Fitch Ratings has taken the following rating actions on Saxon Asset Securities Trust issues:
Series 1999-2 Group 1
--Class MF-2 affirmed at 'AA+';
--Class BF-1 affirmed at 'A+'.
Series 1999-3 Group 1
--Class MF-2 affirmed at 'AA+';
--Class BF-1 affirmed at 'A+';
--Class BF-1A affirmed at 'A'.
Series 1999-3 Group 2
--Class BV-1 affirmed at 'AA'.
Series 1999-5
--Class MF-1 upgraded to 'AA+' from 'AA';
--Class MF-2 affirmed at 'A';
--Class BF-1 remains at 'CCC/DR3'.
All of the mortgage loans in the aforementioned transactions were either originated or acquired by Saxon Mortgage, Inc. The mortgage loans consist of fixed-rate and adjustable-rate mortgages extended to subprime borrowers and are secured by first and second liens, primarily on one to four-family residential properties. As of the May 2007 distribution date, the transactions are seasoned from a range of 90 months (series 1999-5) to 96 months (series 1999-2 Group 1), and the pool factors (current mortgage loan principal outstanding as a percentage of the initial pool) range from approximately 3% (series 1999-3 Group 2) to 8% (series 1999-5).
The affirmations reflect a satisfactory relationship between credit enhancement (CE) and future loss expectations and affect approximately $62.5 million of outstanding certificates.
The upgrade reflects an improvement in the relationship between CE and future loss expectations and affects approximately $3.2 million of outstanding certificates. The CE for the MF-1 class has grown significantly since closing.
Headquartered in Glen Allen, VA, Saxon Mortgage, Inc. primarily originates and purchases single-family residential mortgage loans and home equity loans through retail, wholesale, and correspondent channels. Saxon Mortgage Services, Inc., rated 'RPS2+' for subprime products by Fitch, is the servicer for all of the mortgage loans in the transactions detailed above.
Fitch will continue to closely monitor these transactions. Further information regarding current delinquency, loss, and credit enhancement statistics is available on the Fitch Ratings website at www.fitchratings.com.
Fitch's Distressed Recovery (DR) ratings, introduced in April 2006 across all sectors of structured finance, are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. For more information on Distressed Recovery ratings, see the full report ('Structured Finance Distressed Recovery Ratings'), which is available on the Fitch Ratings web site at www.fitchratings.com.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.