Wachovia Asset Securitization, Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1.000,000,000 (approximate)
- -------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Call)
----------------------
Class A to Call
- -------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- -------------------------------------------------------------------------------------------------------------------------------
Draw Rate 20% 20% 20% 20% 20% 20% 20%
- -------------------------------------------------------------------------------------------------------------------------------
WAL 5.93 5.22 3.55 2.28 1.83 1.33 0.96
Modified Duration (1) 5.64 4.99 3.42 2.22 1.79 1.30 0.94
First Principal Payment Date Jul07 Jul05 Nov04 Sep04 Sep04 Aug04 Aug04
Last Principal Payment Date Aug12 Jul11 May10 Feb09 Jul08 Sep07 Oct06
Principal Window (months) 62 73 67 54 47 38 27
- -------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)
--------------------------
Class A to Maturity
- -------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- -------------------------------------------------------------------------------------------------------------------------------
Draw Rate 20% 20% 20% 20% 20% 20% 20%
- -------------------------------------------------------------------------------------------------------------------------------
WAL 5.96 5.24 3.58 2.33 1.89 1.40 1.04
Modified Duration (1) 5.66 5.01 3.45 2.27 1.84 1.37 1.02
First Principal Payment Date Jul07 Jul05 Nov04 Sep04 Sep04 Aug04 Aug04
Last Principal Payment Date Mar13 Dec11 Dec10 Feb10 Oct09 May09 Nov08
Principal Window (months) 69 78 74 66 62 58 52
- -------------------------------------------------------------------------------------------------------------------------------
(1) Asuming a price of 100.00%, a Note Margin of 0.22% over 1-month LIBOR, and a constant 1-month LIBOR of 1.15%.
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)
- -------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Call)
----------------------
Class A to Call
- -------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- -------------------------------------------------------------------------------------------------------------------------------
Draw Rate 25% 25% 25% 25% 25% 25% 25%
- -------------------------------------------------------------------------------------------------------------------------------
WAL 5.77 4.77 3.94 2.52 2.02 1.46 1.03
Modified Duration (1) 5.49 4.58 3.80 2.45 1.96 1.42 1.01
First Principal Payment Date Jul07 Jul07 Feb05 Sep04 Sep04 Aug04 Aug04
Last Principal Payment Date Jun12 Jul10 Mar10 Mar09 Sep08 Dec07 Dec06
Principal Window (months) 60 37 62 55 49 41 29
- -------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)
--------------------------
Class A to Maturity
- -------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- -------------------------------------------------------------------------------------------------------------------------------
Draw Rate 25% 25% 25% 25% 25% 25% 25%
- -------------------------------------------------------------------------------------------------------------------------------
WAL 5.80 4.79 3.96 2.56 2.06 1.51 1.11
- -------------------------------------------------------------------------------------------------------------------------------
Modified Duration (1) 5.52 4.60 3.81 2.48 2.00 1.47 1.08
First Principal Payment Date Jul07 Jul07 Feb05 Sep04 Sep04 Aug04 Aug04
Last Principal Payment Date Jan13 Nov10 Aug10 Nov09 Aug09 Mar09 Nov08
Principal Window (months) 67 41 67 63 60 56 52
- -------------------------------------------------------------------------------------------------------------------------------
(1) Asuming a price of 100.00%, a Note Margin of 0.22% over 1-month LIBOR, and a constant 1-month LIBOR of 1.15%.
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- -------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Call)
----------------------
Class A to Call
- -------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- -------------------------------------------------------------------------------------------------------------------------------
Draw Rate 30% 30% 30% 30% 30% 30% 30%
- -------------------------------------------------------------------------------------------------------------------------------
WAL 5.77 4.43 4.41 2.81 2.23 1.60 1.12
Modified Duration (1) 5.49 4.26 4.24 2.72 2.17 1.56 1.10
First Principal Payment Date Jul07 Jul07 Jul05 Oct04 Sep04 Aug04 Aug04
Last Principal Payment Date Jun12 Dec09 Jan10 Mar09 Oct08 Feb08 Mar07
Principal Window (months) 60 30 55 54 50 43 32
- -------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)
--------------------------
Class A to Maturity
- -------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- -------------------------------------------------------------------------------------------------------------------------------
Draw Rate 30% 30% 30% 30% 30% 30% 30%
- -------------------------------------------------------------------------------------------------------------------------------
WAL 5.79 4.44 4.42 2.83 2.26 1.64 1.18
Modified Duration (1) 5.52 4.27 4.25 2.75 2.20 1.60 1.16
First Principal Payment Date Jul07 Jul07 Jul05 Oct04 Sep04 Aug04 Aug04
Last Principal Payment Date Dec12 Mar10 Apr10 Sep09 Jun09 Feb09 Oct08
Principal Window (months) 66 33 58 60 58 55 51
- -------------------------------------------------------------------------------------------------------------------------------
(1) Asuming a price of 100.00%, a Note Margin of 0.22% over 1-month LIBOR, and a constant 1-month LIBOR of 1.15%.
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- -----------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Call)
----------------------
Class A to Call
- -----------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- -----------------------------------------------------------------------------------------------------------------------------------
Draw Rate 40% 40% 40% 40% 40% 40% 40%
- -----------------------------------------------------------------------------------------------------------------------------------
WAL 5.77 4.34 3.90 3.60 2.81 1.97 1.35
Modified Duration (1) 5.49 4.18 3.77 3.48 2.73 1.92 1.32
First Principal Payment Date Jul07 Jul07 Jul07 Mar05 Oct04 Sep04 Aug04
Last Principal Payment Date Jun12 Nov09 Jan09 Feb09 Nov08 May08 Sep07
Principal Window (months) 60 29 19 48 50 45 38
- -----------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)
--------------------------
Class A to Maturity
- -----------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- -----------------------------------------------------------------------------------------------------------------------------------
Draw Rate 40% 40% 40% 40% 40% 40% 40%
- -----------------------------------------------------------------------------------------------------------------------------------
WAL 5.79 4.35 3.90 3.61 2.82 2.00 1.40
Modified Duration (1) 5.52 4.19 3.77 3.49 2.74 1.95 1.37
First Principal Payment Date Jul07 Jul07 Jul07 Mar05 Oct04 Sep04 Aug04
Last Principal Payment Date Dec12 Feb10 Mar09 May09 Mar09 Dec08 Sep08
Principal Window (months) 66 32 21 51 54 52 50
- -----------------------------------------------------------------------------------------------------------------------------------
(1) Asuming a price of 100.00%, a Note Margin of 0.22% over 1-month LIBOR, and a constant 1-month LIBOR of 1.15%.
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- -----------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Call)
----------------------
Class A to Call
- -----------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- -----------------------------------------------------------------------------------------------------------------------------------
Draw Rate 45% 45% 45% 45% 45% 45% 45%
- -----------------------------------------------------------------------------------------------------------------------------------
WAL 5.77 4.34 3.86 3.85 3.22 2.23 1.51
Modified Duration (1) 5.49 4.18 3.73 3.72 3.12 2.17 1.47
First Principal Payment Date Jul07 Jul07 Jul07 Jul07 Dec04 Sep04 Aug04
Last Principal Payment Date Jun12 Nov09 Dec08 Dec08 Nov08 Jun08 Nov07
Principal Window (months) 60 29 18 18 48 46 40
- -----------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)
--------------------------
Class A to Maturity
- -----------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- -----------------------------------------------------------------------------------------------------------------------------------
Draw Rate 45% 45% 45% 45% 45% 45% 45%
- -----------------------------------------------------------------------------------------------------------------------------------
WAL 5.79 4.35 3.87 3.85 3.23 2.24 1.54
Modified Duration (1) 5.52 4.19 3.74 3.73 3.13 2.18 1.51
First Principal Payment Date Jul07 Jul07 Jul07 Jul07 Dec04 Sep04 Aug04
Last Principal Payment Date Dec12 Feb10 Feb09 Feb09 Jan09 Oct08 Aug08
Principal Window (months) 66 32 20 20 50 50 49
- -----------------------------------------------------------------------------------------------------------------------------------
(1) Asuming a price of 100.00%, a Note Margin of 0.22% over 1-month LIBOR, and a constant 1-month LIBOR of 1.15%.
Wachovia Asset Securitization Issuance, LLC Asset-Backed Notes, Series 2004-HE1
$1,000,000,000 (approximate)
- -----------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Call)
----------------------
Class A to Call
- -----------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- -----------------------------------------------------------------------------------------------------------------------------------
Draw Rate 50% 50% 50% 50% 50% 50% 50%
- -----------------------------------------------------------------------------------------------------------------------------------
WAL 5.77 4.34 3.86 3.64 3.74 2.55 1.71
Modified Duration (1) 5.49 4.18 3.73 3.52 3.62 2.48 1.67
First Principal Payment Date Jul07 Jul07 Jul07 Jul07 Jul05 Oct04 Sep04
Last Principal Payment Date Jun12 Nov09 Dec08 Jul08 Oct08 Jun08 Jan08
Principal Window (months) 60 29 18 13 40 45 41
- -----------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)
--------------------------
Class A to Maturity
- -----------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- -----------------------------------------------------------------------------------------------------------------------------------
Draw Rate 50% 50% 50% 50% 50% 50% 50%
- -----------------------------------------------------------------------------------------------------------------------------------
WAL 5.79 4.35 3.87 3.65 3.75 2.57 1.73
Modified Duration (1) 5.52 4.19 3.74 3.53 3.63 2.49 1.69
First Principal Payment Date Jul07 Jul07 Jul07 Jul07 Jul05 Oct04 Sep04
Last Principal Payment Date Dec12 Feb10 Feb09 Sep08 Dec08 Oct08 Jul08
Principal Window (months) 66 32 20 15 42 49 47
- -----------------------------------------------------------------------------------------------------------------------------------
(1) Asuming a price of 100.00%, a Note Margin of 0.22% over 1-month LIBOR, and a constant 1-month LIBOR of 1.15%.
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 5.93 5.22 3.55 2.28 1.83 1.33 0.96
BE Yield (2) 1.394% 1.394% 1.394% 1.394% 1.394% 1.394% 1.394%
Modified Duration (2) 5.64 4.99 3.42 2.22 1.79 1.30 0.94
First Principal Payment Date Jul. 2007 Jul. 2005 Nov. 2004 Sep. 2004 Sep. 2004 Aug. 2004 Aug. 2004
Last Principal Payment Date Aug. 2012 Jul. 2011 May 2010 Feb. 2009 Jul. 2008 Sep. 2007 Oct. 2006
Principal Window (months) 62 73 67 54 47 38 27
- --------------------------------------------------------------------------------------------------------------------------------
BOND SUMMARY (to Maturity) (1)
------------------------------
Class A to Maturity
- --------------------------------------------------------------------------------------------------------------------------------
CPR 10% 20% 30% 43% 50% 60% 70%
- --------------------------------------------------------------------------------------------------------------------------------
WAL 5.96 5.24 3.58 2.33 1.89 1.40 1.04
BE Yield (2) 1.394% 1.394% 1.394% 1.394% 1.394% 1.394% 1.394%
Modified Duration (2) 5.66 5.01 3.45 2.27 1.84 1.37 1.02
First Principal Payment Date Jul. 2007 Jul. 2005 Nov. 2004 Sep. 2004 Sep. 2004 Aug. 2004 Aug. 2004
Last Principal Payment Date Mar. 2013 Dec. 2011 Dec. 2010 Feb. 2010 Oct. 2009 May 2009 Nov. 2008
Principal Window (months) 69 78 74 66 62 58 52
- --------------------------------------------------------------------------------------------------------------------------------
- --------------
(1) The draw rate used in each scenario is 20%.
(2) Asuming a price of 100.00%, a Note Margin of 0.22% over 1-month LIBOR, and a constant 1-month LIBOR of 1.15%.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
WACHOVIA SECURITIES IMMEDIATELY.
1