UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8-K

CURRENT REPORT

PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES ~~AND~~ EXCHANGE ACT OF 1934

Date of Report (Date of earliest event reported)

June 728, 2006

SAXON ASSET SECURITIES COMPANY (as Depositor under the Trust Agreement, dated as of May 1, 2006 and the Pooling and Servicing Agreement, dated as of May 1, 2006, providing for the issuance of Mortgage Loan Asset Backed Certificates, Series 2006-2)

Saxon Asset Securities Company

(Exact Name of Registrant as Specified in its Charter)

Virginia

333-131712

54-1810895

(State or Other Jurisdiction

Of Incorporation)

(Commission

File Number)

(I.R.S. Employer

Identification No.)

4860 Cox Road

Glen Allen, Virginia

23060

(Address of Principal

Executive Offices)

(Zip Code)

Registrant’s telephone number, including area code: (804) 967-7400

~~No Change~~ None

(Former Name or Former Address, if Changed Since Last Report)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

[ ] Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

[ ] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

[ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

[ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Item 8.01. Other Events

The Registrant registered issuances of Mortgage Loan Asset Backed Certificates, Series 2006-2 on a delayed or continuous basis pursuant to Rule 415 under the Securities Act of 1933, as amended (the “Act”), by Registration Statement on Form S-3 (Registration File No. 333-131712) (the “Registration Statement”). Pursuant to the Registration Statement, the Registrant issued $984,500,000 in aggregate principal amount of Class A-1, Class A-2, Class A-3A, Class A-3B, Class A-3C, Class A-3D, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2, Class B-3, Notes and Class B-4 (the “Notes”) of its Mortgage Loan Asset Backed Certificates, Series 2006-2 (the “Offered Certificates”), the Class C-1 Certificate and Class RC-2 ~~Certificates~~Certificate (the “Class C Certificates”) ofand ~~its~~the ~~Mortgage~~Class ~~Loan~~R ~~Asset~~Certificate ~~Backed~~(the “Class R Certificate” and, together with the Class C Certificates, ~~Series~~the ~~2006-2~~“Securities”) on June 7, 2006. This Current Report on Form 8-K is being filed to satisfy an undertaking, contained in the ~~definitive~~ Prospectus, dated April 26, 2006, as supplemented by the Prospectus Supplement, dated June 5, 2006 (the “Prospectus Supplement”), to file ainformation ~~copy~~relating ofto ~~the~~subsequent ~~Pooling~~mortgage ~~and~~loans ~~Servicing Agreement~~ (asthe ~~defined~~“Subsequent ~~below~~Mortgage Loans”) ~~and~~purchased ~~certain~~by ~~other agreements executed in connection with~~ the ~~issuance of the Certificates~~Registrant.

~~The~~Pursuant ~~Certificates were issued pursuant~~ to athe ~~Pooling~~Subsequent ~~and~~Sales ~~Servicing~~ Agreement (the “~~Pooling~~Subsequent ~~and~~Sales ~~Servicing~~ Agreement”), attached ~~hereto~~ as Exhibit 99.1, dated asJune ~~of May 1~~28, 2006, ~~among~~between Saxon ~~Asset Securities Company~~Mortgage, ~~as Depositor, Saxon Mortgage~~ Inc., as(“SMI”) ~~Master~~and ~~Servicer,~~ Saxon ~~Mortgage~~Asset ~~Services,~~Securities ~~Inc.~~Company (“Saxon”), asand ~~Servicer~~acknowledged ~~and~~by Deutsche Bank National Trust Company, as(the “Trustee~~. The~~”), ~~Certificates~~the ~~evidence~~Registrant ~~all~~purchased ofSubsequent ~~the~~Mortgage ~~beneficial~~Loans ~~ownership~~for ~~interest~~inclusion in athe ~~trust~~Trust ~~fund~~Estate of Saxon Asset Securities Trust 2006-2 (the “~~Trust~~Issuing ~~Fund~~Entity”) ~~that~~pursuant ~~consists~~to ~~primarily~~the ofPooling ~~amounts~~and onServicing ~~deposit~~Agreement, indated aas ~~pre-funding~~of ~~account~~May ~~and~~1, ~~three~~2006 ~~groups~~(the of“Pooling ~~certain~~and ~~conventional~~Servicing Agreement”), ~~first~~among ~~and~~Saxon ~~second~~as ~~lien~~depositor, ~~fixed~~SMI, ~~and~~as ~~adjustable~~master ~~rate~~servicer, ~~fully~~Saxon ~~amortizing~~Mortgage ~~and~~Services, ~~balloon~~Inc., ~~residential~~as ~~mortgage~~servicer, ~~loans~~and (the ~~“Mortgage~~Trustee, ~~Loans”)~~a ~~with~~form anof ~~aggregate~~which ~~outstanding~~was ~~principal~~filed ~~balance~~as ofan ~~approximately~~exhibit ~~$814,058,047~~to asthe ofRegistrant’s ~~May~~Form 1,8-K ~~2006,~~filed ~~together~~on ~~with~~June ~~certain~~21, ~~other assets~~2006. Capitalized terms used herein and not otherwise defined shall have the meanings assigned to them in the Pooling and Servicing Agreement and in the Subsequent Sales Agreement, as applicable.

Item 9.01. Financial Statements and Exhibits

(a)

Not applicable.

(b)

Not applicable.

(c)

Not applicable.

(d)

Exhibits:

99.1 Pooling and Servicing Agreement, dated as of May 1, 2006, among Saxon Asset Securities Company, as Depositor, Saxon Mortgage, Inc., as Master Servicer, Saxon Mortgage Services, Inc., as Servicer, and Deutsche Bank National Trust Company, as Trustee.

99Subsequent Sales Agreement, dated June 28, 2006, between Saxon Mortgage, Inc.2 and Saxon Asset Securities Company, and acknowledged by Deutsche Bank National Trust Company, as Trustee.

The Mortgage Guaranty Insurance Corporation Mortgage Guaranty Master Policy (No. 04-690-5-2343) including Endorsement.

99.3

Swap Agreement, dated as of June 7, 2006, including schedule to the master agreement and confirmation, between Credit Suisse International and Deutsche Bank National Trust Company, not in its individual capacity but solely as trustee of the Saxon Asset Securities Trust 2006-2 Supplemental Interest Trust.

99.4

Cap Agreement, dated as of June 7, 2006, including schedule to the master agreement and confirmation, between Credit Suisse International and Deutsche Bank National Trust Company, not in its individual capacity but solely as Trustee of the Saxon Asset Securities Trust 2006-2.

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 hereunto duly authorized.

SAXON ASSET SECURITIES COMPANY

By: /s/ Ernest G. Bretana

Name: Ernest G. Bretana

Title: Executive Vice President

Dated: June 7 28, 2006

EXHIBIT INDEX

Exhibit No.

Description

~~99.1 Pooling~~Page ~~and Servicing Agreement, dated as of May 1, 2006, among Saxon Asset Securities Company, as Depositor, Saxon Mortgage, Inc~~No.~~, as Master Servicer, Saxon Mortgage Services, Inc., as Servicer, and Deutsche Bank National Trust Company, as Trustee.~~

99.21

~~The~~Subsequent ~~Mortgage~~Sales ~~Guaranty~~Agreement, ~~Insurance~~dated ~~Corporation~~June ~~Mortgage~~28, ~~Guaranty Master Policy (No. 04-690-5-2343) including Endorsement.~~2006,

99between Saxon Mortgage, Inc.3 and Saxon Asset

~~Swap~~Securities ~~Agreement~~Company, ~~dated as of June 7, 2006, including schedule to the master agreement~~ and ~~confirmation,~~acknowledged between Credit Suisse International and Deutsche Bank National Trust Company, not in its individual capacity but solely as trustee of the Saxon Asset Securities Trust 2006-2 Supplemental Interest Trust.by

~~99.4~~Deutsche Bank National Trust Company, as Trustee.

Filing Compare · Saxon Asset Securities Trust 2006-2