-----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, BwbkxSBgG0gj0eSCT4m/e3eAsdUYOzbFa29aUqPORt/dS8Ppfs/K8Dz+cK92dB9C s7GSrO5qzuNNE922nZY6NQ== 0000950136-02-002892.txt : 20021009 0000950136-02-002892.hdr.sgml : 20021009 20021009144617 ACCESSION NUMBER: 0000950136-02-002892 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20020903 ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 20021009 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NOVASTAR MORTGAGE FUNDING CORP TRUST SERIES 2002-3 CENTRAL INDEX KEY: 0001192922 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-84328-02 FILM NUMBER: 02784969 BUSINESS ADDRESS: STREET 1: 1901 W 47TH PLACE STREET 2: STE 105 CITY: WESTWOOD STATE: KS ZIP: 66205 8-K 1 file001.txt FORM 8-K - -------------------------------------------------------------------------------- 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 (Date of earliest event reported) September 3, 2002 NOVASTAR MORTGAGE FUNDING TRUST, SERIES 2002-3 - -------------------------------------------------------------------------------- (Issuer with respect to Certificates) NOVASTAR MORTGAGE FUNDING CORPORATION - -------------------------------------------------------------------------------- (Exact name of registrant as specified in its charter) Delaware 333-84328 48-1195807 - ---------------------------- ------------------------ ------------------- (State or Other Jurisdiction (Commission File Number) (I.R.S. Employer of Incorporation) Identification No.) 1901 West 47th Place, Suite 105, Westwood, KS 66205 - --------------------------------------------- ---------- (Address of Principal Executive Offices) (Zip Code) Registrant's telephone number, including area code (913) 514-3200 -------------- No Change - -------------------------------------------------------------------------------- (Former name or former address, if changed since last report) - -------------------------------------------------------------------------------- Item 5. Other Events In connection with the offering of NovaStar Home Equity Loan Asset-Backed Certificates, Series 2002-3, by NovaStar Mortgage Funding Trust, Series 2002-3, as to be described in the related Prospectus Supplement, certain "Computational Materials" within the meanings of the May 20, 1994 Kidder, Peabody No-Action Letter and the February 17, 1995 Public Securities Association No-Action Letter were furnished to certain prospective investors (the "Related Computational Materials"). Item 7. Financial Statements, Pro Forma Financial Information and Exhibits. (a) Not applicable (b) Not applicable (c) Exhibit 99.3 -- Related Revised Computational Materials (as defined in Item 5 above). 2 SIGNATURES 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 thereunto duly authorized. NOVASTAR MORTGAGE FUNDING CORPORATION Registrant By: /s/ Matt Kaltenrieder -------------------------- Name: Matt Kaltenrieder Title: Vice President Dated: August 28, 2002 3 EXHIBIT INDEX ------------- Exhibit No. Description - ----------- ----------- 99.3 Related Revised Computational Materials (as defined in Item 5 above). EX-99.3 3 file002.txt RELATED REVISED COMPUTATIONAL MATERIALS NINA Summary DISCLAIMER Wachovia Securities (WS) has provided this data as an accommodation. By accepting this data, the recipient agrees that WS does not guarantee and makes no representation or warranty whatsoever, whether express or implied, including without limitation, any warranties of fitness for a particular purpose or merchantability, with respect to this data or the accuracy, currency or completeness thereof. By accepting this data, the recipient agrees that neither WS, its employees nor any of its affiliates shall have any liability to the recipient or any other entity claiming by or through the recipient for any loss, injury, damages or expenses arising from or occasioned by or through this data, the reliance thereon by the recipient or any other party or the provision thereof by WS. This data is for your information only and is not an offer to sell or a solicitation of any offer to buy any securities, including any of the securities that may be mentioned in this data. WS or its affiliates may provide advice or may from time to time acquire, hold or sell positions in any of the securities that may be mentioned in this data, either for its own account of for the account of others. WS is a subsidiary of Wachovia Corporation and is a member of the NYSE, the NASD and the SIPC. [COMPANY LOGO] Wachovia Securities is the trade name under which Wachovia Corporation conducts its investment banking, capital markets and institutional securities business through First Union Securities, Inc. ("FUSI"), Member NYSE, NASD, SIPC, and through other bank and non-bank and broker-dealer subsidiaries of Wachovia Corporation. SUMMARY STATISTICS PRINCIPAL BALANCE $9,808,836.62 Number of Mortgage Loans 67 Minimum $49,318.66 Maximum $311,706.65 Average $146,400.55 ORIGINAL LTV RATIO Minimum 40.68% Maximum 95.00% Weighted Average 86.67% CURRENT INTEREST RATE Minimum 6.500% Maximum 9.875% Weighted Average 8.074% FICO SCORE Minimum 620 Maximum 779 Weighted Average 676 REMAINING TERM Minimum 178 Maximum 359 Weighted Average 324 PRODUCT TYPE Fully Amortizing Fixed Rate Mortgage Loans 23.68% Fully Amortizing Adjustable Rate Mortgage Loans 62.06% Fixed Rate Balloon Mortgage Loans 14.26% LIEN POSITION First Lien 100.00% PROPERTY TYPE Single Family Residence 71.93% PUD 17.93% Multi-Unit 4.28% Condo 5.86% OCCUPANCY STATUS Primary 100.00% Investment (Non-Owner Occupied) 0.00% Secondary 0.00% Investment (Owner Occupied) 0.00% GEOGRAPHIC CONCENTRATION (TOP 2) Florida 19.63% New York 11.33% Number of States* 23 Largest Zip Code Concentration (n/a) n/a % OF LOANS WITH PREPAYMENT PENALTIES 66.15% % OF LOANS WITH MORTGAGE INSURANCE 97.03% *Includes the District of Columbia SUMMARY STATISTICS OF ADJUSTABLE RATE CHARACTERISTICS PRINCIPAL BALANCE $6,086,745.72 PRODUCT TYPE 2/28 Mortgage Loan 95.66% 3/27 Mortgage Loan 4.34% INDEX TYPE 6-Month LIBOR 100.00% GROSS MARGIN Minimum 4.000% Maximum 7.500% Weighted Average 5.414% MINIMUM INTEREST RATE Minimum 6.500% Maximum 9.625% Weighted Average 7.921% MAXIMUM INTEREST RATE Minimum 13.500% Maximum 16.625% Weighted Average 14.921% INITIAL INTEREST RATE CAP Minimum 3.000% Maximum 3.000% Weighted Average 3.000% PERIODIC INTEREST RATE CAP Minimum 1.000% Maximum 1.000% Weighted Average 1.000% MONTHS TO ROLL Minimum 21 Maximum 35 Weighted Average 23 NOVASTAR 2002-3 AFC SCHEDULE TO CALL Wachovia Securities is the trade name for the corporate and investment banking services of Wachovia Corporation and its subsidiaries, including Wachovia Securities, Inc. ("WSI"), member NYSE, NASD, SIPC. This report(s) is for your information only and is not an offer to sell, or a solicitation of an offer to buy, the securities or instruments named or described in the report. Interested parties are advised to contact the entity with which they deal, or the entity that provided this report to them,information. The information in this report has been obtained or derived from sources believed by (Wachovia Securities, Inc. or WSI) to be reliable, but WSI does not represent that this information is accurate or complete. Any opinions or estimates contained in this report represent the judgment of WSI at this time, and are subject to change without notice. WSI or its affiliates may from time to time provide advice with respect to, acquire, hold, or sell a position on the securities mentioned herein.
PERIOD DATE AFC WITH FORWARD CURVE AFC WITH LIBOR = 20% TOTAL TO CALL TO MATURITY TO CALL TO MATURITY 0 09/27/02 1 10/25/02 5.66% 5.66% 18.67% 18.67% 2 11/25/02 5.22% 5.22% 18.38% 18.38% 3 12/25/02 5.32% 5.32% 18.65% 18.65% 4 01/25/03 5.18% 5.18% 18.66% 18.66% 5 02/25/03 5.15% 5.15% 18.94% 18.94% 6 03/25/03 5.51% 5.51% 19.63% 19.63% 7 04/25/03 5.10% 5.10% 19.54% 19.54% 8 05/25/03 5.20% 5.20% 19.97% 19.97% 9 06/25/03 5.16% 5.16% 20.19% 20.19% 10 07/25/03 5.27% 5.27% 20.65% 20.65% 11 08/25/03 5.15% 5.15% 20.89% 20.89% 12 09/25/03 5.32% 5.32% 21.26% 21.26% 13 10/25/03 5.43% 5.43% 21.76% 21.76% 14 11/25/03 5.33% 5.33% 22.05% 22.05% 15 12/25/03 5.68% 5.68% 22.56% 22.56% 16 01/25/04 5.70% 5.70% 21.03% 21.03% 17 02/25/04 5.89% 5.89% 16.58% 16.58% 18 03/25/04 6.35% 6.35% 17.14% 17.14% 19 04/25/04 6.24% 6.24% 12.62% 12.62% 20 05/25/04 6.57% 6.57% 10.46% 10.46% 21 06/25/04 6.44% 6.44% 10.37% 10.37% 22 07/25/04 6.63% 6.63% 10.66% 10.66% 23 08/25/04 6.60% 6.60% 11.12% 11.12% 24 09/25/04 6.65% 6.65% 11.23% 11.23% 25 10/25/04 7.05% 7.05% 11.99% 11.99% 26 11/25/04 6.86% 6.86% 11.88% 11.88% 27 12/25/04 7.11% 7.11% 12.21% 12.21% 28 01/25/05 7.45% 7.45% 13.08% 13.08% 29 02/25/05 7.57% 7.57% 11.27% 11.27% 30 03/25/05 8.35% 8.35% 12.20% 12.20% 31 04/25/05 7.68% 7.68% 10.00% 10.00% 32 05/25/05 7.97% 7.97% 9.22% 9.22% 33 06/25/05 7.72% 7.72% 8.93% 8.93% 34 07/25/05 8.11% 8.11% 9.56% 9.56% 35 08/25/05 7.94% 7.94% 9.46% 9.46% 36 09/25/05 7.94% 7.94% 9.46% 9.46% 37 10/25/05 8.29% 8.29% 9.95% 9.95% 38 11/25/05 7.98% 7.98% 9.58% 9.58% 39 12/25/05 8.25% 8.25% 9.89% 9.89% 40 01/25/06 8.15% 8.15% 9.95% 9.95% 41 02/25/06 8.22% 8.22% 10.13% 10.13% 42 03/25/06 9.10% 9.10% 11.20% 11.20% 43 04/25/06 8.26% 8.26% 10.26% 10.26% 44 05/25/06 8.54% 8.54% 10.59% 10.59% 45 06/25/06 8.26% 8.26% 10.24% 10.24% 46 07/25/06 8.64% 8.64% 10.91% 10.91% 47 08/25/06 8.41% 8.41% 10.73% 10.73% 48 09/25/06 8.40% 8.40% 10.72% 10.72% 49 10/25/06 8.73% 8.73% 11.22% 11.22% 50 11/25/06 8.44% 8.44% 10.85% 10.85% 51 12/25/06 8.72% 8.72% 11.20% 11.20% 52 01/25/07 8.53% 8.53% 11.15% 11.15% 53 02/25/07 8.58% 8.58% 11.15% 11.15% 54 03/25/07 9.49% 9.49% 12.33% 12.33% 55 04/25/07 8.60% 8.60% 11.19% 11.19% 56 05/25/07 8.89% 8.89% 11.55% 11.55% 57 06/25/07 8.59% 8.59% 11.16% 11.16% 58 07/25/07 8.95% 8.95% 11.65% 11.65% 59 08/25/07 8.70% 8.70% 11.27% 11.27% 60 09/25/07 8.69% 8.69% 11.26% 11.26% 61 10/25/07 9.01% 9.01% 11.64% 11.64% 62 11/25/07 8.71% 8.71% 11.25% 11.25% 63 12/25/07 9.00% 9.00% 11.61% 11.61% 64 01/25/08 8.77% 8.77% 11.24% 11.24% 65 02/25/08 8.80% 8.80% 11.23% 11.23% 66 03/25/08 9.40% 9.40% 11.99% 11.99% 67 04/25/08 8.81% 8.81% 11.21% 11.21% 68 05/25/08 9.11% 9.11% 11.58% 11.58% 69 06/25/08 8.81% 8.81% 11.20% 11.20% 70 07/25/08 9.15% 9.15% 11.58% 11.58% 71 08/25/08 8.88% 8.88% 11.20% 11.20% 72 09/25/08 8.88% 8.88% 11.20% 11.20% 73 10/25/08 9.20% 9.20% 11.56% 11.56% 74 11/25/08 8.90% 8.90% 11.19% 11.19% 75 12/25/08 9.20% 9.20% 11.56% 11.56% 76 01/25/09 8.95% 8.95% 11.18% 11.18% 77 02/25/09 8.97% 8.97% 11.18% 11.18% 78 03/25/09 9.93% 9.93% 12.37% 12.37% 79 04/25/09 8.99% 8.99% 11.17% 11.17% 80 05/25/09 9.29% 9.29% 11.54% 11.54% 81 06/25/09 9.00% 9.00% 11.17% 11.17% 82 07/25/09 9.33% 9.33% 11.54% 11.54% 83 08/25/09 9.05% 9.05% 11.16% 11.16% 84 09/25/09 9.06% 9.06% 11.16% 11.16% 85 10/25/09 9.38% 9.38% 11.53% 11.53% 86 11/25/09 9.08% 9.08% 11.16% 11.16% 87 12/25/09 9.38% 9.38% 11.53% 11.53% 88 01/25/10 9.13% 9.13% 11.16% 11.16% 89 02/25/10 9.16% 9.16% 11.16% 11.16% 90 03/25/10 10.14% 10.14% 12.35% 12.35% 91 04/25/10 9.18% 9.18% 11.16% 11.16% 92 05/25/10 9.49% 9.49% 11.53% 11.53% 93 06/25/10 9.19% 9.19% 11.16% 11.16% 94 07/25/10 9.53% 11.53% 11.53% 95 08/25/10 9.24% 11.16% 96 09/25/10 9.24% 11.16% 97 25-Oct-10 9.57% 11.54% 98 25-Nov-10 9.26% 11.17% 99 25-Dec-10 9.58% 11.54% 100 25-Jan-11 9.31% 11.17% 101 25-Feb-11 9.33% 11.18% 102 25-Mar-11 10.34% 12.38% 103 25-Apr-11 9.35% 11.19% 104 25-May-11 9.67% 11.57% 105 25-Jun-11 9.37% 11.20% 106 25-Jul-11 9.71% 11.58% 107 25-Aug-11 9.41% 11.21% 108 25-Sep-11 9.42% 11.22% 109 25-Oct-11 9.76% 11.60% 110 25-Nov-11 9.46% 11.24% 111 25-Dec-11 9.78% 11.62% 112 25-Jan-12 9.51% 11.26% 113 25-Feb-12 9.53% 11.27% 114 25-Mar-12 10.21% 12.06% 115 25-Apr-12 9.57% 11.29% 116 25-May-12 9.91% 11.68% 117 25-Jun-12 9.60% 11.32% 118 25-Jul-12 9.95% 11.71% 119 25-Aug-12 9.65% 11.35% 120 25-Sep-12 9.67% 11.36% 121 25-Oct-12 10.01% 11.76% 122 25-Nov-12 9.70% 11.39% 123 25-Dec-12 10.05% 11.79% 124 25-Jan-13 9.74% 11.43% 125 25-Feb-13 9.76% 11.45% 126 25-Mar-13 10.83% 12.70% 127 25-Apr-13 9.81% 11.49% 128 25-May-13 10.16% 11.90% 129 25-Jun-13 9.85% 11.54% 130 25-Jul-13 10.21% 11.95% 131 25-Aug-13 9.91% 11.59% 132 25-Sep-13 9.93% 11.62% 133 25-Oct-13 10.29% 12.03% 134 25-Nov-13 9.99% 11.68% 135 25-Dec-13 10.36% 12.10% 136 25-Jan-14 10.05% 11.74% 137 25-Feb-14 10.09% 11.77% 138 25-Mar-14 11.21% 13.07% 139 25-Apr-14 10.16% 11.85% 140 25-May-14 10.54% 12.28% 141 25-Jun-14 10.24% 11.93% 142 25-Jul-14 10.62% 12.37% 143 25-Aug-14 10.32% 12.01% 144 25-Sep-14 10.36% 12.06% 145 25-Oct-14 10.76% 12.51% 146 25-Nov-14 10.46% 12.16% 147 25-Dec-14 10.86% 12.62% 148 25-Jan-15 10.56% 12.26% 149 25-Feb-15 10.61% 12.32% 150 25-Mar-15 11.81% 13.71% 151 25-Apr-15 10.73% 12.44% 152 25-May-15 11.15% 12.93% 153 25-Jun-15 10.86% 12.58% 154 25-Jul-15 11.29% 13.07% 155 25-Aug-15 10.99% 12.72% 156 25-Sep-15 11.07% 12.80% 157 25-Oct-15 11.52% 13.31% 158 25-Nov-15 11.22% 12.97% 159 25-Dec-15 11.69% 13.49% 160 25-Jan-16 11.40% 13.15% 161 25-Feb-16 11.49% 13.25% 162 25-Mar-16 12.38% 14.27% 163 25-Apr-16 11.68% 13.46% 164 25-May-16 12.18% 14.03% 165 25-Jun-16 11.90% 13.69% 166 25-Jul-16 12.42% 14.28% 167 25-Aug-16 12.14% 13.95% 168 25-Sep-16 12.27% 14.09% 169 25-Oct-16 12.82% 14.71% 170 25-Nov-16 12.55% 14.39% 171 25-Dec-16 13.12% 15.03% 172 25-Jan-17 12.86% 14.72% 173 25-Feb-17 13.02% 14.90% 174 25-Mar-17 14.61% 16.70% 175 25-Apr-17 13.39% 15.29% 176 25-May-17 14.04% 16.02% 177 25-Jun-17 13.80% 15.73% 178 25-Jul-17 14.49% 16.50% 179 25-Aug-17 15.28% 17.48% 180 25-Sep-17 15.60% 17.82% 181 25-Oct-17 17.82% 20.41% 182 25-Nov-17 17.70% 20.24% 183 25-Dec-17 18.81% 21.46% 184 25-Jan-18 25.32% 28.73% 185 25-Feb-18 26.62% 30.06% 186 25-Mar-18 31.12% 34.95% 187 25-Apr-18 29.82% 33.29% 188 25-May-18 32.88% 36.44% 189 25-Jun-18 34.18% 37.56% 190 25-Jul-18 38.23% 41.61% 191 25-Aug-18 40.44% 43.49% 192 25-Sep-18 44.72% 47.40% 193 25-Oct-18 51.86% 53.97% 194 25-Nov-18 57.41% 58.36% 195 25-Dec-18 69.65% 68.59% 196 25-Jan-19 82.11% 77.33% 197 25-Feb-19 105.90% 93.14% 198 25-Mar-19 167.08% 130.65% 199 25-Apr-19 268.33% 162.73% 200 25-May-19 1393.15% 275.83%
EXHIBIT FORWARD LIBOR CURVES Forward Curves [FORWARD CURVE LINE CHART] 1M L (August 28) 6M L (August 28) 1.8200 1.8312 1.8097 1.8129 1.8089 1.8225 1.8081 1.8321 1.8023 1.8995 1.8222 1.9260 1.8421 1.9526 1.9817 2.1382 2.0143 2.1754 2.0470 2.2125 2.2756 2.4726 2.3166 2.5146 2.3575 2.5565 2.6441 2.8501 2.6861 2.8893 2.7281 2.9285 3.0223 3.2028 3.0577 3.2348 3.0930 3.2667 3.3406 3.4902 3.3682 3.5177 3.3958 3.5452 3.5891 3.7375 3.6156 3.7644 3.6421 3.7913 3.8276 3.9798 3.8541 4.0031 3.8806 4.0264 4.0661 4.1894 4.0854 4.2110 4.1047 4.2326 4.2398 4.3835 4.2618 4.4047 4.2837 4.4258 4.4371 4.5736 4.4582 4.5950 4.4793 4.6163 4.6269 4.7659 4.6486 4.7852 4.6703 4.8046 4.8219 4.9402 4.8359 4.9558 4.8499 4.9714 4.9478 5.0805 4.9656 5.0978 4.9834 5.1152 5.1080 5.2367 5.1240 5.2530 5.1399 5.2694 5.2517 5.3836 5.2677 5.3972 5.2837 5.4107 5.3954 5.5053 5.4059 5.5177 5.4164 5.5301 5.4896 5.6168 5.5033 5.6284 5.5171 5.6399 5.6134 5.7208 5.6222 5.7323 5.6310 5.7439 5.6927 5.8248 5.7064 5.8343 5.7202 5.8439 5.8164 5.9110 5.8214 5.9175 5.8264 5.9240 5.8610 5.9694 5.8687 5.9770 5.8764 5.9846 5.9303 6.0379 5.9375 6.0466 5.9446 6.0554 5.9947 6.1166 6.0046 6.1233 6.0145 6.1301 6.0838 6.1775 6.0871 6.1831 6.0904 6.1888 6.1135 6.2283 6.1212 6.2365 6.1289 6.2446 6.1827 6.3019 6.1910 6.3107 6.1992 6.3194 6.2570 6.3806 6.2658 6.3860 6.2745 6.3914 6.3361 6.4289 6.3378 6.4326 6.3394 6.4362 6.3510 6.4619 6.3565 6.4673 6.3619 6.4727 6.4004 6.5102 6.4054 6.5161 6.4103 6.5221 6.4449 6.5636 6.4515 6.5667 6.4581 6.5698 6.5043 6.5915 6.5037 6.5944 6.5032 6.5973 6.4993 6.6173 6.5045 6.6225 6.5097 6.6277 6.5460 6.6639 6.5513 6.6700 6.5565 6.6760 6.5933 6.7186 6.6004 6.7217 6.6076 6.7248 6.6576 6.7466 6.6565 6.7480 6.6554 6.7494 6.6477 6.7593 6.6515 6.7593 6.6554 6.7593 6.6823 6.3832 Wachovia Securities is the trade name for the corporate and investment banking services of Wachovia Corporation and its subsidiaries, including Wachovia Securities, Inc. ("WSI"), member NYSE, NASD, SIPC. This report(s) is for your information only and is not an offer to sell, or a solicitation of an offer to buy, the securities or instruments named or described in the report. Interested parties are advised to contact the entity with which they deal, or the entity that provided this report to them,information. The information in this report has been obtained or derived from sources believed by (Wachovia Securities, Inc. or WSI) to be reliable, but WSI does not represent that this information is accurate or complete. Any opinions or estimates contained in this report represent the judgment of WSI at this time, and are subject to change without notice. WSI or its affiliates may from time to time provide advice with respect to, acquire, hold, or sell a position on the securities mentioned herein. NOVASTAR 2002-3 AFC SCHEDULE TO CALL ASSUMES THE FOLLOWING INDICES: 1 ML = 6.80% 6 ML = 6.76 Period Date L + 500 BPS Total AFC 0 09/27/02 1 10/25/02 9.22% 2 11/25/02 8.82% 3 12/25/02 8.98% 4 01/25/03 8.88% 5 02/25/03 8.93% 6 03/25/03 9.39% 7 04/25/03 9.05% 8 05/25/03 9.23% 9 06/25/03 9.18% 10 07/25/03 9.36% 11 08/25/03 9.32% 12 09/25/03 9.39% 13 10/25/03 9.57% 14 11/25/03 9.54% 15 12/25/03 9.72% 16 01/25/04 9.34% 17 02/25/04 8.41% 18 03/25/04 8.75% 19 04/25/04 7.65% 20 05/25/04 7.42% 21 06/25/04 7.26% 22 07/25/04 7.46% 23 08/25/04 7.84% 24 09/25/04 7.86% 25 10/25/04 8.53% 26 11/25/04 8.33% 27 12/25/04 8.57% 28 01/25/05 9.34% 29 02/25/05 9.18% 30 03/25/05 10.05% 31 04/25/05 9.08% 32 05/25/05 9.22% 33 06/25/05 8.93% 34 07/25/05 9.56% 35 08/25/05 9.29% 36 09/25/05 9.29% 37 10/25/05 9.70% 38 11/25/05 9.33% 39 12/25/05 9.64% 40 01/25/06 9.51% 41 02/25/06 9.52% 42 03/25/06 10.53% 43 04/25/06 9.51% 44 05/25/06 9.82% 45 06/25/06 9.50% 46 07/25/06 9.83% 47 08/25/06 9.51% 48 09/25/06 9.50% 49 10/25/06 9.81% 50 11/25/06 9.49% 51 12/25/06 9.79% 52 01/25/07 9.48% 53 02/25/07 9.47% 54 03/25/07 10.48% 55 04/25/07 9.46% 56 05/25/07 9.76% 57 06/25/07 9.44% 58 07/25/07 9.74% 59 08/25/07 9.42% 60 09/25/07 9.41% 61 10/25/07 9.72% 62 11/25/07 9.40% 63 12/25/07 9.70% 64 01/25/08 9.38% 65 02/25/08 9.37% 66 03/25/08 10.01% 67 04/25/08 9.35% 68 05/25/08 9.66% 69 06/25/08 9.35% 70 07/25/08 9.66% 71 08/25/08 9.35% 72 09/25/08 9.34% 73 10/25/08 9.65% 74 11/25/08 9.34% 75 12/25/08 9.65% 76 01/25/09 9.34% 77 02/25/09 9.34% 78 03/25/09 10.34% 79 04/25/09 9.34% 80 05/25/09 9.65% 81 06/25/09 9.33% 82 07/25/09 9.65% 83 08/25/09 9.34% 84 09/25/09 9.34% 85 10/25/09 9.65% 86 11/25/09 9.34% 87 12/25/09 9.65% 88 01/25/10 9.34% 89 02/25/10 9.34% 90 03/25/10 10.34% 91 04/25/10 9.34% 92 05/25/10 9.66% 93 06/25/10 9.35% 94 07/25/10 9.66% WACHOVIA SECURITIES NOVASTAR 2002-3 AUGUST 27, 2002 ACA STRESS CASE REQUESTS FOR BBB BOND POOL BALANCE = $750,000,100 A. CDR THAT CAUSES THE 1ST DOLLAR OF LOSS AT:
- ----------------------------------------------------------------------------------------------------------------------------------- SCENARIO CDR $ AMOUNT OF CUM. LOSS $ LOSS TO M-3 M-3 WAL - ----------------------------------------------------------------------------------------------------------------------------------- Flat LIBOR and 6% Severity 11.60 13,195,138.89 70,138.89 7.8391 Flat LIBOR and 16% Severity 3.60 13,155,228.60 30,228.60 9.2578 Forward LIBOR and 6% Severity 11.50 13,136,715.02 11,715.02 7.7840 - -----------------------------------------------------------------------------------------------------------------------------------
CUMULATIVE NET LOSS WITHOUT GIVING BENEFIT FOR THE MI
- ----------------------------------------------------------------------------------------------------------------------------------- SCENARIO CDR $ AMOUNT OF CUM. LOSS LOSS AS % OF ORIG. BAL. $ LOSS TO M-3 M-3 WAL - ----------------------------------------------------------------------------------------------------------------------------------- Flat LIBOR and 40% Severity 11.60 87,967,252.36 11.7290% 7,500,000.00 1.6580 Flat LIBOR and 50% Severity 3.60 41,109,517.30 5.4813% 7,500,000.00 2.7111 Forward LIBOR and 40% Severity 11.50 87,577,757.67 11.6770% 7,500,000.00 1.6620 - -----------------------------------------------------------------------------------------------------------------------------------
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