Prime hybrid ARM RMBS (two pools: shifting-interest and overcollateralization)
Citigroup Mortgage Loan Trust 2006-AR6
424B5 filed 2006-08-31, acc 0000882377-06-002994
machine-encoded from the prospectus by the extraction pipeline and tied out over 4 periods (2006-09-25 to 2006-12-26); not yet expert-verified
Backtested periods
4
2006-09-25 to 2006-12-26
Comparison points within $1
82.9%
216 points
Max principal delta
$0.01
interest $1156233.06 · balance $0.02
What the encoder found in the filings
- group 1 has 3 senior classes (1-A1, 1-A2, 1-R); assumed pro rata, but the contract may pay them as components — check the tie-out
- group 2 has 4 senior classes (2-A1, 2-A2, 2-A3, 2-A4); assumed pro rata, but the contract may pay them as components — check the tie-out
- subordinate stack per loan group: encoded as group 1 (3 senior + 6 subordinate), group 2 (4 senior + 5 subordinate) and tied out separately; cross-collateralization after a group's seniors retire is not modelled
- group 1: window starts at deal month 1 (2006-09-25); earlier reports are not in the machine-readable run
- group 2: window starts at deal month 1 (2006-09-25); earlier reports are not in the machine-readable run
Capital structure · original faces
1-A1
$700,817,000.00
1-A2
$39,106,000.00
1-R
$100.00
2-A1
$345,707,000.00
2-A2
$110,154,000.00
2-A3
$134,526,000.00
2-A4
$65,598,000.00
1-B1
$18,198,000.00
1-B2
$5,808,000.00
1-B3
$3,872,000.00
1-B4
$2,322,576.00
1-B5
$2,322,576.00
1-B6
$1,936,628.00
2-M1
$16,042,000.00
2-M2
$10,811,000.00
2-M3
$4,534,000.00
2-M4
$3,487,000.00
2-CE
$6,626,495.00
viridian = senior (per-pool) · burgundy = cross-collateralized subordinates
Worst remaining deltas · computed vs reported
interest
| 2006-09-25 | 2-CE | -1156233.06 |
| 2006-12-26 | 2-CE | -702092.00 |
| 2006-10-25 | 2-CE | -628408.67 |
| 2006-11-27 | 2-CE | -315166.16 |
| 2006-09-25 | 2-A1 | +257788.98 |
principal
| 2006-10-25 | 1-B6 | -0.01 |
| 2006-09-25 | 1-B6 | +0.01 |
| 2006-10-25 | 1-A1 | +0.01 |
| 2006-11-27 | 1-A1 | +0.01 |
| 2006-09-25 | 2-A1 | +0.01 |
ending balance
| 2006-11-27 | 1-A1 | -0.02 |
| 2006-12-26 | 1-A1 | -0.01 |
| 2006-10-25 | 1-A1 | -0.01 |
| 2006-09-25 | 1-B6 | -0.01 |
| 2006-12-26 | 1-B3 | +0.01 |