EX-99 2 we784480-ex99.txt COLLATERAL TERM SHEETS AND STRUCTURAL TERM SHEETS Exhibit No. 99 Wells Fargo Mortgage Backed Securities 2004-S Trust Mortgage Pass-Through Certificates, Series 2004-S Computational Materials: Term Sheet -------------------------------------------------------------------------------- $1,764,826,100 (approx.) Wells Fargo Mortgage Backed Securities 2004-S Trust Mortgage Pass-Through Certificates, Series 2004-S 5/1 Hybrid ARM Mortgage Loans (One-Year CMT Indexed)
Certificate Credit Pass- Size Ratings Enhance. Through Collateral Certificate Class (+/- 10%) Moodys/S&P % Rate (1) Type Type ----- -------------- ---------- -------- -------- ---------- ------------------------ A-1 $1,733,786,600 Aaa/AAA 2.25% WAC (4) 5/1 Hybrid Senior Pass-Through B-1 $13,302,700 Aa2/AA 1.50% WAC (4) 5/1 Hybrid Subordinate Pass-Through B-2 $8,868,400 A2/A 1.00% WAC (4) 5/1 Hybrid Subordinate Pass-Through B-3 $8,868,400 Baa2/BBB 0.50% WAC (4) 5/1 Hybrid Subordinate Pass-Through
(1) The Certificate Sizes are approximate and subject to a +/- 10% variance. (2) The Credit Enhancement percentages are preliminary and are subject to change based upon the final pool as of the Cut-off Date and rating agency analysis. (3) The Net Rate for each mortgage loan is the applicable gross mortgage rate less the servicing fees. (4) The Class A and Class B Certificates will bear interest at a variable rate (the Pass-Through Rate) equal to the weighted average net rate of the Mortgage Loans. The Pass-Through Rate with respect to the first Interest Accrual Period is expected to be approximately 3.541%. Bear, Stearns & Co. Inc. ARM Whole Loan Desk (212) 272-4976 July 21, 2004 -------------------------------------------------------------------------------- This information should be considered only after reading the Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative. The collateral information contained on the following pages is furnished as background information for your use in reviewing the computational materials which are attached hereto and are a part hereof. This collateral information will be superseded by the description of the collateral contained in the Prospectus Supplement. Depositor/Seller: Wells Fargo Asset Securities Corporation. Trustee/Paying Agent: Wachovia Bank, National Association. Custodian: Wells Fargo Bank, N. A. Originator/Servicer: Wells Fargo Bank, N. A. Cut-off Date: August 1, 2004 Closing Date: August 31, 2004 Rating Agencies: Moody's Investor Service, Inc. and Standard and Poor's, a division of The McGraw-Hill Companies, Inc. Legal Structure: REMIC Optional Call: 10% cleanup call Distribution Date: 25th of each month or next business day, commencing August 2004 Remittance Type: On each Distribution Date, scheduled payments of principal and interest due on the related Due Date will be distributed from collections or servicer advances. Form of Registration: The investment grade Certificates will be issued in book-entry form through DTC ERISA: The Offered Certificates are expected to be ERISA eligible. Prospective investors should review with the legal advisors as to whether the purchase and holding of the Certificates could give rise to a transaction prohibited or not otherwise permissible under ERISA, the Code or other similar laws. SMMEA: The Class A and Class B-1 Certificates are expected to constitute "mortgage related securities" for purposes of SMMEA. Advancing Obligation: The Servicer is obligated to advance delinquent mortgagor payments through the date of liquidation of an REO property to the extent they are deemed recoverable. Compensating Interest: The Master Servicer is required to cover interest shortfalls as a result of full prepayments in an amount equal to 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 Servicing Compensation for such Distribution Date. Prepayment Interest shortfalls in excess of any Compensating Interest and Soldiers and Sailors Relief Act shortfalls will be allocated pro-rata to all certificates. Other Certificates: The following Classes of "Other Certificates" will be issued in the indicated approximate original principal amounts, which will provide credit support to the related Offered Certificates, but are not offered hereby. Certificate Orig. Balance PT Rate ----------- ------------- -------------------- Class B-4 $4,434,200 WAC (see footnote 4) Class B-5 $2,660,500 WAC (see footnote 4) Class B-6 $1,773,941 WAC (see footnote 4) Collateral Description: The mortgage pool consists of approximately $1.77 billion of conventional, first-lien residential mortgage loans that have a fixed interest rate for the first five years after origination and then adjust annually based on the One-Year CMT Index. All of the mortgage loans have been originated to borrowers who have an existing relationship or have established a new relationship with Wells Fargo Bank (the "Relationship ARM"). Based upon a verified relationship at the mortgage loan closing, the borrower receives a discounted rate during his fixed period. Wells Fargo maintains the right to increase the borrower's interest rate during the fixed period if the customer's relationship with Wells Fargo Bank is not maintained. Any additional interest will be retained by servicer as additional servicing fee and will not be passed through to certificateholders. Approximately 68% (by principal balance) of the mortgage loans allow for payments of interest only for a term equal to the initial fixed period of the mortgage loan. After such interest only period, such mortgage loans will fully amortize over their remaining terms. The remaining mortgage loans fully amortize over their original terms (generally 30-years). Some of the Mortgage Loans may be backed by pledged assets. Approximately 83% of the mortgage pool are secured by properties located in the state of California. In addition, the following zip codes (with city and state) comprise more than 1% of the mortgage pool: 92067 - 2.98% (Rancho Santa, CA) 90210 - 2.22% (Los Angeles, CA) 90266 - 1.98% (Manhattan Beach, CA) 92660 - 1.54% (Newport Beach, CA) 92657 - 1.38% (Newport Beach, CA) 93108 - 1.36% (Santa Barbara, CA) 91362 - 1.35% (Thousand Oaks, CA) 90265 - 1.32% (Malibu, CA) 91361 - 1.27% (Thousand Oaks, CA) 94941 - 1.18% (Mill Valley, CA) 90049 - 1.16% (Los Angeles, CA) 92130 - 1.13% (San Diego, CA) 90272 - 1.12% (Los Angeles, CA) Below are the approximate general characteristics of the mortgage loans as of July 1, 2004:
Loan % of Gross Net WAM Gross Net Rate Max Mos to Type Pool WAC WAC (mos) Margin Margin Caps Rate LTV FICO Roll ------ ----- ----- ----- ----- ------ ------ ----- ----- ----- ---- ------ Non IO 31.71% 3.818% 3.558% 355 2.750% 2.490% 5/2/5 8.821% 55.08% 744 55 IO 68.29% 3.794% 3.534% 356 2.750% 2.490% 5/2/5 8.794% 58.76% 743 56 Total: 100.0% 3.801% 3.541% 355 2.750% 2.490% 5/2/5 8.803% 57.59% 743 55
Underwriting Standards: The Mortgage Loans were underwritten to the guidelines of the originator as more fully described in the prospectus supplement. Credit Enhancement: Credit Enhancement for the Certificates will be provided by a senior/subordinate shifting interest structure. Cash-Flow Description: Distributions on the Certificates will be made on the 25th day of each month (or next business day) commencing September 2004. The payments to the Certificates, to the extent of available funds, will be made according to the following priority: Available Funds: 1. Payment of interest to the holders of the Class A Certificates in an amount equal to their Pass-Through Rate; 2. Payment of principal to the holders of the Class A Certificates in an amount equal to the Senior Optimal Principal Amount; and 3. Payment of interest and principal sequentially to the Subordinate Certificates in order of their numerical class designations, beginning with the Class B-1, so that each Subordinate Class shall receive (a) the weighted average Net Mortgage Rate of the Mortgage Loans, and (b) such class' Allocable Share of the Subordinate Optimal Principal Amount. Shifting Interest: The Senior Certificates will be entitled to receive 100% of the prepayments on the Mortgage Loans through August 2009. The Senior Prepayment Percentage can be reduced to the Senior Percentage plus 70%, 60%, 40%, 20% and 0% of the Subordinated Percentage over the next five years provided that (i) the principal balance of the Mortgage Loans 60 days or more delinquent, averaged over the last 6 months, as a percentage of the Class B Principal Balance does not exceed 50% and (ii) cumulative realized losses for the Mortgage Loans do not exceed 30%, 35%, 40%, 45% or 50% for each test date. Notwithstanding the foregoing, if after 3 years the current Subordinated Percentage is equal to two times the initial Subordinated Percentage and i) the principal balance of the Mortgage Loans 60 days or more delinquent, averaged over the last 6 months, as a percentage of the Class B Principal Balance does not exceed 50% and (ii) cumulative realized losses for the Mortgage Loans do not exceed a) on or prior to August 2007 20% or b) after August 2007 30%, then prepayments will be allocated on a pro rata basis. If doubling occurs prior to the third anniversary and the above delinquency and loss tests are met, then 50% of the Subordinated Percentage can be allocated to the subordinate classes. Allocation of Losses: Realized Losses on the mortgage loans will be allocated to the most junior class of Certificates outstanding beginning with the Class B-6 Certificates, until the Certificate Principal Balance of each class of Class B Certificates has been reduced to zero. After the Class B Certificates have been reduced to zero, Realized Losses will be allocated to the Class A Certificates, pro rata. Bear, Stearns & Co. Inc. ARM Whole Loan Desk (212) 272-4976 July 21, 2004 -------------------------------------------------------------------------------- This information should be considered only after reading the Bear Stearns' Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the "Statement"), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative. The collateral information contained on the following pages is furnished as background information for your use in reviewing the computational materials which are attached hereto and are a part hereof. This collateral information will be superseded by the description of the collateral contained in the Prospectus Supplement. 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