Wachovia Asset Securitization Issuance Inactive
Filed: 20 Sep 02, 12:00am
Subject to Revision
Series Term Sheet Dated September 18, 2002
Wachovia Asset Securitization, Inc. 2002-HE1 Trust
$950,000,000
(Approximate)
Wachovia Asset Secruritization, Inc.
Depositor
 Credit Enhancer |
Wachovia Bank, N.A.
Seller and Servicer
Wachovia Asset Securitization, Inc. Asset-Backed Notes,
Series 2002-HE1
Offered Notes: Class A
DISCLAIMER
Attached is a preliminary Series Term Sheet describing the structure, collateral pool and certain aspects of the Wachovia Asset Securitization, Inc. (WASI) 2002-HE1 Trust. The Series Term Sheet has been prepared by Wachovia Securities, Inc. based on collateral information provided by Wachovia Bank, N.A. for informational purposes only and is subject to modification or change. The information and assumptions contained herein are preliminary and will be superseded by a prospectus supplement and by any other additional information subsequently filed with the Securities and Exchange Commission or incorporated by reference in the Registration Statement.
A Registration Statement (including a base prospectus) relating to the Mortgage Pass-Through Certificates has been filed with the Securities and Exchange Commission. The final Prospectus Supplement relating to the securities will be filed after the securities have been priced and all of the terms and information are finalized. This communication is not an offer to sell or the solicitation of an offer to buy, nor shall there be any sale of the securities 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. Interested persons are referred to the final Prospectus and Prospectus Supplement to which the securities relate. Any investment decision should be based only upon the information in the final Prospectus and Prospectus Supplement as of their publication dates.
 |
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2002-HE1
$950,000,000 (approximate)
To 10% Clean-up Call:
| Class | Expected Size(1) | Expected WAL (Yrs.)(2) | Expected Payment Window(2) | Note Rate(3) | Expected Rating (S&P/Moody's) |
| A | $950,000,000 | 4.34 | 3/03-8/09 | LIBOR +[]% | AAA/Aaa |
(1) Size is subject to permitted variance in the aggregate of plus or minus 5%.
(2) The "Prepayment Assumption" is 41% CPR and a 33% Draw Rate.
(3); The Offered Notes will accrue interest at a rate equal to the lesser of (i) One Month LIBOR plus the related margin and (ii) the Net WAC Cap.
To Maturity:
| Class | Expected Size(1) | Expected WAL (Yrs.)(2) | Expected Payment Window(2) | Note Rate(3) | Expected Rating (S&P/Moody's) |
| A | $950,000,000 | 4.37 | 3/03-2/10 | LIBOR +[]% | AAA/Aaa |
(1) Size is subject to permitted variance in the aggregate of plus or minus 5%.
(2) The "Prepayment Assumption" is 41% CPR and a 33% Draw Rate.
(3) The Offered Notes will accrue interest at a rate equal to the lesser of (i) One Month LIBOR plus the related margin and (ii) the Net WAC Cap.
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WACHOVIA SECURITIES IMMEDIATELY.
1
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2002-HE1
$950,000,000 (approximate)
Wachovia Securities Contacts
| Trading/Syndicate | Phone | |
| Chris Choka | (704) 383-8267 | chris.choka@wachovia.com |
| Mark Adamson | (704) 383-7727 | mark.adamson@wachovia.com |
| Mortgage Finance | ||
| Robert Perret | (704) 374-4868 | robert.perret@wachovia.com |
| Michael Schwartz | (704) 383-7727 | michael.schwartz@wachovia.com |
| Sharvin Setoodeh | (704) 715-7632 | sharvin.setoodeh@wachovia.com |
| Jon Liber | (704) 383-7203 | jon.riber@wachovia.com |
| David Lyle | (704) 715-8131 | david.lyle@wachovia.com |
| Structuring | ||
| Barbara Smith | (704) 383-8614 | barbaram.smith@wachovia.com |
| Serkan Erikci | (704) 715-1263 | serkan.erikci@wachovia.com |
| Collateral Analytics | ||
| Daniel Richart | (704) 374-2591 | daniel.richart@wachovia.com |
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WACHOVIA SECURITIES IMMEDIATELY.
2
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2002-HE1
$950,000,000 (approximate)
SUMMARY OF TERMS
| Title of Securities: | Wachovia Asset Securitization, Inc. 2002-HE1 Trust. |
| Depositor: | Wachovia Asset Securitization, Inc. |
| Seller: | Wachovia Bank, N.A. |
| Servicer: | Wachovia Bank, N.A. |
| Credit Enhancer: | Ambac Assurance Corporation ("Ambac" or the "Credit Enhancer"). |
| Lead Manager: | Wachovia Securities, Inc. |
| Co-Managers: | Banc of America Securities, JP Morgan Chase. |
| Owner Trustee: | Wilmington Trust Company. |
| Indenture Trustee: | JPMorgan Chase (the "Trustee"). |
| Servicing Fee: | With respect to each Distribution Date, the Servicer will be entitled to a Servicing Fee equal to 1/12 of 0.50% of the aggregate principal balance of the mortgage loans, plus any reimbursable amounts. |
| Offered Notes: | The Class A Notes. |
| The Trust: | The depositor will establish the Wachovia Asset Securitization, Inc. 2002-HE1 Trust (the “Trust”), a Delaware business trust, to issue the Offered Notes. The assets of the Trust will include the mortgage loans and collections on the mortgage loans. In addition to the mortgage loans conveyed to the Trust on the closing date, the property of the Trust will include cash on deposit in certain accounts, including the Pre-Funding Account. The Trust will also include a financial guaranty insurance policy provided by the Credit Enhancer, which will guarantee certain payments on the Offered Notes. |
| Federal Tax Status: | It is anticipated that the Offered Notes will be treated as debt instruments for federal income tax purposes. |
| ERISA Elligibility: | The Offered Notes are expected to be ERISA eligible. Prospective investors must review the Prospectus and Prospectus Supplement and consult with their professional advisors for a more detailed description of these matters prior to investing in the Offered Notes. |
| SMMEA Treatment: | The Offered Noteswill not constitute “mortgage related securities” for purposes of SMMEA. |
| Registration: | The Offered Notes will be available in book-entry form through DTC, Clearstream, Luxembourg and the Euroclear System. |
| Cut-off Date: | September 1, 2002. |
| Expected Pricing Date: | On or about September [20], 2002. |
| Expected Settlement Date: | On or about September [27], 2002. |
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WACHOVIA SECURITIES IMMEDIATELY.
3
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2002-HE1
$950,000,000 (approximate)
| Payment Date: | The 25th day of each month (or if not a business day, the next succeeding business day) commencing on October 25, 2002. |
| Scheduled Final Payment Date: | The Payment Date in September 2032. |
| Collection Period | With respect to any Payment Date, the calendar month preceding the month of that Payment Date. |
| Interest Accrual Period: | The “Interest Accrual Period” with respect to the Offered Notes for a given Payment Date will be the period beginning with the previous Payment Date (or, in the case of the first Payment Date, the Closing Date) and ending on the day prior to such Payment Date (on an Actual/360 basis). |
| Credit Enhancement: | Excess interest, overcollateralization and the financial guaranty insurance policy. |
| Optional Redemption: | A principal payment may be made to redeem the Offered Notes upon the exercise by the Servicer of its option to purchase the mortgage loans together with the assets of the Trust after the aggregate note balance of the Offered Notes has been reduced to an amount less than or equal to 10% of their initial aggregate balance. |
| Initial Mortgage Loans: | As of the Cut-off Date, the aggregate principal balance of the Initial Mortgage Loans was approximately $870,082,662 (the “Initial Mortgage Loans”). The Initial Mortgage Loans to be sold to the Trust will consist of adjustable rate home equity revolving lines of credit evidenced by the related credit line agreements and secured by the related mortgages or deeds of trust on residential properties. See the attached collateral descriptions for additional information on the Initial Mortgage Loans. |
| Additional Balances | An “Additional Balance” represents additional principal in a revolving credit loan created by a draw. |
| Additional Balances Increase Amount: | On any given Payment Date, equals (a) the excess, if any, of (i) the aggregate principal amount of Additional Balances since the Cut-off Date, over (ii) principal collections, excess spread and amounts transferred from the Pre-Funding Account applied to purchase those Additional Balances from the Funding Account minus (b) amounts paid on prior Payment Dates to the holders of the certificates as an Additional Balance Increase Amount. |
| Loan Rate: | The Loan Rate of each mortgage loan is the per annum interest rate required to be paid by the mortgagor under the terms of the related credit line agreement. Each mortgage loan has a Loan Rate that is subject to adjustment, as specified in the related credit line agreement, to equal the sum of the index and a gross margin, provided that the Loan Rate does not exceed a maximum loan rate. The index for each mortgage loan is the “prime rate,” regularly published in the Eastern edition ofThe Wall Street Journal. |
| Net Loan Rate: | The Net Loan Rate is with respect to any Payment Date and any mortgage loan, the Loan Rate of that mortgage loan as of the first day of the calendar month in which the related Interest Accrual Period begins, less the servicing fee rate and the trustee fee rate. |
| Net WAC Cap | The Net WAC Cap is the per annum rate equal to (i) the weighted average Net Loan Rate of the mortgage loans less (ii) the premium rate on the financial guaranty insurance policy multiplied by the fraction, the numerator of which is equal to the aggregate note principal |
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WACHOVIA SECURITIES IMMEDIATELY.
4
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2002-HE1
$950,000,000 (approximate)
| balance of the Offered Notes and the denominator of which is equal to the aggregate principal balance of the mortgage loans and any amounts on deposit in the Pre-Funding Account, such result being adjusted to an effective rate reflecting the accrual of interest on an actual/360 basis. | |
| Class A Margin: | The initial Class A margin will be [ ]% per annum. |
| Formula Rate: | With respect to each Interest Accrual Period, the lesser of (a) One Month LIBOR plus the Class A Margin and (b) the Net WAC Cap. |
| Servicer Advances: | The Servicer, at its option and in its sole discretion, may make advances by depositing into the custodial account amounts representing installments of interest on any mortgage loan that is delinquent as of the end of the related Collection Period if the Servicer believes that the advances will be recoverable from payments on, or other proceeds of, that mortgage loan. If the Servicer makes any optional advances of delinquent interest, the Servicer shall be entitled to reimburse itself by withdrawing those amounts from the custodial account prior to any distribution of amounts on deposit therein to the Offered Notes. |
| Pre-Funding Account: | On the Closing Date, approximately $79,917,338 will be deposited into an account (the “Pre-Funding Account”), such amount will be used by the Trust first to purchase Additional Balances from the sellers and then to purchase additional mortgage loans from the sellers. This amount will be funded by the proceeds from the sale of the Offered Notes. The pre-funding period will be the period from the Closing Date to the earliest of (i) the date on which the amount on deposit in the Pre-Funding Account is less than $50,000, (ii) 90 days from the Closing Date or (iii) the occurrence of a rapid amortization event. If additional mortgage loans are sold to the Trust after the Closing Date, such mortgage loans will conform to certain characteristics set forth in the Prospectus Supplement. Any amounts remaining in the Pre-Funding Account at the end of the pre-funding period in excess of $50,000 will be distributed as a payment of principal on the Offered Notes on the following Payment Date. Amounts less than $50,000 in the Pre-Funding Account will be deposited into the Funding Account. |
| Capitalized Interest Account: | On the Closing Date, part of the proceeds of the sale of the Offered Notes will be deposited into an account with the Indenture Trustee designated the “Capitalized Interest Account.” Amounts on deposit in the Capitalized Interest Account will be withdrawn on each Payment Date during the pre-funding period to cover any shortfall in interest payments on the Offered Notes plus any unpaid premium for the financial guaranty insurance policy due to the pre-funding feature. Any amounts remaining in the Capitalized Interest Account at the end of the pre-funding period will be paid to the Depositor. |
| Funding Account: | An account will be established on the Closing Date by the Indenture Trustee in its name designated the “Funding Account.” On each Payment Date during the Revolving Period, the Indenture Trustee will deposit principal collections and excess spread into the Funding Account. Amounts in the Funding Account will be used to buy Additional Balances arising under mortgage loans already included in the Trust. If not all amounts in the Funding Account have been applied to purchase Additional Balances at the end of the Revolving Period, the amount left in the Funding Account will be distributed as principal distributions first to the certificates in an amount equal to the Additional Balance Increase Amount and then to the Offered Notes. |
| Interest Collections: | With respect to any Payment Date, an amount equal to the sum of (a) the amount collected during the related Collection Period, including net liquidation proceeds, applied to interest |
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WACHOVIA SECURITIES IMMEDIATELY.
5
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2002-HE1
$950,000,000 (approximate)
| pursuant to the terms of the related credit line agreements reduced by servicing and trustee fees for that Collection Period, exclusive of the pro rata portion of interest attributable to any Additional Balance Increase Amount, plus amounts in respect of any optional servicer advance pursuant to the terms of the servicing agreement and (b) the interest portion of (i) the repurchase price of any deleted loan and (ii) the cash purchase price paid in connection with any optional purchase of the mortgage loans by the Servicer. | |
| Principal Collections: | With respect to any Payment Date, an amount equal to the sum of (a) the amount collected during the related Collection Period, including net liquidation proceeds, applied to principal pursuant to the terms of the related credit line agreements and (b) the principal portion of the repurchase price for any deleted loans, any amounts required to be deposited in the custodial account by the sellers pursuant to the purchase agreement; and the cash purchase price paid in connection with any optional purchase of the mortgage loans by the Servicer. |
| Net Principal Collections: | With respect to any Payment Date, the excess, if any, of Principal Collections for that Payment Date over the aggregate amount of Additional Balances created during the related Collection Period and conveyed to the Depositor. |
| Principal Distribution Amount: | With respect to any Payment Date during the Revolving Period, the amount in excess of $50,000, if any, transferred from the Pre-Funding Account to the note payment account at the end of the pre-funding period. With respect to any Payment Date during the Managed Amortization Period, Net Principal Collections less amounts with respect to any Additional Balance Increase Amount. With respect to any Payment Date during the Rapid Amortization Period, Principal Collections. |
| Stepdown Rate: | The later of (a) the thirty-first (31st) Payment Date or (b) the Payment Date in which the current aggregate principal balance of the Offered Notes is less than or equal to 50% of the aggregate principal balance of the Offered Notes as of the Closing Date. |
| Overcollateralization Amount: | On any Payment Date, the amount by which the outstanding aggregate principal balance of the mortgage loans, as of the close of business on the last day of the related Collection Period, and any amounts remaining in the Pre-Funding Account and the Funding Account exceed the aggregate principal balance of the Offered Notes. |
| Overcollateralization Target Amount: | Prior to the Stepdown Date, an amount equal to the sum of (a) [1.50]% of the balance of the Offered Notes as of the Closing Date and (b) 100% of the principal balances of all mortgage loans that are 180 or more days contractually delinquent as of the last day of the related Collection Period. On or after the Stepdown Date, the Overcollateralization Target Amount will be allowed to step down to a certain percentage (specified in the Indenture, subject to certain performance triggers) of the current aggregate principal balance of the Offered Notes provided that the Overcollateralization Target Amount may not be less than 0.50% of the sum of the aggregate principal balance of the Offered Notes as of the Cut-off Date. |
| Prepayment Assumption: | 41% CPR, 33% Draw Rate. |
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WACHOVIA SECURITIES IMMEDIATELY.
6
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2002-HE1
$950,000,000 (approximate)
| Revolving Period: | The Revolving Period will be the period beginning on the Closing Date and ending on the earlier of: (a) the end of business on [December 31, 2003], (b) the Additional Balance Increase Amount equals or exceeds $[450,000,000], (c) the Payment Date that the Funding Account balance exceeds $[57,000,000], or (d) the occurrence of a rapid amortization event specified in the Indenture. |
| Managed Amortizaiton Period: | The Managed Amortization Period will be the period beginning on the earlier of: (a) the end of business on [December 31, 2003], (b) the Additional Balance Increase Amount equals or exceeds $[450,000,000], or (c) the Payment Date immediately following the Payment Date that the Funding Account balance exceeds $[57,000,000], unless in each case, a rapid amortization event has occurred, as specified in the Indenture. The Managed Amortization Period will end on the earlier of (a) the end of business on December 31, 2007, or (b) the occurrence of a rapid amortization event specified in the Indenture.> |
| Rapid Amortization Period: | The Rapid Amortization Period will be the period beginning on the earlier of (a) the end of business on December 31, 2007, or (b) the occurrence of a rapid amortization event as specified in the Indenture. |
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WACHOVIA SECURITIES IMMEDIATELY.
7
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2002-HE1
$950,000,000 (approximate)
| Priority of Distributions: | On each Payment Date, from amounts withdrawn from the custodial account with respect to the mortgage loans (including any draw on the financial guaranty insurance policy for the Payment Date), the following payments will be made in the following order of priority: |
| First, from Interest Collections, to the Offered Notes, interest for the Interest Accrual Period at the Formula Rate on the balance of the Offered Notes immediately prior to that Payment Date, other than any interest shortfalls. | |
| Second, during the Revolving Period, to the Funding Account, Principal Collections during the related Collection Period. | |
| Third, to the Credit Enhancer, the premium for the financial guaranty insurance policy, and any unpaid premium with interest thereon. | |
| Fourth, during the Revolving Period, to the Funding Account, from excess spread, the amount necessary to be applied on that Payment Date so that the Overcollateralization Amount is not less than the Overcollateralization Target Amount. | |
| Fifth, during the Managed Amortization Period and the Rapid Amortization Period, from excess spread, the amount necessary to be applied on that Payment Date to the Offered Notes so that the Overcollateralization Amount is not less than the Overcollateralization Target Amount. | |
| Sixth, from any remaining excess spread, to the certificates, an amount equal to the Additional Balance Increase Amount. | |
| Seventh, during the Revolving Period, the Managed Amortization Period, and the Rapid Amortization Period, the Principal Distribution Amount for payment to the Offered Notes (provided that on the Scheduled Final Payment Date, the amount paid will be equal to the balance of the Offered Notes immediately prior to that Payment Date). | |
| Eighth, to the Credit Enhancer, to reimburse it for prior draws made on the financial guaranty insurance policy, with interest thereon. | |
| Ninth, from any remaining excess spread, any liquidation loss amounts not otherwise covered by payments pursuant to clause fourth, fifth, or seventh above on that Payment Date or prior Payment Dates, to the Offered Notes. | |
| Tenth, any other amounts due to the Credit Enhancer pursuant to the financial guaranty insurance policy. | |
| Eleventh, from any remaining excess spread, for payment to the Offered Notes, any interest shortfalls on the Offered Notes for such Payment Date and for any Payment Date not previously paid, together with interest thereon at the Formula Rate. | |
| Twelfth, during the Managed Amortization Period and Rapid Amortization Period, to the Indenture Trustee, certain other amounts owing to the Indenture Trustee to the extent remaining unpaid. | |
| Thirteenth, any remaining amounts for distribution to the certificates. | |
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8
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2002-HE1
$950,000,000 (approximate)
DESCRIPTION OF INITIAL MORTGAGE LOANS
| Summary | |
| Number of Mortgage Loans | 21,319 |
| Cut-Off Date Principal Balance | $870,082,662.00 |
| Minimum | $0.01 |
| Maximum | $3,212,249.60 |
| Average | $40,812.55 |
| Average Utilization | 50.42% |
| Weighted Average Utilization | 72.85% |
| CLTV Ratio | |
| Minimum | 3.00% |
| Maximum | 100.00% |
| Weighted Average | 78.02% |
| Junior Ratio | |
| Minimum | 2.42% |
| Maximum | 100.00% |
| Weighted Average | 41.55% |
| Fully Indexed Gross Margin | |
| Minimum | -2.250% |
| Maximum | 4.750% |
| Weighted Average | 0.287% |
| Current Loan Rate | |
| Minimum | 2.500% |
| Maximum | 9.500% |
| Weighted Average | 4.868% |
| Maximum Loan Rate | |
| Minimum | 16.000% |
| Maximum | 18.000% |
| Weighted Average | 17.783% |
| Remaining Term | |
| Minimum | 51 Months |
| Maximum | 239 Months |
| Weighted Average | 238 Months |
| FICO Score | |
| Minimum | 464 |
| Maximum | 824 |
| Weighted Average | 720 |
| Lien Position | |
| First | 38.93% |
| Second | 59.72% |
| Third | 1.35% |
| Occupancy Status | |
| Owner Occupied | 90.40% |
| Non-Owner Occupied | 9.60% |
| Geographic Concentration (> 10.00%) | |
| Florida | 23.08% |
| New Jersey | 18.71% |
| Pennsylvania | 13.65% |
| North Carolina | 10.43% |
| Number of States (Plus the District of Columbia) | 17 |
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WACHOVIA SECURITIES IMMEDIATELY.
9
Percent of
Number of Aggregate Aggregate
Current Loan Rate (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
2.001 to 2.500 1 $53,505.22
0.01%
3.001 to 3.500 5 3,058,332.01
0.35
3.501 to 4.000 4 608,241.29
0.07
4.001 to 4.250 672 32,348,102.26
3.72
4.251 to 4.500 2,318 149,320,948.98
17.16
4.501 to 4.750 11,300 485,346,794.40
55.78
4.751 to 5.000 1,641 43,202,041.82
4.97
5.001 to 6.000 4,497 144,506,736.27
16.61
6.001 to 7.000 732 10,621,420.40
1.22
7.001 to 8.000 141 970,919.14
0.11
8.001 to 9.000 6 30,539.04
0.00
9.001 to 10.000 2 15,081.17
0.00
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
Total 21,319 $870,082,662.00
100.00%
======================= ======================== ===========================
Percent of
Number of Aggregate Aggregate
Junior Ratio (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
First Lien 5,598 $338,723,041.13
38.93%
0.001 to 10.000 674 8,747,473.15
1.01
10.001 to 20.000 3,690 82,596,131.66
9.49
20.001 to 30.000 3,473 100,933,348.53 11.60
30.001 to 40.000 2,563 96,386,739.11 11.08
40.001 to 50.000 1,830 81,175,446.58
9.33
50.001 to 60.000 1,164 52,954,051.46
6.09
60.001 to 70.000 836 38,477,841.09
4.42
70.001 to 80.000 587 34,267,966.21
3.94
80.001 to 90.000 378 17,926,660.39
2.06
90.001 to 100.000 526 17,893,962.69
2.06
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Total 21,319 $870,082,662.00 100.00%
======================== ======================== ============================
Percent of
Number of Aggregate Aggregate
Combined LTV Ratio (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Not Available 195 $3,088,601.32
0.35%
0.01 to 10.00 63 934,409.61
0.11
10.01 to 20.00 230 5,847,537.45
0.67
20.01 to 30.00 460 14,257,471.34
1.64
30.01 to 40.00 620 26,902,820.81
3.09
40.01 to 50.00 906 40,034,923.18
4.60
50.01 to 60.00 1,237 58,046,956.16
6.67
60.01 to 70.00 1,793 91,505,046.25 10.52
70.01 to 80.00 2,635 127,825,329.39 14.69
80.01 to 90.00 8,849 341,752,517.44 39.28
90.01 to 100.00 4,331 159,887,049.05 18.38
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Total 21,319 $870,082,662.00 100.00%
======================== ======================== ============================
Percent of
Number of Aggregate Aggregate
Maximum Loan Rate (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
16.000 2,588 $94,241,863.29
10.83%
18.000 18,731 775,840,798.71
89.17
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
Total 21,319 $870,082,662.00
100.00%
======================= ======================== ===========================
Percent of
Number of Aggregate Aggregate
Cut-off Date Principal Balance ($) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
0.01 to 10,000.00 5,290 $24,119,890.20
2.77%
10,000.01 to 20,000.00 4,221 62,574,280.34
7.19
20,000.01 to 30,000.00 3,259 80,674,922.90
9.27
30,000.01 to 40,000.00 2,019 70,037,783.16
8.05
40,000.01 to 50,000.00 1,553 69,824,650.66
8.03
50,000.01 to 75,000.00 2,034 123,881,975.21 14.24
75,000.01 to 100,000.00 1,177 102,663,432.50 11.80
100,000.01 to 150,000.00 863 103,873,118.18 11.94
150,000.01 to 200,000.00 401 68,973,629.27
7.93
200,000.01 to 250,000.00 202 45,010,236.61
5.17
250,000.01 to 300,000.00 111 30,475,817.68
3.50
300,000.01 to 400,000.00 106 36,891,972.33
4.24
400,000.01 to 500,000.00 49 22,094,165.19
2.54
500,000.01 to 1,000,000.00 30 19,118,065.99
2.20
1,000,000.01 to 2,000,000.00 1 1,698,533.08
0.20
2,000,000.01 to 4,000,000.00 3 8,170,188.70
0.94
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Total 21,319 $870,082,662.00 100.00%
======================== ======================== ============================
Percent of
Number of Aggregate Aggregate
Remaining Term to Maturity (Months) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
51 to 60 4 $196,277.47
0.02%
161 to 170 1 27,873.70
0.00
171 to 180 57 601,766.89
0.07
221 to 230 12 669,932.34
0.08
231 to 240 21,245 868,586,811.60 99.83
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Total 21,319 $870,082,662.00 100.00%
======================== ======================== ============================
Percent of
Number of Aggregate Aggregate
FICO Score at Origination Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Not Available 286 $7,109,335.27
0.82%
451 to 475 1 39,523.63
0.00
501 to 525 2 56,889.57
0.01
526 to 550 18 1,042,430.80
0.12
551 to 575 33 3,656,909.37
0.42
576 to 600 165 7,838,957.85
0.90
601 to 625 486 18,533,215.13
2.13
626 to 650 1,259 50,869,213.14
5.85
651 to 675 2,166 95,161,975.99 10.94
676 to 700 2,877 129,311,273.52 14.86
701 to 725 3,127 133,953,044.23 15.40
726 to 750 3,350 137,968,450.49 15.86
751 to 775 3,672 145,036,802.44 16.67
776 to 800 3,176 116,205,550.86 13.36
801 to 825 701 23,299,089.71
2.68
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Total 21,319 $870,082,662.00 100.00%
======================== ======================== ============================
Percent of
Number of Aggregate Aggregate
Documentation Type Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
None Required 12,413 $320,369,752.62
36.82%
Tax Returns 2,082 223,657,278.94 25.71
Year to Date Pay Stub 2,781 170,524,389.50 19.60
Waived 2,824 97,617,540.90 11.22
W2 723 35,606,501.96
4.09
Alternate Source of Income 120 9,710,734.66
1.12
Direct Deposit Taxable Income 145 7,742,856.66
0.89
Unknown 196 3,116,475.02
0.36
Direct Deposit Non-Taxable Income 35 1,737,131.74
0.20
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Total 21,319 $870,082,662.00 100.00%
======================== ======================== ============================
Percent of
Number of Aggregate Aggregate
Loan Purpose Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Consolidation of Refi w/ Refi of Mortgage 3,977 $237,550,984.17
27.30%
Consolidation or Refi w/o Refi of Mortgage 6,604 232,590,546.39 26.73
Personal/Family Use 6,070 223,480,613.23 25.68
Home Improvement 3,775 125,885,142.87 14.47
Purchase Money Real Estate Collateral 402 30,691,882.41
3.53
Purchase Money Non-Real Estate Collateral 321 11,317,493.94
1.30
FUNB Refinance 108 4,934,959.94
0.57
Bridge Loan 19 2,147,158.52
0.25
Business Use 43 1,483,880.53
0.17
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Total 21,319 $870,082,662.00 100.00%
======================== ======================== ============================
Percent of
Number of Aggregate Aggregate
Property Type Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
1-2 Family 19,571 $795,314,275.99
91.41%
Condo 956 40,577,118.79
4.66
1-4 Family 690 30,912,791.84
3.55
3-4 Family 38 1,471,973.17
0.17
Doublewide 54 1,314,412.42
0.15
Agricultural Property with a Residence 6 295,812.32
0.03
Triplewide 4 196,277.47
0.02
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Total 21,319 $870,082,662.00 100.00%
======================== ======================== ============================
Percent of
Number of Aggregate Aggregate
Location Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Florida 4,639 $200,824,004.37
23.08%
New Jersey 3,656 162,801,633.15 18.71
Pennsylvania 3,336 118,766,024.39 13.65
North Carolina 2,509 90,717,746.01 10.43
Virginia 2,410 82,723,648.44
9.51
Georgia 1,785 71,073,637.39
8.17
Connecticut 913 51,042,320.71
5.87
New York 574 35,450,245.59
4.07
Maryland 805 29,260,151.68
3.36
South Carolina 508 18,304,029.59
2.10
District of Columbia 110 5,384,641.12
0.62
Delaware 28 1,725,996.58
0.20
Tennessee 17 740,300.04
0.09
Massachusetts 14 716,172.13
0.08
Alabama 11 349,809.46
0.04
Rhode Island 2 118,661.09
0.01
West Virginia 2 83,640.26
0.01
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Total 21,319 $870,082,662.00 100.00%
======================== ======================== ============================
Percent of
Number of Aggregate Aggregate
Lien Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
First 5,598 $338,723,041.13
38.93%
Second 15,208 519,641,133.85 59.72
Third 513 11,718,487.02
1.35
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Total 21,319 $870,082,662.00 100.00%
======================== ======================== ============================
Percent of
Number of Aggregate Aggregate
Fully Indexed Loan Rate (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
2.001 to 2.500 1 $53,505.22
0.01%
3.001 to 3.500 4 3,045,820.88
0.35
3.501 to 4.000 4 608,241.29
0.07
4.001 to 4.250 670 32,146,502.63
3.69
4.251 to 4.500 2,313 148,870,167.55
17.11
4.501 to 4.750 5,954 275,008,652.11
31.61
4.751 to 5.000 3,798 131,307,964.00
15.09
5.001 to 6.000 6,386 231,182,303.04
26.57
6.001 to 7.000 1,823 43,609,277.28
5.01
7.001 to 8.000 344 3,981,269.76
0.46
8.001 to 9.000 18 227,011.76
0.03
9.001 to 10.000 4 41,946.48
0.00
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
Total 21,319 $870,082,662.00
100.00%
======================= ======================== ===========================
Percent of
Number of Aggregate Aggregate
Fully Indexed Gross Margin (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
- -2.499 to -2.000 1 $53,505.22
0.01%
- -1.999 to -1.500 1 1,299.08
0.00
- -1.499 to -0.500 677 35,799,265.72
4.11
- -0.499 to -0.250 2,313 148,870,167.55
17.11
- -0.249 to 0.000 5,954 275,008,652.11
31.61
0.001 to 0.250 3,798 131,307,964.00
15.09
0.251 to 0.500 2,497 82,225,647.56
9.45
0.501 to 0.750 1,015 45,006,471.26
5.17
0.751 to 1.000 1,423 59,792,155.21
6.87
1.001 to 1.250 1,451 44,158,029.01
5.08
1.251 to 1.500 750 19,952,756.15
2.29
1.501 to 1.750 277 9,297,616.16
1.07
1.751 to 2.000 399 8,727,890.75
1.00
2.001 to 2.250 397 5,631,014.22
0.65
2.251 to 2.500 207 2,478,456.26
0.28
2.501 to 3.000 118 1,268,054.77
0.15
3.001 to 3.500 30 351,785.30
0.04
3.501 to 4.000 7 109,985.19
0.01
4.501 to 5.000 4 41,946.48
0.00
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
- ----------------------------------------------- ----------------------- ------------------------ ---------------------------
Total 21,319 $870,082,662.00
100.00%
======================= ======================== ===========================
Percent of
Number of Aggregate Aggregate
Utilization Rate (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
0.01 to 10.00 3,074 $12,112,850.73
1.39%
10.01 to 20.00 2,344 31,130,577.39
3.58
20.01 to 30.00 2,162 44,262,051.21
5.09
30.01 to 40.00 1,769 49,496,087.20
5.69
40.01 to 50.00 1,676 58,157,845.39
6.68
50.01 to 60.00 1,569 68,203,789.27
7.84
60.01 to 70.00 1,519 77,145,398.02
8.87
70.01 to 80.00 1,531 89,105,697.86 10.24
80.01 to 90.00 1,473 101,326,843.00 11.65
90.01 to 100.00 3,144 246,533,644.96 28.33
100.01 to 110.00 1,058 92,607,876.97 10.64
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Total 21,319 $870,082,662.00 100.00%
======================== ======================== ============================
Percent of
Number of Aggregate Aggregate
Credit Limit ($) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
0.01 to 10,000.00 385 $2,062,515.62
0.24%
10,000.01 to 20,000.00 1,468 14,534,167.88
1.67
20,000.01 to 30,000.00 3,040 43,074,069.19
4.95
30,000.01 to 40,000.00 1,934 39,881,036.95
4.58
40,000.01 to 50,000.00 2,438 58,060,603.36
6.67
50,000.01 to 75,000.00 3,073 98,119,131.41 11.28
75,000.01 to 100,000.00 5,120 197,258,875.51 22.67
100,000.01 to 150,000.00 1,802 117,298,081.54 13.48
150,000.01 to 200,000.00 821 78,507,423.61
9.02
200,000.01 to 250,000.00 689 77,911,001.39
8.95
250,000.01 to 300,000.00 139 24,959,378.90
2.87
300,000.01 to 400,000.00 181 39,919,324.47
4.59
400,000.01 to 500,000.00 160 43,856,540.06
5.04
500,000.01 to 1,000,000.00 57 23,223,034.82
2.67
1,000,000.01 to 2,000,000.00 10 5,250,720.59
0.60
2,000,000.01 to 4,000,000.00 2 6,166,756.70
0.71
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
- ----------------------------------------------- ------------------------ ------------------------ ----------------------------
Total 21,319 $870,082,662.00 100.00%
======================== ======================== ============================
BOND SUMMARY (to Call)
----------------------
Class A
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 41% 50% 60% 70%
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (years) 7.61 6.39 6.38 4.34 2.87 1.81 1.18
Modified Duration (years)* 7.02 5.99 5.98 4.11 2.75 1.76 1.16
First Principal Payment 1/25/2008 1/25/2008 1/25/2008 3/25/2003 12/25/2002 11/25/2002 11/25/2002
Last Principal Payment 3/25/2012 1/25/2010 12/25/2009 8/25/2009 11/25/2008 4/25/2007 9/25/2005
*Modified duration calculated assuming a price of 100.00%.
BOND SUMMARY (to Maturity)
--------------------------
Class A
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 41% 50% 60% 70%
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (years) 7.63 6.40 6.39 4.37 2.91 1.91 1.28
Modified Duration (years)* 7.04 5.99 5.99 4.13 2.79 1.85 1.25
First Principal Payment 1/25/2008 1/25/2008 1/25/2008 3/25/2003 12/25/2002 11/25/2002 11/25/2002
Last Principal Payment 9/25/2012 3/25/2010 3/25/2010 2/25/2010 10/25/2009 6/25/2009 10/25/2008
*Modified duration calculated assuming a price of 100.00%.
Net WAC Cap Schedule: One Month LIBOR and Prime Rate at 20%(1)
Net Net Net
Period Date WAC Cap Period Date WAC Cap Period Date WAC Cap
------ ---- ------- ------ ---- ------- ------ ---- -------
1 10/25/02 13.47% 30 03/25/05 17.21% 59 08/25/07 17.26%
2 11/25/02 13.48% 31 04/25/05 17.26% 60 09/25/07 17.26%
3 12/25/02 13.47% 32 05/25/05 17.25% 61 10/25/07 17.25%
4 01/25/03 13.49% 33 06/25/05 17.26% 62 11/25/07 17.26%
5 02/25/03 13.59% 34 07/25/05 17.25% 63 12/25/07 17.25%
6 03/25/03 13.68% 35 08/25/05 17.26% 64 01/25/08 17.26%
7 04/25/03 13.86% 36 09/25/05 17.26% 65 02/25/08 17.26%
8 05/25/03 13.96% 37 10/25/05 17.25% 66 03/25/08 17.23%
9 06/25/03 14.07% 38 11/25/05 17.26% 67 04/25/08 17.26%
10 07/25/03 14.10% 39 12/25/05 17.25% 68 05/25/08 17.25%
11 08/25/03 16.44% 40 01/25/06 17.26% 69 06/25/08 17.26%
12 09/25/03 17.26% 41 02/25/06 17.26% 70 07/25/08 17.25%
13 10/25/03 17.25% 42 03/25/06 17.21% 71 08/25/08 17.27%
14 11/25/03 17.26% 43 04/25/06 17.26% 72 09/25/08 17.27%
15 12/25/03 17.25% 44 05/25/06 17.25% 73 10/25/08 17.25%
16 01/25/04 17.26% 45 06/25/06 17.26% 74 11/25/08 17.27%
17 02/25/04 17.26% 46 07/25/06 17.25% 75 12/25/08 17.25%
18 03/25/04 17.23% 47 08/25/06 17.26% 76 01/25/09 17.27%
19 04/25/04 17.26% 48 09/25/06 17.26% 77 02/25/09 17.27%
20 05/25/04 17.25% 49 10/25/06 17.25% 78 03/25/09 17.21%
21 06/25/04 17.26% 50 11/25/06 17.26% 79 04/25/09 17.27%
22 07/25/04 17.25% 51 12/25/06 17.25% 80 05/25/09 17.25%
23 08/25/04 17.26% 52 01/25/07 17.26% 81 06/25/09 17.27%
24 09/25/04 17.26% 53 02/25/07 17.26% 82 07/25/09 17.25%
25 10/25/04 17.25% 54 03/25/07 17.21% 83 08/25/09 17.27%
26 11/25/04 17.26% 55 04/25/07 17.26% 84 09/25/09 17.27%
27 12/25/04 17.25% 56 05/25/07 17.25% 85 10/25/09 17.26%
28 01/25/05 17.26% 57 06/25/07 17.26%
29 02/25/05 17.26% 58 07/25/07 17.25%
(1) Assumes that the mortgage loans prepay at 41% CPR with a 33% Draw Rate, and that One Month LIBOR and the Prime Rate are constant at 20.00%.
NYSE, NASD, SIPC. This report(s) is for your information only and is not an offer to sell, or a solicitation of an offer to buy, the securities or instruments named or described in the report. Interested parties are advised to contact the entity with which they deal, or the entity that provided this report to them, information. The information in this report has been obtained or derived from sources believed by (Wachovia Securities, Inc. or WSI) to be reliable, but WSI does not represent that this information is accurate or complete. Any opinions or estimates contained in this report represent the judgment of WSI at this time, and are subject to change without notice. WSI or its affiliates may from time to time provide advice with respect to, acquire, hold, or sell a position on the securities mentioned herein.