Project: Xxxxx Fargo Bid 10/1 ARMS March 24 2004 Bid April 14, 2004 15:43 PAGE 0001
All Loans All Loans
___________________________________________________________________________________________________________________________________
| Loans| Sched. Balance |Gross WAC| Net WAC | WA REM TERM |Per Cap| Initial Periodic| WA Rate | WA MTR |WA Gross Margin|
| | | | | | | cap | Ceiling | | |
|______|__________________|_________|_________|_____________|_______|_________________|______________|_____________|_______________|
| 602 | $320,489,949.47 | 5.171 | 4.911 | 358.64 | 2.000 | 5.000 | 10.171 | 119.18 | 2.750 |
__________________________________________________________________________________________________________________________________|
___________________________
| Loans| WA LTV | WA FICO |
|______|__________|_________|
| 602 | 61.96 | 733.356 |
___________________________
____________________________________________________________________________________________
|Current Rate |Original Principal Balance |Rem Term To Maturity |
|____________________|___________________________________|___________________________________|
|3.50 - 3.749% 0.33| $100,000 - $150,000 0.20|181 - 240 Mths 0.45|
|3.75 - 3.99% 0.15| $150,000 - $200,000 0.40|301 - 360 Mths 99.55|
|4.00 - 4.249% 0.79| $200,000 - $250,000 0.95| |
|4.25 - 4.49% 1.94| $250,001 - $275,000 0.25| |
|4.50 - 4.749% 1.73| $275,001 - $350,000 3.84| |
|4.75 - 4.99% 8.11| $350,001 - $400,000 10.04| |
|5.00 - 5.249% 38.01| $400,001 - $450,000 12.63| |
|5.25 - 5.49% 33.85| $450,001 - $500,000 15.08| |
|5.50 - 5.749% 12.74| $500,001 - $550,000 9.02| |
|5.75 - 5.99% 1.46| $550,001 - $600,000 6.10| |
|6.00 - 6.249% 0.89| $600,001 - $650,000 12.46| |
| | $650,001 - $750,000 4.80| |
| | $750,001 - $850,000 6.23| |
| | $850,001 - $950,000 5.34| |
| | $950,001 - $1.0M 10.85| |
| | $1.0M - $1.25M 0.74| |
| | $1.25M - $1.50M 0.47| |
| | $1.75M - $2.00M 0.60| |
| | | |
____________________________________________________________________________________________
____________________________________________________
|Geography |Orig LTV |FICO |
|__________________|__________________|______________|
|California 70.13| 0.01-50.00 20.41|Missing 0.14|
|New Jersey 3.47| 50.01-60.0 20.12|560-579 0.18|
|Illinois 3.37| 60.01-70.0 34.03|580-619 0.16|
|Colorado 2.99| 70.01-75.0 8.27|620-649 2.18|
|Connecticut 2.28| 75.01-80.0 16.69|650-699 18.58|
|Massachuset 1.99| 85.01-90.0 0.25|700-749 38.93|
|Minnesota 1.87| 90.01-95.0 0.23|750-799 38.92|
|Florida 1.53| |800+ 0.92|
|Washington 1.25| | |
|Ohio 1.25| | |
|Michigan 1.20| | |
|New York 1.12| | |
|*Other* 7.53| | |
____________________________________________________
_____________________________________________________________________________________________________________
|Property Type |Purpose |Documentation |Leasehold |Relocation|Interest Only |
________________________________|_________________|__________________|____________|__________|_______________|
|Single Family 92.83|Refinance 60.73|Full Doc 53.46|N 100.00|N 96.02|N 100.00|
|Lo Rise Condo 4.06|Purchase 28.31|Asset Only 25.50| |Y 3.98| |
|Hi Rise Condo 1.78|Cash Out 10.96|Income Only 14.77| | | |
|2-4 Family 0.92| |No Doc 6.28| | | |
|PUD 0.42| | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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__________________________________________________________________________________________________________________________________
|Arm Index |Gross Margins |Periodic Rate Cap |Initial Periodic Cap |Months to First Adj |Rate Ceilings |
|__________________|____________________|____________________|_____________________|__________________________|____________________|
|1YR CMT 100.00| 2.750 100.00| 2.000 100.00| 5.00 100.00 | 112 0.22| 8.50- 8.99% 0.48|
| | | | | 114 0.13| 9.00- 9.49% 2.73|
| | | | | 115 0.30| 9.50- 9.99% 9.83|
| | | | | 116 0.77|10.00- 10.49% 71.87|
| | | | | 117 1.10|10.50- 10.99% 14.20|
| | | | | 118 2.46|11.00- 11.49% 0.89|
| | | | | 119 66.76| |
| | | | | 120 28.25| |
| | | | | | |
| | | | | | |
__________________________________________________________________________________________________________________________________
1. Mortgage loan data as of April 1, 2004 Cut-off Date.
2. Percentages in tables are percentage of total aggregate unpaid principal
balance.
Disclaimer:
This information is furnished solely by Xxxxxxx, Xxxxx & Co. and not by the
issuer of the securities or any of its affiliates. Xxxxxxx, Xxxxx & Co. is
acting as underwriter and not as agent for the issuer or its affiliates in
connection with the proposed transaction. The information contained herein will
be superseded by the description of the mortgage loans contained in the
prospectus supplement relating to the securities and supersedes all information
contained in all prior collateral term sheets relating to the mortgage loans
previously provided by Xxxxxxx, Xxxxx & Co.
This material is for your private information, and we are not soliciting any
action based upon it. This report is not to be construed as an offer to sell or
the solicitation of an offer to buy any security in any jurisdiction where such
an offer or solicitation would be illegal. Certain transactions, including those
involving futures, options, and high yield securities, give rise to substantial
risk and are not suitable for all investors. The material is based upon
information that we consider reliable, but we do not represent that it is
accurate or complete, and it should not be relied upon as such. Opinions
expressed are our current opinions as of the date appearing on this material
only. While we endeavor to update on a reasonable basis the information
discussed in this material, there may be regulatory, compliance, or other
reasons that prevent us from doing so. We and our affiliates, officers,
directors, and employees, including persons involved in the preparation or
issuance of this material, may, from time to time, have long or short positions
in, and buy or sell, the securities, or derivatives (including options) thereof,
of companies mentioned herein. No part of this material may be (i) copied,
photocopied, or duplicated in any form, by any means, or (ii) redistributed
without Xxxxxxx, Xxxxx & Co.'s prior written consent. This material has been
issued by Xxxxxxx, Xxxxx & Co. and/or one of its affiliates and has been
approved by Xxxxxxx Xxxxx International, which is regulated by The Securities
and Futures Authority, in connection with its distribution in the United Kingdom
and by Xxxxxxx Xxxxx Canada in connection with its distribution in Canada. This
material is distributed in Hong Kong by Xxxxxxx Xxxxx (Asia) L.L.C., in Japan by
Xxxxxxx Xxxxx (Japan) Ltd., and in Singapore through Xxxxxxx Xxxxx (Singapore)
Pte. This material is not for distribution in the United Kingdom to private
customers, as that term is defined under the rules of The Securities and Futures
Authority; and any investments, including any convertible bonds or derivatives,
mentioned in this material will not be made available by us to any such private
customer. Neither Xxxxxxx, Xxxxx & Co. nor its representative in Seoul, Korea,
is licensed to engage in the securities business in the Republic of Korea.
Xxxxxxx Xxxxx International and its non-U.S. affiliates may, to the extent
permitted under applicable law, have acted upon or used this research, to the
extent it relates to non-U.S. issuers, prior to or immediately following its
publication. Foreign-currency-denominated securities are subject to fluctuations
in exchange rates that could have an adverse effect on the value or price of, or
income derived from, the investment. In addition, investors in certain
securities such as ADRs, the values of which are influenced by foreign
currencies, effectively assume currency risk.
Further information on any of the securities mentioned in this material may be
obtained upon request, and for this purpose persons in Italy should contact
Xxxxxxx Xxxxx S.I.M. S.p.A. in Milan, or at its London branch office at 000
Xxxxx Xxxxxx, and persons in Hong Kong should contact Xxxxxxx Xxxxx (Asia)
L.L.C. at 0 Xxxxxx Xxxx. Unless governing law permits otherwise, you must
contact a Xxxxxxx Xxxxx entity in your home jurisdiction if you want to use our
services in effecting a transaction in the securities mentioned in this
material.
All information in this Term Sheet, whether regarding assets backing any
securities discussed herein or otherwise, will be superseded by the information
contained in the final prospectus.
April 15, 2004
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Structural and Collateral Term Sheet
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$312,637,000 (approximate) of Senior Certificates
Xxxxx Fargo Mortgage Backed Securities 2004-E Trust, Issuer
Mortgage Pass-Through Certificates, Series 2004-E
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Features of the Transaction
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o Offering consists of senior certificates totaling approximately
$312,637,000 expected to be rated AAA by S&P and Xxxxx'x.
o The expected amount of credit support for each group of senior certificates
will be approximately 2.45%.
o All collateral consists of conventional adjustable rate mortgage loans with
most set to mature within 20 through 30 years of the date of origination,
secured by first liens on one- to four-family residential properties and
originated or acquired by Xxxxx Fargo Home Mortgage, Inc.
o The amount of senior certificates is approximate and may vary by up to 5%.
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Time Table
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Expected Settlement: April 28, 2004
Cut-off Date: April 1, 2004
First Distribution Date: May 25, 2004
Distribution Date: 25th of each month or the
NBD
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Key Terms
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Issuer: WFMBS 2004-E Trust
Underwriter: Xxxxxxx, Xxxxx & Co.
Seller: Xxxxx Fargo Asset Securities Corporation
Master Servicer: Xxxxx Fargo Bank, NA
Servicer: Xxxxx Fargo Home Mortgage, Inc.
Trustee: Wachovia Bank, NA
Type of Issuance: Public
Servicer Advancing: Yes, subject to recoverability
Compensating Interest: Yes, for each Distribution Date, the lesser of (i) the
aggregate Prepayment Interest Shortfall with respect to such Distribution Date
and (ii) the lesser of (X) the product of (A) 1/12th of 0.20% and (B) the
aggregate Scheduled Principal Balance of the Mortgage Loans for such
Distribution Date and (Y) the Available Master Servicing Compensation for such
Distribution Date. Compensating Interest is not paid on curtailments
Legal Investment: The senior certificates are expected to be SMMEA eligible at
settlement
Interest Accrual: Prior calendar month
Clean Up Call: 10% of the Cut-off Date principal balance of the Loans
XXXXX Xxxxxxxx: Underwriter's exemption may apply to senior certificates,
however prospective purchasers should consult their own counsel
Tax Treatment: REMIC; senior certificates are regular interests
Structure: Senior/subordinate structure
Subordination: 2.45%
Rating Agencies: S&P and Xxxxx'x
Minimum Denomination: $25,000 for the Senior Certificates and a higher minimum
for any IO Certificates
Delivery: Senior certificates - DTC
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Final Collateral Description (approximate) All Loans
--------------------------------------------------------------------------------
AGGREGATE PRINCIPAL BALANCE: $320,489,949
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AVERAGE LOAN BALANCE: $532,375
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INTEREST RATE RANGE: 3.625%-6.125%
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GROSS WAC: 5.171%
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WEIGHTED AVERAGE SERVICE FEE: 25.0 bps
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MASTER SERVICING FEE: 1.0 bps
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WAM (in months): 359
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WALTV: 62%
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CALIFORNIA PERCENT: 70%
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SINGLE LARGEST ZIP CODE PERCENT: 2%
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LARGEST INDIVIDUAL LOAN BALANCE: $1,935,671
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CASH OUT REFINANCE PERCENT: 11%
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PRIMARY RESIDENCE PERCENT: 97%
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SINGLE FAMILY DETACHED PERCENT: 93%
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FULL DOCUMENTATION PERCENT: 53%
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WA FICO: 733
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UNINSURED > 80% LTV PERCENT: 0%
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RELOCATION PERCENT: 4.0%
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WEIGHTED AVERAGE GROSS MARGIN: 2.750%
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WEIGHTED AVERAGE RATE CEILING: 10.171%
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WA MONTHS TO NEXT ROLL: 119
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INTEREST ONLY PERCENT: 0%
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This information is furnished solely by Xxxxxxx, Xxxxx & Co. and not by the
issuer of the securities or any of its affiliates. Xxxxxxx, Xxxxx & Co. is
acting as underwriter and not as agent for the issuer or its affiliates in
connection with the proposed transaction. The information contained herein will
be superseded by the description of the mortgage loans contained in the
prospectus supplement relating to the securities and supersedes all information
contained in all prior collateral term sheets relating to the mortgage loans
previously provided by Xxxxxxx, Xxxxx & Co.
This material is for your private information and we are not soliciting any
action based upon it. This material is not to be construed as an offer to sell
or the solicitation of any offer to buy any security in any jurisdiction where
such an offer or solicitation would be illegal. Neither the issuer of the
certificates nor Xxxxxxx, Xxxxx & Co., nor any of their affiliates makes any
representation as to the accuracy or completeness of the information herein. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may not pertain to any securities that will actually be sold. The
information contained in this material may be based on assumptions regarding
market conditions and other matters as reflected therein. We make no
representations regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. We and our affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of this material may,
from time to time, have long or short positions in, and buy or sell, the
securities mentioned herein or derivatives thereof (including options). This
material may be filed with the Securities and Exchange Commission (the "SEC")
and incorporated by reference into an effective registration statement
previously filed with the SEC under Rule 415 of the Securities Act of 1933,
including in cases where the material does not pertain to securities that are
ultimately offered for sale pursuant to such registration statement. Information
contained in this material is current as of the date appearing on this material
only. Information in this material regarding the securities and the assets
backing any securities discussed herein supersedes all prior information
regarding such securities and assets. Any information in this material, whether
regarding the assets backing any securities discussed herein or otherwise, is
preliminary and will be superseded by the applicable prospectus supplement and
any other information subsequently filed with the SEC. The information contained
herein will be superseded by the description of the mortgage pool contained in
the prospectus supplement relating to the certificates and supersedes all
information contained in any collateral term sheets relating to the mortgage
pool previously provided by Xxxxxxx, Xxxxx & Co. In addition, we mutually agree
that, subject to applicable law, you may disclose any and all aspects of any
potential transaction or structure described herein that are necessary to
support any U.S. federal income tax benefits, without Xxxxxxx Xxxxx imposing any
limitation of any kind. Further information regarding this material may be
obtained upon request.
This material is furnished to you solely by Xxxxxxx, Xxxxx & Co., acting as
underwriter and not as agent of the issuer.