepayment Assumptions
To Maturity 0% 75% 90% 100% 125% 150% 175%
<S> <C> <C> <C> <C> <C> <C> <C>
AF-1 WAL 10.943 1.156 1.002 0.923 0.781 0.682 0.613
Begin 1 1 1 1 1 1 1
End 178 25 22 20 16 14 12
AF-2 WAL 14.872 2.666 2.249 2.038 1.653 1.395 1.206
Begin 178 25 22 20 16 14 12
End 178 38 32 29 23 19 16
AF-3 WAL 16.337 4.196 3.441 3.050 2.359 1.961 1.676
Begin 178 38 32 29 23 19 16
End 254 66 53 47 33 27 23
AF-4 WAL 24.561 7.859 6.011 5.121 3.688 2.642 2.235
Begin 254 66 53 47 33 27 23
End 327 134 108 82 58 36 30
AF-5 WAL 28.628 14.479 12.563 11.272 7.914 4.856 2.756
Begin 327 134 108 82 58 36 30
End 357 357 357 357 357 357 36
AF-6 WAL 12.529 7.066 6.785 6.654 6.484 6.571 5.796
Begin 37 37 37 38 42 46 36
End 178 178 178 178 178 178 357
MF-1 WAL 20.944 8.003 6.790 6.164 5.123 4.598 4.459
Begin 178 43 37 37 39 41 44
End 357 357 357 357 357 357 357
MF-2 WAL 20.944 8.003 6.790 6.156 5.069 4.448 4.131
Begin 178 43 37 37 38 39 40
End 357 357 357 357 357 357 357
BF-1 WAL 20.944 8.003 6.790 6.156 5.040 4.371 3.972
Begin 178 43 37 37 37 37 38
End 357 357 357 357 357 357 357
BF-1A WAL 0.729 0.771 0.783 0.791 0.815 0.845 0.883
Begin 1 1 1 1 1 1 1
End 16 18 18 19 20 21 24
</TABLE>
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
AV-1 WAL 20.495 3.235 2.711 2.427 1.834 1.411 1.248
Begin 1 1 1 1 1 1 1
End 359 359 359 359 359 33 28
MV-1 WAL 27.127 6.101 5.239 4.908 4.800 5.086 4.197
Begin 286 37 40 41 46 33 28
End 359 359 359 359 359 335 277
MV-2 WAL 27.127 6.097 5.180 4.779 4.243 3.806 3.179
Begin 286 37 38 39 40 38 32
End 359 359 359 359 357 313 256
BV-1 WAL 27.127 6.097 5.155 4.720 4.056 3.531 2.967
Begin 286 37 37 37 38 35 30
End 359 359 359 359 357 308 252
BV-1A WAL 0.833 0.880 0.892 0.901 0.926 0.959 1.002
Begin 1 1 1 1 1 1 1
End 18 19 20 20 22 23 25
- --------------------------------------------------------------------------------
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 1999-2
- --------------------------------------------------------------------------------
FOR ADDITIONAL INFORMATION PLEASE CALL:
Asset Backed Securities Group
- -----------------------------
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 Flanigan (212) 449-1655
Ralph Diserio (212) 449-1629
Ryan Asato (212) 449-9622
- --------------------------------------------------------------------------------
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>
EXHIBIT 99.2
- --------------------------------------------------------------------------------
[LOGO OF BANK OF AMERICA COMPUTATIONAL MATERIALS FOR
APPEARS HERE] SAXON ASSET SECURITIES TRUST, SERIES 1999-2
- --------------------------------------------------------------------------------
-----------------------------------
NationsBanc Montgomery Securities
-----------------------------------
NationsBanc Montgomery Securities LLC
Computational Materials
$474,099,600
SAXON ASSET SECURITIES TRUST 1999-2
[LOGO OF SAXON APPEARS HERE]
<PAGE>
Computational Materials for
Saxon Asset Securities Trust 1999-2
- --------------------------------------------------------------------------------
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
NationsBanc Montgomery Securities LLC
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This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery 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 1999-2 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 TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
EXHIBIT 99.4
Saxon Asset Securities Trust
Mortgage Loan Asset-Backed Certificates, Series 1999-2
$474,099,600 (Approximate)
Subject to Revision
April 29, 1999 - Preliminary Marketing Materials
The information contained herein does not constitute either an offer to sell or
a solicitation of an offer to buy any of the securities referred to herein.
Information contained herein is confidential and provided for information only,
does not purport to be complete and should not be relied upon in connection with
any decision to purchase the securities. This information supersedes any prior
version hereof and will be deemed to be superseded by any subsequent versions
including, with respect to any description of the securities or the underlying
assets, the information contained in the final Prospectus and accompanying
Prospectus Supplement. Offers to sell and solicitations of offers to buy the
securities are made only by the final Prospectus Supplement and the related
Prospectus.
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