Prime hybrid ARM RMBS
Wells Fargo Mortgage Backed Securities 2006-AR12 Trust.
424B5 filed 2006-08-25, acc 0001193125-06-179659
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
100.0%
204 points
Max principal delta
$0.37
interest $0.03 · balance $0.37
What the encoder found in the filings
- I-B-6: draft face 1,875,749.00 -> reported 1,875,749.85 (pinned from the remittance Original Balance)
- II-B-6: draft face 1,399,163.00 -> reported 1,399,163.61 (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
- subordinate stack per loan group: encoded as group 1 (3 senior + 6 subordinate), group 2 (2 senior + 6 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
I-A-1
$687,585,000.00
I-A-2
$30,519,000.00
I-A-R
$100.00
II-A-1
$647,133,000.00
II-A-2
$25,562,000.00
I-B-1
$17,250,000.00
I-B-2
$5,625,000.00
I-B-3
$2,999,000.00
I-B-4
$2,250,000.00
I-B-5
$1,875,000.00
I-B-6
$1,875,749.85
II-B-1
$15,384,000.00
II-B-2
$4,895,000.00
II-B-3
$2,098,000.00
II-B-4
$1,748,000.00
II-B-5
$1,049,000.00
II-B-6
$1,399,163.61
viridian = senior (per-pool) · burgundy = cross-collateralized subordinates
Worst remaining deltas · computed vs reported
interest
| 2006-09-25 | I-A-1 | -0.03 |
| 2006-11-27 | II-A-1 | +0.02 |
| 2006-09-25 | II-A-1 | -0.02 |
| 2006-12-26 | I-A-1 | +0.01 |
| 2006-10-25 | II-A-1 | +0.01 |
principal
| 2006-09-25 | II-A-1 | +0.37 |
| 2006-09-25 | I-A-1 | +0.14 |
| 2006-09-25 | II-A-2 | +0.01 |
| 2006-09-25 | I-B-6 | +0.01 |
| 2006-11-27 | I-B-6 | -0.01 |
ending balance
| 2006-10-25 | II-A-1 | -0.37 |
| 2006-11-27 | II-A-1 | -0.37 |
| 2006-12-26 | II-A-1 | -0.37 |
| 2006-09-25 | II-A-1 | -0.37 |
| 2006-09-25 | I-A-1 | -0.14 |