Wachovia Asset Securitization Issuance Inactive
Filed: 19 Mar 03, 12:00am
Subject to Revision
Series Term Sheet Dated March 10, 2003
 |
Wachovia Asset Securitization, Inc. 2003-HE1 Trust
$1,000,000,000
(Approximate)
Wachovia Asset Securitization, Inc.
Depositor
FGIC
Credit Enhancer
Wachovia Bank, National Association
Seller and Servicer
Wachovia Asset Securitization, Inc. Asset-Backed Notes,
Series 2003-HE1
Offered Notes: Class A-1 and Class A-2
DISCLAIMER
Attached is a preliminary Series Term Sheet describing the structure, collateral pool and certain aspects of the Wachovia Asset Securitization, Inc. (WASI) 2003-HE1 Trust. The Series Term Sheet has been prepared by Wachovia Securities, Inc. based on collateral information provided by Wachovia Bank, National Association 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 The information and assumptions contained herein are preliminary and will be superseded by a prospectus supplement and by any other additional information subsequently filed with the Securities and Exchange Commission or incorporated by reference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 2003-HE1 $1,000,000,000 (approximate) |
To 10% Clean-up Call:
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Expected Expected Expected Payment Expected Rating
Class Size (1) WAL (Yrs.)(2) Window (2) Note Rate (S&P/Moody's)
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A-1 $900,000,000 3.07 7/03 - 12/07 LIBOR + [ ]%(3) AAA/Aaa
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A-2 $100,000,000 3.07 7/03 - 12/07 LIBOR + [ ]%(4) AAA/Aaa
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| (1) | Size is subject to permitted variance in the aggregate of plus or minus 10%. |
| (2) | The "Prepayment Assumption" is 43% CPR and a 34% Draw Rate. |
| (3) | The Class A-1 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 Rate. |
| (4) | The Class A-2 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 Rate. The margin for the Class A-2 Notes will be determined pursuant to the Auction Procedures as described in the Prospectus Supplement. |
To Maturity:
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Expected Expected Expected Payment Expected Rating
Class Size (1) WAL (Yrs.)(2) Window (2) Note Rate (S&P/Moody's)
- --------------------------------------------------------------------------------
A-1 $900,000,000 3.08 7/03 - 4/08 LIBOR + [ ]%(3) AAA/Aaa
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A-2 $100,000,000 3.08 7/03 - 4/08 LIBOR + [ ]%(4) AAA/Aaa
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| (1) | Size is subject to permitted variance in the aggregate of plus or minus 10%. |
| (2) | The "Prepayment Assumption" is 43% CPR and a 34% Draw Rate. |
| (3) | The Class A-1 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 Rate. |
| (4) | The Class A-2 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 Rate. The margin for the Class A-2 Notes will be determined pursuant to the Auction Procedures as described in the Prospectus Supplement. |
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
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| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
Wachovia Securities Contacts
Trading / Syndicate Phone E-mail ------------------- ----- ------ Chris Choka (704) 383-8267 chris.choka@wachovia.com Blake O'Connor (704) 715-7008 blake.oconnor@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 Jonathan Song (212) 451-2693 jonathan.song@wachovia.com Collateral Analytics -------------------- Daniel Richart (704) 374-2591 daniel.richart@wachovia.com
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
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| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
SUMMARY OF TERMS
| Title of Securities: | Wachovia Asset Securitization, Inc. Asset-Backed Notes, Series 2003-HE1 |
| Depositor: | Wachovia Asset Securitization, Inc. |
| Seller: | Wachovia Bank, National Association |
| Servicer: | Wachovia Bank, National Association |
| Credit Enhancer: | Financial Guaranty Insurance Company ("FGIC") |
| Lead Manager: | Wachovia Securities, Inc. |
| Co-Managers: | Banc One Capital Markets and JPMorgan Chase |
| Yield Maintenance Agreement Provider: |
|
| Owner Trustee: | Wilmington Trust Company |
| Indenture Trustee: | Wells Fargo Bank Minnesota, National Association |
| Auction Agent: | [Wachovia Securities, Inc.] |
| 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 (as defined herein), plus any reimbursable amounts. |
| Offered Notes: | The Class A-1 Notes and Class A-2 Notes |
| Auction Rate Notes: | The Class A-2 Notes |
| The Trust: | The depositor will establish the Wachovia Asset Securitization, Inc. 2003-HE1 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. |
| Minimum Denominations: | $25,000 and integral multiples of $1,000 in excess of that amount for the Class A-1 Notes. $25,000 and integral multiples of $25,000 in excess of that amount for the Class A-2 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: | March 1, 2003 |
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
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| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
| Expected Pricing Date: | For the Class A-1 Notes, on or about [March 13], 2003. For the Class A-2 Notes, on or about [March 18], 2003. |
| Expected Settlement Date: | On or about March 26, 2003. |
| Payment Date: | The 25th day of each month (or if such day is not a business day, the next succeeding business day) commencing on April 25, 2003. |
| Scheduled Final Payment Date: |
|
| Collection Period: | With respect to any Payment Date, the calendar month preceding the month of that Payment Date. |
| Interest Period: | The “Interest 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 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: |
|
| Subsequent Mortgage Loans: |
|
| Additional Balances: | An "Additional Balance" represents additional principal in a Mortgage Loan created by a draw. |
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
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| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
| 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. |
| Net Loan Rate: | The Net Loan Rate means, 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 Period begins, net of the Servicing Fee rate, as adjusted on the basis of the actual number of days in the related Interest Period and a 360-day year. |
| Yield Maintenance Agreement: |
|
| Net WAC Rate: | The Net WAC Rate means for each Payment Date, a fraction expressed as a per annum rate, the numerator of which is the sum of (i) the interest due on the Mortgage Loans, less the sum of (a) the servicing fee rate on the Mortgage Loans, (b) the premium rate on the Policy (as adjusted on the basis of the actual number of days in the related Interest Period and a 360-day year) and (c) the pro rata portion of interest attributable to Additional Balances represented by any Additional Balance Increase Amount and (ii) payments required to be made under the Yield Maintenance Agreement, if any, and the denominator of which is the outstanding Note Balance (as adjusted on the basis of the actual number of days in the related Interest Period and a 360-day year). |
| Net Excess Spread Percentage: |
|
| Class A-1 Margin: | The Class A-1 Margin will be [ ]% per annum. |
| Class A-2 Margin: | For the first Payment Date, the Class A-2 Margin will be [ ]% per annum. For each Payment Date thereafter, the Class A-2 Margin will be determined based upon the Auction Procedures described in the Prospectus Supplement, and will in no event exceed the Class A-1 Margin. |
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
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| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
| Class A-1 Note Rate: |
|
| Class A-2 Note Rate: |
|
| 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 principal and/or 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 principal or interest, the Servicer shall be entitled to reimburse itself from collections on the related Mortgage Loans or, if those amounts are not sufficient, by withdrawing those amounts from the custodial account prior to any distribution of amounts on deposit therein to the Offered Notes. |
| Funding Account: | On the Closing Date, the Indenture Trustee will establish the Funding Account for the benefit of the holders of the Offered Notes. On each Payment Date during the Revolving Period, the Servicer will deposit Principal Collections (to the extent not used to purchase Additional Balances and/or Subsequent Mortgage Loans, or to pay amounts in respect of any Additional Balance Increase Amount) and excess spread (to the extent not used to reimburse the Credit Enhancer, up to the amount necessary to increase the Overcollateralization Amount to the Overcollateralization Target Amount) into the Funding Account, and will apply those amounts to purchase Additional Balances arising under Mortgage Loans already included in the Trust on future Payment Dates and/or to purchase Subsequent Mortgage Loans, to the extent available. |
| Interest Collections: | Interest Collections means, with respect to any Payment Date, an amount equal to the sum of (a) the amounts collected with respect to the Mortgage Loans 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 Interest Collections allocable to the Excluded Amount, reduced by the Servicing Fees for that Collection Period, plus amounts in respect of any optional advance made by the Servicer pursuant to the terms of the servicing agreement and (b) the interest portion of (i) the repurchase price for any deleted Mortgage Loans; and (ii) the cash purchase price paid in connection with any optional purchase of the Mortgage Loans by the Servicer. |
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
6
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
| Principal Collections: | Principal Collections means, with respect to any Payment Date, an amount equal to the sum of: (a) the amount collected during the related Collection Period relative to any Mortgage Loans, including the principal portion of net liquidation proceeds, applied to principal pursuant to the terms of the related credit line agreements, exclusive of the Principal Collections allocable to the Excluded Amount; and (b) the principal portion of (i) the repurchase price for any deleted Mortgage Loans, (ii) any amounts required to be deposited in the custodial account by the Seller pursuant to the purchase agreement and (iii) the cash purchase price paid in connection with any optional purchase of the Mortgage Loans by the Servicer. |
| Net Principal Collections: |
|
| Excluded Amount: | Any draws made by an obligor under any Mortgage Loan during the Rapid Amortization Period (“Excluded Draws”) shall not be transferred to the Issuer. With respect to any Payment Date during the Rapid Amortization Period, the “Excluded Amount” shall equal (i) the portion of the Principal Collections for each Collection Period allocated to such Excluded Draw (Principal Collection are to be applied first to the total balance conveyed to the Trust with respect to such Mortgage Loan and then to the Additional Balances on such Mortgage Loan retained by the Seller) and (ii) the pro rata portion (based on the relative principal amounts held by the Trust and by the Seller) of Interest Collections allocable to such Excluded Draw, provided that the Excluded Amount with respect to any Liquidation Loss Amount shall be the pro rata portion (based on the relative principal amounts held by the Trust and by the Seller) of losses on the related Mortgage Loans during the related Collection Period attributable to Additional Balances not conveyed to the Trust; provided further that, to the extent the related credit line agreement or applicable law provides for a different allocation, such other allocation shall control. |
| Principal Distribution Amount: |
|
| Stepdown Date: | The later of (a) the thirty-first (31st) Payment Date or (b) the Payment Date on which the current aggregate principal balance of the Offered Notes is less than or equal to 50% of the principal balance of the Offered Notes as of the Closing Date. |
| Overcollateralization Amount: |
|
| Overcollateralization Target Amount: |
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
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| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
Mortgage Loan in bankruptcy that is delinquent according to the terms of the related bankruptcy plan). |
With respect to any Payment Date on or after the Stepdown Date: |
| Condition 1: | provided that (a) the Stepdown Delinquency Test has been met, (b) the two-month rolling average of the Net Excess Spread Percentage is greater than or equal to 1.00% and (c) the three-month rolling average of the Net Excess Spread Percentage is greater than or equal to 1.25%, an amount equal to the sum of (i) 2.50% of the Note Balance on such Payment Date; and (ii) 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 (including Mortgage Loans in foreclosure and REO, and any Mortgage Loan in bankruptcy that is delinquent according to the terms of the related bankruptcy plan); |
| Condition 2: | provided that (a) the Stepdown Delinquency Test has not been met or (b) the two-month rolling average of the Net Excess Spread Percentage is greater than or equal to 1.00% and the three-month rolling average of the Net Excess Spread Percentage is less than 1.25%, an amount equal to the greater of (x) the Overcollateralization Amount as of the immediately preceding payment date (however, in the case where the Overcollateralization Target Amount for the immediately preceding payment date was determined pursuant to Condition 3, the Overcollateralization Amount as of the last payment date prior to entering Condition 3) and (y) the sum of (i) 2.50% of the Note Balance on such Payment Date; and (ii) 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 (including Mortgage Loans in foreclosure and REO, and any Mortgage Loan in bankruptcy that is delinquent according to the terms of the related bankruptcy plan); |
| Condition 3: | provided that the two-month rolling average of the Net Excess Spread Percentage is less than 1.00%, an amount equal to the sum of (i) 1.25% of the Note Balance as of the Closing Date; and (ii) 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 (including Mortgage Loans in foreclosure and REO, and any Mortgage Loan in bankruptcy that is delinquent according to the terms of the related bankruptcy plan); |
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 Delinquency Test: |
|
| Prepayment Assumption: | 43% CPR, 34% 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 March 31, 2004, (b) the Payment Date on which the Funding Account balance exceeds $50,000,000, which is approximately four times the |
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
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| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
Overcollateralization Target Amount or (c) the occurrence of a rapid amortization event as specified in the Indenture. |
| Managed Amortization Period: |
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| Rapid Amortization Period: |
|
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
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| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (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 Policy and any amounts required to be paid under the Yield Maintenance Agreement), the following payments will be made in the following order of priority: |
During the Revolving Period: |
| • | 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, as provided in the Insurance Agreement; |
| • | 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 Period at the Note Rate on the Note Balance immediately prior to that Payment Date, other than any Interest Shortfalls and reduced by any Relief Act Shortfalls during the related Collection Period, and from that pro rata portion of interest attributable to Additional Balances represented by any Additional Balance Increase Amount, to pay to the holders of the Certificates, interest on the Additional Balance Increase Amount; |
| • | third, 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; |
| • | fourth, remaining Net Principal Collections to the Funding Account; |
| • | fifth, from any remaining amounts, to the Credit Enhancer, to reimburse it for prior draws made on the Policy, with interest thereon, as provided in the Insurance Agreement; |
| • | sixth, from excess spread, to the Funding Account, the amount necessary so that the Overcollateralization Amount is not less than the Overcollateralization Target Amount; |
| • | seventh, from any remaining excess spread, to the Distribution Account, for distribution to the holders of the Certificates, an amount equal to the Additional Balance Increase Amount; |
| • | eighth, from any remaining amounts, to the Credit Enhancer, any other amounts owed the Credit Enhancer pursuant to the Insurance Agreement; |
| • | ninth, 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 Note Rate; |
| • | tenth, from any remaining amounts, 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 |
| • | eleventh, any remaining amounts, to the distribution account, for distribution to the holders of the Certificates; |
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
10
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
During the Managed Amortization Period: |
| • | 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, as provided in the Insurance Agreement; |
| • | 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 Period at the Note Rate on the Note Balance immediately prior to that Payment Date, other than any Interest Shortfalls and reduced by any Relief Act Shortfalls during the related Collection Period, and from that pro rata portion of interest attributable to Additional Balances represented by any Additional Balance Increase Amount, to pay to the holders of the Certificates, interest on the Additional Balance Increase Amount; |
| • | third, 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; |
| • | fourth, from any remaining amounts, to the Note Payment Account, the Principal Distribution Amount for payment to the holders of the Class A-1 Notes and Class A-2 Notes on a pro-rata basis; |
| • | fifth, from any remaining amounts, to the Credit Enhancer, to reimburse it for prior draws made on the Policy, with interest thereon, as provided in the Insurance Agreement; |
| • | sixth, from excess spread, to the Note Payment Account, the amount necessary to be applied on that Payment Date for payment as principal to the holders of the Notes, so that the Overcollateralization Amount is not less than the Overcollateralization Target Amount; |
| • | seventh, from any remaining excess spread, to the Distribution Account, for distribution to the holders of the Certificates, an amount equal to the Additional Balance Increase Amount; |
| • | eighth, from any remaining amounts, to the Credit Enhancer, any other amounts owed the Credit Enhancer pursuant to the Insurance Agreement; |
| • | ninth, 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 Note Rate; |
| • | tenth, from any remaining amounts, 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 |
| • | eleventh, any remaining amounts, to the Distribution Account, for distribution to the holders of the Certificates; |
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
11
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
During the Rapid Amortization Period: |
| • | 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, as provided in the Insurance Agreement; |
| • | 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 Period at the Note Rate on the Note Balance immediately prior to that Payment Date, other than any Interest Shortfalls and reduced by any Relief Act Shortfalls during the related Collection Period, and from that pro rata portion of interest attributable to Additional Balances represented by any Additional Balance Increase Amount, to pay to the holders of the Certificates, interest on the Additional Balance Increase Amount; |
| • | third, from any remaining amounts, to the Note Payment Account, the Principal Distribution Amount for payment to the holders of the Class A-1 Notes and Class A-2 Notes on a pro-rata basis; |
| • | fourth, from Principal Collections, to the Distribution Account, for distribution to the holders of the Certificates, an amount equal to the Additional Balance Increase Amount; |
| • | fifth, from any remaining amounts, to the Credit Enhancer, to reimburse it for prior draws made on the Policy, with interest thereon, as provided in the Insurance Agreement; |
| • | sixth, from excess spread, to the Note Payment Account, the amount necessary to be applied on that Payment Date for payment as principal to the holders of the Notes, so that the Overcollateralization Amount is not less than the Overcollateralization Target Amount; |
| • | seventh, from any remaining excess spread, to the Distribution Account, for distribution to the holders of the Certificates, an amount equal to the Additional Balance Increase Amount; |
| • | eighth, from any remaining amounts, to the Credit Enhancer, any other amounts owed the Credit Enhancer pursuant to the Insurance Agreement; |
| • | ninth, 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 Note Rate; |
| • | tenth, from any remaining amounts, 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 |
| • | eleventh, any remaining amounts, to the Distribution Account, for distribution to the holders of the Certificates; |
provided, that on the final Payment Date, the amount to be paid pursuant to clause “third” above will be equal to the Note Balance immediately prior to that Payment Date.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
12
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Number of Initial Mortgage Loans 20,687
Total Cut-off Date Principal Balance $1,000,000,197.82
Minimum Maximum Average
------- ------- -------
Cut-off Date Principal
Balance $5,000.50 $3,000,000.00 $48,339.55
Credit Limit $5,700.00 $3,000,000.00 $81,248.87
Minimum Maximum Weighted Average
------- ------- ----------------
Combined LTV Ratio 3.00% 100.00% 77.78%
Junior Ratio 1.76% 100.00% 42.21%
Utilization Rate 1.20% 102.00% 77.00%
Credit Score 515 824 722
Remaining Term (Months) 91 239 217
Seasoning (Months) 1 145 15
Current Loan Rate 2.750% 7.250% 4.391%
Fully Indexed Gross Margin -1.500% 3.000% 0.144%
Fully Indexed Loan Rate 2.750% 7.250% 4.394%
- --------------------------------------------------------------------------------
% of Aggregate % of Aggregate
Principal Principal
Loan Purpose Balance Property Type Balance
- -------------------------------------- -------------------------------------
Debt Consolidation / Single Family 91.76
Refinance 48.28
Other 29.29 Condominium 4.36
Home Improvement 18.32 Multifamily 3.73
Purchase 4.11 Manufactured Housing 0.11
- -------------------------------------- Agricultural Property
Total 100.00 with a Residence 0.04
-------------------------------------
====================================== Total 100.00
=====================================
% of Aggregate
Principal % of Aggregate
Occupancy Status Balance Principal
- -------------------------------------- Lien Position Balance
Primary Residence 90.77 -------------------------------------
Non-Primary Residence 5.37 First 33.30
Rental Property 3.82 Second 64.35
Agricultural Property 0.04 Third 2.34
- -------------------------------------- --------------------------------------
Total 100.00 Total 100.00
====================================== ======================================
Approximately 8.31% of the Initial Mortgage loans were originated in the state of Georgia. Approximately 77.67% of these loans were originated prior to October 1, 2002. Approximately 22.33% of these loans were originated on or after October 1, 2002, but meet the guidelines for acceptable mortgage loans and therefore are not governed by the Georgia Fair Lending Act.
The maximum loan rate will be no less than 16.000% and no greater than 18.000%.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
13
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Current Loan Rate
-----------------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off Date
Current Loan Rate (%) Mortgage Loans Principal Balance Principal Balance
- --------------------- ----------------- ----------------- ---------------------
2.750 to 3.000 1 $6,548.82 0.00%
3.001 to 4.000 2,767 166,013,936.72 16.60
4.001 to 4.250 12,741 621,716,412.89 62.17
4.251 to 4.500 615 25,097,279.11 2.51
4.501 to 4.750 335 14,250,526.19 1.43
4.751 to 5.000 996 43,227,712.92 4.32
5.001 to 6.000 2,857 117,433,054.96 11.74
6.001 to 7.000 372 12,220,809.09 1.22
7.001 to 7.250 3 33,917.12 0.00
- --------------------- ----------------- ----------------- ---------------------
Total 20,687 $1,000,000,197.82 100.00%
================= ================= =====================
Junior Ratio
------------
Percentage of
Initial Mortgage
Junior Ratio Number of Initial Cut-off Date Loans by Cut-off Date
(Calculated) Mortgage Loans Principal Balance Principal Balance
- --------------------- ----------------- ----------------- ---------------------
First Lien 5,177 $333,029,368.34 33.30%
1.76 to 10.00 690 11,075,180.63 1.11
10.01 to 20.00 3,628 96,060,524.57 9.61
20.01 to 30.00 3,354 126,825,615.08 12.68
30.01 to 40.00 2,570 121,135,983.58 12.11
40.01 to 50.00 1,804 100,493,977.00 10.05
50.01 to 60.00 1,169 71,927,694.32 7.19
60.01 to 70.00 826 52,464,681.38 5.25
70.01 to 80.00 619 39,620,308.28 3.96
80.01 to 90.00 437 24,978,653.25 2.50
90.01 to 100.00 413 22,388,211.39 2.24
- --------------------- ----------------- ----------------- ---------------------
Total 20,687 $1,000,000,197.82 100.00%
================= ================= =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
14
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Combined LTV
------------
Percentage of
Initial Mortgage
Combined Loan-to- Number of Initial Cut-off Date Loans by Cut-off Date
Value Ratio (%) Mortgage Loans Principal Balance Principal Balance
- --------------------- ----------------- ----------------- ---------------------
3.00 to 10.00 51 $1,395,355.67 0.14%
10.01 to 20.00 285 7,022,888.53 0.70
20.01 to 30.00 510 16,935,212.61 1.69
30.01 to 40.00 744 37,439,338.24 3.74
40.01 to 50.00 898 47,008,868.95 4.70
50.01 to 60.00 1,253 68,705,926.01 6.87
60.01 to 70.00 1,572 95,997,427.41 9.60
70.01 to 80.00 2,475 156,169,579.45 15.62
80.01 to 90.00 8,270 374,121,478.12 37.41
90.01 to 100.00 4,629 195,204,122.83 19.52
- --------------------- ----------------- ----------------- ---------------------
Total 20,687 $1,000,000,197.82 100.00%
================= ================= =====================
FICO Score
----------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off Date
FICO Score Mortgage Loans Principal Balance Principal Balance
- --------------------- ----------------- ----------------- ---------------------
Not Available 83 $2,564,686.11 0.26%
515 to 525 2 82,007.19 0.01
526 to 550 7 326,391.29 0.03
551 to 575 15 823,943.20 0.08
576 to 600 91 7,393,682.48 0.74
601 to 625 410 18,387,360.72 1.84
626 to 650 1,117 57,104,108.77 5.71
651 to 675 2,054 107,780,466.45 10.78
676 to 700 2,881 145,813,914.65 14.58
701 to 725 3,135 166,277,590.60 16.63
726 to 750 3,333 162,351,157.80 16.24
751 to 775 3,729 170,897,525.55 17.09
776 to 800 3,216 135,332,316.61 13.53
801 to 824 614 24,865,046.40 2.49
- --------------------- ----------------- ----------------- ---------------------
Total 20,687 $1,000,000,197.82 100.00%
================= ================= =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
15
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Remaining Draw Term
-------------------
Percentage of
Initial Mortgage
Remaining Draw Term Number of Initial Cut-off Date Loans by Cut-off Date
(Months) Mortgage Loans Principal Balance Principal Balance
- --------------------- ----------------- ----------------- ---------------------
91 to 96 292 $17,186,606.87 1.72%
97 to 102 399 25,449,618.56 2.54
103 to 108 4 960,033.30 0.10
109 to 114 92 3,905,963.72 0.39
115 to 120 207 14,705,835.79 1.47
163 to 168 1 6,196.69 0.00
169 to 174 9 197,604.77 0.02
175 to 180 2 40,074.44 0.00
211 to 216 229 12,161,900.10 1.22
217 to 222 12,777 591,536,279.36 59.15
223 to 228 28 1,916,129.27 0.19
229 to 234 893 32,749,019.03 3.27
235 to 239 5,754 299,184,935.92 29.92
- --------------------- ----------------- ----------------- ---------------------
Total 20,687 $1,000,000,197.82 100.00%
================= ================= =====================
Origination Period
------------------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off Date
Origination Period Mortgage Loans Principal Balance Principal Balance
- --------------------- ----------------- ----------------- ---------------------
4th Quarter 2000 13 $982,931.97 0.10%
1st Quarter 2001 235 12,345,875.35 1.23
2nd Quarter 2001 10,031 472,117,967.34 47.21
3rd Quarter 2001 3,418 160,887,630.23 16.09
4th Quarter 2001 8 262,890.27 0.03
1st Quarter 2002 23 2,182,065.39 0.22
2nd Quarter 2002 28 1,298,529.37 0.13
3rd Quarter 2002 890 32,733,255.47 3.27
4th Quarter 2002 4,254 214,747,349.65 21.47
1st Quarter 2003 1,787 102,441,702.78 10.24
- --------------------- ----------------- ----------------- ---------------------
Total 20,687 $1,000,000,197.82 100.00%
================= ================= =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
16
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Cut-off Date Principal Balance
------------------------------
Percentage of
Initial Mortgage
Cut-off Date Number of Initial Cut-off Date Loans by Cut-off Date
Principal Balance ($) Mortgage Loans Principal Balance Principal Balance
- ---------------------------- ----------------- ----------------- ---------------------
5,000.50 to 10,000.00 2,358 $18,040,837.97 1.80%
10,000.01 to 20,000.00 4,646 70,001,407.38 7.00
20,000.01 to 30,000.00 3,651 90,872,177.60 9.09
30,000.01 to 40,000.00 2,381 83,183,954.03 8.32
40,000.01 to 50,000.00 1,724 78,089,897.49 7.81
50,000.01 to 75,000.00 2,479 152,783,194.41 15.28
75,000.01 to 100,000.00 1,699 150,816,929.76 15.08
100,000.01 to 150,000.00 858 106,841,792.41 10.68
150,000.01 to 200,000.00 386 68,178,962.04 6.82
200,000.01 to 250,000.00 189 42,804,826.44 4.28
250,000.01 to 300,000.00 98 27,007,519.11 2.70
300,000.01 to 400,000.00 97 33,443,718.94 3.34
400,000.01 to 500,000.00 67 30,464,676.75 3.05
500,000.01 to 1,000,000.00 44 30,780,820.80 3.08
1,000,000.01 to 2,000,000.00 8 11,138,648.28 1.11
2,000,000.01 to 3,000,000.00 2 5,550,834.41 0.56
- ---------------------------- ----------------- ----------------- ---------------------
Total 20,687 $1,000,000,197.82 100.00%
================= ================= =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
17
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Location
--------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off Date
Location Mortgage Loans Principal Balance Principal Balance
- --------------------- ----------------- ----------------- ---------------------
Florida 4,758 $248,531,209.10 24.85%
New Jersey 3,405 183,562,441.70 18.36
Pennsylvania 2,961 108,877,615.29 10.89
Virginia 2,625 105,528,178.67 10.55
Georgia 1,668 83,093,046.73 8.31
North Carolina 1,959 79,019,052.84 7.90
New York 879 62,396,150.52 6.24
Connecticut 974 61,161,269.14 6.12
Maryland 831 34,051,013.25 3.41
South Carolina 392 19,245,757.40 1.92
District of Columbia 115 8,000,438.81 0.80
Massachusetts 44 2,260,573.03 0.23
Tennessee 26 1,702,941.52 0.17
Alabama 17 813,773.01 0.08
Delaware 16 703,062.91 0.07
Rhode Island 8 370,371.61 0.04
Illinois 1 328,919.63 0.03
West Virginia 7 273,191.50 0.03
Michigan 1 81,191.16 0.01
- --------------------- ----------------- ----------------- ---------------------
Total 20,687 $1,000,000,197.82 100.00%
================= ================= =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
18
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Fully Indexed Gross Margin
--------------------------
Percentage of
Initial Mortgage
Fully Indexed Gross Number of Initial Cut-off Date Loans by Cut-off Date
Margin (%) Mortgage Loans Principal Balance Principal Balance
- --------------------- ----------------- ----------------- ---------------------
- -1.500 to -1.001 2 $42,635.52 0.00%
- -1.000 to -0.501 15 2,602,468.48 0.26
- -0.500 to -0.001 2,739 162,322,360.81 16.23
0.000 to 0.499 13,394 648,613,955.49 64.86
0.500 to 0.999 1,325 57,893,767.80 5.79
1.000 to 1.499 2,562 105,719,771.89 10.57
1.500 to 1.999 277 10,491,675.53 1.05
2.000 to 2.499 346 11,442,872.29 1.14
2.500 to 2.999 25 850,408.24 0.09
3.000 2 20,281.77 0.00
- --------------------- ----------------- ----------------- ---------------------
Total 20,687 $1,000,000,197.82 100.00%
================= ================= =====================
Fully Indexed Loan Rate
-----------------------
Percentage of
Initial Mortgage
Fully Indexed Loan Number of Initial Cut-off Date Loans by Cut-off Date
Rate (%) Mortgage Loans Principal Balance Principal Balance
- --------------------- ----------------- ----------------- ---------------------
2.750 to 2.999 1 $6,548.82 0.00%
3.000 to 3.499 8 1,848,070.38 0.18
3.500 to 3.999 654 33,230,465.13 3.32
4.000 to 4.499 14,901 755,189,584.05 75.52
4.500 to 4.999 882 36,889,726.94 3.69
5.000 to 5.499 3,549 147,397,885.97 14.74
5.500 to 5.999 291 12,260,496.02 1.23
6.000 to 6.499 367 12,213,602.27 1.22
6.500 to 6.999 31 929,901.12 0.09
7.000 to 7.250 3 33,917.12 0.00
- --------------------- ----------------- ----------------- ---------------------
Total 20,687 $1,000,000,197.82 100.00%
================= ================= =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
19
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Credit Limit
------------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off Date
Credit Limit ($) Mortgage Loans Principal Balance Principal Balance
- ---------------------------- ----------------- ----------------- ---------------------
5,700.00 to 10,000.00 369 $2,941,645.15 0.29%
10,000.01 to 20,000.00 1,845 24,575,024.93 2.46
20,000.01 to 30,000.00 2,770 52,647,111.48 5.26
30,000.01 to 40,000.00 1,851 47,638,231.74 4.76
40,000.01 to 50,000.00 2,604 78,125,849.26 7.81
50,000.01 to 75,000.00 3,042 121,894,395.73 12.19
75,000.01 to 100,000.00 4,754 235,117,309.41 23.51
100,000.01 to 150,000.00 1,578 120,649,426.33 12.06
150,000.01 to 200,000.00 740 77,043,850.69 7.70
200,000.01 to 250,000.00 585 75,486,335.94 7.55
250,000.01 to 300,000.00 152 26,280,016.56 2.63
300,000.01 to 400,000.00 166 37,585,550.83 3.76
400,000.01 to 500,000.00 147 43,325,125.47 4.33
500,000.01 to 1,000,000.00 67 36,000,957.22 3.60
1,000,000.01 to 2,000,000.00 15 15,138,532.67 1.51
2,000,000.01 to 3,000,000.00 2 5,550,834.41 0.56
- ---------------------------- ----------------- ----------------- ---------------------
Total 20,687 $1,000,000,197.82 100.00%
================= ================= =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
20
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Utilization Rate
----------------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off Date
Utilization Rate (%) Mortgage Loans Principal Balance Principal Balance
- --------------------- ----------------- ----------------- ---------------------
1.20 to 10.00 714 $6,851,353.15 0.69%
10.01 to 20.00 1,716 25,968,300.74 2.60
20.01 to 30.00 1,701 38,666,295.88 3.87
30.01 to 40.00 1,641 47,390,119.65 4.74
40.01 to 50.00 1,645 60,476,139.42 6.05
50.01 to 60.00 1,538 66,685,835.22 6.67
60.01 to 70.00 1,599 76,746,030.65 7.67
70.01 to 80.00 1,681 94,749,882.78 9.47
80.01 to 90.00 2,004 116,326,121.42 11.63
90.01 to 100.00 6,108 443,947,670.97 44.39
100.01 to 102.00 340 22,192,447.94 2.22
- --------------------- ----------------- ----------------- ---------------------
Total 20,687 $1,000,000,197.82 100.00%
================= ================= =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
21
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
BOND SUMMARY (to Call) (1)
--------------------------
Class A-1
- ------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- ------------------------------------------------------------------------------------------
WAL (years) 5.85 4.37 4.18 3.07 2.41 1.71 1.19
Modified Duration(2) 5.60 4.25 4.07 3.00 2.37 1.69 1.18
First Principal
Payment 04/25/06 04/25/06 04/25/06 07/25/03 06/25/03 05/25/03 04/25/03
Last Principal
Payment 05/25/11 09/25/08 04/25/08 12/25/07 07/25/07 12/25/06 03/25/06
Class A-2
- ------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- ------------------------------------------------------------------------------------------
WAL (years) 5.85 4.37 4.18 3.07 2.41 1.71 1.19
Modified Duration(2) 5.65 4.28 4.09 3.02 2.38 1.70 1.18
First Principal
Payment 04/25/06 04/25/06 04/25/06 07/25/03 06/25/03 05/25/03 04/25/03
Last Principal
Payment 05/25/11 09/25/08 04/25/08 12/25/07 07/25/07 12/25/06 03/25/06
(1) The draw rate used in each scenario is 34%.
(2) Modified duration calculated assuming a price of 100.00%.
BOND SUMMARY (to Maturity) (1)
------------------------------
Class A-1
- ------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- ------------------------------------------------------------------------------------------
WAL (years) 5.87 4.38 4.19 3.08 2.44 1.75 1.24
Modified Duration(2) 5.62 4.26 4.08 3.01 2.39 1.74 1.23
First Principal
Payment 04/25/06 04/25/06 04/25/06 07/25/03 06/25/03 05/25/03 04/25/03
Last Principal
Payment 12/25/11 12/25/08 07/25/08 04/25/08 01/25/08 10/25/07 06/25/07
Class A-2
- ------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- ------------------------------------------------------------------------------------------
WAL (years) 5.87 4.38 4.19 3.08 2.44 1.75 1.24
Modified Duration(2) 5.67 4.29 4.10 3.03 2.40 1.73 1.24
First Principal
Payment 04/25/06 04/25/06 04/25/06 07/25/03 06/25/03 05/25/03 04/25/03
Last Principal
Payment 12/25/11 12/25/08 07/25/08 04/25/08 01/25/08 10/25/07 06/25/07
(1) The draw rate used in each scenario is 34%.
(2) Modified duration calculated assuming a price of 100.00%.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
22
| Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE1 $1,000,000,000 (approximate) |
Adjusted Net WAC Rate Schedule(1): One Month LIBOR and Prime Rate at 20%(2)
---------------------------------------------------------------------------
Payment Adjusted Net Payment Adjusted Net
Period Date WAC Rate Period Date WAC Rate
------ ---- -------- ------ ---- --------
1 4/25/03 20.35% 30 9/25/05 19.85%
2 5/25/03 20.16% 31 10/25/05 20.35%
3 6/25/03 19.50% 32 11/25/05 19.85%
4 7/25/03 19.81% 33 12/25/05 20.35%
5 8/25/03 19.16% 34 1/25/06 19.85%
6 9/25/03 19.85% 35 2/25/06 19.85%
7 10/25/03 20.35% 36 3/25/06 21.45%
8 11/25/03 19.85% 37 4/25/06 19.85%
9 12/25/03 20.35% 38 5/25/06 20.35%
10 1/25/04 19.85% 39 6/25/06 19.85%
11 2/25/04 19.85% 40 7/25/06 20.35%
12 3/25/04 20.88% 41 8/25/06 19.85%
13 4/25/04 19.85% 42 9/25/06 19.85%
14 5/25/04 20.35% 43 10/25/06 20.35%
15 6/25/04 19.85% 44 11/25/06 19.85%
16 7/25/04 20.35% 45 12/25/06 20.35%
17 8/25/04 19.85% 46 1/25/07 19.85%
18 9/25/04 19.85% 47 2/25/07 19.85%
19 10/25/04 20.35% 48 3/25/07 21.45%
20 11/25/04 19.85% 49 4/25/07 19.85%
21 12/25/04 20.35% 50 5/25/07 20.35%
22 1/25/05 19.85% 51 6/25/07 19.85%
23 2/25/05 19.85% 52 7/25/07 20.35%
24 3/25/05 21.45% 53 8/25/07 19.85%
25 4/25/05 19.85% 54 9/25/07 19.85%
26 5/25/05 20.35% 55 10/25/07 20.35%
27 6/25/05 19.85% 56 11/25/07 19.85%
28 7/25/05 20.35% 57 12/25/07 20.35%
29 8/25/05 19.85%
(1) The Adjusted Net WAC Rate 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 43% CPR with a 34% Draw Rate, and that One Month LIBOR and the Prime Rate are constant at 20.00%.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
23