SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
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FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934, as amended
Date of Report: November 12, 2003
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(date of earliest event reported)
WACHOVIA ASSET SECURITIZATION ISSUANCE, LLC
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(Exact name of Registrant as Specified in Charter)
North Carolina 333-109298 56-1967773
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(State or Other (Commission (I.R.S. Employer
Jurisdiction of Incorporation) File Number) Identification Number)
One Wachovia Center
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301 South College Street, Suite D
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Charlotte, North Carolina 28288
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(Address of Principal Executive Offices)
(Zip Code)
Registrant's telephone number, including area code: (704) 374-4868
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Wachovia Asset Securitization, Inc.
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(Former Name or Former Address, if Changed Since Last Report)
Items 1 through 4, Item 6, Item 8 and Item 9 are not included because they are
not applicable.
Item 5. Other Events
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Filing of Computational Materials
In connection with the proposed offering of the Wachovia Asset
Securitization Issuance, LLC Asset-Backed Notes, Series 2003-HE3 (the "Notes"),
Wachovia Capital Markets, as underwriter (the "Underwriter"), have prepared
certain materials (the "Computational Materials") for distribution to potential
investors. Although Wachovia Asset Securitization Issuance, LLC (the "Company")
provided the Underwriter with certain information regarding the characteristics
of the mortgage loans (the "Mortgage Loans") in the related portfolio, the
Company did not participate in the preparation of the Computational Materials.
For purposes of this Form 8-K, "Computational Materials" shall mean
computer generated tables and/or charts displaying, with respect to the Notes,
any of the following: yield; average life; duration, expected maturity; interest
rate sensitivity; loss sensitivity; cash flow characteristics; background
information regarding the Mortgage Loans; the proposed structure; decrement
tables; or similar information (tabular or otherwise) of a statistical,
mathematical, tabular or computational nature. The Computational Materials
listed as Exhibits 99.1 and 99.2 hereto are filed herewith.
-2-
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits
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(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials.
99.2 Computational Materials.
-3-
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
WACHOVIA ASSET SECURITIZATION
ISSUANCE, LLC
By: /s/ Robert Perret
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Name: Robert Perret
Title: Vice President
Date: November 12, 2003
EXHIBIT INDEX
Exhibit No. Description of Exhibit
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99.1 Computational Materials.
99.2 Computational Materials.
Subject to Revision
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Series Term Sheet Dated October 27, 2003
[GRAPHIC OMITTED][GRAPHIC OMITTED]
Wachovia Asset Securitization, Inc. 2003-HE3 Trust
$500,000,000
(Approximate)
Wachovia Asset Securitization, Inc.
Depositor
[GRAPHIC OMITTED][GRAPHIC OMITTED]
MBIA Insurance Corporation
Credit Enhancer
Wachovia Bank, National Association
Seller and Servicer
Wachovia Asset Securitization, Inc. Asset-Backed Notes,
Series 2003-HE3
DISCLAIMER
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Attached is a preliminary Series Term Sheet describing the structure, collateral
pool and certain aspects of the Wachovia Asset Securitization, Inc. (WASI)
2003-HE3 Trust. The Series Term Sheet has been prepared by Wachovia Capital
Markets, 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.
[GRAPHIC OMITTED][GRAPHIC OMITTED]
Wachovia Asset Securitization, Inc. Asset-Backed Notes, Series 2003-HE3
$500,000,000 (approximate)
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To 10% Clean-up Call:
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Expected Expected Expected Payment Expected Rating
Class Size (1) WAL (Yrs.) (2) Window (2) Note Rate (S&P/Moody's)
- ----------------- -------------------- ----------------- ---------------------- ------------------ -------------------
A $500,000,000 3.10 04/04 - 08/08 LIBOR + [ ]%(3) AAA/Aaa
- ----------------- -------------------- ----------------- ---------------------- ------------------ -------------------
To Maturity:
- ----------------- -------------------- ----------------- ---------------------- ------------------ -------------------
Expected Expected Expected Payment Expected Rating
Class Size (1) WAL (Yrs.) (2) Window (2) Note Rate (S&P/Moody's)
- ----------------- -------------------- ----------------- ---------------------- ------------------ -------------------
A $500,000,000 3.12 04/04 - 12/08 LIBOR + [ ]%(3) AAA/Aaa
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(1) Size is subject to permitted variance in the aggregate of plus or minus10%.
(2) The "Prepayment Assumption" is 43% CPR and a 34% Draw Rate.
(3) The Class A Notes will accrue interest at a rate equal to the lesser of (i)
One Month LIBOR plus the Class A Margin and (ii) the Net WAC Rate.
Wachovia Securities Contacts
Trading / Syndicate Phone E-mail
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Chris Choka (704) 383-8267 chris.choka@wachovia.com
Blake O'Connor (704) 715-7008 blake.oconnor@wachovia.com
Mortgage Finance Phone E-mail
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Robert Perret (704) 374-4868 robert.perret@wachovia.com
Rob Baldwin (704) 715-8131 robert.baldwin@wachovia.com
John Grady (704) 715-7903 john.grady@wachovia.com
Nathan Cahill (704) 715-7923 nathaniel.cahill@wachovia.com
Structuring Phone E-mail
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Barbara Smith (704) 383-8614 barbaram.smith@wachovia.com
Collateral Analytics Phone E-mail
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Daniel Richart (704) 374-2591 daniel.richart@wachovia.com
Rating Agency Contacts
Standard & Poor's Phone E-mail
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Karen Kostiw (212) 438-2517 karen_kostiw@sandp.com
Moody's Phone E-mail
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Karin Kelner (212) 553-7191 karin.kelner@moodys.com
Credit Enhancer Contacts
MBIA Phone E-mail
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Paul Bernier (914) 765-3547 paul.bernier@mbia.com
Errol Arne (914) 765-3526 errol.arne@mbia.com
SUMMARY OF TERMS
Title of Securities: Wachovia Asset Securitization, Inc. Asset-Backed
Notes, Series 2003-HE3
Depositor: Wachovia Asset Securitization, Inc. (or a
successor entity)
Seller: Wachovia Bank, National Association
Servicer: Wachovia Bank, National Association
Credit Enhancer: MBIA Insurance Corporation ("MBIA")
Lead Manager: Wachovia Capital Markets, LLC ("Wachovia
Securities")
Co-Manager: Credit Suisse First Boston ("CSFB")
Yield Maintenance
Agreement Provider: To be determined.
Paying Agent: Wachovia Bank, National Association
Owner Trustee: Wilmington Trust Company
Indenture Trustee: U.S. Bank National Association
Servicing Fee: With respect to each Payment Date, the
Servicer will be entitled to a Servicing Fee
equal to 1/12 of 0.50% of the aggregate principal
balance of the Mortgage Loans (as defined
herein), plus any reimbursable amounts.
Offered Notes: The Class A Notes
The Trust: The depositor will establish the Wachovia
Asset Securitization, Inc. 2003-HE3 Trust (the
"Trust" or the "Issuer"), 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.
SMMEA Treatment: The Offered Notes will not constitute "mortgage
related securities" for purposes of SMMEA.
Minimum Denominations: $25,000 and integral multiples of $1,000 in
excess of that amount for the Class A Notes.
Registration: The Offered Notes will be available in
book-entry form through DTC, Clearstream,
Luxembourg and the Euroclear System.
Expected Pricing Date: On or about October 29, 2003.
Expected
Settlement Date: On or about November 19, 2003.
Statistical Cut-Off Date: October 1, 2003 (the cut-off date for the final
collateral pool will be November 1, 2003)
Payment Date: The 25th day of each month (or if such day is
not a business day, the next succeeding
business day) commencing in December 2003.
Scheduled Legal Final
Payment Date: The Payment Date in October 2024.
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 (the
"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 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 Statistical Cut-Off Date.
As of the Statistical Cut-Off Date, the aggregate
principal balance of the mortgage loans is
approximately $500,000,931.70 (the "Initial
Mortgage Loans"). Amounts collected in respect of
the Mortgage Loans will primarily be used to make
payments on the Class A Notes.
Subsequent
Mortgage Loans: During the Revolving Period, the Issuer may
acquire "Subsequent Mortgage Loans" (together
with the Initial Mortgage Loans, the "Mortgage
Loans") 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 Statistical
Cut-Off Date as presented in this Series Term
Sheet.
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 on the related home equity revolving line of
credit.
Additional Balance
Increase Amount: On any given Payment Date, equals (a) the
excess, if any, of (i) the aggregate principal
amount of Additional Balances from the related
Collection Period and prior Collections Periods
conveyed to the Trust, over (ii) principal
collections and excess interest from the Funding
Account and/or the custodial account applied to
purchase those Additional Balances minus (b)
amounts paid on prior Payment Dates to the
holders of the Certificates in respect of any
Additional Balance Increase Amount.
Loan Rate: The Loan Rate of each Mortgage Loan is the per
annum interest rate required to be paid by the
mortgagor under the terms of the related credit
line agreement.
Each Mortgage Loan has a Loan Rate that is
subject to adjustment, as specified in the
related credit line agreement, to equal the sum
of the index and a gross margin, provided that
the Loan Rate on each Mortgage Loan does not
exceed a maximum loan rate. The index for each
Mortgage Loan is the "Prime Rate," regularly
published in the Eastern edition of The Wall
Street Journal.
Net Loan Rate: The Net Loan Rate 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.
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 August 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).
Class A Margin: The Class A Margin will be determined on the
Pricing Date.
Class A
Note Rate: With respect to each Interest Period, the lesser
of (a) One Month LIBOR plus the Class A Margin
and (b) the Net WAC Rate.
Servicer Advances: The Servicer, at its option and in its sole
discretion, may make advances by depositing into
the custodial account amounts representing
installments of principal and/or interest on any
Mortgage Loan that is delinquent as of the end
of the related Collection Period if the Servicer
believes that the advances will be recoverable
from payments on, or other proceeds of, that
Mortgage Loan. If the Servicer makes any
optional advances of delinquent principal or
interest, the Servicer shall be entitled to
reimburse itself from collections on the related
Mortgage Loans or, if those amounts are not
sufficient, by withdrawing those amounts from
the custodial account prior to any distribution
of amounts on deposit therein to the Offered
Notes.
Funding Account: On the Settlement Date, a Funding Account will
be established for the benefit of the holders of
the Offered Notes (the "Funding Account"). The
Servicer will deposit Principal Collections from
the Mortgage Loans (on the business day prior to
each Payment Date during the Revolving Period,
to the extent not used to purchase Additional
Balances and/or Subsequent Mortgage Loans, or to
pay amounts in respect of any Additional Balance
Increase Amount) and excess spread (beginning on
the Payment Date in March 2004 and continuing on
each Payment Date thereafter during the
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 Funding Account, and will apply
those amounts to purchase Additional Balances
arising under the 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 Revolving Period ends, in the
event that any amounts remain on deposit in the
Funding Account after giving effect to the
purchase by the Issuer of Additional Balances
and/or Subsequent Mortgage Loans, including any
purchased on the date on which the Revolving
Period ends, and payments to the holders of the
Certificates in respect of any Additional Balance
Increase Amount, those amounts will be paid to
the holders of the Offered Notes as principal.
Interest Collections: Interest Collections means, with respect to any
Payment Date, an amount equal to the sum of (a)
the amounts collected with respect to the
Mortgage Loans during the related Collection
Period, including the interest portion of Net
Liquidation Proceeds, applied to interest
pursuant to the terms of the related credit line
agreements, exclusive of the Interest
Collections allocable to the Excluded Amount,
reduced by the Servicing Fees for that
Collection Period, plus amounts in respect of
any optional advance made by the Servicer
pursuant to the terms of the servicing agreement
and (b) the interest portion of (i) the
repurchase price for any deleted Mortgage Loans;
and (ii) the cash purchase price paid in
connection with any optional purchase of the
Mortgage Loans by the Servicer.
Principal Collections: Principal Collections means, with respect to any
Payment Date, an amount equal to the sum of: (a)
the amount collected during the 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: 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
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 Collections 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 any Payment Date (a) during the
Managed Amortization Period, Net Principal
Collections less (i) amounts paid to the holders
of the Certificates with respect to any
Additional Balance Increase Amount and (ii) any
Overcollateralization Release Amounts and (b)
during the Rapid Amortization Period, Principal
Collections.
Stepdown Date: The later of (a) the thirty-first (31st)
Payment Date or (b) the Payment Date on which the
current aggregate note balance of the Offered
Notes is less than or equal to 50% of the note
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 Account, 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
Release Amount: With respect to any Distribution Date on or
after the Stepdown Date provided that (a) the
Stepdown Delinquency Test and (b) the Stepdown
Cumulative Loss Test have been met, the lesser
of (x) the Net Principal Collections for such
Distribution Date and (y) the excess, if any, of
(i) the Overcollateralization Amount for such
Distribution Date, assuming that 100% of the Net
Principal Collections is applied as a principal
payment on the Offered Notes on such
Distribution Date, over (ii) the
Overcollateralization Target Amount for such
Distribution Date. With respect to any
Distribution Date on which (a) the Stepdown
Delinquency Test and (b) the Stepdown Cumulative
Loss Test have not been met, the
Overcollateralization Release Amount will be
zero.
Overcollateralization
Target Amount: With respect to any Payment Date on or after the
March 2004 Payment Date and prior to the
Stepdown Date, an amount equal to the sum of (i)
1.00% of the note balance of the Offered Notes
as of the Settlement Date; and (ii) 100% of the
principal balances of all the Mortgage Loans
that are 180 days or more 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, provided that (a) the Stepdown
Delinquency Test and (b) the Stepdown Cumulative
Loss Test have each been met, the
Overcollateralization Target Amount shall equal
the sum of 2.00% of the note balance of the
Offered Notes on such Payment Date. On or after
the Stepdown Date, provided that (a) the Stepdown
Delinquency Test or (b) the Stepdown Cumulative
Loss Test have not been met, the
Overcollateralization Target Amount shall be
equal to the Overcollateralization Target Amount
on the prior Payment Date and will remain equal
to that Overcollateralization Target Amount until
(a) the Stepdown Delinquency Test and (b) the
Stepdown Cumulative Loss Test have each been met;
provided, however, that in no event shall the
Overcollateralization Target Amount be less than
the greater of (i) 0.50% of the note balance of
the Offered Notes as of the Closing Date and (ii)
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%.
Stepdown Cumulative
Loss Test: With respect to any date of determination,
a test that is met if the percentage of the
cumulative losses on the Mortgage Loans
(exclusive of the pro rata portion thereof
relating to any Excluded Amount) as of such date
of determination is less than the applicable
percentage listed in the chart below of the
principal balances of the Mortgage Loans as of
the Settlement Date:
Months Percentage
------ ----------
31 - 48 1.50%
49 - 60 2.00%
61+ 2.50%
Revolving Period: The Revolving Period will be the period
beginning on the Settlement Date and ending on
the earlier of (a) the end of business on
November 30, 2004, (b) the Payment Date on which
the Funding Account balance exceeds $20,000,000
(which is approximately four times the
Overcollateralization Target Amount) 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) November 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 first day following the end of
the Managed Amortization Period, unless a rapid
amortization event has occurred as specified in
the Indenture.
Priority of Distributions: On each Payment Date, from amounts withdrawn
from the custodial account with respect to the
Mortgage Loans (including any draw on the 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:
o 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;
o 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) and
payments received under the Yield
Maintenance Agreement, to the Note
Payment Account, for payment to the
holders of the Offered Notes, interest
for the related Interest Period at the
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 Additional
Balance Increase Amount, to pay to the
holders of the Certificates, interest on
the Additional Balance Increase Amount;
o third, from Net Principal Collections,
to the Distribution Account, for
distribution to the holders of the
Certificates, an amount equal to the
Additional Balance Increase Amount;
o fourth, remaining Net Principal
Collections to the Funding Account;
o 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;
o sixth, on and after the Payment Date in
March 2004, from excess spread, to the
Funding Account, the amount necessary so
that the Overcollateralization Amount is
not less than the Overcollateralization
Target Amount;
o seventh, from any remaining excess
spread, to the Distribution Account, for
distribution to the holders of the
Certificates, an amount equal to the
Additional Balance Increase Amount;
o eighth, from any remaining amounts, to
the Credit Enhancer, any other amounts
owed the Credit Enhancer pursuant to the
Insurance Agreement;
o ninth, from any remaining excess spread,
to the Note Payment Account, for payment
to the holders of the Offered Notes, any
interest shortfalls on the Offered Notes
for such Payment Date and for any
Payment Date not previously paid,
together with interest thereon at the
Note Rate;
o tenth, from any remaining amounts, to
the Indenture Trustee, any Trustee's
additional expenses and any other
amounts owing to the Indenture Trustee,
in each case to the extent remaining
unpaid; and o eleventh, any remaining
amounts, to the distribution account,
for distribution to the holders of the
Certificates.
During the Managed Amortization Period:
o 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;
o 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) and
payments received under the Yield
Maintenance Agreement, to the Note
Payment Account, for payment to the
holders of the Offered Notes, interest
for the related Interest Period at the
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 Additional
Balance Increase Amount, to pay to the
holders of the Certificates, interest on
the Additional Balance Increase Amount;
o third, from Net Principal Collections,
to the Distribution Account, for
distribution to the holders of the
Certificates, an amount equal to the
Additional Balance Increase Amount;
o fourth, from any remaining amounts, to
the Note Payment Account, the Principal
Distribution Amount for payment to the
holders of the Class A Notes, until the
note balance thereof has been reduced to
zero;
o 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;
o sixth, on or after the payment date in
March 2004, from excess spread, to the
Note Payment Account, the amount
necessary to be applied on that Payment
Date for payment as principal to the
holders of the Offered Notes, so that
the Overcollateralization Amount is not
less than the Overcollateralization
Target Amount;
o seventh, from any remaining excess
spread, to the Distribution Account, for
distribution to the holders of the
Certificates, an amount equal to the
Additional Balance Increase Amount;
o eighth, from any remaining amounts, to
the Credit Enhancer, any other amounts
owed the Credit Enhancer pursuant to the
Insurance Agreement;
o ninth, from any remaining excess spread,
to the Note Payment Account, for payment
to the holders of the Offered Notes, any
interest shortfalls on the Offered Notes
for such Payment Date and for any
Payment Date not previously paid,
together with interest thereon at the
Note Rate;
o tenth, from any remaining amounts, to
the Indenture Trustee, any Trustee's
additional expenses and any other
amounts owing to the Indenture Trustee,
in each case to the extent remaining
unpaid; and
o eleventh, any remaining amounts, to the
Distribution Account, for distribution
to the holders of the Certificates.
During the Rapid Amortization Period:
o 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;
o second, from any remaining Interest
Collections (exclusive of the pro rata
portion of interest attributable to
Additional Balances represented by any
related Additional Balance Increase
Amount) and payments received under the
Yield Maintenance Agreement, to the Note
Payment Account, for payment to the
holders of the Offered Notes, interest
for the related Interest Period at the
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 Additional
Balance Increase Amount, to pay to the
holders of the Certificates, interest on
the Additional Balance Increase Amount;
o third, from any remaining amounts, to
the Note Payment Account, the Principal
Distribution Amount for payment to the
holders of the Class A Notes, until the
note balance of the Class A Notes has
been reduced to zero;
o fourth, from Principal Collections, to
the Distribution Account, for
distribution to the holders of the
Certificates, an amount equal to the
Additional Balance Increase Amount; o
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;
o sixth, on or after the payment date in
March 2004, from excess spread, to the
Note Payment Account, the amount
necessary to be applied on that Payment
Date for payment as principal to the
holders of the Offered Notes, so that
the Overcollateralization Amount is not
less than the Overcollateralization
Target Amount;
o seventh, from any remaining excess
spread, to the Distribution Account, for
distribution to the holders of the
Certificates, an amount equal to the
Additional Balance Increase Amount;
o eighth, from any remaining amounts, to
the Credit Enhancer, any other amounts
owed the Credit Enhancer pursuant to the
Insurance Agreement;
o ninth, from any remaining excess spread,
to the Note Payment Account, for payment
to the holders of the Offered Notes, any
interest shortfalls on the Offered Notes
for such Payment Date and for any
Payment Date not previously paid,
together with interest thereon at the
Note Rate;
o tenth, from any remaining amounts, to
the Indenture Trustee, any Trustee's
additional expenses and any other
amounts owing to the Indenture Trustee,
in each case to the extent remaining
unpaid; and
o eleventh, any remaining amounts, to the
Distribution Account, for distribution
to the holders of the Certificates.
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Statistical Cut-Off Date
Number of Initial Mortgage Loans 10,152
Total Principal Balance $500,000,931.70
Minimum Maximum Average
Principal Balance $5,011.80 $818,686.31 $49,251.47
Credit Limit $7,100.00 $835,100.00 $85,445.97
Utilization Rate 2.09% 100.00% 57.64%
Minimum Maximum Weighted Average
Combined LTV Ratio 2.00% 100.00% 77.92%
Junior Ratio 2.77% 100.00% 41.06%
Credit Score 526 822 727
Remaining Draw Term (Months) 94 239 219
Seasoning (Months) 1 25 14
Current Loan Rate 3.000% 9.250% 4.123%
Fully Indexed Gross Margin -0.500% 4.000% 0.199%
Fully Indexed Loan Rate 3.500% 8.000% 4.199%
Maximum Loan Rate 16.000% 18.000% 17.703%
- ------------------------------------------------------------------------------------------------------------------------------
% of Aggregate % of Aggregate
Loan Purpose Principal Balance Property Type Principal Balance
- ------------------------------------------------------------ ----------------------------------------------------------
Debt Consolidation / Refinance 54.51 Single Family 92.97
Other 26.03 Condominium 3.48
Home Improvement 16.54 Multifamily 3.52
Agricultural Property with a
Purchase 2.92 Residence 0.03
- ------------------------------------------------------------ ----------------------------------------------------------
- ------------------------------------------------------------ ----------------------------------------------------------
Total 100.00% Total 100.00%
% of Aggregate
Occupancy Status Principal Balance % of Aggregate
- ------------------------------------------------------------
Primary Residence 90.75 Lien Position Principal Balance
----------------------------------------------------------
Non-Primary Residence 5.53 First 40.85
Rental Property 3.69 Second 57.72
Agricultural Property 0.03 Third 1.43
- ------------------------------------------------------------ ----------------------------------------------------------
- ------------------------------------------------------------ ----------------------------------------------------------
Total 100.00% Total 100.00%
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Statistical Cut-Off Date
Current Loan Rate
Statistical Percent of Initial
Cut-Off Date Mortgage Loans By
Number of Initial Principal Balance tatistical Cut-Off Date
Current Interest Rate (%) Mortgage Loans S Principal Balance
- -------------------------------------------- ---------------------- -------------------- --------------------------
2.001 to 3.000 1 $66,446.10 0.01%
3.001 to 4.000 6,934 371,052,336.27 74.21
4.001 to 4.250 906 35,376,034.41 7.08
4.251 to 4.500 427 18,695,717.41 3.74
4.501 to 4.750 353 16,073,529.51 3.21
4.751 to 5.000 1,014 42,724,817.76 8.54
5.001 to 6.000 417 14,279,369.90 2.86
6.001 to 7.000 97 1,661,235.27 0.33
7.001 to 8.000 2 38,858.76 0.01
9.001 to 10.000 1 32,586.31 0.01
- -------------------------------------------- ---------------------- -------------------- --------------------------
Total 10,152 $500,000,931.70 100.00%
============================================ ====================== ==================== ==========================
Junior Ratio
Junior Ratio (%) Number of Mortgage Statistical Percent of Initial
Mortgage Loans By
Cut-Off Date tatistical Cut-Off Date
Loans Principal Balance S Principal Balance
- -------------------------------------------- ---------------------- -------------------- --------------------------
First Lien 3,080 $204,263,455.57 40.85%
0.01 to 10.00 256 3,856,916.65 0.77
10.01 to 20.00 1,626 45,723,016.22 9.14
20.01 to 30.00 1,629 63,966,564.28 12.79
30.01 to 40.00 1,156 52,668,477.39 10.53
40.01 to 50.00 788 40,057,758.53 8.01
50.01 to 60.00 547 30,342,501.80 6.07
60.01 to 70.00 390 21,598,101.88 4.32
70.01 to 80.00 323 18,147,759.56 3.63
80.01 to 90.00 228 11,666,023.01 2.33
90.01 to 100.00 129 7,710,356.81 1.54
- -------------------------------------------- ---------------------- -------------------- --------------------------
Total 10,152 $500,000,931.70 100.00%
============================================ ====================== ==================== ==========================
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Statistical Cut-Off Date
Combined LTV
CLTV (%) Number of Mortgage Statistical Percent of Initial
Mortgage Loans By
Cut-Off Date tatistical Cut-Off Date
Loans Principal Balance S Principal Balance
- -------------------------------------------- ---------------------- -------------------- --------------------------
0.01 to 10.00 20 $378,404.57 0.08%
10.01 to 20.00 132 4,871,679.75 0.97
20.01 to 30.00 222 8,585,580.78 1.72
30.01 to 40.00 323 15,821,375.53 3.16
40.01 to 50.00 464 24,257,257.68 4.85
50.01 to 60.00 629 34,187,497.21 6.84
60.01 to 70.00 836 47,401,966.87 9.48
70.01 to 80.00 1,259 73,404,695.32 14.68
80.01 to 90.00 4,236 201,718,201.77 40.34
90.01 to 100.00 2,031 89,374,272.22 17.87
- -------------------------------------------- ---------------------- -------------------- --------------------------
Total 10,152 $500,000,931.70 100.00%
============================================ ====================== ==================== ==========================
FICO Score
FICO Number of Mortgage Statistical Percent of Initial
Mortgage Loans By
Cut-Off Date tatistical Cut-Off Date
Loans Principal Balance S Principal Balance
- -------------------------------------------- ---------------------- -------------------- --------------------------
Not Available 3 $115,919.19 0.02%
526 to 550 2 318,569.93 0.06
551 to 575 5 577,168.04 0.12
576 to 600 15 756,281.09 0.15
601 to 625 122 8,504,663.97 1.70
626 to 650 402 22,048,090.45 4.41
651 to 675 960 50,416,139.18 10.08
676 to 700 1,301 67,178,541.41 13.44
701 to 725 1,616 81,045,194.92 16.21
726 to 750 1,681 82,244,935.87 16.45
751 to 775 1,947 93,413,071.97 18.68
776 to 800 1,699 78,314,558.30 15.66
801 to 825 399 15,067,797.38 3.01
- -------------------------------------------- ---------------------- -------------------- --------------------------
Total 10,152 $500,000,931.70 100.00%
============================================ ====================== ==================== ==========================
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Statistical Cut-Off Date
Remaining Draw Term
Remaining Draw Term (Months) Number of Mortgage Statistical Percent of Initial
Mortgage Loans By
Cut-Off Date tatistical Cut-Off Date
Loans Principal Balance S Principal Balance
- -------------------------------------------- ---------------------- -------------------- --------------------------
89 to 94 40 $1,721,773.49 0.34%
95 to 100 172 10,241,941.32 2.05
101 to 106 11 604,350.28 0.12
107 to 112 47 3,581,892.95 0.72
113 to 118 148 9,930,450.31 1.99
215 to 220 5,103 238,238,753.47 47.65
221 to 226 55 2,082,457.28 0.42
227 to 232 1,270 62,471,557.91 12.49
233 to 238 3,300 170,835,834.75 34.17
239 to 244 6 291,919.94 0.06
- -------------------------------------------- ---------------------- -------------------- --------------------------
Total 10,152 $500,000,931.70 100.00%
============================================ ====================== ==================== ==========================
Origination Period
Origination Period Number of Mortgage Statistical Percent of Initial
Mortgage Loans By
Cut-Off Date tatistical Cut-Off Date
Loans Principal Balance S Principal Balance
- -------------------------------------------- ---------------------- -------------------- --------------------------
4th Quarter 2001 5,309 $249,790,819.12 49.96%
1st Quarter 2002 6 394,485.48 0.08
2nd Quarter 2002 7 533,556.55 0.11
3rd Quarter 2002 126 3,925,841.89 0.79
4th Quarter 2002 651 33,352,196.43 6.67
1st Quarter 2003 1,036 53,332,586.91 10.67
2nd Quarter 2003 1,965 101,574,482.88 20.31
3rd Quarter 2003 1,052 57,096,962.44 11.42
- -------------------------------------------- ---------------------- -------------------- --------------------------
Total 10,152 $500,000,931.70 100.00%
============================================ ====================== ==================== ==========================
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Statistical Cut-Off Date
Statistical Cut-Off Date Principal Balance
Statistical Cut-Off Date Principal Balance Number of Mortgage Statistical Percent of Initial
Mortgage Loans By
Cut-Off Date tatistical Cut-Off Date
($) Loans Principal Balance S Principal Balance
- -------------------------------------------- ---------------------- -------------------- --------------------------
0.01 to 10,000.00 974 $7,492,006.93 1.50%
10,000.01 to 20,000.00 2,130 31,816,999.24 6.36
20,000.01 to 30,000.00 1,813 44,929,147.61 8.99
30,000.01 to 40,000.00 1,234 43,151,683.61 8.63
40,000.01 to 50,000.00 925 41,738,262.26 8.35
50,000.01 to 75,000.00 1,215 75,251,086.31 15.05
75,000.01 to 100,000.00 936 82,995,302.58 16.60
100,000.01 to 150,000.00 455 56,783,649.10 11.36
150,000.01 to 200,000.00 218 38,147,028.62 7.63
200,000.01 to 250,000.00 122 27,465,777.61 5.49
250,000.01 to 300,000.00 38 10,418,784.06 2.08
300,000.01 to 400,000.00 50 17,806,809.53 3.56
400,000.01 to 500,000.00 27 12,689,133.92 2.54
500,000.01 to 1,000,000.00 15 9,315,260.32 1.86
- -------------------------------------------- ---------------------- -------------------- --------------------------
Total 10,152 $500,000,931.70 100.00%
============================================ ====================== ==================== ==========================
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Statistical Cut-Off Date
Location
Location Number of Mortgage Statistical Percent of Initial
Mortgage Loans By
Cut-Off Date tatistical Cut-Off Date
Loans Principal Balance S Principal Balance
- -------------------------------------------- ---------------------- -------------------- --------------------------
Florida 2,073 $102,629,094.53 20.53%
New Jersey 1,629 93,221,166.15 18.64
Pennsylvania 1,792 80,861,422.48 16.17
North Carolina 1,440 60,696,279.11 12.14
Virginia 1,186 50,071,677.62 10.01
Georgia 581 29,749,321.08 5.95
Connecticut 411 25,724,248.66 5.14
New York 304 22,789,731.68 4.56
Maryland 343 15,734,793.82 3.15
South Carolina 300 14,092,753.89 2.82
District of Columbia 57 2,536,630.77 0.51
Delaware 14 662,251.84 0.13
Tennessee 5 358,730.13 0.07
Massachusetts 4 357,397.05 0.07
Alabama 7 333,879.27 0.07
Rhode Island 4 111,472.29 0.02
West Virginia 2 70,081.33 0.01
- -------------------------------------------- ---------------------- -------------------- --------------------------
Total 10,152 $500,000,931.70 100.00%
============================================ ====================== ==================== ==========================
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Statistical Cut-Off Date
Fully Indexed Gross Margin
Fully Indexed Gross Margin (%) Number of Mortgage Statistical Percent of Initial
Mortgage Loans By
Cut-Off Date tatistical Cut-Off Date
Loans Principal Balance S Principal Balance
- -------------------------------------------- ---------------------- -------------------- --------------------------
- -0.999 to -0.500 348 $15,767,189.40 3.15%
- -0.499 to 0.000 4,933 292,410,130.27 58.48
0.001 to 0.500 2,593 104,525,580.76 20.91
0.501 to 1.000 1,169 53,912,150.74 10.78
1.001 to 1.500 723 23,605,088.72 4.72
1.501 to 2.000 186 6,479,169.47 1.30
2.001 to 2.500 165 2,729,776.61 0.55
2.501 to 3.000 32 472,289.46 0.09
3.001 to 3.500 2 76,801.97 0.02
3.501 to 4.000 1 22,754.30 0.00
- -------------------------------------------- ---------------------- -------------------- --------------------------
Total 10,152 $500,000,931.70 100.00%
============================================ ====================== ==================== ==========================
Fully Indexed Loan Rate
Fully Indexed Loan Rate (%) Number of Mortgage Statistical Percent of Initial
Mortgage Loans By
Cut-Off Date tatistical Cut-Off Date
Loans Principal Balance S Principal Balance
- -------------------------------------------- ---------------------- -------------------- --------------------------
3.001 to 3.500 348 $15,767,189.40 3.15%
3.501 to 4.000 4,933 292,410,130.27 58.48
4.001 to 4.500 2,593 104,525,580.76 20.91
4.501 to 5.000 1,169 53,912,150.74 10.78
5.001 to 5.500 723 23,605,088.72 4.72
5.501 to 6.000 186 6,479,169.47 1.30
6.001 to 6.500 165 2,729,776.61 0.55
6.501 to 7.000 32 472,289.46 0.09
7.001 to 7.500 2 76,801.97 0.02
7.501 to 8.000 1 22,754.30 0.00
- -------------------------------------------- ---------------------- -------------------- --------------------------
Total 10,152 $500,000,931.70 100.00%
============================================ ====================== ==================== ==========================
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Statistical Cut-Off Date
Credit Limit
Credit Limit ($) Number of Mortgage Statistical Percent of Initial
Mortgage Loans By
Cut-Off Date tatistical Cut-Off Date
Loans Principal Balance S Principal Balance
- -------------------------------------------- ---------------------- -------------------- --------------------------
0.01 to 10,000.00 121 $965,439.45 0.19%
10,000.01 to 20,000.00 590 7,658,397.09 1.53
20,000.01 to 30,000.00 1,342 25,222,762.86 5.04
30,000.01 to 40,000.00 905 22,573,111.55 4.51
40,000.01 to 50,000.00 1,158 35,323,782.92 7.06
50,000.01 to 75,000.00 1,411 55,144,894.98 11.03
75,000.01 to 100,000.00 2,613 128,650,933.39 25.73
100,000.01 to 150,000.00 962 67,802,104.14 13.56
150,000.01 to 200,000.00 434 46,887,830.79 9.38
200,000.01 to 250,000.00 373 46,350,081.96 9.27
250,000.01 to 300,000.00 63 10,854,507.16 2.17
300,000.01 to 400,000.00 87 21,139,861.34 4.23
400,000.01 to 500,000.00 71 20,287,314.97 4.06
500,000.01 to 1,000,000.00 22 11,139,909.10 2.23
- -------------------------------------------- ---------------------- -------------------- --------------------------
Total 10,152 $500,000,931.70 100.00%
============================================ ====================== ==================== ==========================
DESCRIPTION OF THE INITIAL MORTGAGE LOANS
As of the Statistical Cut-Off Date
Utilization Rate
Utilization Rate (%) Number of Mortgage Statistical Percent of Initial
Mortgage Loans By
Cut-Off Date tatistical Cut-Off Date
Loans Principal Balance S Principal Balance
- -------------------------------------------- ---------------------- -------------------- --------------------------
0.01 to 10.00 407 $4,038,218.32 0.81%
10.01 to 20.00 832 13,359,362.34 2.67
20.01 to 30.00 876 20,513,165.70 4.10
30.01 to 40.00 888 26,600,254.82 5.32
40.01 to 50.00 807 30,052,591.30 6.01
50.01 to 60.00 823 36,818,350.00 7.36
60.01 to 70.00 830 41,329,806.68 8.27
70.01 to 80.00 923 56,414,056.37 11.28
80.01 to 90.00 1,037 64,882,927.33 12.98
90.01 to 100.00 2,729 205,992,198.84 41.20
- -------------------------------------------- ---------------------- -------------------- --------------------------
Total 10,152 $500,000,931.70 100.00%
============================================ ====================== ==================== ==========================
BOND SUMMARY (to Call) (1)
Class A-1 to Call
- ----------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- ----------------------------------------------------------------------------------------------------------------------------------
WAL 5.78 4.35 4.20 3.10 2.44 1.74 1.22
Modified Duration (2) 5.58 4.25 4.11 3.04 2.40 1.73 1.21
First Principal Payment Date 12/25/06 12/25/06 12/25/06 04/25/04 02/25/04 02/25/04 01/25/04
Last Principal Payment Date 11/25/11 04/25/09 12/25/08 08/25/08 03/25/08 08/25/07 11/25/06
BOND SUMMARY (to Maturity) (1)
Class A-1 to Maturity
- ----------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- ----------------------------------------------------------------------------------------------------------------------------------
WAL 5.81 4.36 4.21 3.12 2.47 1.78 1.27
Modified Duration (2) 5.60 4.26 4.12 3.06 2.43 1.76 1.26
First Principal Payment Date 12/25/06 12/25/06 12/25/06 04/25/04 02/25/04 02/25/04 01/25/04
Last Principal Payment Date 05/25/12 07/25/09 03/25/09 12/25/08 09/25/08 06/25/08 02/25/08
(1) The draw rate used in each scenario is 34%. (2) Modified duration calculated
assuming a price of 100.00%.
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 12/25/03 16.56% 30 05/25/06 21.07%
2 01/25/04 18.42% 31 06/25/06 20.52%
3 02/25/04 18.25% 32 07/25/06 21.07%
4 03/25/04 19.05% 33 08/25/06 20.52%
5 04/25/04 17.91% 34 09/25/06 20.52%
6 05/25/04 19.08% 35 10/25/06 21.07%
7 06/25/04 18.59% 36 11/25/06 20.52%
8 07/25/04 21.07% 37 12/25/06 21.07%
9 08/25/04 20.52% 38 01/25/07 20.52%
10 09/25/04 20.52% 39 02/25/07 20.52%
11 10/25/04 21.07% 40 03/25/07 22.29%
12 11/25/04 20.52% 41 04/25/07 20.52%
13 12/25/04 21.07% 42 05/25/07 21.07%
14 01/25/05 20.52% 43 06/25/07 20.52%
15 02/25/05 20.52% 44 07/25/07 21.07%
16 03/25/05 22.29% 45 08/25/07 20.52%
17 04/25/05 20.52% 46 09/25/07 20.52%
18 05/25/05 21.07% 47 10/25/07 21.07%
19 06/25/05 20.52% 48 11/25/07 20.52%
20 07/25/05 21.07% 49 12/25/07 21.07%
21 08/25/05 20.52% 50 01/25/08 20.52%
22 09/25/05 20.52% 51 02/25/08 20.52%
23 10/25/05 21.07% 52 03/25/08 21.66%
24 11/25/05 20.52% 53 04/25/08 20.52%
25 12/25/05 21.07% 54 05/25/08 21.07%
26 01/25/06 20.52% 55 06/25/08 20.52%
27 02/25/06 20.52% 56 07/25/08 21.07%
28 03/25/06 22.29% 57 08/25/08 20.52%
29 04/25/06 20.52%
(1) Assumes that the mortgage loans prepay at 43% CPR with a 34% Draw
Rate, and that One Month LIBOR and the Prime Rate are constant at
20.00%.
WASI Deals
CPR and Draw Rates per the Servicer Reports
[GRAPHIC OMITTED]
[GRAPHIC OMITTED]
WASI 2002-HE1
- ------------------------------------------------------------------------------------------------------------------------------------
Pricing Oct-02 Nov-02 Dec-02 Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03
------------------------------------------------------------------------------------------------------------------
Gross CPR 41.000 38.5721 44.6255 42.2247 38.5912 39.6445 36.3362 40.2445 40.9649 39.7160 43.5020 48.3680 45.9810
(1 mo. Annualized)
Draw Rate 33.000 72.2803 58.4059 46.2039 42.5851 40.1720 31.3437 31.7546 34.9191 32.3460 26.6220 29.2470 27.9820
(1 mo. Annualized)
Net CPR 11.5700 (104.9089) (30.5009) (7.0128) (6.6325) (0.8446) 7.0548 12.0730 8.9770 10.5620 22.4840 26.3590 24.4010
(1 mo. Annualized)
Bond Factor 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 0.8962
- ------------------------------------------------------------------------------------------------------------------------------------
WASI 2002-HE2
- ----------------------------------------------------------------------------------------------------------------------------
Pricing Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03
-------------------------------------------------------------------------------------------------
Gross CPR (1 mo. Annualized) 38.000 42.2790 38.4700 34.9730 43.2970 43.9120 42.9570 44.9240 49.0160 47.8550
Draw Rate (1 mo. Annualized) 29.000 51.5730 47.2480 34.5680 32.8990 37.8300 32.4700 31.8010 30.5300 29.6840
Net CPR (1 mo. Annualized) 12.3400 (17.9800)(15.7190) 0.5980 15.0270 9.4200 15.0660 18.6950 25.9200 25.1900
Bond Factor 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 0.9865
- ----------------------------------------------------------------------------------------------------------------------------
WASI 2003-HE1
- -----------------------------------------------------------------------------------------------
Pricing Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03
--------------------------------------------------------------------
Gross CPR (1 mo. Annualized) 43.0000 47.7420 46.6080 43.4710 45.9830 45.6110 43.4980
Draw Rate (1 mo. Annualized) 34.0000 42.7500 37.6040 29.9180 25.7870 28.8190 26.5550
Net CPR (1 mo. Annualized) 13.2000 8.3390 13.9130 18.8260 26.6370 23.0070 22.5500
Bond Factor 1.0000 1.0000 1.0000 1.0000 1.0000 0.9067 0.8841
- -----------------------------------------------------------------------------------------------
WASI 2003-HE2 - Group 1
- -------------------------------------------------------------------
Pricing Jul-03 Aug-03 Sep-03
----------------------------------------
Gross CPR (1 mo. Annualized) 38.0000 35.0050 44.0920 40.1660
Draw Rate (1 mo. Annualized) 29.0000 34.1790 39.2610 36.7910
Net CPR (1 mo. Annualized) 12.3400 1.2120 7.6430 5.1430
Bond Factor 1.0000 1.0000 1.0000 1.0000
- -------------------------------------------------------------------
WASI 2003-HE2 - Group 2
- -------------------------------------------------------------------
Pricing Jul-03 Aug-03 Sep-03
----------------------------------------
Gross CPR (1 mo. Annualized) 38.0000 44.6860 49.0250 46.7760
Draw Rate (1 mo. Annualized) 29.0000 46.5040 42.9640 40.2600
Net CPR (1 mo. Annualized) 12.3400 (3.2240) 10.1640 10.4710
Bond Factor 1.0000 1.0000 1.0000 1.0000
- -------------------------------------------------------------------
Wachovia Securities is the trade name for the corporate and investment banking services of Wachovia Corporation and its
subsidiaries, including Wachovia Capital Markets, LLC ("WCM"), member NYSE, NASD, SIPC. This report(s) is for your information only
and is not an offer to sell, or a solicitation of an offer to buy, the securities or instruments named or described in the report.
Interested parties are advised to contact the entity with which they deal, or the entity that provided this report to them, if they
desire further information. The information in this report has been obtained or derived from sources believed by (Wachovia Capital
Markets, LLC or WCM) to be reliable, but WCM does not represent that this information is accurate or complete. Any opinions or
estimates contained in this report represent the judgment of WCM at this time, and are subject to change without notice. WCM or its
affiliates may from time to time provide advice with respect to, acquire, hold, or sell a position on the securities mentioned
herein.
WASI 2003-HE3
WAL Table with 10% and 20 Draw Rate
[GRAPHIC OMITTED]
[GRAPHIC OMITTED]
Class A-1 to Call
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CPR 10 20 30 43 50 60 70
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WAL 7.66 4.43 2.96 1.93 1.55 1.16 0.87
Mod Durn 7.27 4.29 2.89 1.90 1.54 1.15 0.87
First Principal Payment Date 12/25/04 05/25/04 02/25/04 02/25/04 01/25/04 01/25/04 01/25/04
Last Principal Payment Date 05/25/15 12/25/11 01/25/10 05/25/08 08/25/07 09/25/06 12/25/05
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Draw Rate in all cases is 10%.
Class A-1 to Call
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CPR 10 20 30 43 50 60 70
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WAL 5.94 5.23 3.56 2.30 1.85 1.34 0.97
Mod Durn 5.73 5.07 3.48 2.26 1.82 1.34 0.97
First Principal Payment Date 12/25/06 12/25/04 04/25/04 02/25/04 02/25/04 01/25/04 01/25/04
Last Principal Payment Date 01/25/12 12/25/10 10/25/09 07/25/08 12/25/07 02/25/07 03/25/06
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Draw Rate in all cases is 20%.
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