Wachovia Asset Securitization Issuance Inactive
Filed: 24 Jun 03, 12:00am
Subject to Revision
Series Term Sheet Dated June 9, 2003
Wachovia Asset Securitization, Inc. 2003-HE2 Trust
$1,100,000,000
(Approximate)
Wachovia Asset Securitization, Inc.
Depositor
Credit Enhancer
Wachovia Bank, National Association
Seller and Servicer
Wachovia Asset Securitization, Inc. Asset-Backed Notes,
Series 2003-HE2
DISCLAIMER
Attached is a preliminary Series Term Sheet describing the structure, collateral pool and certain aspects of the Wachovia Asset Securitization, Inc. (WASI) 2003-HE2 Trust. The Series Term Sheet has been prepared by Wachovia Securities, LLC. 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 The information and assumptions contained herein are preliminary and will be superseded by a prospectus supplement and by any other additional information subsequently filed with the Securities and Exchange Commission or incorporated by reference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 Asset-Backed Notes 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:
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- ------------- Expected Expected Expected Payment Expected
Size (1) WAL (Yrs.) Window (2) Note Rate Rating
Class (2) (S&P/Moody's)
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A-I-1* $400,000,000 3.25 11/03 - 07/08 LIBOR + []%(3) AAA/Aaa
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A-II-1 $600,000,000 3.25 11/03 - 07/08 LIBOR + []%(3) AAA/Aaa
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A-II-2 $100,000,000 3.25 11/03 - 07/08 [Auction](4) AAA/Aaa
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To Maturity:
- -------------- ---------------- -------------- ------------------ --------------- ---------------
Expected Expected Expected Payment Expected
Class Size (1) WAL (Yrs.) Window (2) Note Rate Rating
(2) (S&P/Moody's)
- -------------- ---------------- -------------- ------------------ --------------- ---------------
- -------------- ---------------- -------------- ------------------ --------------- ---------------
A-I-1* $400,000,000 3.26 11/03 - 12/08 LIBOR + []%(3) AAA/Aaa
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A-II-1 $600,000,000 3.26 11/03 - 12/08 LIBOR + []%(3) AAA/Aaa
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A-II-2 $100,000,000 3.26 11/03 - 12/08 [Auction](4) AAA/Aaa
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* The Class A-I-1 Notes are displayed for informational purposes only and are not a part of this
Series Term Sheet.
(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 Class A-I-1 and Class A-II-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-II-2 Notes will accrue interest at a rate equal to the lesser of (i) the Note
Rate as determined pursuant to the Auction Procedures as described in the Prospectus
Supplement and (ii) the Net WAC Rate.
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (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 Phone E-mail
---------------- ----- ------
Robert Perret (704) 374-4868 robert.perret@wachovia.com
Sharvin Setoodeh (704) 715-7632 sharvin.setoodeh@wachovia.com
David Lyle (704) 715-8131 david.lyle@wachovia.com
Structuring Phone E-mail
----------- ----- ------
Barbara Smith (704) 383-8614 barbaram.smith@wachovia.com
Serkan Erikci (704) 715-1263 serkan.erikci@wachovia.com
Collateral Analytics Phone E-mail
-------------------- ----- ------
Daniel Richart (704) 374-2591 daniel.richart@wachovia.com
Rating Agency Contacts
----------------------
Standard & Poor's Phone E-mail
----------------- ----- ------
Karen Kostiw (212) 438-2517 karen_kostiw@sandp.com
Moody's Phone E-mail
------- ----- ------
Karin Kelner (212) 553-7191 karin.kelner@moodys.com
Credit Enhancer Contacts
------------------------
FGIC Phone E-mail
---- ----- ------
Ben Perlman (212) 312-3285 ben.perlman@gecapital.com
Ken Rosenberg (212) 312-3255 kenneth.rosenberg@gecapital.com
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
SUMMARY OF TERMS
| Title of Securities: Depositor: Seller: Servicer: Credit Enhancer: Lead Manager: Co-Managers: Yield Maintenance Agreement Provider: Paying Agent: Owner Trustee: Indenture Trustee: Auction Agent: | Wachovia Asset Securitization, Inc. Asset-Backed Notes, Series 2003-HE2 Wachovia Asset Securitization, Inc. Wachovia Bank, National Association Wachovia Bank, National Association Financial Guaranty Insurance Company ("FGIC") Wachovia Securities, LLC. Merrill Lynch and UBS Warburg Wachovia Bank, National Association Wachovia Bank, National Association Wilmington Trust U.S. Bank National Association Wachovia Securities, LLC. |
| 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: Auction Rate Notes: | The Class A-I-1, Class A-II-1 and Class A-II-2 Notes The Class A-II-2 Notes |
| The Trust: | The depositor will establish the Wachovia Asset Securitization, Inc. 2003-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 should 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-I-1 and Class A-II-1 Notes. $25,000 and integral multiples of $25,000 in excess of that amount for the Class A-II-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. |
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
3
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
| Cut-off Date: | June 1, 2003 |
| Expected Pricing Date: | For the Class A-I-1 and Class A-II-1 Notes, on or about June [12], 2003. |
| Expected Settlement Date: | On or about July 2, 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 July 25, 2003. |
| Scheduled Final Payment Date: | The Payment Date in June 2033. |
| 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 Settlement 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 principal balance. |
| Initial Mortgage Loans: | The Mortgage Loans to be sold to the Trust will consist of two loan groups. Each loan group will consist of adjustable rate home equity revolving lines of credit evidenced by the related credit line agreements and secured by the related mortgages or deeds of trust on residential properties. See the attached collateral descriptions for additional information on the Initial Mortgage Loans as of the Cut-off Date. |
| As of the Cut-off Date, the aggregate principal balance of the mortgage loans in the first loan group (the “Group I Initial Mortgage Loans”) was approximately $400,000,100, and the aggregate principal balance of the mortgage loans in the second loan group (the “Group II Initial Mortgage Loans”) was approximately $700,000,005. The Group I Initial Mortgage Loans, together with the Group II Initial Mortgage Loans are the “Initial Mortgage Loans”. Amounts collected in respect of the mortgage loans in the first loan group will primarily be used to make payments on the Class A-I Notes, and amounts collected in respect of the mortgage loans in the second loan group will primarily be used to make payments on the Class A-II Notes. |
| Subsequent Mortgage Loans: | During the Revolving Period, the Issuer may acquire “Subsequent Mortgage Loans” (together with the Initial Mortgage Loans, the “Mortgage Loans”) for either loan group with funds on deposit in the Funding Account. Accordingly, the characteristics of the entire pool of Mortgage Loans upon the acquisition of the Subsequent Mortgage Loans may vary somewhat from the characteristics of the Initial Mortgage Loans as of the Cut-off Date as presented in this Series Term Sheet. |
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WACHOVIA SECURITIES IMMEDIATELY.
4
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
| Each Subsequent Mortgage Loan will have been underwritten substantially in accordance with the underwriting criteria set forth in the Prospectus Supplement and meet other criteria described in the Prospectus Supplement, including approval by the Credit Enhancer. |
| Additional Balances: | An "Additional Balance" represents additional principal of a Mortgage Loan created by a draw. |
| Additional Balance Increase Amount: | For each loan group on any given Payment Date, equals (a) the excess, if any, of (i) the aggregate principal amount of Additional Balances previously conveyed to the Trust, over (ii) principal collections and excess interest 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 ofThe Wall Street Journal. |
| 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: | 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 Offered Notes. On each Payment Date through and including the Payment Date in July 2008, to the extent available, funds will be distributed to the Offered Notes to cover any interest shortfall that was not covered by excess interest and to cover certain amounts owed to the Offered Notes from the current Payment Date as well as prior Payment Dates as a result of limitations on the Note Rate. |
| 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 aggregate outstanding balance of the Offered Notes (as adjusted on the basis of the actual number of days in the related Interest Period and a 360-day year). |
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WACHOVIA SECURITIES IMMEDIATELY.
5
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
| Net Excess Spread Percentage: | The Net Excess Spread Percentage means, for each Payment Date, the Net WAC Rate less a fraction expressed as a per annum rate, the numerator of which is the sum of (a) interest for the related Interest Period for the Offered Notes and (b) the pro-rata portion of the Liquidated Loss amount on the mortgage loans during the related collection period attributable to mortgage loans and Additional Balances conveyed to the Trust, and the denominator of which is the sum of the aggregate outstanding balance of the Offered Notes (as adjusted on the basis of the actual number of days in the related Interest Period and a 360-day year). |
| Class A-I-1 Margin: | The Class A-I-1 Margin will be determined on the Pricing Date. |
| Class A-II-1 Margin: | The Class A-II-1 Margin will be determined on the Pricing Date. |
| Class A-I-1 Note Rate: | With respect to each Interest Accrual Period, the lesser of (a) One Month LIBOR plus the Class A-I-1 Margin and (b) the Net WAC Rate. |
| Class A-II-1 Note Rate: | With respect to each Interest Accrual Period, the lesser of (a) One Month LIBOR plus the Class A-II-1 Margin and (b) the Net WAC Rate. |
| Class A-II-2 Note Rate: | With respect to each Interest Accrual Period, the lesser of (a) the Note Rate as determined pursuant to the Auction Procedures as described in the Prospectus Supplement and (b) the Net WAC Rate. Provided, however, that the difference between the Class A-II-2 Note Rate and One Month LIBOR for each Interest Accrual Period shall not exceed the Class A-II-1 Margin. |
| 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 Settlement Date, a Funding Account will be established for each loan group for the benefit of the holders of the related Offered Notes (the “Group I Funding Account” and the “Group II Funding Account”). The Servicer will deposit Principal Collections for the related loan group (on each Payment Date during the related Revolving Period, to the extent not used to purchase Additional Balances and/or Subsequent Mortgage Loans, or to pay amounts in respect of any related Additional Balance Increase Amount) and excess spread for the related loan group (beginning on the Payment Date in January 2004 and continuing on each Payment Date thereafter during the related Revolving Period, 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 related Funding Account, and will apply those amounts to purchase related Additional Balances arising under related Mortgage Loans already included in the Trust on future Payment Dates and/or to purchase Subsequent Mortgage Loans, to the extent available. |
| On the Payment Date immediately succeeding the date on which the related Revolving Period ends, in the event that any amounts remain on deposit in the related Funding Account after |
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WACHOVIA SECURITIES IMMEDIATELY.
6
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
| giving effect to the purchase by the Issuer of related Additional Balances and/or Subsequent Mortgage Loans, including any purchased on the date on which the related Revolving Period ends, and payments to the holders of the Certificates in respect of any related Additional Balance Increase Amount, those amounts will be paid to the holders of the related Offered Notes as principal. |
| Interest Collections: | Interest Collections means, with respect to any Payment Date and loan group, 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. |
| Principal Collections: | Principal Collections means, with respect to any Payment Date and loan group, 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: | For each loan group, 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 Subsequent Mortgage Loans purchased during the related Collection Period, if any, and conveyed to the Issuer and paid for with amounts on deposit in the Custodial Account. |
| 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 and loan group 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: | With respect to each loan group and any Payment Date (a) during the Managed Amortization Period, Net Principal Collections less amounts paid to the holders of the Certificates with respect to any Additional Balance Increase Amount and (b) during the Rapid Amortization Period, Principal Collections. |
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WACHOVIA SECURITIES IMMEDIATELY.
7
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
| 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 Settlement Date. |
| Overcollateralization Amount: | With respect to any Payment Date, the amount, if any, by which the sum of (a) the outstanding aggregate principal balance of the Mortgage Loans (exclusive of the portion relating to any Excluded Amount) and (b) the amount in the Funding Accounts, in each case as of the close of business on the last day of the related Collection Period, exceeds the balance of the Offered Notes. |
| Overcollateralization Target Amount: | With respect to any Payment Date prior to the Stepdown Date, an amount equal to the sum of (i) 1.25% of the balance of the related Offered Notes as of the Settlement 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 that are in foreclosure or are REO loans). |
| 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 1.15%, an amount equal to the sum of (i) 2.50% of the balance of the Offered Notes 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 that are in foreclosure or are REO loans); |
| 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 1.15%, 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 balance of the Offered Notes 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 that are in foreclosure or are REO loans); |
| 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 balance of the Offered Notes as of the Settlement 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 that are in foreclosure or are REO loans); |
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WACHOVIA SECURITIES IMMEDIATELY.
8
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
| provided, however, that in no event shall the Overcollateralization Target Amount be less than the greater of (x) the sum of (i) 0.50% of the balance of the Offered Notes 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 that are in foreclosure or are REO loans) and (y) the sum of the three largest outstanding Mortgage Loans (by principal balance as of such Payment Date). |
| Stepdown Delinquency Test: | With respect to any date of determination, a test that is met if the six-month rolling average sixty-day delinquency rate (including foreclosures and REO properties) on the Mortgage Loans (exclusive of the pro rata portion relating to any Excluded Amount) as of such date of determination is less than 3.50% |
| Prepayment Assumption: | 38% CPR, 29% Draw Rate. |
| Group I Revolving Period: | The Group I Revolving Period will be the period beginning on the Settlement Date and ending on the earlier of (a) the end of business on June 30, 2004, (b) the Payment Date on which the related Funding Account balance exceeds $20,000,000 (which is approximately four times the Overcollateralization Target Amount times a fraction, the numerator of which is the balance of the Class A-I-1 Notes on the Settlement Date and the denominator of which is the aggregate balance of the Offered Notes on the Settlement Date) or (c) the occurrence of a rapid amortization event as specified in the Indenture. |
| Group II Revolving Period: | The Group II Revolving Period will be the period beginning on the Settlement Date and ending on the earlier of (a) the end of business on June 30, 2004, (b) the Payment Date on which the related Funding Account balance exceeds $35,000,000 (which is approximately four times the Overcollateralization Target Amount times a fraction, the numerator of which is the sum of the balance of the Class A-II-1 and Class A-II-2 Notes on the Settlement Date and the denominator of which is the aggregate balance of the Offered Notes on the Settlement Date) or (c) the occurrence of a rapid amortization event as specified in the Indenture. |
| Managed Amortization Period: | The Managed Amortization Period will be the period beginning on the first day following the end of the Revolving Period, unless a rapid amortization event has occurred as specified in the Indenture. The Managed Amortization Period will end on the earlier of (a) June 30, 2006 and (b) the occurrence of a rapid amortization event as specified in the Indenture. |
| Rapid Amortization Period: | The Rapid Amortization Period will be the period beginning on the earlier of (a) the first day following the end of the Managed Amortization Period and (b) the occurrence of a rapid amortization event as specified in the Indenture. |
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WACHOVIA SECURITIES IMMEDIATELY.
9
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (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 for each loan group and related Offered Notes: |
| • | 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 Offered Notes, interest for the related Interest Period at the related Note Rate on the balance of the Offered Notes 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 related Additional Balance Increase Amount, to pay to the holders of the Certificates, interest on the related 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 related 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, on and after the Payment Date in January 2004, 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 related 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 related 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 excess spread from either loan group, to the Distribution Account, for distribution to the holders of the Certificates, an amount equal to the Additional Balance Increase Amount; |
| • | eleventh, 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 |
| • | twelfth, any remaining amounts, to the distribution account, for distribution to the holders of the Certificates; |
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WACHOVIA SECURITIES IMMEDIATELY.
10
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
| During the Managed Amortization Period: |
| • | first, from Interest Collections for each loan group (exclusive of the pro rata portion of interest attributable to Additional Balances represented by any Additional Balance Increase Amount), the amount of the related 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 for each loan group (exclusive of the pro rata portion of interest attributable to Additional Balances represented by any related Additional Balance Increase Amount), to the Note Payment Account, for payment to the holders of the related Notes, interest for the related Interest Period at the related Note Rate on the balance of the related Offered Notes 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 related Additional Balance Increase Amount, to pay to the holders of the Certificates, interest on the related Additional Balance Increase Amount; |
| • | third, from Net Principal Collections for each loan group, to the Distribution Account, for distribution to the holders of the Certificates, an amount equal to the related Additional Balance Increase Amount; |
| • | fourth, (i) from any remaining amounts related to the mortgage loans in Group I, to the Note Payment Account, the Principal Distribution Amount for payment to the holders of the Class A-I-1 Notes, and (ii) from any remaining amounts related to the mortgage loans in Group II, to the Note Payment Account, the Principal Distribution Amount for payment to the holders of the Class A-II-1 and Class A-II-2, pro rata; |
| • | fifth, from any remaining amounts, to the Credit Enhancer, to reimburse it for prior related draws made on the Policy, with interest thereon, as provided in the Insurance Agreement; |
| • | sixth, from excess spread for each loan group, to the Note Payment Account, the amount necessary to be applied on that Payment Date for payment as principal to the holders of the related Notes, so that the Overcollateralization Amount is not less than the Overcollateralization Target Amount; |
| • | seventh, from any remaining excess spread for each loan group, to the Distribution Account, for distribution to the holders of the Certificates, an amount equal to the related 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 from each loan group, to the Note Payment Account, for payment to the holders of the related Notes, any interest shortfalls on the related Notes for such Payment Date and for any Payment Date not previously paid, together with interest thereon at the related Note Rate; |
| • | tenth, 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; |
| • | eleventh, 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 |
| • | twelfth, any remaining amounts, to the Distribution Account, for distribution to the holders of the Certificates; |
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WACHOVIA SECURITIES IMMEDIATELY.
11
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
| During the Rapid Amortization Period: |
| • | first, from Interest Collections for each loan group (exclusive of the pro rata portion of interest attributable to Additional Balances represented by any Additional Balance Increase Amount), the amount of the related 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 for each loan group (exclusive of the pro rata portion of interest attributable to Additional Balances represented by any related Additional Balance Increase Amount), to the Note Payment Account, for payment to the holders of the related Notes, interest for the related Interest Period at the related Note Rate on the balance of the related Offered Notes 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 related Additional Balance Increase Amount, to pay to the holders of the Certificates, interest on the related Additional Balance Increase Amount; |
| • | third, (i) from any remaining amounts related to the mortgage loans in Group I, to the Note Payment Account, the Principal Distribution Amount for payment to the holders of the Class A-I-1 Notes, until the note balance of the Class A-I-1 Notes has been reduced to zero, and (ii) from any remaining amounts related to the mortgage loans in Group II, to the Note Payment Account, the Principal Distribution Amount for payment to the holders of the Class A-II-1 and Class A-II-2 Notes, pro rata, until the note balance of the Class A-II-1 and Class A-II-2 Notes have been reduced to zero; |
| • | fourth, (i) if the note balance of the Class A-I-1 Notes has been reduced to zero, from any remaining amounts related to the mortgage loans in Group I, to the Note Payment Account, the Principal Distribution Amount for payment to the holders of the Class A-II-1 and Class A-II-2 Notes, pro rata, until the note balance of the Class A-II-1 and Class A-II-2 Notes have been reduced to zero, or (ii) if the note balance of the Class A-II-1 and Class A-II-2 Notes have been reduced to zero, from any remaining amounts related to the mortgage loans in Group II, to the Note Payment Account, the Principal Distribution Amount for payment to the holders of the Class A-I-1 Notes until the note balance of the Class A-I-1 Notes has been reduced to zero; |
| • | fifth, from Principal Collections, to the Distribution Account, for distribution to the holders of the Certificates, an amount equal to the related Additional Balance Increase Amount; |
| • | sixth , from any remaining amounts, to the Credit Enhancer, to reimburse it for prior related draws made on the Policy, with interest thereon, as provided in the Insurance Agreement; |
| • | seventh , from excess spread for each loan group, to the Note Payment Account, the amount necessary to be applied on that Payment Date for payment as principal to the holders of the related Notes, so that the Overcollateralization Amount is not less than the Overcollateralization Target Amount; |
| • | eighth, from any remaining excess spread for each loan group, to the Distribution Account, for distribution to the holders of the Certificates, an amount equal to the related Additional Balance Increase Amount; |
| • | ninth, from any remaining amounts, to the Credit Enhancer, any other amounts owed the Credit Enhancer pursuant to the Insurance Agreement; |
| • | tenth, from any remaining excess spread from each loan group, to the Note Payment Account, for payment to the holders of the related Notes, any interest shortfalls on the related Notes for such Payment Date and for any Payment Date not previously paid, together with interest thereon at the related Note Rate; |
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WACHOVIA SECURITIES IMMEDIATELY.
12
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
| • | eleventh, 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; |
| • | twelfth, 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 |
| • | thirteenth, any remaining amounts, to the Distribution Account, for distribution to the holders of the Certificates; |
provided, that on any Payment Date, amounts to be paid pursuant to clauses “third” and “fourth” above may not exceed the related note balance immediately prior to that Payment Date.
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WACHOVIA SECURITIES IMMEDIATELY.
13
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Number of Initial Mortgage 21,114
Loans
Total Principal Balance $1,100,000,104.50
Minimum Maximum Average
------- ------- -------
Principal Balance $5,000.91 $1,836,474.71 $52,098.14
Credit Limit $5,500.00 $2,000,000.00 $92,046.51
Minimum Maximum Weighted Average
------- ------- ----------------
Combined LTV Ratio 2.00% 100.00% 77.34%
Junior Ratio 1.59% 100.00% 40.39%
Utilization Rate 1.70% 100.00% 74.37%
Credit Score 483 821 727
Remaining Term (Months) 99 239 228
Seasoning (Months) 1 23 5
Current Loan Rate 3.000% 6.850% 4.274%
Fully Indexed Gross Margin -1.250% 4.750% 0.188%
Fully Indexed Loan Rate 3.000% 9.000% 4.438%
Maximum Lifetime Rate 16.000% 18.000% 17.714%
- --------------------------------------------------------------------------------------------------------
% of Aggregate % of Aggregate
Loan Purpose Principal Balance Property Type Principal Balance
- -------------------------------------------------- ------------------------------------------------
Debt Consolidation / Refinance 54.67 Single Family 91.23
Other 27.71 Condominium 4.33
Home Improvement 14.75 Multifamily 4.26
Manufactured
Purchase 2.88 Housing 0.16
- --------------------------------------------------
Total 100.00 Agricultural Property with a
Residence 0.02
==================================================
------------------------------------------------
Total 100.00
================================================
% of Aggregate
Occupancy Status Principal Balance % of Aggregate
- --------------------------------------------------
Primary Residence 88.70 Lien Position Principal Balance
------------------------------------------------
Non-Primary Residence 6.85 First 44.82
Rental Property 4.43 Second 54.03
Agricultural Property 0.02 Third 1.16
- -------------------------------------------------- ------------------------------------------------
Total 100.00 Total 100.00
================================================== ================================================
Approximately 5.05% of the Initial Mortgage loans were originated in the state of Georgia.
Approximately 10.09% of these loans were originated prior to October 1, 2002, and approximately
10.35% of these loans were originated on or after March 7, 2003. Approximately 79.56% of these
loans were originated on or after October 1, 2002 and before March 7, 2003, but meet the
guidelines for acceptable mortgage loans and therefore are not governed by the Georgia Fair
Lending Act.
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WACHOVIA SECURITIES IMMEDIATELY.
14
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (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
- ----------------------------------- ------------------- ------------------ ---------------------
3.000 to 4.000 3,864 $298,256,007.35 27.11%
4.001 to 4.250 14,197 677,282,315.41 61.57
4.251 to 4.500 30 1,427,558.57 0.13
4.501 to 4.750 25 997,005.22 0.09
4.751 to 5.000 118 12,065,036.64 1.10
5.001 to 6.000 2,850 109,461,115.41 9.95
6.001 to 6.850 30 511,065.90 0.05
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 21,114 $1,100,000,104.50 100.00%
=================== ================== =====================
Junior Ratio
------------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Junior Ratio Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
First Lien 6,496 $493,007,502.14 44.82%
1.59 to 10.00 713 11,698,100.83 1.06
10.01 to 20.00 3,650 103,450,629.10 9.40
20.01 to 30.00 3,323 128,234,067.21 11.66
30.01 to 40.00 2,234 100,229,854.45 9.11
40.01 to 50.00 1,639 84,495,970.44 7.68
50.01 to 60.00 1,012 59,079,777.65 5.37
60.01 to 70.00 749 46,748,263.39 4.25
70.01 to 80.00 538 34,293,122.25 3.12
80.01 to 90.00 363 21,403,408.44 1.95
90.01 to 100.00 397 17,359,408.60 1.58
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 21,114 $1,100,000,104.50 100.00%
=================== ================== =====================
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WACHOVIA SECURITIES IMMEDIATELY.
15
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Combined LTV
------------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Combined Loan-to-Value Ratio (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
2.00 to 10.00 79 $1,743,164.74 0.16%
10.01 to 20.00 324 9,845,041.25 0.90
20.01 to 30.00 497 20,191,132.13 1.84
30.01 to 40.00 652 35,663,065.50 3.24
40.01 to 50.00 910 53,911,122.96 4.90
50.01 to 60.00 1,289 74,850,893.19 6.80
60.01 to 70.00 1,828 113,037,138.25 10.28
70.01 to 80.00 2,558 173,023,007.46 15.73
80.01 to 90.00 8,757 427,824,243.04 38.89
90.01 to 100.00 4,220 189,911,295.98 17.26
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 21,114 $1,100,000,104.50 100.00%
=================== ================== =====================
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 181 $5,226,760.03 0.48%
483 to 500 2 169,560.92 0.02
501 to 525 1 31,140.60 *
526 to 550 2 128,783.53 0.01
551 to 575 11 862,776.37 0.08
576 to 600 45 2,849,225.67 0.26
601 to 625 387 23,829,350.82 2.17
626 to 650 959 50,511,368.19 4.59
651 to 675 1,951 107,804,709.15 9.80
676 to 700 2,714 145,384,561.09 13.22
701 to 725 3,187 169,698,144.95 15.43
726 to 750 3,458 180,853,422.50 16.44
751 to 775 4,002 207,347,975.43 18.85
776 to 800 3,488 172,158,802.24 15.65
801 to 821 726 33,143,523.01 3.01
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 21,114 $1,100,000,104.50 100.00%
=================== ================== =====================
* Less than 0.005% but greater than 0.
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-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Remaining Draw Term
-------------------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Remaining Draw Term (Months) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
99 to 102 2 $1,047,070.03 0.10%
103 to 108 33 1,702,490.53 0.15
109 to 114 422 28,555,252.56 2.60
115 to 120 467 30,193,852.12 2.74
163 to 168 6 96,454.17 0.01
169 to 174 13 236,849.04 0.02
217 to 222 6 157,881.35 0.01
223 to 228 103 4,438,237.28 0.40
229 to 234 9,318 462,791,674.69 42.07
235 to 239 10,744 570,780,342.73 51.89
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 21,114 $1,100,000,104.50 100.00%
=================== ================== =====================
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
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
3rd Quarter 2001 2 $55,944.92 0.01%
4th Quarter 2001 5 1,054,665.35 0.10
1st Quarter 2002 37 1,747,410.37 0.16
2nd Quarter 2002 72 3,340,357.02 0.30
3rd Quarter 2002 1,331 47,823,226.23 4.35
4th Quarter 2002 8,447 444,139,131.90 40.38
1st Quarter 2003 11,107 595,700,663.95 54.15
2nd Quarter 2003 113 6,138,704.76 0.56
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 21,114 $1,100,000,104.50 100.00%
=================== ================== =====================
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WACHOVIA SECURITIES IMMEDIATELY.
17
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Cut-off Date Principal Balance
------------------------------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Cut-off Date Principal Balance ($) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
5,000.91 to 10,000.00 2,344 $18,248,202.27 1.66%
10,000.01 to 20,000.00 4,570 68,428,909.25 6.22
20,000.01 to 30,000.00 3,586 88,949,116.25 8.09
30,000.01 to 40,000.00 2,368 82,406,195.08 7.49
40,000.01 to 50,000.00 1,688 76,194,887.19 6.93
50,000.01 to 75,000.00 2,428 149,213,078.59 13.56
75,000.01 to 100,000.00 1,742 154,612,656.64 14.06
100,000.01 to 150,000.00 1,210 149,826,235.32 13.62
150,000.01 to 200,000.00 487 84,723,695.66 7.70
200,000.01 to 250,000.00 297 67,435,249.14 6.13
250,000.01 to 300,000.00 131 35,945,925.94 3.27
300,000.01 to 400,000.00 134 45,741,763.77 4.16
400,000.01 to 500,000.00 73 33,077,703.19 3.01
500,000.01 to 1,000,000.00 46 31,532,024.98 2.87
1,000,000.01 to 1,836,474.71 10 13,664,461.23 1.24
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 21,114 $1,100,000,104.50 100.00%
=================== ================== =====================
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18
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (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
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
New Jersey 3,778 $228,119,687.98 20.74%
Florida 4,282 224,345,305.61 20.40
North Carolina 3,257 154,298,251.00 14.03
Pennsylvania 3,094 144,267,096.53 13.12
Virginia 2,783 114,266,985.10 10.39
Connecticut 907 58,701,221.14 5.34
Georgia 785 55,496,178.05 5.05
New York 529 39,793,046.05 3.62
South Carolina 840 38,212,464.41 3.47
Maryland 686 33,293,007.10 3.03
District of Columbia 101 5,414,125.52 0.49
Delaware 21 1,535,987.37 0.14
Massachusetts 20 721,280.64 0.07
Alabama 7 709,681.86 0.06
Tennessee 9 419,913.75 0.04
Rhode Island 13 358,946.97 0.03
West Virginia 2 46,925.42 *
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 21,114 $1,100,000,104.50 100.00%
=================== ================== =====================
* Less than 0.005% but greater than 0.
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19
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Fully Indexed Gross Margin
--------------------------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Fully Indexed Gross Margin (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
-1.250 to -1.001 1 $1,120,000.00 0.10%
-1.000 to -0.501 10 1,706,206.81 0.16
-0.500 to -0.001 4,100 308,955,470.60 28.09
0.000 to 0.499 9,876 513,533,167.67 46.68
0.500 to 0.999 3,017 133,848,810.55 12.17
1.000 to 1.499 2,520 101,618,136.57 9.24
1.500 to 1.999 801 25,021,682.18 2.27
2.000 to 2.499 558 10,786,078.20 0.98
2.500 to 2.999 183 2,542,470.31 0.23
3.000 to 3.499 35 518,595.06 0.05
3.500 to 3.999 6 103,628.32 0.01
4.000 to 4.499 4 158,201.36 0.01
4.500 to 4.750 3 87,656.87 0.01
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 21,114 $1,100,000,104.50 100.00%
=================== ================== =====================
Fully Indexed Loan Rate
-----------------------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Fully Indexed Loan Rates (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
3.000 to 3.499 7 $2,376,972.41 0.22%
3.500 to 3.999 1,057 71,917,822.87 6.54
4.000 to 4.499 9,287 601,217,961.11 54.66
4.500 to 4.999 5,755 235,411,671.00 21.40
5.000 to 5.499 2,230 109,936,351.12 9.99
5.500 to 5.999 1,771 57,593,371.85 5.24
6.000 to 6.499 463 12,895,689.84 1.17
6.500 to 6.999 463 7,361,479.02 0.67
7.000 to 7.499 61 819,868.97 0.07
7.500 to 7.999 11 189,012.28 0.02
8.000 to 8.499 5 170,241.16 0.02
8.500 to 9.000 4 109,662.87 0.01
- ----------------------------------- ------------------- ------------------ ---------------------
Total 21,114 $1,100,000,104.50 100.00%
=================== ================== =====================
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WACHOVIA SECURITIES IMMEDIATELY.
20
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Cut-off Date
Credit Limit
------------
Percentage of
Initial Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Credit Limit ($) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
5,500.00 to 10,000.00 280 $2,222,960.29 0.20%
10,000.01 to 20,000.00 1,157 14,464,484.71 1.31
20,000.01 to 30,000.00 2,659 47,125,483.06 4.28
30,000.01 to 40,000.00 1,789 42,993,743.54 3.91
40,000.01 to 50,000.00 2,232 63,118,308.27 5.74
50,000.01 to 75,000.00 2,815 104,185,456.48 9.47
75,000.01 to 100,000.00 5,334 248,269,547.33 22.57
100,000.01 to 150,000.00 2,364 169,944,119.20 15.45
150,000.01 to 200,000.00 903 93,820,890.97 8.53
200,000.01 to 250,000.00 899 114,974,092.92 10.45
250,000.01 to 300,000.00 174 34,931,894.69 3.18
300,000.01 to 400,000.00 216 50,570,061.63 4.60
400,000.01 to 500,000.00 189 57,584,855.85 5.23
500,000.01 to 1,000,000.00 88 39,207,599.05 3.56
1,000,000.01 to 2,000,000.00 15 16,586,606.51 1.51
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 21,114 $1,100,000,104.50 100.00%
=================== ================== =====================
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21
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (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
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
1.70 to 10.00 847 $8,452,782.23 0.77%
10.01 to 20.00 2,048 33,601,238.43 3.05
20.01 to 30.00 2,008 49,399,076.51 4.49
30.01 to 40.00 2,079 62,737,111.63 5.70
40.01 to 50.00 1,811 69,917,619.10 6.36
50.01 to 60.00 1,670 78,476,825.82 7.13
60.01 to 70.00 1,675 93,032,838.06 8.46
70.01 to 80.00 1,779 115,282,684.97 10.48
80.01 to 90.00 2,042 144,365,545.52 13.12
90.01 to 100.00 5,155 444,734,382.23 40.43
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 21,114 $1,100,000,104.50 100.00%
=================== ================== =====================
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22
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP I INITIAL MORTGAGE LOANS
As of the Cut-off Date
Number of Initial Mortgage 9,360
Loans
Total Principal Balance $400,000,099.85
Minimum Maximum Average
------- ------- -------
Principal Balance $5,000.96 $308,322.43 $42,735.05
Credit Limit $7,200.00 $322,500.00 $75,115.91
Minimum Maximum Weighted Average
------- ------- ----------------
Combined LTV Ratio 2.00% 100.00% 77.23%
Junior Ratio 3.31% 100.00% 40.17%
Utilization Rate 2.26% 100.00% 73.46%
Credit Score 501 821 727
Remaining Term (Months) 110 239 231
Seasoning (Months) 1 14 5
Current Loan Rate 3.490% 6.850% 4.277%
Fully Indexed Gross Margin -0.760% 4.750% 0.209%
Fully Indexed Loan Rate 3.490% 9.000% 4.459%
Maximum Lifetime Rate 16.000% 18.000% 17.682%
- --------------------------------------------------------------------------------------------------------
% of Aggregate % of Aggregate
Loan Purpose Principal Balance Property Type Principal Balance
- -------------------------------------------------- ------------------------------------------------
Debt Consolidation / Refinance 59.79 Single Family 89.76
Other 24.34 Condominium 5.28
Home Improvement 14.04 Multifamily 4.72
Manufactured
Purchase 1.84 Housing 0.24
- --------------------------------------------------
Total 100.00 Agricultural Property with a
Residence 0.00
==================================================
------------------------------------------------
Total 100.00
================================================
% of Aggregate
Occupancy Status Principal Balance % of Aggregate
- --------------------------------------------------
Primary Residence 89.55 Lien Position Principal Balance
------------------------------------------------
Non-Primary Residence 5.59 First 54.80
Rental Property 4.86 Second 44.20
Agricultural Property 0.00 Third 1.00
- -------------------------------------------------- ------------------------------------------------
Total 100.00 Total 100.00
================================================== ================================================
Approximately 0.15% of the Group I Initial Mortgage loans were originated in the state of
Georgia. 100.00% of these loans were originated on or after March 7, 2003.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
23
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP I INITIAL MORTGAGE LOANS
As of the Cut-off Date
Current Loan Rate
-----------------
Percentage of
Initial
Group I Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Current Loan Rate (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
3.490 to 4.000 1,713 $107,956,515.05 26.99%
4.001 to 4.250 6,212 246,674,601.24 61.67
4.251 to 4.500 10 296,671.57 0.07
4.501 to 4.750 10 177,299.88 0.04
4.751 to 5.000 36 3,314,352.35 0.83
5.001 to 6.000 1,366 41,334,298.30 10.33
6.001 to 6.850 13 246,361.46 0.06
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 9,360 $400,000,099.85 100.00%
=================== ================== =====================
Junior Ratio
------------
Percentage of
Initial
Group I Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Junior Ratio Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
First Lien 3,315 $219,197,751.60 54.80%
3.31 to 10.00 292 3,747,025.94 0.94
10.01 to 20.00 1,524 30,597,807.17 7.65
20.01 to 30.00 1,306 34,729,401.41 8.68
30.01 to 40.00 956 31,600,426.74 7.90
40.01 to 50.00 716 28,935,649.34 7.23
50.01 to 60.00 424 18,510,382.67 4.63
60.01 to 70.00 316 14,404,250.19 3.60
70.01 to 80.00 207 7,505,089.68 1.88
80.01 to 90.00 142 5,520,216.86 1.38
90.01 to 100.00 162 5,252,098.25 1.31
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 9,360 $400,000,099.85 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
24
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP I INITIAL MORTGAGE LOANS
As of the Cut-off Date
Combined LTV
------------
Percentage of
Initial
Group I Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Combined Loan-to-Value Ratio (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
2.00 to 10.00 26 $496,625.63 0.12%
10.01 to 20.00 169 5,250,182.33 1.31
20.01 to 30.00 239 8,383,397.84 2.10
30.01 to 40.00 310 13,124,380.66 3.28
40.01 to 50.00 430 21,797,557.77 5.45
50.01 to 60.00 575 27,610,259.09 6.90
60.01 to 70.00 826 41,600,114.68 10.40
70.01 to 80.00 1,107 55,425,381.25 13.86
80.01 to 90.00 3,722 155,899,967.17 38.97
90.01 to 100.00 1,956 70,412,233.43 17.60
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 9,360 $400,000,099.85 100.00%
=================== ================== =====================
FICO Score
----------
Percentage of
Initial
Group I Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
FICO Score Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Not Available 79 $2,253,162.04 0.56%
501 to 525 1 31,140.60 0.01
526 to 550 1 16,352.28 *
551 to 575 4 277,425.57 0.07
576 to 600 25 1,350,983.46 0.34
601 to 625 180 6,921,568.43 1.73
626 to 650 446 16,466,960.08 4.12
651 to 675 912 38,048,723.06 9.51
676 to 700 1,346 59,475,079.10 14.87
701 to 725 1,510 65,437,442.76 16.36
726 to 750 1,477 64,482,592.88 16.12
751 to 775 1,596 68,514,465.79 17.13
776 to 800 1,479 64,026,750.95 16.01
801 to 821 304 12,697,452.85 3.17
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 9,360 $400,000,099.85 100.00%
=================== ================== =====================
* Less than 0.005% but greater than 0
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
25
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP I INITIAL MORTGAGE LOANS
As of the Cut-off Date
Remaining Draw Term
-------------------
Percentage of
Initial
Group I Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Remaining Draw Term (Months) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
110 to 114 117 $5,679,700.21 1.42%
115 to 120 221 9,729,344.81 2.43
223 to 228 1 5,624.26 *
229 to 234 2,783 119,362,588.44 29.84
235 to 239 6,238 265,222,842.13 66.31
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 9,360 $400,000,099.85 100.00%
=================== ================== =====================
* Less than 0.005% but greater than 0.
Origination Period
------------------
Percentage of
Initial
Group I Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Origination Period Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
2nd Quarter 2002 1 $5,624.26 *%
3rd Quarter 2002 6 115,346.25 0.03
4th Quarter 2002 2,891 124,717,466.26 31.18
1st Quarter 2003 6,391 271,737,174.00 67.93
2nd Quarter 2003 71 3,424,489.08 0.86
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 9,360 $400,000,099.85 100.00%
=================== ================== =====================
* Less than 0.005% but greater than 0.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
26
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP I INITIAL MORTGAGE LOANS
As of the Cut-off Date
Cut-off Date Principal Balance
------------------------------
Percentage of
Initial
Group I Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Cut-off Date Principal Balance ($) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
5,000.96 to 10,000.00 1,025 $7,999,260.30 2.00%
10,000.01 to 20,000.00 2,202 33,014,577.33 8.25
20,000.01 to 30,000.00 1,748 43,375,870.78 10.84
30,000.01 to 40,000.00 1,100 38,252,425.11 9.56
40,000.01 to 50,000.00 768 34,675,821.63 8.67
50,000.01 to 75,000.00 1,048 64,226,619.73 16.06
75,000.01 to 100,000.00 695 61,620,244.06 15.41
100,000.01 to 150,000.00 490 60,635,450.22 15.16
150,000.01 to 200,000.00 173 29,940,427.15 7.49
200,000.01 to 250,000.00 88 19,913,080.64 4.98
250,000.01 to 300,000.00 21 5,731,792.32 1.43
300,000.01 to 308,322.43 2 614,530.58 0.15
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 9,360 $400,000,099.85 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
27
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP I INITIAL MORTGAGE LOANS
As of the Cut-off Date
Location
--------
Percentage of
Initial
Group I Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Location Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Florida 2,076 $88,888,119.74 22.22%
New Jersey 1,640 84,708,424.21 21.18
Pennsylvania 1,512 63,714,949.95 15.93
North Carolina 1,568 62,360,758.29 15.59
Virginia 1,302 47,467,333.31 11.87
Connecticut 332 15,068,255.63 3.77
South Carolina 379 13,366,330.99 3.34
Maryland 291 11,151,043.34 2.79
New York 179 9,268,516.29 2.32
District of Columbia 41 2,052,019.15 0.51
Georgia 9 584,910.25 0.15
Delaware 10 574,153.05 0.14
Tennessee 9 419,913.75 0.10
Massachusetts 7 200,929.03 0.05
Rhode Island 3 127,533.67 0.03
Alabama 2 46,909.20 0.01
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 9,360 $400,000,099.85 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
28
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP I INITIAL MORTGAGE LOANS
As of the Cut-off Date
Fully Indexed Gross Margin
--------------------------
Percentage of
Initial
Group I Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Fully Indexed Gross Margin (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
-0.760 to -0.501 1 $57,499.00 0.01%
-0.500 to -0.001 1,824 114,330,404.93 28.58
0.000 to 0.499 4,272 183,144,750.06 45.79
0.500 to 0.999 1,310 48,451,512.55 12.11
1.000 to 1.499 1,133 37,568,476.89 9.39
1.500 to 1.999 378 9,098,987.82 2.27
2.000 to 2.499 311 5,451,364.74 1.36
2.500 to 2.999 103 1,457,070.40 0.36
3.000 to 3.499 22 319,026.71 0.08
3.500 to 3.999 3 45,500.15 0.01
4.000 to 4.499 2 67,018.37 0.02
4.500 to 4.750 1 8,488.23 *
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 9,360 $400,000,099.85 100.00%
=================== ================== =====================
* Less than 0.005% but greater than 0.
Fully Indexed Loan Rate
-----------------------
Percentage of
Initial
Group I Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Fully Indexed Loan Rates (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
3.490 to 3.499 1 $57,499.00 0.01%
3.500 to 3.999 511 26,468,080.72 6.62
4.000 to 4.499 3,927 208,842,015.28 52.21
4.500 to 4.999 2,601 94,353,574.88 23.59
5.000 to 5.499 927 37,188,851.20 9.30
5.500 to 5.999 847 23,233,642.27 5.81
6.000 to 6.499 237 5,277,283.13 1.32
6.500 to 6.999 261 3,891,476.14 0.97
7.000 to 7.499 38 502,413.11 0.13
7.500 to 7.999 6 88,302.48 0.02
8.000 to 8.499 3 88,473.41 0.02
9.000 to 9.000 1 8,488.23 *
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 9,360 $400,000,099.85 100.00%
=================== ================== =====================
* Less than 0.005% but greater than 0.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
29
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP I INITIAL MORTGAGE LOANS
As of the Cut-off Date
Credit Limit
------------
Percentage of
Initial
Group I Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Credit Limit ($) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
7,200.00 to 10,000.00 135 $1,094,993.24 0.27%
10,000.01 to 20,000.00 621 7,822,973.43 1.96
20,000.01 to 30,000.00 1,412 25,224,449.94 6.31
30,000.01 to 40,000.00 880 21,107,709.66 5.28
40,000.01 to 50,000.00 1,079 31,360,483.98 7.84
50,000.01 to 75,000.00 1,304 48,355,694.22 12.09
75,000.01 to 100,000.00 2,275 104,653,946.03 26.16
100,000.01 to 150,000.00 1,023 75,858,643.08 18.96
150,000.01 to 200,000.00 297 34,752,007.35 8.69
200,000.01 to 250,000.00 281 39,124,866.52 9.78
250,000.01 to 300,000.00 41 8,416,763.50 2.10
300,000.01 to 322,500.00 12 2,227,568.90 0.56
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 9,360 $400,000,099.85 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
30
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP I INITIAL MORTGAGE LOANS
As of the Cut-off Date
Utilization Rate
----------------
Percentage of
Initial
Group I Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Utilization Rate (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
2.26 to 10.00 293 $2,576,544.03 0.64%
10.01 to 20.00 796 11,595,567.87 2.90
20.01 to 30.00 835 17,720,588.27 4.43
30.01 to 40.00 940 25,297,530.04 6.32
40.01 to 50.00 828 27,012,146.33 6.75
50.01 to 60.00 767 30,362,050.04 7.59
60.01 to 70.00 782 35,969,038.21 8.99
70.01 to 80.00 839 41,743,181.88 10.44
80.01 to 90.00 968 55,951,105.29 13.99
90.01 to 100.00 2,312 151,772,347.89 37.94
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 9,360 $400,000,099.85 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
31
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP II INITIAL MORTGAGE LOANS
As of the Cut-off Date
Number of Initial Mortgage 11,754
Loans
Total Principal Balance $700,000,004.65
Minimum Maximum Average
------- ------- -------
Principal Balance $5,000.91 $1,836,474.71 $59,554.19
Credit Limit $5,500.00 $2,000,000.00 $105,528.76
Minimum Maximum Weighted Average
------- ------- ----------------
Combined LTV Ratio 4.00% 100.00% 77.40%
Junior Ratio 1.59% 100.00% 40.49%
Utilization Rate 1.70% 100.00% 74.89%
Credit Score 483 821 727
Remaining Term (Months) 99 239 226
Seasoning (Months) 1 23 6
Current Loan Rate 3.000% 6.500% 4.272%
Fully Indexed Gross Margin -1.250% 4.750% 0.176%
Fully Indexed Loan Rate 3.000% 9.000% 4.426%
Maximum Lifetime Rate 16.000% 18.000% 17.733%
- --------------------------------------------------------------------------------------------------------
% of Aggregate % of Aggregate
Loan Purpose Principal Balance Property Type Principal Balance
- -------------------------------------------------- ------------------------------------------------
Debt Consolidation / Refinance 51.75 Single Family 92.08
Other 29.63 Multifamily 4.00
Home Improvement 15.15 Condominium 3.78
Manufactured
Purchase 3.47 Housing 0.11
- --------------------------------------------------
Total 100.00 Agricultural Property with a
Residence 0.03
==================================================
------------------------------------------------
Total 100.00
================================================
% of Aggregate
Occupancy Status Principal Balance % of Aggregate
- --------------------------------------------------
Primary Residence 88.22 Lien Position Principal Balance
------------------------------------------------
Non-Primary Residence 7.57 First 39.12
Rental Property 4.18 Second 59.64
Agricultural Property 0.03 Third 1.25
- -------------------------------------------------- ------------------------------------------------
Total 100.00 Total 100.00
================================================== ================================================
Approximately 7.84% of the Group II Initial Mortgage loans were originated in the state of
Georgia. Approximately 10.19% of these loans were originated prior to October 1, 2002, and
approximately 9.40% of these loans were originated on or after March 7, 2003. Approximately
80.41% of these loans were originated on or after October 1, 2002 and before March 7, 2003, but
meet the guidelines for acceptable mortgage loans and therefore are not governed by the Georgia
Fair Lending Act.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
32
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP II INITIAL MORTGAGE LOANS
As of the Cut-off Date
Current Loan Rate
-----------------
Percentage of
Initial
Group II Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Current Loan Rate (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
3.000 to 4.000 2,151 $190,299,492.30 27.19%
4.001 to 4.250 7,985 430,607,714.17 61.52
4.251 to 4.500 20 1,130,887.00 0.16
4.501 to 4.750 15 819,705.34 0.12
4.751 to 5.000 82 8,750,684.29 1.25
5.001 to 6.000 1,484 68,126,817.11 9.73
6.001 to 6.500 17 264,704.44 0.04
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 11,754 $700,000,004.65 100.00%
=================== ================== =====================
Junior Ratio
------------
Percentage of
Initial
Group II Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Junior Ratio Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
First Lien 3,181 $273,809,750.54 39.12%
1.59 to 10.00 421 7,951,074.89 1.14
10.01 to 20.00 2,126 72,852,821.93 10.41
20.01 to 30.00 2,017 93,504,665.80 13.36
30.01 to 40.00 1,278 68,629,427.71 9.80
40.01 to 50.00 923 55,560,321.10 7.94
50.01 to 60.00 588 40,569,394.98 5.80
60.01 to 70.00 433 32,344,013.20 4.62
70.01 to 80.00 331 26,788,032.57 3.83
80.01 to 90.00 221 15,883,191.58 2.27
90.01 to 100.00 235 12,107,310.35 1.73
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 11,754 $700,000,004.65 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
33
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP II INITIAL MORTGAGE LOANS
As of the Cut-off Date
Combined LTV
------------
Percentage of
Initial
Group II Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Combined Loan-to-Value Ratio (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
4.00 to 10.00 53 $1,246,539.11 0.18%
10.01 to 20.00 155 4,594,858.92 0.66
20.01 to 30.00 258 11,807,734.29 1.69
30.01 to 40.00 342 22,538,684.84 3.22
40.01 to 50.00 480 32,113,565.19 4.59
50.01 to 60.00 714 47,240,634.10 6.75
60.01 to 70.00 1,002 71,437,023.57 10.21
70.01 to 80.00 1,451 117,597,626.21 16.80
80.01 to 90.00 5,035 271,924,275.87 38.85
90.01 to 100.00 2,264 119,499,062.55 17.07
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 11,754 $700,000,004.65 100.00%
=================== ================== =====================
FICO Score
----------
Percentage of
Initial
Group II Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
FICO Score Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Not Available 102 $2,973,597.99 0.42%
483 to 500 2 169,560.92 0.02
526 to 550 1 112,431.25 0.02
551 to 575 7 585,350.80 0.08
576 to 600 20 1,498,242.21 0.21
601 to 625 207 16,907,782.39 2.42
626 to 650 513 34,044,408.11 4.86
651 to 675 1,039 69,755,986.09 9.97
676 to 700 1,368 85,909,481.99 12.27
701 to 725 1,677 104,260,702.19 14.89
726 to 750 1,981 116,370,829.62 16.62
751 to 775 2,406 138,833,509.64 19.83
776 to 800 2,009 108,132,051.29 15.45
801 to 821 422 20,446,070.16 2.92
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 11,754 $700,000,004.65 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
34
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP II INITIAL MORTGAGE LOANS
As of the Cut-off Date
Remaining Draw Term
-------------------
Percentage of
Initial
Group II Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Remaining Draw Term (Months) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
99 to 102 2 $1,047,070.03 0.15%
103 to 108 33 1,702,490.53 0.24
109 to 114 305 22,875,552.35 3.27
115 to 120 246 20,464,507.31 2.92
163 to 168 6 96,454.17 0.01
169 to 174 13 236,849.04 0.03
217 to 222 6 157,881.35 0.02
223 to 228 102 4,432,613.02 0.63
229 to 234 6,535 343,429,086.25 49.06
235 to 239 4,506 305,557,500.60 43.65
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 11,754 $700,000,004.65 100.00%
=================== ================== =====================
Origination Period
------------------
Percentage of
Initial
Group II Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Origination Period Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
3rd Quarter 2001 2 $55,944.92 0.01%
4th Quarter 2001 5 1,054,665.35 0.15
1st Quarter 2002 37 1,747,410.37 0.25
2nd Quarter 2002 71 3,334,732.76 0.48
3rd Quarter 2002 1,325 47,707,879.98 6.82
4th Quarter 2002 5,556 319,421,665.64 45.63
1st Quarter 2003 4,716 323,963,489.95 46.28
2nd Quarter 2003 42 2,714,215.68 0.39
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 11,754 $700,000,004.65 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
35
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP II INITIAL MORTGAGE LOANS
As of the Cut-off Date
Cut-off Date Principal Balance
------------------------------
Percentage of
Initial
Group II Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Cut-off Date Principal Balance ($) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
5,000.91 to 10,000.00 1,319 $10,248,941.97 1.46%
10,000.01 to 20,000.00 2,368 35,414,331.92 5.06
20,000.01 to 30,000.00 1,838 45,573,245.47 6.51
30,000.01 to 40,000.00 1,268 44,153,769.97 6.31
40,000.01 to 50,000.00 920 41,519,065.56 5.93
50,000.01 to 75,000.00 1,380 84,986,458.86 12.14
75,000.01 to 100,000.00 1,047 92,992,412.58 13.28
100,000.01 to 150,000.00 720 89,190,785.10 12.74
150,000.01 to 200,000.00 314 54,783,268.51 7.83
200,000.01 to 250,000.00 209 47,522,168.50 6.79
250,000.01 to 300,000.00 110 30,214,133.62 4.32
300,000.01 to 400,000.00 132 45,127,233.19 6.45
400,000.01 to 500,000.00 73 33,077,703.19 4.73
500,000.01 to 1,000,000.00 46 31,532,024.98 4.50
1,000,000.01 to 1,836,474.71 10 13,664,461.23 1.95
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 11,754 $700,000,004.65 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
36
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP II INITIAL MORTGAGE LOANS
As of the Cut-off Date
Location
--------
Percentage of
Initial
Group II Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Location Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
New Jersey 2,138 $143,411,263.77 20.49%
Florida 2,206 135,457,185.87 19.35
North Carolina 1,689 91,937,492.71 13.13
Pennsylvania 1,582 80,552,146.58 11.51
Virginia 1,481 66,799,651.79 9.54
Georgia 776 54,911,267.80 7.84
Connecticut 575 43,632,965.51 6.23
New York 350 30,524,529.76 4.36
South Carolina 461 24,846,133.42 3.55
Maryland 395 22,141,963.76 3.16
District of Columbia 60 3,362,106.37 0.48
Delaware 11 961,834.32 0.14
Alabama 5 662,772.66 0.09
Massachusetts 13 520,351.61 0.07
Rhode Island 10 231,413.30 0.03
West Virginia 2 46,925.42 0.01
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 11,754 $700,000,004.65 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
37
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP II INITIAL MORTGAGE LOANS
As of the Cut-off Date
Fully Indexed Gross Margin
--------------------------
Percentage of
Initial
Group II Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Fully Indexed Gross Margin (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
-1.250 to -1.001 1 $1,120,000.00 0.16%
-1.000 to -0.501 9 1,648,707.81 0.24
-0.500 to -0.001 2,276 194,625,065.67 27.80
0.000 to 0.499 5,604 330,388,417.61 47.20
0.500 to 0.999 1,707 85,397,298.00 12.20
1.000 to 1.499 1,387 64,049,659.68 9.15
1.500 to 1.999 423 15,922,694.36 2.27
2.000 to 2.499 247 5,334,713.46 0.76
2.500 to 2.999 80 1,085,399.91 0.16
3.000 to 3.499 13 199,568.35 0.03
3.500 to 3.999 3 58,128.17 0.01
4.000 to 4.499 2 91,182.99 0.01
4.500 to 4.750 2 79,168.64 0.01
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 11,754 $700,000,004.65 100.00%
=================== ================== =====================
Fully Indexed Loan Rate
-----------------------
Percentage of
Initial
Group II Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Fully Indexed Loan Rates (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
3.000 to 3.499 6 $2,319,473.41 0.33%
3.500 to 3.999 546 45,449,742.15 6.49
4.000 to 4.499 5,360 392,375,945.83 56.05
4.500 to 4.999 3,154 141,058,096.12 20.15
5.000 to 5.499 1,303 72,747,499.92 10.39
5.500 to 5.999 924 34,359,729.58 4.91
6.000 to 6.499 226 7,618,406.71 1.09
6.500 to 6.999 202 3,470,002.88 0.50
7.000 to 7.499 23 317,455.86 0.05
7.500 to 7.999 5 100,709.80 0.01
8.000 to 8.499 2 81,767.75 0.01
8.500 to 9.000 3 101,174.64 0.01
- ----------------------------------- ------------------- ------------------ ---------------------
Total 11,754 $700,000,004.65 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
38
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP II INITIAL MORTGAGE LOANS
As of the Cut-off Date
Credit Limit
------------
Percentage of
Initial
Group II Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Credit Limit ($) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
5,500.00 to 10,000.00 145 $1,127,967.05 0.16%
10,000.01 to 20,000.00 536 6,641,511.28 0.95
20,000.01 to 30,000.00 1,247 21,901,033.12 3.13
30,000.01 to 40,000.00 909 21,886,033.88 3.13
40,000.01 to 50,000.00 1,153 31,757,824.29 4.54
50,000.01 to 75,000.00 1,511 55,829,762.26 7.98
75,000.01 to 100,000.00 3,059 143,615,601.30 20.52
100,000.01 to 150,000.00 1,341 94,085,476.12 13.44
150,000.01 to 200,000.00 606 59,068,883.62 8.44
200,000.01 to 250,000.00 618 75,849,226.40 10.84
250,000.01 to 300,000.00 133 26,515,131.19 3.79
300,000.01 to 400,000.00 204 48,342,492.73 6.91
400,000.01 to 500,000.00 189 57,584,855.85 8.23
500,000.01 to 1,000,000.00 88 39,207,599.05 5.60
1,000,000.01 to 2,000,000.00 15 16,586,606.51 2.37
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 11,754 $700,000,004.65 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
39
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
DESCRIPTION OF THE GROUP II INITIAL MORTGAGE LOANS
As of the Cut-off Date
Utilization Rate
----------------
Percentage of
Initial
Group II Mortgage
Number of Initial Cut-off Date Loans by Cut-off
Date
Utilization Rate (%) Mortgage Loans Principal Balance Principal Balance
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
1.70 to 10.00 554 $5,876,238.20 0.84%
10.01 to 20.00 1,252 22,005,670.56 3.14
20.01 to 30.00 1,173 31,678,488.24 4.53
30.01 to 40.00 1,139 37,439,581.59 5.35
40.01 to 50.00 983 42,905,472.77 6.13
50.01 to 60.00 903 48,114,775.78 6.87
60.01 to 70.00 893 57,063,799.85 8.15
70.01 to 80.00 940 73,539,503.09 10.51
80.01 to 90.00 1,074 88,414,440.23 12.63
90.01 to 100.00 2,843 292,962,034.34 41.85
- ----------------------------------- ------------------- ------------------ ---------------------
- ----------------------------------- ------------------- ------------------ ---------------------
Total 11,754 $700,000,004.65 100.00%
=================== ================== =====================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
40
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
BOND SUMMARY (to Call) (1)
--------------------------
Class A-I-1
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 38% 50% 60% 70%
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
WAL (years) 5.73 4.48 4.29 3.25 2.17 1.56 1.09
Modified Duration(2) 5.42 4.29 4.11 3.12 2.11 1.52 1.07
First Principal Payment 07/25/06 07/25/06 07/25/04 11/25/03 08/25/03 08/25/03 07/25/03
Last Principal Payment 05/25/11 01/25/09 01/25/09 07/25/08 10/25/07 01/25/07 03/25/06
Payment Window (months) 59 31 55 57 51 42 33
Class A-II-1
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 38% 50% 60% 70%
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
WAL (years) 5.71 4.48 4.30 3.25 2.17 1.56 1.09
Modified Duration(2) 5.40 4.28 4.11 3.12 2.10 1.52 1.07
First Principal Payment 07/25/06 07/25/06 07/25/04 11/25/03 08/25/03 08/25/03 07/25/03
Last Principal Payment 05/25/11 01/25/09 01/25/09 07/25/08 10/25/07 01/25/07 03/25/06
Payment Window (months) 59 31 55 57 51 42 33
Class A-II-2
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 38% 50% 60% 70%
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
WAL (years) 5.71 4.48 4.29 3.25 2.17 1.56 1.09
Modified Duration(2) 5.44 4.31 4.14 3.14 2.11 1.52 1.07
First Principal Payment 07/25/06 07/25/06 07/25/04 11/25/03 08/25/03 08/25/03 07/25/03
Last Principal Payment 05/25/11 01/25/09 01/25/09 07/25/08 10/25/07 01/25/07 03/25/06
Payment Window (months) 59 31 55 57 51 42 33
(1) The draw rate used in each scenario is 29%.
(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.
41
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
BOND SUMMARY (to Maturity) (1)
------------------------------
Class A-I-1
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 38% 50% 60% 70%
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
WAL (years) 5.75 4.49 4.31 3.26 2.20 1.61 1.16
Modified Duration(2) 5.44 4.30 4.13 3.14 2.13 1.56 1.13
First Principal Payment 07/25/06 07/25/06 07/25/04 11/25/03 08/25/03 08/25/03 07/25/03
Last Principal Payment 11/25/11 04/25/09 05/25/09 12/25/08 06/25/08 02/25/08 10/25/07
Payment Window (months) 65 34 59 62 59 55 52
Class A-II-1
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 38% 50% 60% 70%
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
WAL (years) 5.73 4.49 4.31 3.26 2.20 1.61 1.16
Modified Duration(2) 5.42 4.29 4.13 3.14 2.13 1.56 1.13
First Principal Payment 07/25/06 07/25/06 07/25/04 11/25/03 08/25/03 08/25/03 07/25/03
Last Principal Payment 11/25/11 04/25/09 05/25/09 12/25/08 06/25/08 02/25/08 10/25/07
Payment Window (months) 65 34 59 62 59 55 52
Class A-II-2
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 38% 50% 60% 70%
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
WAL (years) 5.73 4.49 4.31 3.26 2.20 1.61 1.16
Modified Duration(2) 5.46 4.32 4.16 3.16 2.14 1.57 1.14
First Principal Payment 07/25/06 07/25/06 07/25/04 11/25/03 08/25/03 08/25/03 07/25/03
Last Principal Payment 11/25/11 04/25/09 05/25/09 12/25/08 06/25/08 02/25/08 10/25/07
Payment Window (months) 65 34 59 62 59 55 52
(1) The draw rate used in each scenario is 29%.
(2) Modified duration calculated assuming a price of 100.00%.
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WACHOVIA SECURITIES IMMEDIATELY.
42
Wachovia Asset Securitization, Inc. Asset-Backed Notes Series 2003-HE2
$1,100,000,000 (approximate)
Net WAC Rate Schedule: One Month LIBOR and Prime Rate at 20%(1)
---------------------------------------------------------------
Payment Net Payment Net
Period Date WAC Rate Period Date WAC Rate
------ ---- -------- ------ ---- --------
1 07/25/03 20.06% 31 01/25/06 20.51%
2 08/25/03 15.69% 32 02/25/06 20.51%
3 09/25/03 15.56% 33 03/25/06 22.28%
4 10/25/03 15.82% 34 04/25/06 20.51%
5 11/25/03 15.30% 35 05/25/06 21.06%
6 12/25/03 16.44% 36 06/25/06 20.51%
7 01/25/04 16.07% 37 07/25/06 21.06%
8 02/25/04 16.12% 38 08/25/06 20.51%
9 03/25/04 17.00% 39 09/25/06 20.51%
10 04/25/04 18.77% 40 10/25/06 21.06%
11 05/25/04 21.06% 41 11/25/06 20.51%
12 06/25/04 20.51% 42 12/25/06 21.06%
13 07/25/04 21.06% 43 01/25/07 20.51%
14 08/25/04 20.51% 44 02/25/07 20.51%
15 09/25/04 20.51% 45 03/25/07 22.28%
16 10/25/04 21.06% 46 04/25/07 20.51%
17 11/25/04 20.51% 47 05/25/07 21.06%
18 12/25/04 21.06% 48 06/25/07 20.51%
19 01/25/05 20.51% 49 07/25/07 21.06%
20 02/25/05 20.51% 50 08/25/07 20.51%
21 03/25/05 22.28% 51 09/25/07 20.51%
22 04/25/05 20.51% 52 10/25/07 21.06%
23 05/25/05 21.06% 53 11/25/07 20.51%
24 06/25/05 20.51% 54 12/25/07 21.06%
25 07/25/05 21.06% 55 01/25/08 20.51%
26 08/25/05 20.51% 56 02/25/08 20.51%
27 09/25/05 20.51% 57 03/25/08 21.65%
28 10/25/05 21.06% 58 04/25/08 20.51%
29 11/25/05 20.51% 59 05/25/08 20.87%
30 12/25/05 21.06% 60 06/25/08 19.82%
(1) 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%.
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43