-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, NiaNRn6ouI8RBt1OB1NUwU+zOyNWKwg6B+EVc+nJT3yXB9+SKVmVaZWIKjjRSOE9 XInj6Oaec+WrVzcoiE1rXA== 0000914121-05-001835.txt : 20050927 0000914121-05-001835.hdr.sgml : 20050927 20050927164645 ACCESSION NUMBER: 0000914121-05-001835 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20050926 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20050927 DATE AS OF CHANGE: 20050927 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WELLS FARGO ASSET SECURITIES CORP CENTRAL INDEX KEY: 0001011663 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 521972128 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-02209 FILM NUMBER: 051105808 BUSINESS ADDRESS: STREET 1: 7485 NEW HORIZON WAY CITY: FREDERICK STATE: MD ZIP: 21703 BUSINESS PHONE: 3018468881 MAIL ADDRESS: STREET 1: 7485 NEW HORIZON WAY CITY: FREDERIDK STATE: MD ZIP: 21703 FORMER COMPANY: FORMER CONFORMED NAME: NORWEST ASSET SECURITIES CORP DATE OF NAME CHANGE: 19960717 8-K 1 we859226-8k.txt CURRENT REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Date of Report: September 26, 2005 (Date of earliest event reported) Wells Fargo Asset Securities Corporation - -------------------------------------------------------------------------------- (Exact name of registrant as specified in its charter) Delaware 333-122307 52-1972128 - -------------------------------------------------------------------------------- (State or other jurisdiction (Commission File No.) (IRS Employer of incorporation) Identification No.) 7430 New Technology Way, Frederick, Maryland 21703 - -------------------------------------------------------------------------------- Address of principal executive offices (Zip Code) Registrant's Telephone Number, including area code (301) 846-8881 - -------------------------------------------------------------------------------- (Former name or former address, if changed since last report) Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions: |_| Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) |_| Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) |_| Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |_| Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) ITEM 8.01. Other Events ------------ Attached as an exhibit are the Collateral Term Sheets (as defined in the no-action letter dated February 17, 1995 issued by the Securities and Exchange Commission to the Public Securities Association), Structural Term Sheets and Computational Materials (each as defined in the no-action letter dated May 21, 1994 issued by the Securities and Exchange Commission to Kidder, Peabody Acceptance Corporation I, Kidder, Peabody & Co. Incorporated and Kidder Structured Asset Corporation) prepared by Greenwich Capital Markets, Inc. which are hereby filed pursuant to such letter. ITEM 9.01 Financial Statements and Exhibits --------------------------------- (c) Exhibits Item 601(a) of Regulation S-K Exhibit No. Description - ----------- ----------- (99) Collateral Term Sheets, Structural Term Sheets and Computational Materials prepared by Greenwich Capital Markets, Inc. in connection with Wells Fargo Asset Securities Corporation, Mortgage Pass-Through Certificates, Series 2005-9 Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. WELLS FARGO ASSET SECURITIES CORPORATION September 26, 2005 By: /s/ Bradley A. Davis -------------------------------- Bradley A. Davis Vice President INDEX TO EXHIBITS ----------------- Paper (P) or Exhibit No. Description Electronic (E) - ----------- ----------- -------------- (99) Collateral Term Sheets, E Structural Term Sheets and Computational Materials prepared by Greenwich Capital Markets, Inc. in connection with Wells Fargo Asset Securities Corporation, Mortgage Pass-Through Certificates, Series 2005-9 EX-99 2 we859226-ex99.txt COLLATERAL TERM SHEETS EXHIBIT 99 COMPUTATIONAL MATERIALS DISCLAIMER The attached tables and other statistical analyses (the "Computational Materials") are privileged and intended for use by the addressee only. These Computational Materials have been prepared by Greenwich Capital Markets, Inc. in reliance upon information furnished by the issuer of the securities and its affiliates. These Computational Materials are furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities. They may not be provided to any third party other than the addressee's legal, tax, financial and/or accounting advisors for the purposes of evaluating said material. Numerous assumptions were used in preparing the Computational Materials which may or may not be reflected therein. As such, no assurance can be given as to the Computational Materials' accuracy, appropriateness or completeness in any particular context; nor as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions or as legal, tax, financial or accounting advice. Any weighted average lives, yields and principal payment periods shown in the Computational Materials are based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the attached Computational Materials. Furthermore, unless otherwise provided, the Computational Materials assume no losses on the underlying assets and no interest shortfall. The specific characteristics of the securities may differ from those shown in the Computational Materials due to differences between the actual underlying assets and the hypothetical underlying assets used in preparing the Computational Materials. The principal amount and designation of any security described in the Computational Materials are subject to change prior to issuance. Neither Greenwich Capital Markets, Inc. nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities. Although a registration statement (including the Prospectus) relating to the securities discussed in this communication has been filed with the Securities and Exchange Commission and is effective, the final prospectus supplement relating to the securities discussed in this communication has not been filed with Securities and Exchange Commission. This communication shall not constitute an offer to sell or the solicitation of an offer to buy nor shall there be any sale of the securities discussed in this communication in any state in which such offer, solicitation or sale would be unlawful prior to registration or qualification of such securities under the securities laws of any such state. Prospective purchasers are referred to the final prospectus supplement relating to the securities discussed in this communication for definitive Computational Materials and any matter discussed in this communication. Once available, a final prospectus and prospectus supplement may be obtained by contacting the Greenwich Capital Markets, Inc. Trading Desk at (203) 625-6160. Please be advised that the securities described herein may not be appropriate for all investors. Potential investors must be willing to assume, among other things, market price volatility, prepayment, yield curve and interest rate risks. Investors should make every effort to consider the risks of these securities. If you have received this communication in error, please notify the sending party immediately by telephone and return the original to such party by mail. The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. Greenwich Capital Markets, Inc. is acting as underwriter and not acting as agent for the Issuer or its affiliates in connection with the proposed transaction. The collateral information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any. WFMBS 05-9 Group 1 600MM 30YR JUMBO'A' PASSTHRU : 5.50% GWAC : 5.807% +/- 5bps WAM : 359 +/- 2months WALTV : 68% (max +2%) BALANCE : 532 avg (max 535k) OCCUPANCY : 95% owner occ (min -5%) TYPE : 92% sfd (min -3%) PURPOSE : 30% cashout refi (max +5%) GEOGRAPHICS : 36% CA (max 40%) WA FICO : 747 avg (min -5) DOCUMENTATION : 55% full (min -2%) INTEREST ONLY: 19% (max 20%) Credit Support : 3.10% estimated SETTLEMENT : 09/30/05 All numbers approximate [RBS GREENWICH CAPITAL LOGO OMITTED] The information contained herein has been prepared solely for the use of Greenwich Capital Markets, Inc. and has not been independently verified by Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc. makes no express or implied representations or warranties of any kind and expressly disclaims all liability for any use or misuse of the contents hereof. Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of any material contained herein. Greenwich Capital Markets, Inc. is acting as underwriter and not acting as agent for the Issuer or its affiliates in connection with the proposed transaction. The collateral information contained herein will be superseded by the description of the mortgage loans contained in the prospectus supplement. Such information supersedes the information in all prior collateral term sheets, if any. WFMBS 05-9 Group 2 300MM 30YR JUMBO'A' PASSTHRU : 5.25% GWAC : 5.807% +/- 5bps WAM : 359 +/- 2months WALTV : 68% (max +2%) BALANCE : 532 avg (max 535k) OCCUPANCY : 95% owner occ (min -5%) TYPE : 92% sfd (min -3%) PURPOSE : 30% cashout refi (max +5%) GEOGRAPHICS : 36% CA (max 40%) WA FICO : 747 avg (min -5) DOCUMENTATION : 55% full (min -2%) INTEREST ONLY : 19% (max 20%) Credit Support : 3.10% estimated SETTLEMENT : 09/30/05 All numbers approximate [RBS GREENWICH CAPITAL LOGO OMITTED] WFMBS 05-9 Gr1 Preliminary Structure Deal Summary Report WF059G1X
Assumptions Settlement 30-Sep-05 Prepay 300 PSA 1st Pay Date 25-Oct-05 Tranche Balance Coupon Principal Avg Dated Name Window Life Notes Date PO1 3,787,000.00 0.000 10/05 - 08/35 5.703 Ratio Strip PO 1-Sep-05 1A11 51,561,000.00 5.500 10/10 - 08/35 10.953 Super Sr NAS 1-Sep-05 1A12 6,200,000.00 5.500 10/10 - 08/35 10.953 Mezz NAS 1-Sep-05 1A1 37,700,000.00 4.750 03/06 - 01/12 3.477 PAC 1-Sep-05 1A5 5,140,909.00 5.500 10/05 - 01/12 3.477 PAC IO 1-Sep-05 1A13 81,479,000.00 5.500 03/06 - 01/12 3.477 PAC 1-Sep-05 1A2 100,000,000.00 5.500 10/05 - 02/13 3.536 TAC, AD 1-Sep-05 1A3 11,111,000.00 5.500 09/07 - 03/08 2.243 Support Z 1-Sep-05 1A8 87,865,000.00 5.500 10/05 - 02/13 3.450 Sequential 1-Sep-05 1A9 50,000,000.00 5.500 10/05 - 03/20 3.990 Sequential 1-Sep-05 1A6 43,650,000.00 5.500 10/05 - 05/10 2.584 Sequential 1-Sep-05 1A7 15,666,000.00 5.500 05/10 - 02/13 5.862 Sequential 1-Sep-05 1A4 10,000,000.00 5.500 03/20 - 08/35 18.286 Sequential 1-Sep-05 1A10 34,700,000.00 5.500 02/13 - 08/35 10.830 Sequential 1-Sep-05 1A14 17,996,000.00 5.500 10/05 - 03/14 6.818 Sequential, AD 1-Sep-05 1A15 19,685,000.00 5.500 03/14 - 08/16 9.559 Sequential, AD 1-Sep-05 1A16 10,000,000.00 5.500 08/16 - 08/35 14.021 Z 1-Sep-05 SUBS 18,600,000.00 5.500 10/05 - 08/35 10.467 1-Sep-05
Assumed Collateral Initial Rem. # Balance WAC Net WAM Age IO Period IO Period 1 213,840,000 5.9460000000 5.5000000000 359 1 0 0 2 272,160,000 5.6980104167 5.4380104167 359 1 0 0 3 50,160,000 5.9460000000 5.5000000000 359 1 120 119 4 63,840,000 5.6980104167 5.4380104167 359 1 120 119
Super Senior/Mezzanine 1A12 supports 1A11. Notional Bonds 1A5 reduces with 1A1 (13.6363633952%). Senior Pay Rules Accruals: Pay 1A3 accrual to 1A2 to its schedule, then to 1A3. Pay 1A16 accrual to 1A14 until retired, then to 1A15 until retired, then to 1A16. Principal Distribution: Concurrently, pay PO1 the po-fraction of principal from the discount loans and the remaining principal as follows: 1. Pay 1A11 and 1A12 pro rata the Priority Amount. 2. Concurrently, a)Pay 54.3979704400% as follows: 1) Pay 1A1 and 1A13 pro rata to schedule. 2) Pay 1A2 to schedule. 3) Pay 1A3 until retired. 4) Pay 1A2 until retired 5) Pay 1A1 and 1A13 pro rata until retired. b)Pay 45.6020295600% as follows: 1) Pay 30.7252412550% to 1A6, 45.5134082350% to 1A8 and 23.7613505100% to 1A9 until 1A6 is retired. 2) Pay 30.7252412550% to 1A7, 45.5134082350% to 1A8 and 23.7613505100% to 1A9 until 1A7 and 1A8 are retired. 3. Concurrently, pay 5.2809333743% to 1A9, 39.8969618227% to 1A10 and 54.8221048031% as follows: a)Pay 1A14 until retired. b)Pay 1A15 until retired. c)Pay 1A16 until retired. until 1A9 is retired. 4. Concurrently, pay 54.5230822378% to 1A4, 19.1554975825% to 1A10 and 26.3214201796% as follows: a)Pay 1A14 until retired. b)Pay 1A15 until retired. c)Pay 1A16 until retired. until all are retired. 5. Pay 1A11 and 1A12 pro rata without regard to the Priority Amount until they are retired. Priority Amount: Priority Amount = the sum of (i) the product of (A) Scheduled Amortization, (B) the Shift Percentage and (C) the Priority Percentage, and (ii) the product of (A) Unscheduled Amortization, (B) the Prepay Shift Percentage and (C) the Priority Percentage Shift Percentage = Months 1-60 0% Months 61 and on 100% Prepay Shift Percentage = Months 1-60 0% Months 61-72 30% Months 73-84 40% Months 85-96 60% Months 97-108 80% Months 109 and on 100% Priority Percentage = 1A11 Balance + 1A12 Balance =========================== Non-PO Collateral Balance This material is for your private information, and we are not soliciting any action based upon it. Certain transactions, including those involving futures, options, and other derivative products give rise to substantial risk and are not suitable for all investors. Opinions expressed are our present opinions only. 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. We, or 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, securities, futures, or options identical with or related to those herein. The information herein has been provided to you solely by the underwriter and not by the issuer of the certificates. The underwriter is acting as underwriter and not acting as agent for the issuer or its affiliates in connection with the certificates. Schedules This material is for your private information, and we are not soliciting any action based upon it. Certain transactions, including those involving futures, options, and other derivative products give rise to substantial risk and are not suitable for all investors. Opinions expressed are our present opinions only. 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. We, or 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, securities, futures, or options identical with or related to those herein. The information herein has been provided to you solely by the underwriter and not by the issuer of the certificates. The underwriter is acting as underwriter and not acting as agent for the issuer or its affiliates in connection with the certificates. PACs TAC (1A1, 1A13) (1A2) Date 30-Sep-05 119,179,000.00 100,000,000.00 25-Oct-05 119,179,000.00 97,440,767.97 25-Nov-05 119,179,000.00 94,899,345.91 25-Dec-05 119,179,000.00 92,375,607.06 25-Jan-06 119,179,000.00 89,869,425.56 25-Feb-06 119,179,000.00 87,380,676.38 25-Mar-06 118,436,890.13 85,651,345.25 25-Apr-06 117,627,037.91 84,006,941.34 25-May-06 116,749,788.22 82,446,997.32 25-Jun-06 115,805,529.53 80,971,003.10 25-Jul-06 114,794,693.70 79,578,406.06 25-Aug-06 113,717,755.66 78,268,611.29 25-Sep-06 112,575,233.14 77,040,981.95 25-Oct-06 111,367,686.29 75,894,839.57 25-Nov-06 110,095,717.26 74,829,464.50 25-Dec-06 108,759,969.77 73,844,096.34 25-Jan-07 107,361,128.57 72,937,934.42 25-Feb-07 105,899,918.93 72,110,138.39 25-Mar-07 104,377,106.02 71,359,828.76 25-Apr-07 102,793,494.31 70,686,087.54 25-May-07 101,149,926.85 70,087,958.92 25-Jun-07 99,447,284.58 69,564,449.98 25-Jul-07 97,686,485.56 69,114,531.47 25-Aug-07 95,868,484.14 68,737,138.57 25-Sep-07 93,994,270.15 68,431,171.76 25-Oct-07 92,064,868.02 68,195,497.69 25-Nov-07 90,081,335.82 68,028,950.07 25-Dec-07 88,044,764.33 67,930,330.67 25-Jan-08 85,956,276.06 67,872,712.99 25-Feb-08 83,817,024.18 67,814,831.24 25-Mar-08 81,692,208.08 67,756,684.19 25-Apr-08 79,581,734.03 67,698,270.63 25-May-08 77,485,508.88 67,639,589.34 25-Jun-08 75,403,440.13 67,580,639.10 25-Jul-08 73,335,435.85 67,521,418.67 25-Aug-08 71,281,404.73 67,461,926.82 25-Sep-08 69,241,256.03 67,402,162.29 25-Oct-08 67,214,899.62 67,342,123.84 25-Nov-08 65,202,245.96 67,281,810.21 25-Dec-08 63,203,206.10 67,221,220.15 25-Jan-09 61,217,691.63 67,160,352.38 25-Feb-09 59,245,614.77 67,099,205.64 25-Mar-09 57,286,888.28 67,037,778.64 25-Apr-09 55,341,425.49 66,976,070.10 25-May-09 53,409,140.31 66,914,078.73 25-Jun-09 51,489,947.20 66,851,803.23 25-Jul-09 49,583,761.18 66,789,242.30 25-Aug-09 47,690,497.83 66,726,394.64 25-Sep-09 45,810,073.27 66,663,258.92 25-Oct-09 43,942,404.18 66,599,833.83 25-Nov-09 42,087,407.77 66,536,118.04 25-Dec-09 40,245,001.81 66,472,110.22 25-Jan-10 38,415,104.58 66,407,809.04 25-Feb-10 36,597,634.91 66,343,213.14 25-Mar-10 34,792,512.17 66,278,321.17 25-Apr-10 32,999,656.23 66,213,131.78 25-May-10 31,218,987.50 66,147,643.61 25-Jun-10 29,450,426.91 66,081,855.28 25-Jul-10 27,693,895.91 66,015,765.43 25-Aug-10 25,949,316.43 65,949,372.66 25-Sep-10 24,216,610.96 65,882,675.59 25-Oct-10 22,612,672.43 65,815,672.83 25-Nov-10 21,020,290.79 65,748,362.97 25-Dec-10 19,439,390.38 65,680,744.61 25-Jan-11 17,869,896.01 65,612,816.33 25-Feb-11 16,311,733.00 65,544,576.71 25-Mar-11 14,764,827.15 65,476,024.33 25-Apr-11 13,229,104.75 65,407,157.75 25-May-11 11,704,492.56 65,337,975.53 25-Jun-11 10,190,917.84 65,268,476.22 25-Jul-11 8,688,308.32 65,198,658.38 25-Aug-11 7,196,592.18 65,128,520.54 25-Sep-11 5,715,698.11 65,058,061.23 25-Oct-11 4,271,046.33 64,987,278.99 25-Nov-11 2,836,894.07 64,916,172.32 25-Dec-11 1,413,171.78 64,844,739.75 25-Jan-12 0 64772979.78 64700890.92 64628471.64 64555720.44 64172745.39 62844791.37 61526428.87 60217585.42 58918189.04 57679974.49 56450562.15 55229883.86 54017871.89 52814458.99 51619578.37 50433163.69 49255149.05 48085469.04 46924058.65 45770853.34 44625788.99 43537238.66 42456088.24 41382279.44 40315754.34 39256455.42 38204325.54 37159307.97 36121346.36 35090384.73 34066367.49 33049239.43 32038945.72 31079907.55 30126897.7 29179869.28 28238775.72 27303570.74 26374208.37 25450642.94 24532829.09 23620721.71 22714276.04 21813447.58 20873053.7 19938597.12 19010031.19 18087309.53 17170386.09 16259215.11 15353751.12 14453948.96 13559763.75 12671150.91 11788066.13 10910465.42 10038305.04 9171541.56 8310131.82 7454032.92 6603202.27 5757597.54 4917176.65 4081897.83 3251719.55 2426600.55 1606499.85 791376.71 0 WFMBS 05-9 Gr2 Preliminary Structure v2 Deal Summary Report WF059G2X
Assumptions Settlement 30-Sep-05 Prepay 300 PSA 1st Pay Date 25-Oct-05 Tranche Balance Coupon Principal Avg Dated Name Window Life Notes Date PO2 106,000.00 0.000 10/05 - 08/35 5.690 Ratio Strip PO 1-Sep-05 2A6 25,559,000.00 5.250 10/10 - 08/35 10.890 Super Sr NAS 1-Sep-05 2A12 3,500,000.00 5.250 10/10 - 08/35 10.890 Mezz NAS 1-Sep-05 2A5 196,947,000.00 5.250 10/05 - 02/13 3.448 Sequential 1-Sep-05 2A11 11,647,000.00 5.250 10/05 - 05/10 2.584 Sequential 1-Sep-05 2A1 2,652,000.00 5.250 02/13 - 02/14 7.900 Sequential 1-Sep-05 2A2 3,951,000.00 5.250 02/14 - 07/16 9.500 Sequential 1-Sep-05 2A3 2,414,000.00 5.250 07/16 - 02/19 12.000 Sequential 1-Sep-05 2A4 2,983,000.00 5.250 02/19 - 08/35 17.278 Sequential 1-Sep-05 2A7 10,000,000.00 5.125 05/10 - 08/35 9.992 Sequential 1-Sep-05 2A8 5,000,000.00 5.500 05/10 - 08/35 9.992 Sequential 1-Sep-05 2A9 20,936,000.00 5.250 02/13 - 03/20 9.990 Sequential 1-Sep-05 2A10 5,005,000.00 5.250 03/20 - 08/35 18.247 Sequential 1-Sep-05 SUBS 9,300,000.00 5.250 10/05 - 08/35 10.467 1-Sep-05
Assumed Collateral Initial Rem. # Balance WAC Net WAM Age IO Period IO Period 1 230,850,000 5.82470 5.25000 359 1 0 0 2 12,150,000 5.47290 5.21290 359 1 0 0 3 54,150,000 5.82470 5.25000 359 1 120 119 4 2,850,000 5.47290 5.21290 359 1 120 119
Super Senior/Mezzanine 2A12 supports 2A6. Senior Pay Rules Concurrently, pay PO2 the po-fraction of principal from the discount loans and the remaining principal as follows: 1. Pay 2A6 and 2A12 pro rata the Priority Amount. 2. Pay 92.5659416067% to 2A5 and 7.4340583933% to 2A11 until 2A11 is retired. 3. Pay 92.5659416067% to 2A5, 4.9560389289% to 2A7 and 2.4780194644% to 2A8 until 2A5 is retired. 4. Concurrently, a) pay 24.6047856308% to 2A1, 2A2, 2A3 and 2A4 sequentially until each is retired. b) pay 22.2058190318% to 2A7 and 2A8 pro rata until both are retired. c) pay 53.1893953374% to 2A9 and 2A10 sequentially until each is retired. 5. Pay 2A6 and 2A12 pro rata without regard to the Priority Amount until both are retired. Priority Amount: Priority Amount = the sum of (i) the product of (A) Senior Scheduled Amortization, (B) the Shift Percentage and (C) the Priority Percentage, and (ii) the product of (A) Senior Unscheduled Amortization, (B) the Prepay Shift Percentage and (C) the Priority Percentage Shift Percentage = Months 1-60 0% Months 61 and on 100% Prepay Shift Percentage = Months 1-60 0% Months 61-72 30% Months 73-84 40% Months 85-96 60% Months 97-108 80% Months 109 and on 100% Priority Percentage = 2A6 Balance + 2A12 Balance =========================== Non-PO Senior Balance This material is for your private information, and we are not soliciting any action based upon it. Certain transactions, including those involving futures, options, and other derivative products give rise to substantial risk and are not suitable for all investors. Opinions expressed are our present opinions only. 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. We, or 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, securities, futures, or options identical with or related to those herein. The information herein has been provided to you solely by the underwriter and not by the issuer of the certificates. The underwriter is acting as underwriter and not acting as agent for the issuer or its affiliates in connection with the certificates. WF059G1X - Price/Yield - 1A9
Balance $50,000,000.00 Delay 24 WAC 5.807126 WAM 359 Coupon 5.5 Dated 9/1/2005 NET 5.465286 WALA 1 Settle 9/30/2005 First Payment 10/25/2005 Contrib Wac 5.807819 Price 100 200 250 300 400 600 800 Yield Yield Yield Yield Yield Yield Yield 100-03+ 5.490 5.456 5.439 5.422 5.391 5.339 5.297 100-04+ 5.485 5.449 5.431 5.413 5.380 5.325 5.280 100-05+ 5.480 5.442 5.423 5.404 5.368 5.310 5.262 100-06+ 5.475 5.435 5.415 5.395 5.357 5.295 5.245 100-07+ 5.470 5.428 5.406 5.385 5.346 5.281 5.227 100-08+ 5.466 5.421 5.398 5.376 5.335 5.266 5.210 100-09+ 5.461 5.414 5.390 5.367 5.323 5.251 5.193 100-10+ 5.456 5.407 5.382 5.358 5.312 5.237 5.175 100-11+ 5.451 5.400 5.374 5.349 5.301 5.222 5.158 100-12+ 5.446 5.393 5.366 5.339 5.290 5.208 5.141 100-13+ 5.442 5.386 5.358 5.330 5.278 5.193 5.123 100-14+ 5.437 5.379 5.350 5.321 5.267 5.178 5.106 100-15+ 5.432 5.372 5.342 5.312 5.256 5.164 5.089 WAL 9.198 5.601 4.652 3.990 3.147 2.345 1.946 Mod Durn 6.46 4.43 3.82 3.37 2.76 2.12 1.79 Principal Window Oct05 - Nov32 Oct05 - Jun26 Oct05 - Feb23 Oct05 - Mar20 Oct05 - May15 Oct05 - Jan11 Oct05 - Oct09 Spread @ Center Price 125 137 138 138 136 132 127 Prepay 100 PSA 200 PSA 250 PSA 300 PSA 400 PSA 600 PSA 800 PSA
Yield Curve Mat 3MO 6MO 2YR 3YR 5YR 10YR 30YR Yld 3.524923 3.820897 3.925267 3.951290 4.020573 4.246639 4.547895
This material is for your private information, and we are not soliciting any action based upon it. Certain transactions, including those involving futures, options, and other derivative products give rise to substantial risk and are not suitable for all investors. Opinions expressed are our present opinions only. 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. We, or 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, securities, futures, or options identical with or related to those herein. The information herein has been provided to you solely by the underwriter and not by the issuer of the certificates. The underwriter is acting as underwriter and not acting as agent for the issuer or its affiliates in connection with the certificates. WF059G2D - Price/Yield - HA
Balance $10,000,000.00 Delay 24 WAC 5.80711 WAM 359 Coupon 5.125 Dated 9/1/2005 NET 5.248145 WALA 1 Settle 9/30/2005 First Payment 10/25/2005 Contrib Wac 5.807228 Price 100 200 250 300 400 600 800 Yield Yield Yield Yield Yield Yield Yield 96-17 5.437 5.510 5.558 5.612 5.740 6.019 6.226 96-18 5.434 5.507 5.554 5.608 5.734 6.010 6.216 96-19 5.431 5.503 5.550 5.604 5.728 6.001 6.205 96-20 5.429 5.500 5.546 5.599 5.723 5.993 6.194 96-21 5.426 5.497 5.542 5.595 5.717 5.984 6.184 96-22 5.424 5.493 5.539 5.590 5.711 5.976 6.173 96-23 5.421 5.490 5.535 5.586 5.706 5.967 6.162 96-24 5.418 5.487 5.531 5.582 5.700 5.959 6.152 96-25 5.416 5.483 5.527 5.577 5.694 5.950 6.141 96-26 5.413 5.480 5.523 5.573 5.689 5.942 6.130 96-27 5.411 5.477 5.519 5.568 5.683 5.933 6.120 96-28 5.408 5.473 5.515 5.564 5.677 5.925 6.109 96-29 5.405 5.470 5.512 5.560 5.671 5.916 6.099 96-30 5.403 5.466 5.508 5.555 5.666 5.908 6.088 96-31 5.400 5.463 5.504 5.551 5.660 5.899 6.077 97-00 5.398 5.460 5.500 5.546 5.654 5.891 6.067 97-01 5.395 5.456 5.496 5.542 5.649 5.882 6.056 WAL 21.279 14.503 11.994 9.992 7.138 4.358 3.407 Mod Durn 12.30 9.56 8.36 7.30 5.64 3.77 3.02 Principal Window May17 - Aug35 Mar12 - Aug35 Feb11 - Aug35 May10 - Aug35 Jun09 - Aug35 Jul08 - Nov11 Feb08 - Feb10 Spread @ Center Price 108 127 136 145 168 204 225 Prepay 100 PSA 200 PSA 250 PSA 300 PSA 400 PSA 600 PSA 800 PSA
Yield Curve Mat 3MO 6MO 2YR 3YR 5YR 10YR 30YR Yld 3.469184 3.762900 3.865687 3.876880 3.924477 4.125758 4.413599
This material is for your private information, and we are not soliciting any action based upon it. Certain transactions, including those involving futures, options, and other derivative products give rise to substantial risk and are not suitable for all investors. Opinions expressed are our present opinions only. 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. We, or 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, securities, futures, or options identical with or related to those herein. The information herein has been provided to you solely by the underwriter and not by the issuer of the certificates. The underwriter is acting as underwriter and not acting as agent for the issuer or its affiliates in connection with the certificates. vlog - Price/Yield - 2A1
Balance $2,652,000.00 Delay 24 WAC 5.80711 Coupon 5.25 Dated 9/1/2005 NET 5.248145 Settle 9/30/2005 First Payment 10/25/2005 Contrib Wac 5.807228 Price 1 2 3 4 5 Yield Yield Yield Yield Yield 96-16 5.576 5.619 5.674 5.741 5.816 96-24 5.554 5.594 5.645 5.706 5.775 97-00 5.533 5.569 5.615 5.671 5.734 97-08 5.511 5.544 5.586 5.636 5.693 97-16 5.490 5.519 5.556 5.601 5.653 97-24 5.468 5.494 5.527 5.567 5.612 98-00 5.447 5.469 5.498 5.532 5.572 98-08 5.426 5.445 5.469 5.498 5.531 98-16 5.404 5.420 5.440 5.464 5.491 98-24 5.383 5.395 5.411 5.430 5.451 99-00 5.362 5.371 5.382 5.396 5.411 99-08 5.341 5.347 5.353 5.362 5.371 99-16 5.320 5.322 5.325 5.328 5.332 99-24 5.299 5.298 5.296 5.294 5.292 100-00 5.279 5.274 5.268 5.261 5.252 100-08 5.258 5.250 5.240 5.227 5.213 100-16 5.237 5.226 5.211 5.194 5.174 WAL 19.730 15.410 12.141 9.699 7.900 Mod Durn 11.944 10.276 8.735 7.396 6.294 Mod Convexity 1.962 1.386 0.966 0.676 0.481 Principal Window Jul24 - May26 Apr20 - Jan22 Feb17 - Sep18 Oct14 - Feb16 Feb13 - Feb14 Maturity #mos 248 196 156 125 101 Prepay 100 PSA 150 PSA 200 PSA 250 PSA 300 PSA Balance WAM 359 Coupon WALA 1 Settle Price 6 7 8 Yield Yield Yield 96-16 6.092 6.415 6.600 96-24 6.029 6.325 6.496 97-00 5.965 6.236 6.392 97-08 5.903 6.147 6.288 97-16 5.840 6.059 6.184 97-24 5.777 5.970 6.081 98-00 5.715 5.882 5.978 98-08 5.653 5.794 5.876 98-16 5.591 5.707 5.774 98-24 5.529 5.620 5.672 99-00 5.467 5.533 5.570 99-08 5.406 5.446 5.469 99-16 5.344 5.359 5.368 99-24 5.283 5.273 5.267 100-00 5.222 5.187 5.167 100-08 5.162 5.102 5.067 100-16 5.101 5.016 4.968 WAL 4.736 3.230 2.733 Mod Durn 4.082 2.892 2.477 Mod Convexity 0.200 0.102 0.076 Principal Window Apr10 - Aug10 Nov08 - Jan09 May08 - Jul08 Maturity #mos 59 40 34 Prepay 500 PSA 800 PSA 1000 PSA
Yield Curve Mat 3MO 6MO 2YR 3YR 5YR 10YR 30YR Yld 3.454086 3.630036 3.733320 3.758985 3.821528 4.024051 4.290884
This material is for your private information, and we are not soliciting any action based upon it. Certain transactions, including those involving futures, options, and other derivative products give rise to substantial risk and are not suitable for all investors. Opinions expressed are our present opinions only. 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. We, or 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, securities, futures, or options identical with or related to those herein. The information herein has been provided to you solely by the underwriter and not by the issuer of the certificates. The underwriter is acting as underwriter and not acting as agent for the issuer or its affiliates in connection with the certificates. vlog - Price/Yield - 2A2
Balance $3,951,000.00 Delay 24 WAC 5.80711 Coupon 5.25 Dated 9/1/2005 NET 5.248145 Settle 9/30/2005 First Payment 10/25/2005 Contrib Wac 5.807228 Price 1 2 3 4 5 Yield Yield Yield Yield Yield 96-00 5.600 5.637 5.686 5.746 5.819 96-08 5.579 5.614 5.659 5.715 5.784 96-16 5.559 5.591 5.633 5.685 5.748 96-24 5.539 5.568 5.607 5.654 5.712 97-00 5.518 5.545 5.581 5.624 5.677 97-08 5.498 5.522 5.554 5.594 5.642 97-16 5.478 5.500 5.528 5.563 5.606 97-24 5.458 5.477 5.502 5.533 5.571 98-00 5.438 5.454 5.476 5.503 5.536 98-08 5.418 5.432 5.451 5.473 5.501 98-16 5.398 5.410 5.425 5.444 5.466 98-24 5.378 5.387 5.399 5.414 5.432 99-00 5.359 5.365 5.374 5.384 5.397 99-08 5.339 5.343 5.348 5.355 5.363 99-16 5.319 5.321 5.323 5.325 5.328 99-24 5.300 5.299 5.298 5.296 5.294 100-00 5.281 5.277 5.272 5.267 5.260 100-08 5.261 5.255 5.247 5.238 5.226 100-16 5.242 5.233 5.222 5.209 5.192 100-24 5.223 5.212 5.197 5.180 5.158 101-00 5.203 5.190 5.172 5.151 5.124 WAL 22.256 18.011 14.454 11.694 9.500 Mod Durn 12.751 11.317 9.844 8.496 7.274 Mod Convexity 2.297 1.732 1.261 0.912 0.654 Principal Window May26 - Sep29 Jan22 - Aug25 Sep18 - Dec21 Feb16 - Dec18 Feb14 - Jul16 Maturity #mos 288 239 195 159 130 Prepay 100 PSA 150 PSA 200 PSA 250 PSA 300 PSA Balance WAM 359 Coupon WALA 1 Settle Price 6 7 8 Yield Yield Yield 96-00 6.136 6.503 6.717 96-08 6.079 6.419 6.618 96-16 6.021 6.336 6.520 96-24 5.963 6.253 6.422 97-00 5.906 6.170 6.324 97-08 5.848 6.088 6.227 97-16 5.791 6.005 6.130 97-24 5.735 5.923 6.033 98-00 5.678 5.841 5.937 98-08 5.621 5.760 5.840 98-16 5.565 5.679 5.745 98-24 5.509 5.597 5.649 99-00 5.453 5.517 5.554 99-08 5.397 5.436 5.459 99-16 5.341 5.356 5.364 99-24 5.286 5.276 5.270 100-00 5.230 5.196 5.176 100-08 5.175 5.116 5.082 100-16 5.120 5.037 4.989 100-24 5.065 4.958 4.896 101-00 5.010 4.879 4.803 WAL 5.281 3.502 2.929 Mod Durn 4.490 3.113 2.642 Mod Convexity 0.242 0.118 0.086 Principal Window Aug10 - Jun11 Jan09 - May09 Jul08 - Oct08 Maturity #mos 69 44 37 Prepay 500 PSA 800 PSA 1000 PSA
Yield Curve Mat 3MO 6MO 2YR 3YR 5YR 10YR 30YR Yld 3.454086 3.630036 3.733320 3.758985 3.821528 4.024051 4.290884
This material is for your private information, and we are not soliciting any action based upon it. Certain transactions, including those involving futures, options, and other derivative products give rise to substantial risk and are not suitable for all investors. Opinions expressed are our present opinions only. 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. We, or 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, securities, futures, or options identical with or related to those herein. The information herein has been provided to you solely by the underwriter and not by the issuer of the certificates. The underwriter is acting as underwriter and not acting as agent for the issuer or its affiliates in connection with the certificates. vlog - Price/Yield - 2A3
Balance $2,414,000.00 Delay 24 WAC 5.80711 Coupon 5.25 Dated 9/1/2005 NET 5.248145 Settle 9/30/2005 First Payment 10/25/2005 Contrib Wac 5.807228 Price 1 2 3 4 5 Yield Yield Yield Yield Yield 96-16 5.544 5.564 5.594 5.631 5.678 96-24 5.525 5.544 5.571 5.605 5.648 97-00 5.506 5.523 5.548 5.579 5.618 97-08 5.487 5.502 5.525 5.553 5.588 97-16 5.468 5.482 5.502 5.527 5.559 97-24 5.449 5.461 5.479 5.501 5.529 98-00 5.430 5.441 5.456 5.476 5.500 98-08 5.411 5.420 5.433 5.450 5.470 98-16 5.393 5.400 5.411 5.424 5.441 98-24 5.374 5.380 5.388 5.399 5.412 99-00 5.356 5.360 5.366 5.373 5.383 99-08 5.337 5.340 5.343 5.348 5.354 99-16 5.319 5.320 5.321 5.323 5.325 99-24 5.300 5.300 5.299 5.298 5.296 100-00 5.282 5.280 5.277 5.273 5.268 100-08 5.264 5.260 5.255 5.248 5.239 100-16 5.246 5.240 5.233 5.223 5.210 WAL 25.115 21.399 17.686 14.559 12.000 Mod Durn 13.552 12.488 11.196 9.894 8.657 Mod Convexity 2.669 2.184 1.688 1.274 0.949 Principal Window Sep29 - Jan32 Aug25 - Oct28 Dec21 - Feb25 Dec18 - Nov21 Jul16 - Feb19 Maturity #mos 316 277 233 194 161 Prepay 100 PSA 150 PSA 200 PSA 250 PSA 300 PSA Balance WAM 359 Coupon WALA 1 Settle Price 6 7 8 Yield Yield Yield 96-16 5.943 6.258 6.439 96-24 5.891 6.181 6.348 97-00 5.840 6.105 6.257 97-08 5.789 6.028 6.166 97-16 5.738 5.952 6.075 97-24 5.688 5.876 5.985 98-00 5.637 5.801 5.895 98-08 5.587 5.725 5.805 98-16 5.537 5.650 5.716 98-24 5.487 5.575 5.627 99-00 5.437 5.501 5.538 99-08 5.387 5.426 5.449 99-16 5.337 5.352 5.361 99-24 5.288 5.278 5.273 100-00 5.239 5.204 5.185 100-08 5.190 5.131 5.097 100-16 5.141 5.058 5.010 WAL 6.045 3.820 3.155 Mod Durn 5.042 3.369 2.829 Mod Convexity 0.306 0.137 0.098 Principal Window Jun11 - Feb12 May09 - Sep09 Oct08 - Dec08 Maturity #mos 77 48 39 Prepay 500 PSA 800 PSA 1000 PSA
Yield Curve Mat 3MO 6MO 2YR 3YR 5YR 10YR 30YR Yld 3.454086 3.630036 3.733320 3.758985 3.821528 4.024051 4.290884
This material is for your private information, and we are not soliciting any action based upon it. Certain transactions, including those involving futures, options, and other derivative products give rise to substantial risk and are not suitable for all investors. Opinions expressed are our present opinions only. 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. We, or 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, securities, futures, or options identical with or related to those herein. The information herein has been provided to you solely by the underwriter and not by the issuer of the certificates. The underwriter is acting as underwriter and not acting as agent for the issuer or its affiliates in connection with the certificates. vlog - Price/Yield - 2A4
Balance $2,983,000.00 Delay 24 WAC 5.80711 Coupon 5.25 Dated 9/1/2005 NET 5.248145 Settle 9/30/2005 First Payment 10/25/2005 Contrib Wac 5.807228 Price 1 2 3 4 5 Yield Yield Yield Yield Yield 18-16 29.578 29.633 29.794 30.173 30.901 26-16 20.610 20.739 21.033 21.569 22.405 34-16 15.968 16.128 16.453 16.985 17.751 42-16 13.097 13.255 13.558 14.030 14.682 50-16 11.107 11.248 11.509 11.906 12.442 58-16 9.619 9.737 9.952 10.272 10.699 66-16 8.447 8.541 8.709 8.956 9.283 74-16 7.490 7.559 7.682 7.862 8.098 82-16 6.685 6.731 6.812 6.929 7.083 90-16 5.993 6.017 6.059 6.119 6.197 98-16 5.389 5.391 5.397 5.404 5.413 106-16 4.853 4.836 4.807 4.766 4.712 114-16 4.374 4.338 4.277 4.190 4.078 122-16 3.940 3.887 3.796 3.667 3.500 130-16 3.544 3.475 3.356 3.187 2.970 138-16 3.181 3.096 2.951 2.745 2.481 146-16 2.846 2.746 2.576 2.336 2.027 154-16 2.534 2.421 2.227 1.954 1.604 162-16 2.244 2.117 1.901 1.597 1.208 170-16 1.972 1.833 1.596 1.262 0.836 178-16 1.717 1.565 1.308 0.947 0.485 WAL 28.074 26.039 23.218 20.171 17.278 Mod Durn 14.256 13.763 12.981 12.002 10.931 Mod Convexity 3.038 2.783 2.418 2.016 1.633 Principal Window Jan32 - Aug35 Oct28 - Aug35 Feb25 - Aug35 Nov21 - Aug35 Feb19 - Aug35 Maturity #mos 359 359 359 359 359 Prepay 100 PSA 150 PSA 200 PSA 250 PSA 300 PSA Balance WAM 359 Coupon WALA 1 Settle Price 6 7 8 Yield Yield Yield 18-16 42.259 62.615 74.310 26-16 32.138 47.815 56.562 34-16 25.773 38.086 44.832 42-16 21.200 30.930 36.191 50-16 17.662 25.314 29.409 58-16 14.794 20.717 23.860 66-16 12.391 16.841 19.185 74-16 10.330 13.500 15.158 82-16 8.529 10.570 11.631 90-16 6.933 7.966 8.500 98-16 5.502 5.625 5.689 106-16 4.206 3.503 3.142 114-16 3.024 1.563 0.818 122-16 1.938 -0.221 -1.319 130-16 0.934 -1.872 -3.293 138-16 0.001 -3.407 -5.127 146-16 -0.869 -4.840 -6.839 154-16 -1.685 -6.184 -8.442 162-16 -2.451 -7.448 -9.948 170-16 -3.174 -8.642 -11.368 178-16 -3.858 -9.771 -12.712 WAL 7.402 4.157 3.397 Mod Durn 5.950 3.635 3.028 Mod Convexity 0.435 0.159 0.112 Principal Window Feb12 - Aug35 Sep09 - Feb10 Dec08 - Apr09 Maturity #mos 359 53 43 Prepay 500 PSA 800 PSA 1000 PSA
Yield Curve Mat 3MO 6MO 2YR 3YR 5YR 10YR 30YR Yld 3.454086 3.630036 3.733320 3.758985 3.821528 4.024051 4.290884
This material is for your private information, and we are not soliciting any action based upon it. Certain transactions, including those involving futures, options, and other derivative products give rise to substantial risk and are not suitable for all investors. Opinions expressed are our present opinions only. 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. We, or 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, securities, futures, or options identical with or related to those herein. The information herein has been provided to you solely by the underwriter and not by the issuer of the certificates. The underwriter is acting as underwriter and not acting as agent for the issuer or its affiliates in connection with the certificates. -----END PRIVACY-ENHANCED MESSAGE-----