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) December 20, 2000
Saxon Asset Securities Company
--------------------------------------------------
(Exact name of registrant as specified in charter)
Virginia 34-0-20552 54-1810895
---------------------------- ------------------------ -------------------
(State or other jurisdiction (Commission File Number) (IRS Employer
of incorporation) Identification No.)
4880 Cox Road, Glen Allen, Virginia 23060
---------------------------------------- ---------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (804) 967-7400
================================================================================
(Former name or former address, if changed since last report.)
<PAGE>
Item 1. Changes in Control of Registrant. Not Applicable.
Item 2. Acquisition or Disposition of Assets. Not Applicable.
Item 3. Bankruptcy or Receivership. Not Applicable.
Item 4. Changes in Registrant's Certifying Accountant. Not Applicable.
Item 5. Other Events.
On December 20, 2000, the Registrant caused the issuance and sale of
Mortgage Loan Asset Backed Certificates, Series 2000-4, pursuant to a Trust
Agreement dated as of December 1, 2000, among the Registrant, Saxon Mortgage,
Inc., as Master Servicer, and Bankers Trust Company, a New York corporation, as
Trustee, and incorporating by reference the February 2000 Edition of the
Standard Terms to Trust Agreement (the "Trust Agreement"). Capitalized terms
used and not defined herein shall have the meanings assigned to them in the
Trust Agreement.
Certificates were issued with original principal amounts and
pass-through rates set forth below:
DESIGNATION PASS-THROUGH RATE PRINCIPAL BALANCE
Class AF-1 Certificates 7.07%(1) $ 44,600,000
Class AF-2 Certificates 6.72%(1) $ 37,000,000
Class AF-3 Certificates 6.78%(1) $ 16,600,000
Class AF-4 Certificates 7.03%(1) $ 28,800,000
Class AF-5 Certificates 7.34%(1) $ 14,350,000
Class AF-6 Certificates 6.92%(1) $ 15,700,000
Class MF-1 Certificates 7.63%(1) $ 10,800,000
Class MF-2 Certificates 8.08%(1) $ 7,650,000
Class BF-1 Certificates 8.61%(1) $ 4,500,000
Class AV-1 Certificates Variable(2) $233,100,000
Class MV-1 Certificates Variable(2) $ 22,400,000
Class MV-2 Certificates Variable(2) $ 15,400,000
Class BV-1 Certificates Variable(2) $ 9,100,000
Class A-IO Certificates 6.75% (3)
Class PF-1 Certificates (4) $ 50
Class PV-1 Certificates (4) $ 50
Class C Certificates Variable (3)
Class R Certificates (4) (3)
(1) Subject to a cap equal to the Net Rate on the Fixed Rate Mortgage Loans
for the applicable Accrual Period.
(2) Subject to a cap equal to the Available Funds on the Adjustable Rate
Mortgage Loans for the applicable Accrual Period.
(3) The Class A-IO-I, Class C and Class R Certificates do not have
principal balances.
(4) The Class PF-1, Class PV-1 and Class R Certificates do not have an
interest rate.
2
<PAGE>
The Certificates represent undivided ownership interest in pools of
mortgage loans (the "Mortgage Loans") held by a trust (the "Trust") created
pursuant to the Trust Agreement . The Mortgage Loans were acquired by the
Registrant from Saxon Mortgage, Inc. ("SMI"), an affiliate of the Registrant
which originated or acquired the Mortgage Loans from various mortgage banking
institutions. The Mortgage Loans are secured by liens on single family
residential properties, including investment properties (which may be
condominiums, one family residences, one to four family residences or homes in
planned unit developments). The Mortgage Loans will be serviced by Meritech
Mortgage Services, Inc., an affiliate of the Registrant.
The 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 AV-1, Class MV-1, Class MV-2,
Class BV-1 and Class A-IO Certificates were purchased by Credit Suisse First
Boston Corporation, Banc of America Securities LLC, Chase Securities Inc. and
Greenwich Capital Markets, Inc. (the "Underwriters"), from the Seller pursuant
to an Underwriting Agreement dated December 15, 2000, and offered pursuant to
Registration Statement No. 333-35370 by the Underwriters from time to time in
negotiated transactions or otherwise, at varying prices to be determined at the
time of sale.
Elections will be made to treat certain assets of the Trust as real
estate mortgage investment conduits ("REMICs") for federal income tax purposes.
Each Class of Certificates listed above (other than the Class R Certificates)
will constitute "regular interests" in the Issuing REMIC.
The description of the Mortgage Loans sold to the Trustee pursuant to
the Trust Agreement as of the Closing Date begins on the following page. The
amounts contained in the following tables have been rounded to the nearest
dollar amount and percentage, as applicable.
3
<PAGE>
<TABLE>
<CAPTION>
GROUP I MORTGAGE LOANS GROUP II MORTGAGE LOANS
<S> <C> <S> <C>
Aggregate Scheduled Principal Aggregate Scheduled Principal
Balance $138,782,102.68 Balance $186,098,697.89
Average Scheduled Principal Average Scheduled Principal
Balance $82,608.39 Balance $123,735.84
Range of Scheduled Principal Range of Scheduled Principal
Balances $9,998.01 to $580,000.00 Balances $17,593.66 to $982,840.79
Range of Mortgage Interest Mortgage Interest Rates
Rates 6.475% to 16.280% Loan Type:
Weighted Average Mortgage 2/28 LIBOR 50.90%
Interest Rate 11.315% 3/27 LIBOR 48.91%
Weighted Average Original Loan- Weighted Average Gross Margin:
to-Value Ratio 73.77% 2/28 LIBOR 6.052%
Weighted Average Combined Current 3/27 LIBOR 6.146%
Loan-to-Value Ratio 76.57% Current Weighted Average Mortgage
Weighted Average Remaining Scheduled Interest Rate 10.822%
Term to Maturity 226 Months Range of Current Mortgage
Range of Remaining Scheduled Terms Interest Rate 8.000% to 14.900%
to Maturity 118 to 360 Months Weighted Average Maximum Lifetime
Weighted Average Remaining Mortgage Interest Rate 17.338%
Amortization Term 342 Months Range of Maximum Lifetime Mortgage
Range of Remaining Amortization Interest Rates 13.000% to 21.500%
Terms 118 to 360 Months
Second Liens 4.72% Weighted Average Lifetime Minimum
Balloon Mortgage Loans 64.77% Mortgage Interest Rate 10.729%
Mortgaged Premises Range of Minimum Lifetime Mortgage
Single-family detached dwellings 84.28% Interest Rates 0.990% to 14.900%
Single-family attached dwellings 0.91% Weighted Average Original Loan-
Planned unit developments 4.28% to-Value Ratio 78.30%
Condominiums 3.63% Weighted Average Remaining Scheduled
2-4 Family 3.89% Term to Maturity 359 Months
Townhouse 0.38% Range of Remaining Scheduled Terms
Manufactured Home 2.63% to Maturity 345 to 360 Months
Weighted Average Servicing Fee Rate 0.51% Weighted Average Remaining
Master Servicing Fee Rate 0.05% Amortization Term 358 Months
Range of Remaining Amortization
Terms 166 to 360 Months
Second Lien Mortgage Loans 0.00%
Mortgaged Premises
Single-family detached dwelling 78.19%
Single-family attached dwelling 1.43%
Planned unit developments 9.09%
Condominiums 4.67%
2-4 Family 5.29%
Townhouse 0.45%
Manufactured Home 0.88%
Weighted Average Servicing Fee Rate 0.50%
Master Servicing Fee Rate 0.05%
</TABLE>
4
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The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
<TABLE>
<CAPTION>
1) Current Scheduled Principal Balance
No. Of Scheduled No. Of Scheduled
Current Scheduled Fixed Mortgage Principal ARM Mortgage Principal
Principal Balance ($) Loans (%) Balance (%) Loans (%) Balance (%)
--------------------- -------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
9,998.01 - 25,000.00 6.55 1.67 1.13 .20
25,000.01 - 50,000.00 28.04 13.14 12.57 4.00
50,000.01 - 75,000.00 26.61 20.07 20.01 10.09
75,000.01 - 100,000.00 13.75 14.38 17.29 12.29
100,000.01 - 125,000.00 8.93 12.10 14.16 12.95
125,000.01 - 150,000.00 6.01 10.02 8.38 9.27
150,000.01 - 175,000.00 3.10 6.07 7.38 9.64
175,000.01 - 200,000.00 1.96 4.51 4.32 6.52
200,000.01 - 225,000.00 1.01 2.62 4.39 7.54
225,000.01 - 250,000.00 .89 2.60 2.46 4.72
250,000.01 - 275,000.00 .83 2.63 1.73 3.65
275,000.01 - 300,000.00 .48 1.66 2.19 5.12
300,000.01 - 325,000.00 .60 2.28 .66 1.67
325,000.01 - 350,000.00 .24 .97 .66 1.80
350,000.01 - 375,000.00 .18 .78 .47 1.37
375,000.01 - 400,000.00 .24 1.11 .47 1.47
400,000.01 - 425,000.00 .18 .90 .07 .22
425,000.01 - 450,000.00 .12 .62 .27 .96
450,000.01 - 475,000.00 .06 .34 .33 1.25
475,000.01 - 500,000.00 .06 .35 .20 .79
500,000.01 - 525,000.00 .06 .37 .07 .28
525,000.01 - 550,000.00 .00 .00 .13 .58
550,000.01 - 575,000.00 .06 .40 .13 .60
575,000.01 - 600,000.00 .06 .42 .07 .32
600,000.01 - 625,000.00 .00 .00 .13 .66
625,000.01 - 650,000.00 .00 .00 .13 .69
675,000.01 - 700,000.00 .00 .00 .07 .37
800,000.01 - 825,000.00 .00 .00 .07 .44
975,000.01 - 982,840.79 .00 .00 .07 .53
TOTAL 100.00 100.00 100.00 100.00
</TABLE>
The average scheduled principal balance is (a) $102,035.43 for the mortgage
loans, (b) $82,608.39 for group I and (c) $123,735.84 for group II. The minimum
and maximum scheduled principal balances of the mortgage loans are $9,998.01 and
$982,840.79, respectively.
5
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The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
<TABLE>
<CAPTION>
2) Current Mortgage Interest Rates
No. Of Scheduled No. Of Scheduled
Current Mortgage Fixed Mortgage Principal ARM Mortgage Principal
Interest Rate (%) Loans (%) Balance (%) Loans (%) Balance (%)
----------------- -------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
6.475 - 7.500 .12 .14 .00 .00
7.501 - 7.750 .06 .06 .00 .00
7.751 - 8.000 .30 .25 .07 .19
8.001 - 8.250 .12 .31 .20 .26
8.251 - 8.500 .36 .64 .13 .16
8.501 - 8.750 .89 .83 .40 .52
8.751 - 9.000 1.67 2.66 1.80 2.70
9.001 - 9.250 1.55 1.85 2.06 2.62
9.251 - 9.500 3.39 5.03 3.13 3.69
9.501 - 9.750 3.27 4.37 4.06 5.44
9.751 - 10.000 5.36 6.63 9.04 12.14
10.001 - 10.250 3.04 3.30 6.18 6.51
10.251 - 10.500 5.30 5.55 8.51 8.89
10.501 - 10.750 6.19 7.72 8.18 9.08
10.751 - 11.000 7.80 8.66 11.17 11.57
11.001 - 11.250 3.87 3.87 6.05 6.04
11.251 - 11.500 6.67 7.55 7.51 6.87
11.501 - 11.750 5.95 5.79 6.72 5.76
11.751 - 12.000 7.02 5.85 6.72 5.33
12.001 - 12.250 3.75 3.16 3.19 2.48
12.251 - 12.500 5.54 4.65 3.79 2.75
12.501 - 12.750 5.30 4.69 2.53 1.61
12.751 - 13.000 4.88 3.67 3.72 2.31
13.001 - 13.250 2.80 1.78 1.60 .92
13.251 - 13.500 3.45 2.92 .60 .30
13.501 - 13.750 2.92 1.98 .66 .41
13.751 - 14.000 2.26 1.68 1.13 1.03
14.001 - 14.250 1.79 1.15 .40 .22
14.251 - 14.500 1.61 1.10 .33 .11
14.501 - 14.750 1.13 .72 .00 .00
14.751 - 15.000 1.07 .77 .13 .11
15.001 - 15.250 .24 .16 .00 .00
15.251 - 15.500 .18 .14 .00 .00
15.751 - 16.000 .06 .04 .00 .00
16.001 - 16.280 .12 .33 .00 .00
TOTAL 100.00 100.00 100.00 100.00
</TABLE>
The weighted average current mortgage interest rate is (a) 11.033% per annum for
the mortgage loans, (b) 11.315% per annum for group I and (c) 10.822% per annum
for group II.
6
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The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
3) Current Combined Loan-to-Value Ratio on Group I (1)
No. Of Scheduled
Current Combined Mortgage Principal
Loan-to-Value Ratio (%) Loans (%) Balance (%)
----------------------- --------- -----------
10.36 - 20.00 .30 .20
20.01 - 25.00 .65 .74
25.01 - 30.00 .77 .37
30.01 - 35.00 1.07 .58
35.01 - 40.00 1.31 .68
40.01 - 45.00 1.55 1.04
45.01 - 50.00 3.15 2.39
50.01 - 55.00 2.68 1.96
55.01 - 60.00 4.40 3.07
60.01 - 65.00 6.43 5.84
65.01 - 70.00 9.23 9.07
70.01 - 75.00 10.30 10.70
75.01 - 80.00 24.11 27.41
80.01 - 85.00 14.70 15.34
85.01 - 90.00 15.42 18.21
90.01 - 95.00 1.43 1.22
95.01 - 100.00 2.50 1.16
TOTAL 100.00 100.00
(1) The current combined loan-to-value ratio of a mortgage loan (including a
second mortgage loan) is equal to the ratio (expressed as a percentage) of the
current scheduled principal balance of the mortgage loan plus any current senior
lien balances and the fair market value of the mortgage premises at the time of
origination. The fair market value is the lower of (i) the purchase price and
(ii) the appraised value in the case of purchases and is the appraised value in
all other cases. The weighted average combined current loan-to-value ratio is
76.57% for group I.
7
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The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
4) Original Loan-to-Value Ratio on Group II (1)
No. Of Scheduled
Original ARM Mortgage Principal
Loan-to-Value Ratio (%) Loans (%) Balance (%)
----------------------- ------------ -----------
4.34 - 20.00 .27 .09
20.01 - 25.00 .20 .10
25.01 - 30.00 .40 .12
30.01 - 35.00 .20 .09
35.01 - 40.00 .33 .21
40.01 - 45.00 .73 .54
45.01 - 50.00 1.00 1.21
50.01 - 55.00 1.46 .86
55.01 - 60.00 3.13 3.00
60.01 - 65.00 5.25 5.43
65.01 - 70.00 10.24 8.98
70.01 - 75.00 12.70 12.80
75.01 - 80.00 30.72 29.65
80.01 - 85.00 16.95 17.18
85.01 - 90.00 16.09 19.44
90.01 - 95.00 .33 .30
TOTAL 100.00 100.00
(1) The weighted average original loan-to-value ratio is 78.30% for group II.
<TABLE>
<CAPTION>
5) Remaining Scheduled Term to Maturity
No. Of Scheduled No. Of Scheduled
Remaining Term Fixed Mortgage Principal ARM Mortgage Principal
(Months) Loans (%) Balance (%) Loans (%) Balance (%)
-------------- -------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
118 - 120 1.43 .56 .00 .00
133 - 144 .12 .05 .00 .00
169 - 180 72.20 72.12 .00 .00
229 - 240 2.32 1.57 .00 .00
289 - 300 .36 .38 .00 .00
337 - 348 .06 .25 .07 .03
349 - 360 23.51 25.07 99.93 99.97
TOTAL 100.00 100.00 100.00 100.00
</TABLE>
The weighted average remaining schedule term to maturity is 226 months for group
I and 359 months for group II. Please note that the above calculation reflects
the number of remaining payments.
8
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The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
<TABLE>
<CAPTION>
6) Remaining Amortization Term
Remaining No. Of Scheduled No. Of Scheduled
Amortization Fixed Mortgage Principal ARM Mortgage Principal
Term(Months) Loans (%) Balance (%) Loans (%) Balance (%)
------------ -------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
118 - 120 1.43 .56 .00 .00
133 - 144 .12 .05 .00 .00
157 - 168 .00 .00 .07 .01
169 - 180 12.20 7.35 .07 .06
193 - 204 .00 .00 .13 .05
217 - 228 .00 .00 .07 .03
229 - 240 2.32 1.57 .07 .07
253 - 264 .06 .10 .00 .00
277 - 288 .00 .00 .07 .07
289 - 300 .42 .41 .00 .00
301 - 312 .12 .12 .00 .00
313 - 324 .18 .14 .07 .12
325 - 336 .36 .43 .13 .07
337 - 348 .36 .30 .40 .24
349 - 360 82.44 88.98 98.94 99.28
TOTAL 100.00 100.00 100.00 100.00
</TABLE>
The weighted average remaining amortization term is 342 months for group I and
358 months for group II. Please note that the above calculation reflects the
number of remaining payments.
9
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The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
7) Gross Margin on Group II
No. Of Scheduled
Mortgage Principal
Gross Margin (%) Loans (%) Balance (%)
---------------- --------- -----------
2.750 - 3.750 .27 .75
3.751 - 4.000 .27 .80
4.001 - 4.250 .86 1.55
4.251 - 4.500 1.93 2.64
4.501 - 4.750 2.59 3.48
4.751 - 5.000 4.79 6.37
5.001 - 5.250 7.25 7.14
5.251 - 5.500 8.18 8.28
5.501 - 5.750 7.18 7.36
5.751 - 6.000 9.84 9.82
6.001 - 6.250 9.44 8.34
6.251 - 6.500 10.04 10.69
6.501 - 6.750 8.58 8.22
6.751 - 7.000 9.24 9.25
7.001 - 7.250 5.98 5.46
7.251 - 7.500 4.45 3.55
7.501 - 7.750 2.39 2.11
7.751 - 8.000 2.79 1.73
8.001 - 8.250 1.33 1.04
8.251 - 8.500 1.26 .66
8.501 - 8.750 .93 .51
8.751 - 9.000 .20 .16
9.001 - 9.250 .13 .06
9.751 - 10.000 .07 .02
TOTAL 100.00 100.00
The weighted average gross margin is 6.092% for group II.
10
--------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
8) Maximum Lifetime Mortgage Interest Rates on Group II
Maximum Lifetime No. Of Scheduled
Mortgage Interest Mortgage Principal
Rates (%) Loans (%) Balance (%)
----------------- --------- -----------
13.000 - 13.250 .07 .19
13.751 - 14.000 .07 .09
14.001 - 14.250 .07 .11
14.251 - 14.500 .07 .05
14.501 - 14.750 .27 .29
14.751 - 15.000 1.00 1.63
15.001 - 15.250 1.26 1.70
15.251 - 15.500 2.39 2.79
15.501 - 15.750 2.53 2.98
15.751 - 16.000 6.05 7.12
16.001 - 16.250 4.52 4.73
16.251 - 16.500 5.39 5.69
16.501 - 16.750 5.65 6.45
16.751 - 17.000 9.11 10.77
17.001 - 17.250 5.45 5.35
17.251 - 17.500 7.25 7.09
17.501 - 17.750 6.91 7.55
17.751 - 18.000 9.38 9.49
18.001 - 18.250 5.19 4.99
18.251 - 18.500 6.05 5.39
18.501 - 18.750 4.45 3.64
18.751 - 19.000 4.99 3.49
19.001 - 19.250 2.33 1.72
19.251 - 19.500 2.53 1.77
19.501 - 19.750 2.13 1.43
19.751 - 20.000 2.26 1.44
20.001 - 20.250 1.06 .66
20.251 - 20.500 .20 .07
20.501 - 20.750 .27 .17
20.751 - 21.000 .73 .96
21.001 - 21.250 .13 .10
21.251 - 21.500 .27 .09
TOTAL 100.00 100.00
The weighted average maximum lifetime mortgage interest rate is 17.338% for
group II.
11
--------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
9) Minimum Lifetime Mortgage Interest Rates on Group II
Minimum Lifetime
Mortgage No. Of Scheduled
Interest Mortgage Principal
Rates (%) Loans (%) Balance (%)
---------------- --------- -----------
0.990 - 7.500 1.73 2.09
7.501 - 7.750 .20 .15
7.751 - 8.000 .33 .79
8.001 - 8.250 .60 .70
8.251 - 8.500 .20 .20
8.501 - 8.750 .53 .50
8.751 - 9.000 1.66 2.04
9.001 - 9.250 1.99 2.58
9.251 - 9.500 2.93 3.51
9.501 - 9.750 3.79 5.22
9.751 - 10.000 8.64 11.44
10.001 - 10.250 5.65 5.96
10.251 - 10.500 8.24 8.68
10.501 - 10.750 7.85 8.76
10.751 - 11.000 10.64 11.09
11.001 - 11.250 5.98 6.01
11.251 - 11.500 7.51 6.94
11.501 - 11.750 6.72 5.76
11.751 - 12.000 6.72 5.33
12.001 - 12.250 3.19 2.48
12.251 - 12.500 3.79 2.75
12.501 - 12.750 2.53 1.61
12.751 - 13.000 3.72 2.31
13.001 - 13.250 1.60 .92
13.251 - 13.500 .60 .30
13.501 - 13.750 .66 .41
13.751 - 14.000 1.13 1.03
14.001 - 14.250 .40 .22
14.251 - 14.500 .33 .11
14.751 - 14.900 .13 .11
TOTAL 100.00 100.00
The weighted average minimum lifetime mortgage interest rate is 10.729% for
group II. 99.12% of the group II mortgage loans have a minimum lifetime mortgage
interest rate greater than the applicable gross margin.
12
--------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
10) Next Interest Adjustment Dates on Group II
Interest No. Of Scheduled
Adjustment Mortgage Principal
Date Loans (%) Balance (%)
---------- --------- -----------
2001-Sep .07 .03
2002-Mar .13 .22
2002-May .13 .12
2002-Jun .13 .15
2002-Jul .47 .60
2002-Aug 1.93 2.12
2002-Sep 3.52 3.82
2002-Oct 11.44 12.59
2002-Nov 21.21 19.84
2002-Dec 11.84 10.96
2003-Jan .60 .53
2003-Mar .07 .06
2003-May .07 .12
2003-Jul .40 .42
2003-Aug 1.40 1.39
2003-Sep 4.79 5.43
2003-Oct 10.97 11.67
2003-Nov 22.41 22.83
2003-Dec 8.11 6.75
2004-Jan .27 .19
2005-Apr .07 .19
TOTAL 100.00 100.00
The weighted average next interest adjustment date is May 2003 for group II.
11) Occupancy Type of Mortgaged Premises
No. Of Scheduled No. Of Scheduled
Fixed Mortgage Principal ARM Mortgage Principal
Occupancy Type Loans (%) Balance (%) Loans (%) Balance (%)
-------------- -------------- ----------- ------------ -----------
Investor 6.37 4.50 7.25 4.51
Primary 93.04 95.09 92.42 95.29
Second Home .60 .41 .33 .20
TOTAL 100.00 100.00 100.00 100.00
(1) As represented by the borrowers on their mortgage loan applications.
12) Origination Program
No. Of Scheduled No. Of Scheduled
Fixed Mortgage Principal ARM Mortgage Principal
Origination Program Loans (%) Balance (%) Loans (%) Balance (%)
------------------- -------------- ----------- ------------ -----------
Full 83.93 79.96 76.40 75.42
Limited 3.99 6.98 5.19 5.83
No Ratio 1.49 .96 .07 .11
Stated Income 10.60 12.10 18.35 18.64
TOTAL 100.00 100.00 100.00 100.00
(1) See "The Mortgage Loan Pool - Underwriting Standards" on page S-26.
13
--------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
13) Mortgage Loan Purpose
No. Of Scheduled No. Of Scheduled
Fixed Mortgage Principal ARM Mortgage Principal
Loan Purpose Loans (%) Balance (%) Loans (%) Balance (%)
------------ -------------- ----------- ------------ -----------
Cash-out Refinance 69.94 67.13 52.46 51.53
Purchase 21.90 22.90 38.10 39.11
Refinance 8.15 9.97 9.44 9.36
TOTAL 100.00 100.00 100.00 100.00
<TABLE>
<CAPTION>
14) Property Type of Mortgaged Premises
No. Of Scheduled No. Of Scheduled
Fixed Mortgage Principal ARM Mortgage Principal
Property Type Loans (%) Balance (%) Loans (%) Balance (%)
------------- -------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
2-4 Family 3.75 3.89 6.32 5.29
High Rise Condominium .42 .58 .33 .21
Low Rise Condominium 3.27 3.05 5.05 4.46
Manufactured Housing 3.51 2.63 1.53 .88
Planned Unit Development 3.04 4.28 7.05 9.09
Single Family Attached 1.25 .91 1.13 1.43
Single Family Detached 84.46 84.28 78.19 78.19
Townhouse .30 .38 .40 .45
TOTAL 100.00 100.00 100.00 100.00
</TABLE>
15) Loan Types in Group II
No. Of Scheduled
Mortgage Principal
Loan Type Loans (%) Balance (%)
--------- --------- -----------
2/28 6 Mo LIBOR ARM 51.40 50.90
3/37 6 Mo LIBOR ARM 48.54 48.91
5 Year ARM .07 .19
TOTAL 100.00 100.00
14
--------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
16) Geographic Distribution of Mortgaged Premises
No. Of Scheduled No. Of Scheduled
Fixed Mortgage Principal ARM Mortgage Principal
State Loans (%) Balance (%) Loans (%) Balance (%)
----- -------------- ----------- ------------ -----------
Alaska .42 .49 .20 .24
Arizona 1.43 1.88 2.06 1.82
Arkansas 1.49 .83 .60 .36
California 8.93 13.47 22.07 32.85
Colorado 1.25 1.67 3.19 3.44
Connecticut 1.96 1.94 2.06 2.38
Delaware .71 1.01 .13 .07
Florida 6.31 5.76 4.39 3.71
Georgia 5.77 5.18 2.86 3.65
Hawaii .36 .43 .80 .73
Idaho .48 .56 .27 .23
Illinois 5.42 5.19 7.78 6.77
Indiana 4.58 3.46 3.66 1.85
Iowa 1.37 1.17 1.33 .72
Kansas 1.01 .69 1.00 .46
Kentucky 1.67 1.59 .86 .52
Louisiana 2.68 2.09 1.46 1.10
Maine .18 .13 .13 .05
Maryland 1.13 1.06 .27 .25
Massachusetts .48 .71 .60 1.05
Michigan 7.38 6.41 8.64 6.25
Minnesota 1.25 1.44 2.46 2.29
Mississippi 1.73 1.22 .27 .10
Missouri 2.08 1.59 2.39 1.39
Montana .12 .30 .00 .00
Nebraska .60 .46 .13 .11
Nevada .42 .52 1.40 1.43
New Hampshire .36 .52 .07 .04
New Jersey 2.68 3.82 1.33 1.55
New Mexico .48 .48 .27 .16
New York 1.73 2.53 .33 .64
North Carolina 2.68 2.34 1.13 .65
North Dakota .06 .03 .00 .00
Ohio 4.88 3.80 4.72 3.24
Oklahoma 2.20 1.44 1.13 .62
Oregon 1.25 1.97 1.80 1.92
Pennsylvania 4.23 3.70 3.13 2.53
Rhode Island .06 .09 .27 .69
South Carolina .65 .46 .80 .44
South Dakota .30 .19 .20 .11
Tennessee 3.39 2.33 1.46 1.23
Texas 6.43 6.13 4.52 4.00
Utah .48 .63 1.00 1.02
Virginia 3.21 2.93 1.46 1.68
Washington 2.20 3.86 3.26 4.10
Washington DC .18 .29 .00 .00
West Virginia .18 .10 .20 .08
Wisconsin 1.13 1.03 1.86 1.41
Wyoming .06 .06 .07 .08
TOTAL 100.00 100.00 100.00 100.00
15
--------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
17) Credit Score
No. Of Scheduled No. Of Scheduled
Fixed Mortgage Principal ARM Mortgage Principal
Range of Credit Scores Loans (%) Balance (%) Loans (%) Balance (%)
---------------------- -------------- ----------- ------------ -----------
<= 400 2.98 2.35 1.40 .83
400 - 450 .12 .07 .00 .00
451 - 500 7.56 7.53 5.98 4.87
501 - 550 27.62 27.56 36.30 35.06
551 - 600 26.19 28.11 32.11 33.76
601 - 650 21.43 20.93 17.35 17.99
651 - 700 10.30 9.02 5.12 5.52
701 - 750 2.62 3.28 1.20 1.19
751 - 800 1.01 1.04 .53 .79
> 800 .18 .11 .00 .00
TOTAL 100.00 100.00 100.00 100.00
(1) Credit score is a tri-merged score. A tri-merged score is based on the
number of scores available from the three national repositories and determined
as follows: If three scores exist for a borrower then credit score will equal
the middle score. If two scores exist then the credit score will equal the lower
of the two scores. If only one score exists the credit score will equal that
score. The weighted average credit score is equal to approximately 576.
<TABLE>
<CAPTION>
18) Prepayment Penalty Type
No. Of Scheduled No. Of Scheduled
Fixed Mortgage Principal ARM Mortgage Principal
Prepayment Penalty Type Loans (%) Balance (%) Loans (%) Balance (%)
----------------------- -------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
1 Year - 5% of prepayment amount .12 .26 .00 .00
1 Year - 6 months advance interest .95 1.38 1.33 2.23
1.5 Year - 6 months advance interest .00 .00 .07 .18
2 Year - 6 months advance interest 1.49 1.38 23.94 24.85
3 Year - 3 months advance interest .06 .34 .40 .80
3 Year - 6 months advance interest 15.83 18.22 40.82 41.64
4 Year - 6 months advance interest .24 .18 .13 .28
5 Year - 6 months advance interest 50.65 52.68 12.97 11.22
6 Month - 6 months advance interest .06 .03 .00 .00
No Prepayment Penalty 23.93 19.75 11.90 11.75
Miscellaneous Prepayment Penalty 6.67 5.79 8.44 7.06
TOTAL 100.00 100.00 100.00 100.00
</TABLE>
16
--------------------------------------------------------------------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE | FIRST BOSTON
<PAGE>
Item 6. Resignations of Registrant's Directors. Not Applicable.
Item 7. Financial Statements and Exhibits
(a) Financial statements of businesses acquired. Not Applicable.
(b) Pro forma financial information. Not Applicable.
(c) Exhibits
Exhibit 1. Underwriting Agreement dated December 15, 2000, among
Saxon Asset Securities Company, Saxon Mortgage Inc., Credit Suisse First Boston
Corporation, Banc of America Securities LLC, Chase Securities Inc., and
Greenwich Capital Markets, Inc.
Exhibit 2 Trust Agreement dated December 1, 2000, among Saxon
Asset Securities Company, Saxon Mortgage, Inc., as Master Servicer, and Bankers
Trust Company, a New York corporation, as Trustee.
Item 8. Change in Fiscal Year. Not Applicable.
Item 9. Sales of Equity Securities Pursuant to Regulation S. Not Applicable.
17
<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
January 4, 2001
18
<PAGE>
INDEX TO EXHIBITS
1 Underwriting Agreement dated December 15, 2000, among Saxon Asset
Securities Company, Saxon Mortgage Inc., Credit Suisse First Boston
Corporation, Banc of America Securities LLC, Chase Securities, Inc. and
Greenwich Capital Markets, Inc.
2 Trust Agreement dated December 15, 2000, among Saxon Asset Securities
Company, Saxon Mortgage, Inc., as Master Servicer, and Bankers Trust
Company, a New York corporation, as Trustee.
19
