Prime fixed-rate RMBS
Wells Fargo Mortgage Backed Securities 2006-5
424B5 filed 2006-04-26, acc 0001193125-06-089561
machine-encoded from the prospectus by the extraction pipeline and tied out over 7 periods (2006-06-26 to 2006-12-26); not yet expert-verified
Backtested periods
7
2006-06-26 to 2006-12-26
Comparison points within $1
100.0%
357 points
Max principal delta
$0.02
interest $0.01 · balance $0.04
What the encoder found in the filings
- I-A-PO: draft face 216,466.00 -> reported 216,466.27 (pinned from the remittance Original Balance)
- II-A-PO: draft face 770,264.00 -> reported 770,264.85 (pinned from the remittance Original Balance)
- B-6: draft face 291,148.00 -> reported 291,148.62 (pinned from the remittance Original Balance)
- group 1 has 7 senior classes (I-A-1, I-A-2, I-A-3, I-A-4, I-A-5, I-A-6, I-A-PO); assumed pro rata, but the contract may pay them as components — check the tie-out
- group 2 has 4 senior classes (II-A-1, II-A-2, II-A-PO, II-A-R); assumed pro rata, but the contract may pay them as components — check the tie-out
- backtest window starts at deal month 2 (2006-06-26); state initialized from that report's reported beginning balances. Floor-provision 'initial' fractions are pinned from this window's first period, not closing — inert for this window (floors cannot bind while subordination is growing).
Capital structure · original faces
I-A-1
$19,803,000.00
I-A-2
$11,906,000.00
I-A-3
$44,127,000.00
I-A-4
$1,050,000.00
I-A-5
$28,877,000.00
I-A-6
$1,395,000.00
I-A-PO
$216,466.27
II-A-1
$169,247,600.00
II-A-2
$3,102,300.00
II-A-PO
$770,264.85
II-A-R
$100.00
B-1
$4,447,000.00
B-2
$573,000.00
B-3
$573,000.00
B-4
$286,000.00
B-5
$286,000.00
B-6
$291,148.62
viridian = senior (per-pool) · burgundy = cross-collateralized subordinates
Worst remaining deltas · computed vs reported
interest
| 2006-09-25 | I-A-4 | -0.01 |
| 2006-12-26 | II-A-1 | -0.01 |
| 2006-07-25 | B-4 | -0.01 |
| 2006-07-25 | B-5 | -0.01 |
| 2006-10-25 | II-A-2 | +0.01 |
principal
| 2006-11-27 | B-6 | -0.02 |
| 2006-06-26 | I-A-3 | -0.01 |
| 2006-07-25 | I-A-3 | +0.01 |
| 2006-11-27 | II-A-1 | +0.01 |
| 2006-10-25 | B-6 | -0.01 |
ending balance
| 2006-12-26 | B-6 | +0.04 |
| 2006-11-27 | B-6 | +0.03 |
| 2006-06-26 | I-A-3 | +0.01 |
| 2006-10-25 | I-A-3 | +0.01 |
| 2006-12-26 | B-1 | -0.01 |