Prime hybrid ARM RMBS
Wells Fargo Mortgage Backed Securities 2006-AR10
424B5 filed 2006-06-29, acc 0001193125-06-138929
machine-encoded from the prospectus by the extraction pipeline and tied out over 6 periods (2006-07-25 to 2006-12-26); not yet expert-verified
Backtested periods
6
2006-07-25 to 2006-12-26
Comparison points within $1
98.2%
396 points
Max principal delta
$0.14
interest $2.05 · balance $0.14
What the encoder found in the filings
- B-6: draft face 7,356,499.00 -> reported 7,356,499.81 (pinned from the remittance Original Balance)
- group 1 has 3 senior classes (I-A-1, I-A-2, I-A-R); assumed pro rata, but the contract may pay them as components — check the tie-out
- group 2 has 2 senior classes (II-A-1, II-A-2); assumed pro rata, but the contract may pay them as components — check the tie-out
- group 3 has 2 senior classes (III-A-1, III-A-2); assumed pro rata, but the contract may pay them as components — check the tie-out
- group 4 has 2 senior classes (IV-A-1, IV-A-2); assumed pro rata, but the contract may pay them as components — check the tie-out
- group 5 has 7 senior classes (V-A-1, V-A-2, V-A-3, V-A-4, V-A-5, V-A-6, V-A-7); assumed pro rata, but the contract may pay them as components — check the tie-out
Capital structure · original faces
I-A-1
$502,770,000.00
I-A-2
$26,462,000.00
I-A-R
$100.00
II-A-1
$223,830,000.00
II-A-2
$11,781,000.00
III-A-1
$129,583,000.00
III-A-2
$6,820,000.00
IV-A-1
$340,476,000.00
IV-A-2
$17,920,000.00
V-A-1
$300,000,000.00
V-A-2
$230,000,000.00
V-A-3
$368,153,000.00
V-A-4
$18,679,000.00
V-A-5
$163,104,000.00
V-A-6
$400,000,000.00
V-A-7
$77,891,000.00
B-1
$67,677,000.00
B-2
$22,069,000.00
B-3
$11,770,000.00
B-4
$8,828,000.00
B-5
$7,356,000.00
B-6
$7,356,499.81
viridian = senior (per-pool) · burgundy = cross-collateralized subordinates
Worst remaining deltas · computed vs reported
interest
| 2006-10-25 | I-A-1 | +2.05 |
| 2006-11-27 | I-A-1 | -1.57 |
| 2006-07-25 | IV-A-1 | -1.52 |
| 2006-11-27 | IV-A-1 | -1.21 |
| 2006-09-25 | I-A-1 | -1.15 |
principal
| 2006-07-25 | I-A-1 | +0.14 |
| 2006-07-25 | IV-A-1 | -0.13 |
| 2006-07-25 | II-A-1 | +0.06 |
| 2006-07-25 | V-A-3 | +0.04 |
| 2006-07-25 | III-A-1 | +0.04 |
ending balance
| 2006-12-26 | IV-A-1 | +0.14 |
| 2006-07-25 | I-A-1 | -0.14 |
| 2006-11-27 | I-A-1 | -0.14 |
| 2006-08-25 | IV-A-1 | +0.13 |
| 2006-09-25 | IV-A-1 | +0.13 |