Subject to Revision
- -------------------
Series Term Sheet Dated June 7, 2004
[GRAPHIC OMITTED][GRAPHIC OMITTED]
Wachovia Asset Securitization Issuance, LLC 2004-HE1 Trust
$1,000,000,000
(Approximate)
Wachovia Asset Securitization Issuance, LLC
Depositor
[GRAPHIC OMITTED][GRAPHIC OMITTED]
MBIA Insurance Corporation
Credit Enhancer
Wachovia Bank, National Association
Seller and Servicer
Wachovia Asset Securitization Issuance, LLC
Asset-Backed Notes,
Series 2004-HE1
DISCLAIMER
----------
Attached is a preliminary Series Term Sheet describing the structure, collateral
pool and certain aspects of the Wachovia Asset Securitization Issuance, LLC
("WASI") 2004-HE1 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preliminary and will be superseded by a prospectus supplement and by any other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 Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- ----------------------------------------------------------------------------------------------------------------------
To 10% Clean-up Call:
- ----------------- -------------------- ----------------- ---------------------- ------------------ -------------------
Expected Expected Expected Principal Expected Rating
Class Size (1) WAL (Yrs.) (2) Payment Window(2) Note Rate (S&P/Moody's)
- ----------------- -------------------- ----------------- ---------------------- ------------------ -------------------
A $1,000,000,000 3.09 11/04 - 03/09 LIBOR + [ ]%(3) AAA/Aaa
- ----------------- -------------------- ----------------- ---------------------- ------------------ -------------------
To Maturity:
- ----------------- -------------------- ----------------- ---------------------- ------------------ -------------------
Expected Expected Expected Principal Expected Rating
Class Size (1) WAL (Yrs.) (2) Payment Window(2) Note Rate (S&P/Moody's)
- ----------------- -------------------- ----------------- ---------------------- ------------------ -------------------
A $1,000,000,000 3.10 11/04 - 07/09 LIBOR + [ ]%(3) AAA/Aaa
- ----------------- -------------------- ----------------- ---------------------- ------------------ -------------------
(1) Size is subject to permitted variance in the aggregate of plus or minus
10%.
(2) The "Prepayment Assumption" is 43% CPR and a 34% Draw Rate.
(3) The Class A 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.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
1
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- --------------------------------------------------------------------------------
WACHOVIA SECURITIES CONTACTS
----------------------------
Trading / Syndicate Phone E-mail
------------------- ----- ------
Chris Choka (704) 715-8300 chris.choka@wachovia.com
Ibo Incoglu (704) 715-8300 ibrahim.incoglu@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
Rob Baldwin (704) 715-8131 robert.baldwin@wachovia.com
John Grady (704) 715-7903 john.grady@wachovia.com
Structuring Phone E-mail
----------- ----- ------
Florin Nedelciuc (704) 715-8306 florin.nedelciuc@wachovia.com
Rating Agency Contacts
----------------------
Standard & Poor's Phone E-mail
----------------- ----- ------
Venkat Veerubhotla (212) 438-6612 venkat_veerubhotla@sandp.com
Moody's Phone E-mail
------- ----- ------
Navneet Agarwal (212) 553-3674 navneet.agarwal@moodys.com
Credit Enhancer Contacts
------------------------
MBIA Phone E-mail
---- ----- ------
Paul Bernier (914) 765-3547 paul.bernier@mbia.com
Errol Arne (914) 765-3526 errol.arne@mbia.com
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
2
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
----------------
Title of Securities: Wachovia Asset Securitization Issuance, LLC
Asset-Backed Notes, Series 2004-HE1
Depositor: Wachovia Asset Securitization Issuance, LLC (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-Managers: ABN AMRO Incorporated and Citigroup Global Markets
Inc.
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) as of the close
of business on the last day of each related
Collection Period, plus any reimbursable amounts.
Offered Notes: The Class A Notes
The Trust: The depositor will establish the Wachovia Asset
Securitization, Inc. 2004-HE1 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 Offered 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 June 8, 2004.
Closing Date: On or about June 24, 2004.
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 Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- --------------------------------------------------------------------------------
Statistical Cut-Off Date: April 30, 2004 (the cut-off date for the final
collateral pool will be May 31, 2004)
Payment Date: The 25th day of each month (or if such day is not
a business day, the next succeeding business day)
commencing in July 2004.
Scheduled Legal Final
Payment Date: The Payment Date in April 2034. The actual final
Payment Date could be substantially earlier.
Collection Period: With respect to any Payment Date, the calendar
month preceding the month of that Payment Date.
Interest Period: The "Interest Period" with respect to the Offered
Notes for a given Payment Date will be the period
beginning with the previous Payment Date (or, in
the case of the first Payment Date, the Closing
Date) and ending on the day prior to such Payment
Date (on an actual/360 basis).
Credit Enhancement: Excess interest, overcollateralization and the
financial guaranty insurance policy (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
note balance of the Offered Notes has been reduced
to an amount less than 10% of the aggregate note
balance of the Offered Notes as of the Closing
Date.
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
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 $1,000,004,974.18 (the "Mortgage
Loans"). Amounts collected in respect of the
Mortgage Loans will primarily be used to make
payments on the Offered Notes.
Subsequent
Mortgage Loans: During the Revolving Period, the Issuer may
acquire "Subsequent Mortgage Loans" (together with
the 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 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.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
4
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- --------------------------------------------------------------------------------
Additional Balance
Increase Amount: With respect to 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 Collection 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: 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
March 2009, to the extent available, funds will be
distributed to the Offered Notes to cover certain
interest shortfalls that were not covered by
excess spread 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 by the Net WAC Rate
on the Mortgage Loans.
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
amount of the servicing fee on the Mortgage Loans,
(b) the amount of the premium on the Policy (which
is calculated on the basis of 30 days in the
related Interest Period and a 360-day year) and
(c) the pro rata portion of interest attributable
to Additional Balances represented by any
Additional Balance Increase Amount and (ii)
payments required to be made under the Yield
Maintenance Agreement, if any, and the denominator
of which is the outstanding note balance 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).
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
5
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- --------------------------------------------------------------------------------
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 Closing Date, a Funding Account will be
established with the Indenture Trustee 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 October
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: With respect to any Payment Date, an amount equal
to the sum of (a) the amounts collected with
respect to the Mortgage Loans during the related
Collection Period, including the interest portion
of Net Liquidation Proceeds, applied to interest
pursuant to the terms of the related credit line
agreements, exclusive of the Interest Collections
allocable to the Excluded Amount, reduced by the
Servicing Fees for that Collection Period, plus
amounts in respect of any optional advance made by
the Servicer pursuant to the terms of the
servicing agreement and (b) the interest portion
of (i) the repurchase price for any deleted
Mortgage Loans, and (ii) the cash purchase price
paid in connection with any optional purchase of
the Mortgage Loans by the Servicer.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
6
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- --------------------------------------------------------------------------------
Principal Collections: With respect to any Payment Date, an amount equal
to the sum of: (a) the amount collected during the
related Collection Period relative to any Mortgage
Loans, including the principal portion of net
liquidation proceeds, applied to principal
pursuant to the terms of the related credit line
agreements, exclusive of the Principal Collections
allocable to the Excluded Amount; and (b) the
principal portion of (i) the repurchase price for
any deleted Mortgage Loans, (ii) any amounts
required to be deposited in the custodial account
by the Seller pursuant to the purchase agreement
and (iii) the cash purchase price paid in
connection with any optional purchase of the
Mortgage Loans by the Servicer.
Net Principal Collections: 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 Excluded Draws; 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 for that Payment Date and
(ii) any Overcollateralization Release Amount for
that Payment Date 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
aggregate note balance of the Offered Notes
immediately prior to that payment date is less
than or equal to 50% of the note balance of the
Offered Notes as of the Closing 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
Draw) 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 note balance of the Offered Notes.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
7
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- --------------------------------------------------------------------------------
Overcollateralization
Release Amount: 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 each have been met, the lesser of (x)
the Net Principal Collections for such Payment
Date and (y) the excess, if any, of (i) the
Overcollateralization Amount for such Payment
Date, assuming that 100% of the Net Principal
Collections is applied as a principal payment on
the Offered Notes on such Payment Date, over (ii)
the Overcollateralization Target Amount for such
Payment Date. With respect to any Payment Date on
which (a) the Stepdown Delinquency Test or (b) the
Stepdown Cumulative Loss Test has not been met,
the Overcollateralization Release Amount will be
zero. During the Rapid Amortization Period, the
Overcollateralization Release Amount will be zero.
Overcollateralization
Target Amount: With respect to any Payment Date on or after the
October 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 Closing Date, and (ii) 100% of the
principal balances of all 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 each have been met, the
Overcollateralization Target Amount shall be at
least equal to 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 at
least 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 each have 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 is less than 3.50%. The
sixty-day delinquency rate is equal to the
principal balance of the Mortgage Loans (exclusive
of the pro rata portion relating to any Excluded
Draw) that are 60 or more days delinquent
(including foreclosures and REO properties)
divided by the aggregate principal balance of the
Mortgage Loans as of such date of determination.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
8
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- --------------------------------------------------------------------------------
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 aggregate principal balance of the
Mortgage Loans as of the Closing 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 Closing Date and ending on the earlier of
(a) the close of business on June 30, 2005, (b)
the Payment Date on which the Funding Account
balance exceeds $40,000,000 (which is
approximately four times the initial
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) the close of business on June 30,
2007 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.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
9
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- --------------------------------------------------------------------------------
Priority of Distributions: On each Payment Date, from amounts withdrawn from
the custodial account with respect to the Mortgage
Loans (including any draw on the Policy and any
amounts required to be paid under the Yield
Maintenance Agreement), the following payments
will be made in the following order of priority:
During the Revolving Period:
----------------------------
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 note
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
October 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, together with interest thereon;
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, and to the Paying Agent,
any amounts owing to the Paying Agent, 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.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
10
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- --------------------------------------------------------------------------------
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 note
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 Offered 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
October 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, together with interest thereon;
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, and to the Paying Agent,
any amounts owing to the Paying Agent, 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.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
11
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- --------------------------------------------------------------------------------
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 note
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 Offered Notes, until the note
balance of the Offered 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
October 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; together with interest thereon,
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, and to the Paying Agent,
any amounts owing to the Paying Agent, 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.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
12
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- --------------------------------------------------------------------------------------------------------
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Cut-Off Date
Number of Mortgage Loans 19,601
Total Principal Balance $1,000,004,974.18
Minimum Maximum Average
------- ------- -------
Principal Balance $5,001.23 $2,109,753.00 $51,018.06
Credit Limit $6,900.00 $2,250,000.00 $88,432.65
Utilization Rate 0.79% 100.00% 57.69%*
Minimum Maximum Weighted Average
------- ------- ----------------
Combined LTV Ratio 4.00% 100.00% 77.43%
Junior Ratio 3.16% 100.00% 42.07%
Credit Score 496 825 727
Remaining Draw Term (Months) 32 239 216
Seasoning (Months) 1 154 20
Current Loan Rate 1.750% 8.750% 4.098%
Fully Indexed Gross Margin -2.250% 4.750% 0.169%
Fully Indexed Loan Rate 1.750% 8.750% 4.169%
Maximum Loan Rate 16.000% 18.000% 17.758%
*Calculated as the outstanding balance of the aggregate Mortgage Loans divided
by the total maximum credit limit of the Mortgage Loans.
- --------------------------------------------------------------------------------------------------------
Percent of Aggregate Percent of Aggregate
Loan Purpose Principal Balance Property Type Principal Balance
- ----------------------------------------------------- ------------------------------------------------
Debt Consolidation / Refinance 53.50% Single Family 91.82%
Other 26.32 Multifamily 4.18
Home Improvement 16.88 Condominium 3.90
Purchase Money 3.31 Agricultural Property with a Residence 0.10
- ----------------------------------------------------- ------------------------------------------------
Total: 100.00% Total: 100.00%
Percent of Aggregate Percent of Aggregate
Occupancy Status Principal Balance Lien Principal Balance
- ----------------------------------------------------- ------------------------------------------------
Primary Residence 90.21% First 38.86%
Non-Primary Residence 5.31 Second 59.87
Rental Property 4.37 Third 1.27
Agricultural Property 0.10
- ----------------------------------------------------- ------------------------------------------------
Total: 100.00% Total: 100.00%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
13
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- ------------------------------------------------------------------------------------------------------------------
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Cut-Off Date
Current Interest Rate
---------------------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
Current Interest Rate (%) Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- --------------------------- ----------------------- ---------------------------- ------------------------------
1.501 to 2.000 1 $17,248.93 0.00%
2.501 to 3.000 8 3,284,442.74 0.33
3.001 to 3.500 623 38,514,538.12 3.85
3.501 to 4.000 12,740 713,995,879.84 71.40
4.001 to 4.500 2,691 110,364,308.57 11.04
4.501 to 5.000 2,584 107,007,837.74 10.70
5.001 to 5.500 613 19,162,285.81 1.92
5.501 to 6.000 174 5,363,039.17 0.54
6.001 to 6.500 133 1,841,381.11 0.18
6.501 to 7.000 32 388,651.01 0.04
7.001 to 7.500 1 21,506.53 0.00
8.501 to 9.000 1 43,854.61 0.00
- --------------------------- ----------------------- ---------------------------- -----------------------------
Total: 19,601 $1,000,004,974.18 100.00%
=========================== ======================= ============================ =============================
Junior Ratio*
-------------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
Junior Ratio (%) Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- --------------------------- ----------------------- ---------------------------- -----------------------------
First Lien 5,731 $388,579,914.42 38.86 %
0.01 to 10.00 511 8,515,824.02 0.85
10.01 to 20.00 3,113 87,970,980.43 8.80
20.01 to 30.00 3,102 118,992,474.97 11.90
30.01 to 40.00 2,328 107,282,523.54 10.73
40.01 to 50.00 1,674 92,972,571.60 9.30
50.01 to 60.00 1,080 68,899,233.44 6.89
60.01 to 70.00 734 45,758,238.80 4.58
70.01 to 80.00 614 40,675,523.76 4.07
80.01 to 90.00 423 23,887,237.95 2.39
90.01 to 100.00 291 16,470,451.25 1.65
- --------------------------- ----------------------- ---------------------------- -----------------------------
Total: 19,601 $1,000,004,974.18 100.00%
=========================== ======================= ============================ =============================
*The junior ratio of a mortgage loan is the ratio (expressed as a percentage) of the credit limit of that
mortgage loan to the sum of such credit limit and the principal balance of any related senior mortgage loan at
origination of that mortgage loan.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
14
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- ------------------------------------------------------------------------------------------------------------------
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Cut-Off Date
Combined LTV
------------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
CLTV (%) Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- --------------------------- ----------------------- ---------------------------- -----------------------------
0.01 to 10.00 34 $1,028,936.29 0.10%
10.01 to 20.00 226 8,289,622.27 0.83
20.01 to 30.00 433 19,130,342.62 1.91
30.01 to 40.00 691 33,983,476.97 3.40
40.01 to 50.00 899 50,111,701.89 5.01
50.01 to 60.00 1,207 66,486,858.98 6.65
60.01 to 70.00 1,669 96,357,809.60 9.64
70.01 to 80.00 2,488 161,971,427.24 16.20
80.01 to 90.00 8,302 400,774,187.69 40.08
90.01 to 100.00 3,652 161,870,610.63 16.19
- --------------------------- ----------------------- ---------------------------- -----------------------------
Total: 19,601 $1,000,004,974.18 100.00%
=========================== ======================= ============================ =============================
FICO Score
----------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
FICO Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- --------------------------- ----------------------- ---------------------------- -----------------------------
476 to 500 14 $438,197.97 0.04%
501 to 525 21 939,326.20 0.09
526 to 550 59 2,922,893.47 0.29
551 to 575 97 5,518,443.25 0.55
576 to 600 173 10,709,764.58 1.07
601 to 625 351 22,220,176.19 2.22
626 to 650 775 46,123,955.87 4.61
651 to 675 1,397 76,240,196.98 7.62
676 to 700 2,198 124,465,749.68 12.45
701 to 725 2,670 143,376,661.66 14.34
726 to 750 2,974 157,347,263.87 15.73
751 to 775 4,218 204,240,901.55 20.42
776 to 800 3,796 175,032,801.09 17.50
801 to 825 858 30,428,641.82 3.04
- --------------------------- ----------------------- ---------------------------- -----------------------------
Total: 19,601 $1,000,004,974.18 100.00%
=========================== ======================= ============================ =============================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
15
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- ------------------------------------------------------------------------------------------------------------------
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Cut-Off Date
Remaining Draw Term
-------------------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
Remaining Draw Term (Months) Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- ----------------------------- ----------------------- ---------------------------- ---------------------------
31 to 35 1 $430,465.95 0.04%
86 to 90 231 11,550,225.92 1.16
91 to 95 90 5,533,778.47 0.55
96 to 100 10 624,116.58 0.06
101 to 105 56 3,023,490.15 0.30
106 to 110 146 10,712,355.70 1.07
111 to 115 147 8,481,898.42 0.85
116 to 120 114 8,611,578.37 0.86
206 to 210 6,326 298,563,206.64 29.86
211 to 215 2,022 96,542,108.46 9.65
216 to 220 177 6,075,369.62 0.61
221 to 225 1,302 67,263,665.83 6.73
226 to 230 3,290 173,288,831.15 17.33
231 to 235 3,227 174,504,260.54 17.45
236 to 240 2,462 134,799,622.38 13.48
- ----------------------------- ----------------------- ---------------------------- ---------------------------
Total: 19,601 $1,000,004,974.18 100.00%
============================= ======================= ============================ ===========================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
16
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- ------------------------------------------------------------------------------------------------------------------
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Cut-Off Date
Origination Period
------------------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
Origination Period Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- ----------------------------- ----------------------- ---------------------------- ---------------------------
4th Quarter 2001 8,662 $411,851,778.51 41.18%
1st Quarter 2002 2 105,938.95 0.01
2nd Quarter 2002 11 460,906.79 0.05
3rd Quarter 2002 178 6,258,625.95 0.63
4th Quarter 2002 730 35,573,078.20 3.56
1st Quarter 2003 1,113 58,558,147.16 5.86
2nd Quarter 2003 2,155 117,236,778.29 11.72
3rd Quarter 2003 2,156 113,527,913.83 11.35
4th Quarter 2003 2,017 112,590,139.80 11.26
1st Quarter 2004 2,120 118,473,432.97 11.85
2nd Quarter 2004 457 25,368,233.73 2.54
- ----------------------------- ----------------------- ---------------------------- ---------------------------
Total: 19,601 $1,000,004,974.18 100.00%
============================= ======================= ============================ ===========================
Documentation Type
------------------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
Documentation Type Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- ------------------------------------ -------------- ------------------------ ---------------------------
No Income Documentation Required 14,997 $535,231,172.57 53.52%
1 YTD Pay Stub
or 2 Years Tax Returns 4,363 447,214,036.12 44.72
1 YTD Pay Stub and last W-2
or 2 Years Tax Returns 241 17,559,765.49 1.76
- ------------------------------------ -------------- ------------------------ ---------------------------
Total: 19,601 $1,000,004,974.18 100.00%
==================================== ============== ======================== ===========================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
17
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- ----------------------------------------------------------------------------------------------------------------------------
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Cut-Off Date
Statistical Cut-Off Date Principal Balance
------------------------------------------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Principal Balance ($) Number of As of the As of the
As of the Statistical Cut-Off Date Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- ------------------------------------- ----------------------- ---------------------------- ------------------------------
0.01 to 50,000.00 13,388 $318,821,760.98 31.88%
50,000.01 to 75,000.00 2,525 155,647,207.76 15.56
75,000.01 to 100,000.00 1,825 161,982,921.87 16.20
100,000.01 to 150,000.00 914 112,543,802.67 11.25
150,000.01 to 200,000.00 407 70,676,595.80 7.07
200,000.01 to 250,000.00 244 55,099,784.94 5.51
250,000.01 to 300,000.00 90 24,731,107.31 2.47
300,000.01 to 400,000.00 106 36,467,513.83 3.65
400,000.01 to 500,000.00 64 29,644,364.02 2.96
500,000.01 to 600,000.00 11 6,086,218.91 0.61
600,000.01 to 700,000.00 6 3,870,567.37 0.39
700,000.01 to 800,000.00 3 2,321,962.42 0.23
800,000.01 to 900,000.00 4 3,459,545.60 0.35
900,000.01 to 1,000,000.00 4 3,878,917.23 0.39
1,000,000.01 to 1,100,000.00 1 1,036,393.67 0.10
1,100,000.01 to 1,200,000.00 2 2,342,560.69 0.23
1,200,000.01 to 1,300,000.00 1 1,226,813.81 0.12
1,400,000.01 to 1,500,000.00 2 2,948,582.10 0.29
1,500,000.01 to 1,600,000.00 1 1,582,715.17 0.16
1,600,000.01 to 1,700,000.00 1 1,615,238.72 0.16
1,900,000.01 to 2,000,000.00 1 1,910,646.31 0.19
2,100,000.01 to 2,200,000.00 1 2,109,753.00 0.21
- ------------------------------------- ----------------------- ---------------------------- ------------------------------
Total: 19,601 $1,000,004,974.18 100.00%
===================================== ======================= ============================ ==============================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
18
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- ------------------------------------------------------------------------------------------------------------------
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Cut-Off Date
Location
--------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
Location Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- --------------------------- ----------------------- ---------------------------- ------------------------------
Florida 3,789 $207,084,295.21 20.71%
New Jersey 3,414 202,533,706.80 20.25
Pennsylvania 3,031 140,880,284.02 14.09
North Carolina 2,822 123,086,405.77 12.31
Virginia 2,397 102,582,600.07 10.26
Georgia 1,169 59,858,343.11 5.99
Connecticut 779 47,779,169.35 4.78
New York 664 46,914,291.60 4.69
Maryland 736 32,362,286.83 3.24
South Carolina 624 26,931,792.00 2.69
District of Columbia 108 6,168,087.30 0.62
Delaware 22 1,632,974.80 0.16
Tennessee 15 822,263.88 0.08
Alabama 13 664,795.75 0.07
Massachusetts 12 529,595.20 0.05
West Virginia 4 146,911.00 0.01
Rhode Island 2 27,171.49 0.00
- --------------------------- ----------------------- ---------------------------- ------------------------------
Total: 19,601 $1,000,004,974.18 100.00%
=========================== ======================= ============================ ==============================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
19
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- -----------------------------------------------------------------------------------------------------------------------
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Cut-Off Date
Fully Indexed Gross Margin
--------------------------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
Fully Indexed Gross Margin (%) Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- -------------------------------- ----------------------- ---------------------------- ------------------------------
-2.499 to -2.000 1 $17,248.93 0.00%
-1.499 to -1.000 8 3,284,442.74 0.33
-0.999 to -0.500 79 12,848,008.73 1.28
-0.499 to 0.000 10,936 643,259,541.88 64.33
0.001 to 0.500 4,357 181,339,262.53 18.13
0.501 to 1.000 2,293 101,499,970.45 10.15
1.001 to 1.500 1,270 43,180,093.06 4.32
1.501 to 2.000 284 9,207,373.94 0.92
2.001 to 2.500 305 4,498,301.96 0.45
2.501 to 3.000 61 744,111.28 0.07
3.001 to 3.500 5 64,453.13 0.01
3.501 to 4.000 1 18,310.94 0.00
4.501 to 5.000 1 43,854.61 0.00
- -------------------------------- ----------------------- ---------------------------- -------------------------------
Total: 19,601 $1,000,004,974.18 100.00%
================================ ======================= ============================ ===============================
Fully Indexed Loan Rate
-----------------------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
Fully Indexed Loan Rate (%) Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- ----------------------------- ----------------------- ---------------------------- ------------------------------
1.501 to 2.000 1 $17,248.93 0.00%
2.501 to 3.000 8 3,284,442.74 0.33
3.001 to 3.500 79 12,848,008.73 1.28
3.501 to 4.000 10,936 643,259,541.88 64.33
4.001 to 4.500 4,357 181,339,262.53 18.13
4.501 to 5.000 2,293 101,499,970.45 10.15
5.001 to 5.500 1,270 43,180,093.06 4.32
5.501 to 6.000 284 9,207,373.94 0.92
6.001 to 6.500 305 4,498,301.96 0.45
6.501 to 7.000 61 744,111.28 0.07
7.001 to 7.500 5 64,453.13 0.01
7.501 to 8.000 1 18,310.94 0.00
8.501 to 9.000 1 43,854.61 0.00
- ----------------------------- ----------------------- ---------------------------- -------------------------------
Total: 19,601 $1,000,004,974.18 100.00%
============================= ======================= ============================ ===============================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
20
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- -----------------------------------------------------------------------------------------------------------------------
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Cut-Off Date
Credit Limit
------------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
Credit Limit ($) Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- --------------------------------- ----------------------- ---------------------------- ------------------------------
0.01 to 50,000.00 7,626 $168,788,131.47 16.88%
50,000.01 to 75,000.00 2,802 110,592,500.74 11.06
75,000.01 to 100,000.00 5,304 261,778,917.87 26.18
100,000.01 to 150,000.00 1,773 129,011,574.44 12.90
150,000.01 to 200,000.00 805 82,898,825.06 8.29
200,000.01 to 250,000.00 760 93,789,399.02 9.38
250,000.01 to 300,000.00 130 23,942,604.43 2.39
300,000.01 to 400,000.00 170 40,194,724.72 4.02
400,000.01 to 500,000.00 163 47,623,974.22 4.76
500,000.01 to 600,000.00 15 5,377,582.02 0.54
600,000.01 to 700,000.00 10 4,931,068.75 0.49
700,000.01 to 800,000.00 8 3,970,846.75 0.40
800,000.01 to 900,000.00 6 4,822,570.48 0.48
900,000.01 to 1,000,000.00 15 5,966,010.14 0.60
1,100,000.01 to 1,200,000.00 5 3,386,101.29 0.34
1,200,000.01 to 1,300,000.00 1 1,226,813.81 0.12
1,400,000.01 to 1,500,000.00 2 1,954,695.00 0.20
1,500,000.01 to 1,600,000.00 2 3,076,602.27 0.31
1,600,000.01 to 1,700,000.00 1 1,615,238.72 0.16
1,900,000.01 to 2,000,000.00 2 2,947,039.98 0.29
2,200,000.01 to 2,300,000.00 1 2,109,753.00 0.21
- --------------------------------- ----------------------- ---------------------------- -------------------------------
Total: 19,601 $1,000,004,974.18 100.00%
================================= ======================= ============================ ===============================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
21
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- ------------------------------------------------------------------------------------------------------------------
DESCRIPTION OF THE MORTGAGE LOANS
As of the Statistical Cut-Off Date
Utilization Rate
----------------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
Utilization Rate (%) Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- --------------------------- ----------------------- ---------------------------- ------------------------------
0.001 to 10.000 773 $7,673,563.82 0.77%
10.001 to 20.000 1,774 28,792,666.71 2.88
20.001 to 30.000 1,725 41,119,953.00 4.11
30.001 to 40.000 1,594 49,508,842.40 4.95
40.001 to 50.000 1,614 61,198,245.85 6.12
50.001 to 60.000 1,546 72,295,953.73 7.23
60.001 to 70.000 1,483 79,959,142.94 8.00
70.001 to 80.000 1,691 103,263,411.75 10.33
80.001 to 90.000 1,978 132,502,389.31 13.25
90.001 to 100.000 5,423 423,690,804.67 42.37
- --------------------------- ----------------------- ---------------------------- ------------------------------
Total: 19,601 $1,000,004,974.18 100.00%
=========================== ======================= ============================ ==============================
Teaser Expiration Month
-----------------------
Percent of
Mortgage Loans By
Principal Balance Principal Balance
Number of As of the As of the
Teaser Expiration Month Mortgage Loans Statistical Cut-Off Date Statistical Cut-Off Date
- --------------------------- ----------------------- ---------------------------- ------------------------------
No Teaser/Teaser Expired 16,809 $889,917,164.12 88.99%
May 2004 1 16,491.57 0.00
July 2004 330 12,285,097.50 1.23
August 2004 331 11,760,012.60 1.18
September 2004 340 12,701,288.94 1.27
October 2004 248 10,938,834.12 1.09
November 2004 90 3,533,336.68 0.35
December 2004 283 11,239,836.90 1.12
January 2005 293 12,110,587.87 1.21
February 2005 224 9,444,582.65 0.94
March 2005 256 10,200,272.64 1.02
April 2005 327 12,263,203.95 1.23
May 2005 69 3,594,264.64 0.36
- --------------------------- ----------------------- ---------------------------- ------------------------------
Total: 19,601 $1,000,004,974.18 100.00%
=========================== ======================= ============================ ==============================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
22
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- ------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Call) (1)
--------------------------
Class A to Call
- ------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- ------------------------------------------------------------------------------------------------------------------------------
WAL 5.77 4.34 4.19 3.09 2.43 1.73 1.20
Modified Duration (2) 5.49 4.18 4.04 2.99 2.36 1.69 1.18
First Principal Payment Date 07/25/07 07/25/07 07/25/07 11/25/04 09/25/04 09/25/04 08/25/04
Last Principal Payment Date 06/25/12 11/25/09 07/25/09 03/25/09 10/25/08 03/25/08 06/25/07
Principal Window (months) 60 29 25 53 50 43 35
BOND SUMMARY (to Maturity) (1)
------------------------------
Class A to Maturity
- ------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- ------------------------------------------------------------------------------------------------------------------------------
WAL 5.79 4.35 4.20 3.10 2.45 1.77 1.26
Modified Duration (2) 5.52 4.19 4.05 3.00 2.38 1.73 1.23
First Principal Payment Date 07/25/07 07/25/07 07/25/07 11/25/04 09/25/04 09/25/04 08/25/04
Last Principal Payment Date 12/25/12 02/25/10 10/25/09 07/25/09 04/25/09 01/25/09 09/25/08
Principal Window (months) 66 32 28 57 56 53 50
- -----------
(1) The draw rate used in each scenario is 34%.
(2) Modified duration calculated assuming a price of 100.00%.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
23
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (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 7/25/04 19.12% 30 12/25/06 21.13%
2 8/25/04 18.94% 31 1/25/07 20.58%
3 9/25/04 18.77% 32 2/25/07 20.58%
4 10/25/04 19.08% 33 3/25/07 22.35%
5 11/25/04 18.42% 34 4/25/07 20.58%
6 12/25/04 19.63% 35 5/25/07 21.13%
7 1/25/05 19.12% 36 6/25/07 20.58%
8 2/25/05 20.58% 37 7/25/07 21.12%
9 3/25/05 22.35% 38 8/25/07 20.58%
10 4/25/05 20.58% 39 9/25/07 20.58%
11 5/25/05 21.13% 40 10/25/07 21.13%
12 6/25/05 20.58% 41 11/25/07 20.58%
13 7/25/05 21.12% 42 12/25/07 21.13%
14 8/25/05 20.58% 43 1/25/08 20.58%
15 9/25/05 20.58% 44 2/25/08 20.58%
16 10/25/05 21.13% 45 3/25/08 21.72%
17 11/25/05 20.58% 46 4/25/08 20.58%
18 12/25/05 21.13% 47 5/25/08 21.13%
19 1/25/06 20.58% 48 6/25/08 20.58%
20 2/25/06 20.58% 49 7/25/08 21.12%
21 3/25/06 22.35% 50 8/25/08 20.58%
22 4/25/06 20.58% 51 9/25/08 20.58%
23 5/25/06 21.13% 52 10/25/08 21.13%
24 6/25/06 20.58% 53 11/25/08 20.50%
25 7/25/06 21.12% 54 12/25/08 20.92%
26 8/25/06 20.58% 55 1/25/09 20.34%
27 9/25/06 20.58% 56 2/25/09 20.29%
28 10/25/06 21.13% 57 3/25/09 22.01%
29 11/25/06 20.58%
- ------------
(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%.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.
24