Wachovia Asset Securitization Issuance Inactive
Filed: 13 Dec 02, 12:00am
Subject to Revision
Series Term Sheet Dated December 2, 2002
Wachovia Asset Securitization, Inc. 2002-HE2 Trust
$1,169,948,000
(Approximate)
Wachovia Asset Securitization, Inc.
Depositor
Ambac
Credit Enhancer
Wachovia Bank, N.A.
Seller and Servicer
Wachovia Asset Securitization, Inc. Asset-Backed Notes,
Series 2002-HE2
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-HE2 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 The information and assumptions contained herein are preliminary and will be superseded by a prospectus supplement and by any other additional information subsequently filed with the Securities and Exchange Commission or incorporated by reference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.
To 10% Clean-up Call:
- -------------- ---------------- -------------- ------------------ --------------- ---------------
Expected Expected Expected Payment Expected
Size (1) WAL (Yrs.) Window (2) Note Rate (3) Rating
Class (2) (S&P/Moody's)
- -------------- ---------------- -------------- ------------------ --------------- ---------------
A $[1,169,948,000] 3.26 5/03 - 1/08 LIBOR + []% AAA/Aaa
- -------------- ---------------- -------------- ------------------ --------------- ---------------
(1) Size is subject to permitted variance in the aggregate of plus or minus 10%.
(2) The "Prepayment Assumption" is 38% CPR and a 29% 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:
- -------------- ---------------- -------------- ------------------ --------------- ---------------
Expected Expected Expected Payment Expected
Class Size (1) WAL (Yrs.) Window (2) Note Rate (3) Rating
(2) (S&P/Moody's)
- -------------- ---------------- -------------- ------------------ --------------- ---------------
A $[1,169,948,000] 3.28 5/03 - 6/08 LIBOR + []% AAA/Aaa
- -------------- ---------------- -------------- ------------------ --------------- ---------------
(1) Size is subject to permitted variance in the aggregate of plus or minus 10%.
(2) The "Prepayment Assumption" is 38% CPR and a 29% 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.
Wachovia Securities Contacts
----------------------------
Trading / Syndicate Phone E-mail
------------------- ----- ------
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) 383-7975 michael.schwartz@wachovia.com
Sharvin Setoodeh (704) 715-7632 sharvin.setoodeh@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
SUMMARY OF TERMS
----------------
Title of Securities: Wachovia Asset Securitization, Inc. Asset-Backed Notes, Series
2002-HE2.
Depositor: Wachovia Asset Securitization, Inc.
Seller: Wachovia Bank, N.A.
Servicer: Wachovia Bank, N.A.
Credit Enhancer: Ambac Assurance Corporation.
Lead Manager: Wachovia Securities, Inc.
Co-Managers: JPMorgan and Credit Suisse First Boston.
Yield Maintenance
Agreement Provider: [TBD]
Owner Trustee: Wilmington Trust Company.
Indenture Trustee: JPMorgan Chase.
Servicing Fee: With respect to each Payment 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-HE2 Trust (the "Trust"), a Delaware statutory trust, to
issue the Offered Notes. The assets of the Trust will include the
mortgage loans and collections on the mortgage loans. 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 Eligibility: 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 Notes will 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.
Statistical Calculation
Date: November 1, 2002.
Cut-off Date: December 1, 2002.
Expected Pricing Date: On or about December [6], 2002.
Expected Settlement Date: On or about December [19], 2002.
Payment Date: The 25th day of each month (or if not a business day, the next
succeeding business day) commencing on January 27, 2003.
Scheduled Final
Payment Date: The Payment Date in December 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.
Mortgage Loans: As of the Statistical Calculation Date, the aggregate principal
balance of the Mortgage Loans was approximately $1,104,838,051.
The aggregate principal balance of the Mortgage Loans is expected
to be approximately $[1,169,948,451] as of the Cut-off Date.
The 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
Mortgage Loans as of the Statistical Calculation Date.
Additional Balances: An "Additional Balance" represents additional principal in a
revolving credit loan created by a draw.
Additional Balance
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 and excess spread
applied to purchase those Additional Balances from the Funding
Account and/or the custodial account minus (b) amounts paid on
prior Payment Dates to the holders of the certificates in respect
of any 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 on
each mortgage loan does not exceed a maximum loan rate. The index
for each mortgage loan is the "prime rate," regularly published in
the Eastern edition of The 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.
Yield Maintenance
Agreement: The trust will include a yield maintenance agreement between the
Yield Maintenance Agreement Provider and the Indenture Trustee on
behalf of the holders of the Class A Notes. On each Payment Date,
to the extent available, funds will be distributed to the Class A
Notes to cover any interest that was not covered by excess interest
and to cover certain amounts owed to the Class A Notes from the
current Payment Date as well as prior Payment Dates as a result of
limiting their pass-through rate to the Net WAC Cap.
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 a
fraction, the numerator of which is equal to the aggregate note
principal balance of the Offered Notes and the denominator of which
is equal to the aggregate principal balance of the mortgage loans,
such result being adjusted to an effective rate reflecting the
accrual of interest on an actual/360 basis.
Class A Margin: The 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.
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 amounts collected during the related Collection Period,
including the interest portion of net liquidation proceeds, applied
to interest pursuant to the terms of the related credit line
agreements, exclusive of the Excluded Amount, reduced by the
servicing fees for that Collection Period, 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 loans 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 the principal portion of net liquidation proceeds,
applied to principal pursuant to the terms of the related credit
line agreements, exclusive of the Excluded Amount, and (b) the
principal portion of (i) the repurchase price for any deleted
loans, any amounts required to be deposited in the custodial
account by the seller pursuant to the purchase agreement; and (ii)
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 Issuer.
Excluded Amount: With respect to any payment date during the Rapid Amortization
Period: (i) all draws made by an obligor under any mortgage loan
during the Rapid Amortization Period, which shall not be
transferred to the issuer, (ii) the portion of the Principal
Collections for each Collection Period allocated to such Excluded
Amount, and (iii) the portion of Interest Collections allocable to
such Excluded Amount; provided that the Excluded Amount with
respect to any Liquidation Loss Amount shall be the portion of
losses on the related mortgage loans during the related Collection
Period attributable to additional balances not conveyed to the
trust fund
Principal Distribution
Amount: With respect to any Payment Date during the Managed Amortization
Period, the sum of (i) Net Principal Collections less amounts with
respect to any Additional Balance Increase Amount and (ii) an
amount equal to aggregate liquidated loss amounts, if any.
With respect to any Payment Date during the Rapid Amortization
Period, the sum of (i) Principal Collections and (ii) an amount
equal to aggregate liquidated loss amounts, if any.
Stepdown Date: 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 sum of (i) the
outstanding aggregate principal balance of the mortgage loans and
(ii) the amount in the Funding Account, in each case as of the
close of business on the last day of the related Collection Period,
exceeds the aggregate principal balance of the Offered Notes.
Overcollateralization
Target Amount: As to each Payment Date (a) prior to the Stepdown Date, an amount
equal to the sum of (i) [1.25]% of the Note Balance as of the
Closing Date and (ii) 100% of the aggregate Principal Balances of
all Mortgage Loans that are 180 days or more contractually
delinquent as of the last day of the related Collection Period, and
(b) on or after the Stepdown Date, provided that the Stepdown
Delinquency Test and the Stepdown Cumulative Loss Test have each
been met, an amount equal to [2.50]% of the Note Balance on such
Payment Date, provided, however, that in no event shall the
Overcollateralization Target Amount be less than the greater of (x)
0.50% of the Note Balance as of the Closing Date and (y) the sum of
the three largest outstanding Mortgage Loans (by Principal Balance
as of such Payment Date).
Stepdown Cumulative
Loss Test: With respect to any date of determination, the Stepdown Cumulative
Loss Test shall be met if the percentage of cumulative losses on
the Mortgage Loans (exclusive of the pro rata portion thereof
relating to any Excluded Amount or the Additional Balances
represented by Additional Balance Increase Amount) as of such date
of determination is less than the applicable percentage listed in
the chart below of the pool balance as of the Closing Date:
Months Percentage
------ ----------
31 - 48 [1.50]%
49 - 60 [2.00]%
61+ [2.50]%
Stepdown Delinquency
Test: With respect to any date of determination, the Stepdown Delinquency
Test shall be met if the six month rolling sixty-day average
delinquency rate (including foreclosures and REO properties) on the
Mortgage Loans (exclusive of the pro rata portion thereof relating
to any Excluded Amount or the Additional Balances represented by
Additional Balance Increase Amount) as of such date of
determination is less than [3.50]%.
Prepayment Assumption: 38% CPR, 29% Draw Rate.
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 Payment Date that the Funding Account
balance exceeds $[58,497,400], which is approximately four times
the Overcollateralization Target Amount, or (c) the occurrence of a
rapid amortization event specified in the Indenture.
Managed Amortization
Period: The Managed Amortization Period will be the period beginning on the
earlier of: (a) the end of business on December 31, 2003 or (b) the
Payment Date immediately following the Payment Date that the
Funding Account balance exceeds $[58,497,400], which is
approximately four times the Overcollateralization Target Amount,
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, 2005,
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, 2005, or (b) the
occurrence of a rapid amortization event as specified in the
Indenture.
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 (exclusive of the pro rata portion
of interest attributable to additional balances represented by any
Additional Balance Increase Amount), the amount of the premium for
the policy to the Credit Enhancer, and any unpaid premium with
interest thereon;
Second, from any remaining Interest Collections (exclusive of the
pro rata portion of interest attributable to Additional Balances
represented by any Additional Balance Increase Amount), to the note
payment account, for payment to the holders of the notes, interest
for the related Interest Accrual Period at the Formula Rate on the
balance of the notes immediately prior to that payment date, other
than any interest shortfalls;
Third, during the Revolving Period, from the Funding Account, Net
Principal Collections, to the distribution account for distribution
to the holders of the certificates, an amount equal to the
Additional Balance Increase Amount;
Fourth, during the Revolving Period, from the Funding Account, to
the Credit Enhancer, to reimburse it for prior draws made on the
financial guaranty insurance policy, with interest thereon;
Fifth, during the Revolving Period, from the Funding Account,
excess spread, to the distribution account for distribution to the
holders of the certificates, so long as the Overcollateralization
Amount is not less than the Overcollateralization Target Amount, an
amount equal to the Additional Balance Increase Amount;
Sixth, during the Managed Amortization Period, from Net Principal
Collections, to the distribution account, for distribution to the
holders of the certificates, an amount equal to the Additional
Balance Increase Amount;
Seventh, during the Managed Amortization Period and the Rapid
Amortization Period, to the Credit Enhancer, to reimburse it for
prior draws made on the financial guaranty insurance policy, with
interest thereon;
Eighth, during the Managed Amortization Period and the Rapid
Amortization Period, from excess spread, to the note payment
account, the amount necessary to be applied on that payment date
for payment to the holders of the notes, so that the
Overcollateralization Amount is not less than the
Overcollateralization Target Amount;
Ninth, during the Managed Amortization Period and the Rapid
Amortization Period, from excess spread, to the distribution
account, for distribution to the holders of the certificates, an
amount equal to the Additional Balance Increase Amount;
Tenth, during the Managed Amortization Period and the Rapid
Amortization Period, to the note payment account, the Principal
Distribution Amount for payment to the holders of the notes;
Eleventh, during the Rapid Amortization Period, from Principal
Collections, to the distribution account, for distribution to the
holders of the certificates, an amount equal to the Additional
Balance Increase Amount;
Twelfth, to the note payment account, from any remaining excess
spread, any liquidation loss amounts not otherwise covered by
payments pursuant to clause eighth or tenth above on that Payment
Date or prior Payment Dates, for payment to the holders of the
notes;
Thirteenth, to the Credit Enhancer, any other amounts, pursuant to
the insurance agreement;
Fourteenth, from any remaining excess spread, to the note payment
account, for payment to the holders of the notes, any interest
shortfalls on the notes for such Payment Date and for any Payment
Date not previously paid, together with interest thereon at the
Formula Rate;
Fifteenth, to the Indenture Trustee, any trustee's additional
expenses and any other amounts owing to the Indenture Trustee, in
each case to the extent remaining unpaid; and
Sixteenth, any remaining amounts, to the distribution account, for
distribution to the holders of the certificates.
In addition, holders of the notes will benefit from payments made by the Yield
Maintenance Provider pursuant to the Yield Maintenance Agreement, which will be deposited
into the note payment account and distributed to the notes as described in the indenture.
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Calculation Date
Summary
----------------------------------------------------------------------------------------
Number of Mortgage Loans 23,646
Statistical Calculation Date Principal Balance $1,104,838,051.20
Minimum $5,000.00
Maximum $1,615,356.50
Average $46,724.10
Average Utilization 55.12%
Weighted Average Utilization 71.94%
CLTV Ratio
Minimum 3.00%
Maximum 100.00%
Weighted Average 77.82%
Junior Ratio
Minimum 2.51%
Maximum 100.00%
Weighted Average 41.34%
Fully Indexed Gross Margin
Minimum -1.000%
Maximum 4.750%
Weighted Average 0.236%
Current Loan Rate
Minimum 3.750%
Maximum 8.850%
Weighted Average 4.799%
Maximum Loan Rate
Minimum 16.000%
Maximum 18.000%
Weighted Average 17.728%
Remaining Term
Minimum 57 Months
Maximum 239 Months
Weighted Average 232 Months
FICO Score
Minimum 529
Maximum 833
Weighted Average 726
Lien Position
First 43.56%
Second 55.29%
Third 1.15%
Occupancy Status
Owner Occupied 89.96%
Non-Owner Occupied 10.04%
Geographic Concentration (> 10.00%)
Florida 21.15%
New Jersey 18.36%
North Carolina 13.27%
Pennsylvania 12.30%
Virginia 10.04%
Number of States (Plus the District of Columbia) 18
----------------------------------------------------------------------------------------
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Calculation Date
Current Loan Rate
-----------------
Percent of
Number of Aggregate Aggregate
Current Loan Rate (%) Mortgage Loans Principal Balance Principal Balance
- ------------------------ ------------------- -------------------- -----------------------
3.750 to 4.000 11 $1,369,413.99 0.12%
4.001 to 4.250 750 43,544,383.95 3.94
4.251 to 4.500 2,751 205,658,917.10 18.61
4.501 to 4.750 16,295 712,057,300.04 64.45
4.751 to 5.000 185 5,504,393.80 0.50
5.001 to 6.000 3,582 135,355,615.45 12.25
6.001 to 7.000 64 1,251,145.83 0.11
7.001 to 8.000 7 82,705.45 0.01
8.001 to 8.850 1 14,175.59 0.00
- ------------------------ ------------------- -------------------- -----------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== =======================
Junior Ratio
------------
Percent of
Number of Aggregate Aggregate
Junior Ratio (%) Mortgage Loans Principal Balance Principal Balance
- -------------------------------------------- -------------------- -----------------------
First Lien 7,021 $481,253,976.72 43.56%
2.51 to 10.00 710 11,023,858.63 1.00
10.01 to 20.00 3,909 98,772,269.30 8.94
20.01 to 30.00 3,685 117,090,802.23 10.60
30.01 to 40.00 2,745 109,367,264.62 9.90
40.01 to 50.00 1,959 93,052,755.75 8.42
50.01 to 60.00 1,311 67,367,310.03 6.10
60.01 to 70.00 901 50,570,676.83 4.58
70.01 to 80.00 663 37,046,937.30 3.35
80.01 to 90.00 452 24,307,099.11 2.20
90.01 to 100.00 290 14,985,100.68 1.36
- -------------------------------------------- -------------------- -----------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== =======================
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Calculation Date
Combined LTV
------------
Percent of
Number of Aggregate Aggregate
Combined LTV (%) Mortgage Loans Principal Balance Principal Balance
- ------------------------------------------- -------------------- -----------------------
3.00 to 10.00 45 $934,412.00 0.08%
10.01 to 20.00 257 7,382,805.07 0.67
20.01 to 30.00 530 21,483,359.57 1.94
30.01 to 40.00 750 32,500,857.76 2.94
40.01 to 50.00 1,027 54,150,236.69 4.90
50.01 to 60.00 1,455 79,763,797.11 7.22
60.01 to 70.00 1,878 102,750,290.74 9.30
70.01 to 80.00 2,982 168,080,379.17 15.21
80.01 to 90.00 9,943 439,213,653.01 39.75
90.01 to 100.00 4,779 198,578,260.08 17.97
- ------------------------------------------- -------------------- -----------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== =======================
Maximum Loan Rate
-----------------
Percent of
Number of Aggregate Aggregate
Maximum Loan Rate (%) Mortgage Loans Principal Balance Principal Balance
- -------------------------------------------- -------------------- -----------------------
16.000 3,380 $150,222,041.73 13.60%
18.000 20,266 954,616,009.47 86.40
- -------------------------------------------- -------------------- -----------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== =======================
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Calculation Date
Statistical Calculation Date Principal Balance
----------------------------------------------
Percent of
Statistical Calculation Date Number of Aggregate Aggregate
Principal Balance ($) Mortgage Loans Principal Balance Principal Balance
- -------------------------------- ------------------- -------------------- -----------------------
5,000.00 to 10,000.00 3,362 $25,073,153.19 2.27%
10,000.01 to 20,000.00 5,517 81,639,228.62 7.39
20,000.01 to 30,000.00 3,973 98,035,532.56 8.87
30,000.01 to 40,000.00 2,455 85,206,225.79 7.71
40,000.01 to 50,000.00 1,819 81,784,088.01 7.40
50,000.01 to 75,000.00 2,621 160,112,264.28 14.49
75,000.01 to 100,000.00 1,517 133,143,109.08 12.05
100,000.01 to 150,000.00 1,220 147,782,310.26 13.38
150,000.01 to 200,000.00 518 89,297,374.34 8.08
200,000.01 to 250,000.00 288 64,543,821.42 5.84
250,000.01 to 300,000.00 122 33,250,513.89 3.01
300,000.01 to 400,000.00 127 43,507,865.72 3.94
400,000.01 to 500,000.00 57 25,255,416.33 2.29
500,000.01 to 1,000,000.00 44 29,315,122.64 2.65
1,000,000.01 to 1,615,356.50 6 6,892,025.07 0.62
- -------------------------------- ------------------- -------------------- -----------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== =======================
Remaining Draw Term
-------------------
Percent of
Number of Aggregate Aggregate
Remaining Draw Term (Months) Mortgage Loans Principal Balance Principal Balance
- ------------------------------ ------------------- -------------------- -----------------------
57 to 60 2 $59,181.74 0.01%
61 to 120 996 57,005,599.64 5.16
121 to 180 26 525,089.99 0.05
181 to 239 22,622 1,047,248,179.83 94.79
- ------------------------------ ------------------- -------------------- -----------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== =======================
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Calculation Date
Origination Date
----------------
Percent of
Number of Aggregate Aggregate
Origination Date Mortgage Loans Principal Balance Principal Balance
- --------------------------- ------------------- -------------------- -----------------------
June 2001 to May 2002 108 $4,845,905.70 0.44%
June 2002 151 7,036,913.23 0.64
July 2002 907 33,018,734.18 2.99
August 2002 5,196 220,377,723.22 19.95
September 2002 10,631 503,962,380.88 45.61
October 2002 6,653 335,596,393.99 30.38
- --------------------------- ------------------- -------------------- -----------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== =======================
FICO Score
----------
Percent of
Number of Aggregate Aggregate
FICO Score Mortgage Loans Principal Balance Principal Balance
- ------------------------ ------------------- -------------------- -----------------------
Not Available 37 $1,673,911.90 0.15%
529 to 550 8 342,559.46 0.03
551 to 575 11 474,278.65 0.04
576 to 600 55 3,635,520.64 0.33
601 to 625 491 22,530,643.07 2.04
626 to 650 1,260 58,113,389.12 5.26
651 to 675 2,256 104,811,801.32 9.49
676 to 700 3,142 153,081,346.16 13.86
701 to 725 3,651 179,880,919.58 16.28
726 to 750 3,922 182,799,452.24 16.55
751 to 775 4,319 196,416,175.61 17.78
776 to 800 3,733 168,849,721.34 15.28
801 to 825 758 32,180,661.91 2.91
826 to 833 3 47,670.20 0.00
- ------------------------ ------------------- -------------------- -----------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== =======================
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Calculation Date
Documentation Type
------------------
Percent of
Number of Aggregate Aggregate
Documentation Type Mortgage Loans Principal Balance Principal Balance
- ---------------------------------- ------------------- -------------------- ----------------------
None Required 13,535 $399,397,753.34 36.15%
Tax Returns 2,385 280,521,971.73 25.39
Year to Date Pay Stub 3,284 223,756,933.11 20.25
Waived 3,286 136,872,984.66 12.39
W2 744 42,467,294.21 3.84
Direct Deposit Taxable Income 162 9,119,233.58 0.83
Alternate Source of Income 105 7,653,845.20 0.69
Direct Deposit Non-Taxable Income 39 2,683,898.49 0.24
Unknown 106 2,364,136.88 0.21
- ---------------------------------- ------------------- -------------------- ----------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== ======================
Loan Purpose
------------
Percent of
Number of Aggregate Aggregate
Loan Purpose Mortgage Loans Principal Balance Principal Balance
- -------------------------------- ------------------- ------------------- --------------------
Debt Consolidation / Refinance 11,951 $598,892,520.44 54.21%
Other 6,984 307,060,145.72 27.79
Home Improvement 3,992 158,265,283.52 14.32
Purchase Money 719 40,620,101.52 3.68
- -------------------------------- ------------------- ------------------- --------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== =================== ====================
Property Type
-------------
Percent of
Number of Aggregate Aggregate
Property Type Mortgage Loans Principal Balance Principal Balance
- --------------------------------------- ------------------- -------------------- ---------------------
Single Family 21,810 $1,016,525,930.98 92.01%
Condominium 1,019 50,591,677.15 4.58
Multifamily 749 35,837,952.30 3.24
Manufactured Housing 66 1,740,786.29 0.16
Agricultural Property with a Residence 2 141,704.48 0.01
- --------------------------------------- ------------------- -------------------- ---------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== =====================
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Calculation Date
Location
--------
Percent of
Number of Aggregate Aggregate
Location Mortgage Loans Principal Balance Principal Balance
- ------------------------ ------------------- -------------------- --------------------
Florida 4,735 $233,632,563.00 21.15%
New Jersey 3,794 202,848,179.12 18.36
North Carolina 3,317 146,572,886.92 13.27
Pennsylvania 3,234 135,919,457.51 12.30
Virginia 2,877 110,970,741.47 10.04
Georgia 2,318 105,179,501.84 9.52
Connecticut 974 55,298,621.80 5.01
South Carolina 851 38,668,207.66 3.50
New York 595 34,929,773.02 3.16
Maryland 762 30,846,427.57 2.79
District of Columbia 116 5,645,422.18 0.51
Delaware 36 2,648,099.10 0.24
Tennessee 12 523,772.32 0.05
Alabama 7 463,829.00 0.04
Massachusetts 8 318,179.22 0.03
Rhode Island 7 254,418.10 0.02
West Virginia 2 89,940.78 0.01
Ohio 1 28,030.59 0.00
- ------------------------ ------------------- -------------------- --------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== ====================
Lien
----
Percent of
Number of Aggregate Aggregate
Lien Mortgage Loans Principal Balance Principal Balance
- ---------------------- ------------------- -------------------- -----------------------
First 7,021 $481,253,976.72 43.56%
Second 16,163 610,870,832.15 55.29
Third 462 12,713,242.33 1.15
- ---------------------- ------------------- -------------------- -----------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== =======================
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Calculation Date
Fully Indexed Gross Margin
--------------------------
Percent of
Number of Aggregate Aggregate
Fully Indexed Gross Margin (%) Mortgage Loans Principal Balance Principal Balance
- ------------------------------- ------------------- -------------------- ------------------
- -1.000 to -0.501 11 $1,369,413.99 0.12%
- -0.500 to -0.001 3,680 257,688,342.01 23.32
0.000 to 0.499 11,115 535,692,449.84 48.49
0.500 to 0.999 4,039 157,402,117.55 14.25
1.000 to 1.499 2,826 106,768,479.85 9.66
1.500 to 1.999 1,039 28,503,340.41 2.58
2.000 to 2.499 611 12,216,697.82 1.11
2.500 to 2.999 265 3,986,736.07 0.36
3.000 to 3.499 40 673,927.15 0.06
3.500 to 3.999 10 112,713.90 0.01
4.000 to 4.499 5 98,356.44 0.01
4.500 to 4.750 5 325,476.17 0.03
- ------------------------------- ------------------- -------------------- ------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== ==================
Fully Indexed Loan Rate
-----------------------
Percent of
Number of Aggregate Aggregate
Fully Indexed Loan Rate (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------- ------------------- -------------------- -----------------
3.750 to 4.249 11 $1,369,413.99 0.12%
4.250 to 4.749 3,680 257,688,342.01 23.32
4.750 to 5.249 11,115 535,692,449.84 48.49
5.250 to 5.749 4,039 157,402,117.55 14.25
5.750 to 6.249 2,826 106,768,479.85 9.66
6.250 to 6.749 1,039 28,503,340.41 2.58
6.750 to 7.249 611 12,216,697.82 1.11
7.250 to 7.749 265 3,986,736.07 0.36
7.750 to 8.249 40 673,927.15 0.06
8.250 to 8.749 10 112,713.90 0.01
8.750 to 9.249 5 98,356.44 0.01
9.250 to 9.500 5 325,476.17 0.03
- ----------------------------- ------------------- -------------------- -----------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== =================
As of the Statistical Calculation Date
Utilization Rate
----------------
Percent of
Number of Aggregate Aggregate
Utilization Rate (%) Mortgage Loans Principal Balance Principal Balance
- ---------------------- ------------------- -------------------- -----------------------
1.00 to 10.00 1,290 $11,944,282.70 1.08%
10.01 to 20.00 2,662 40,691,112.18 3.68
20.01 to 30.00 2,633 58,919,623.09 5.33
30.01 to 40.00 2,396 71,507,780.47 6.47
40.01 to 50.00 2,170 79,359,418.29 7.18
50.01 to 60.00 2,050 91,220,597.34 8.26
60.01 to 70.00 1,893 100,240,545.88 9.07
70.01 to 80.00 1,797 106,170,556.29 9.61
80.01 to 90.00 1,806 127,769,523.41 11.56
90.01 to 100.00 3,803 319,577,249.71 28.93
100.01 to 101.99 1,146 97,437,361.84 8.82
- ---------------------- ------------------- -------------------- -----------------------
Total 23,646 $1,104,838,051.20 100.00%
=================== ==================== =======================
Credit Limit
------------
Percent of
Number of Aggregate Aggregate
Credit Limit ($) Mortgage Loans Principal Balance Principal Balance
- ------------------------------- ----------------- ------------------ -------------------
7,200.00 to 10,000.00 268 $2,076,064.66 0.19%
10,000.01 to 20,000.00 1,298 15,800,963.72 1.43
20,000.01 to 30,000.00 3,098 51,141,270.72 4.63
30,000.01 to 40,000.00 2,012 45,223,352.57 4.09
40,000.01 to 50,000.00 2,580 67,979,349.06 6.15
50,000.01 to 75,000.00 3,430 117,970,858.09 10.68
75,000.01 to 100,000.00 5,834 245,698,759.55 22.24
100,000.01 to 150,000.00 2,416 164,095,115.29 14.85
150,000.01 to 200,000.00 1,071 106,203,829.15 9.61
200,000.01 to 250,000.00 960 113,984,278.62 10.32
250,000.01 to 300,000.00 172 30,782,443.74 2.79
300,000.01 to 400,000.00 224 48,684,223.87 4.41
400,000.01 to 500,000.00 189 48,597,768.91 4.40
500,000.01 to 1,000,000.00 88 40,626,911.06 3.68
1,000,000.01 to 2,000,000.00 6 5,972,862.19 0.54
- ------------------------------- --------------- -------------------- ------------------
Total 23,646 $1,104,838,051.20 100.00%
=============== ==================== ==================
BOND SUMMARY (to Call) (1)
--------------------------
Class A
- ------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 38% 50% 60% 70%
- ------------------------------------------------------------------------------------------------------------
WAL (years) 5.75 4.50 4.31 3.26 2.18 1.57 1.10
Modified Duration 5.48 4.34 4.16 3.16 2.14 1.54 1.09
(years)(2)
First Principal Payment 1/25/2006 1/25/2006 1/25/2004 5/25/2003 2/25/2003 2/25/2003 1/25/2003
Last Principal Payment 11/25/2010 7/25/2008 7/25/2008 1/25/2008 4/25/2007 7/25/2006 9/25/2005
(1) The draw rate used in each scenario is 29%.
(2) Modified duration calculated assuming a price of 100.00%.
BOND SUMMARY (to Maturity) (1)
------------------------------
Class A
- ------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 38% 50% 60% 70%
- ------------------------------------------------------------------------------------------------------------
WAL (years) 5.78 4.51 4.33 3.28 2.21 1.62 1.17
Modified Duration 5.51 4.35 4.18 3.18 2.16 1.59 1.15
(years)(2)
First Principal Payment 1/25/2006 1/25/2006 1/25/2004 5/25/2003 2/25/2003 2/25/2003 1/25/2003
Last Principal Payment 6/25/2011 10/25/2008 11/25/2008 6/25/2008 12/25/2007 8/25/2007 4/25/2007
(1) The draw rate used in each scenario is 29%.
(2) Modified duration calculated assuming a price of 100.00%.
Adjusted Net WAC Cap Schedule(1): One Month LIBOR and Prime Rate at 20%(2)
--------------------------------------------------------------------------
Payment Adjusted Payment Adjusted
Net Net
Period Date WAC Cap Period Date WAC Cap
------ ---- ------- ------ ---- -------
1 01/25/03 14.07% 32 08/25/05 21.67%
2 02/25/03 15.88% 33 09/25/05 21.71%
3 03/25/03 17.01% 34 10/25/05 22.31%
4 04/25/03 15.62% 35 11/25/05 21.80%
5 05/25/03 15.88% 36 12/25/05 22.40%
6 06/25/03 16.24% 37 01/25/06 21.90%
7 07/25/03 16.69% 38 02/25/06 21.94%
8 08/25/03 16.33% 39 03/25/06 23.76%
9 09/25/03 16.38% 40 04/25/06 22.04%
10 10/25/03 16.83% 41 05/25/06 22.64%
11 11/25/03 20.99% 42 06/25/06 22.14%
12 12/25/03 21.59% 43 07/25/06 22.75%
13 01/25/04 21.08% 44 08/25/06 22.26%
14 02/25/04 21.13% 45 09/25/06 22.32%
15 03/25/04 22.33% 46 10/25/06 22.94%
16 04/25/04 21.24% 47 11/25/06 22.46%
17 05/25/04 21.60% 48 12/25/06 23.08%
18 06/25/04 21.08% 49 01/25/07 22.62%
19 07/25/04 21.67% 50 02/25/07 22.70%
20 08/25/04 21.16% 51 03/25/07 24.57%
21 09/25/04 21.20% 52 04/25/07 22.91%
22 10/25/04 21.79% 53 05/25/07 23.58%
23 11/25/04 21.28% 54 06/25/07 23.17%
24 12/25/04 21.88% 55 07/25/07 23.87%
25 01/25/05 21.37% 56 08/25/07 23.50%
26 02/25/05 21.41% 57 09/25/07 23.71%
27 03/25/05 23.22% 58 10/25/07 24.51%
28 04/25/05 21.49% 59 11/25/07 24.27%
29 05/25/05 22.09% 60 12/25/07 25.22%
30 06/25/05 21.58% 61 1/25/08 25.19%
31 07/25/05 22.18%
(1) The Adjusted Net WAC Cap is the per annum rate equal to (i) the sum of
(a) Interest Collections (exclusive of the pro rata portion of interest
attributable to Additional Balances represented by any Additional Balance
Increase Amount) and (b) payments made under the Yield Maintenance Agreement
less (c) the amount of the premium for the policy to the Credit Enhancer,
divided by (ii) the aggregate note principal balance of the Offered Notes,
such result being adjusted to an effective rate reflecting the accrual of
interest on an actual/360 basis.
(2) Assumes that the mortgage loans prepay at 38% CPR with a 29% Draw Rate,
and that One Month LIBOR and the Prime Rate are constant at 20.00%.