Prime hybrid ARM RMBS
Wells Fargo Mortgage Backed Securities 2006-AR18 Trust
424B5 filed 2006-10-24, acc 0001193125-06-213572
machine-encoded from the prospectus by the extraction pipeline and tied out over 2 periods (2006-11-27 to 2006-12-26); not yet expert-verified
Backtested periods
2
2006-11-27 to 2006-12-26
Comparison points within $1
89.5%
114 points
Max principal delta
$0.31
interest $1382.40 · balance $0.32
What the encoder found in the filings
- I-B-6: draft face 1,601,949.00 -> reported 1,601,949.28 (pinned from the remittance Original Balance)
- II-B-6: draft face 802,631.00 -> reported 802,631.32 (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
- class names aligned across report formats: I-B1-IO->I-B-1-IO, I-B2-IO->I-B-2-IO, II-B1-IO->II-B-1-IO, II-B2-IO->II-B-2-IO
- 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 (2006-11-27); earlier reports are not in the machine-readable run
- group 2: window starts at deal month 1 (2006-11-27); earlier reports are not in the machine-readable run
Capital structure · original faces
I-A-1
$747,863,000.00
I-A-2
$25,922,000.00
I-A-R
$100.00
II-A-1
$371,061,000.00
II-A-2
$14,657,000.00
I-B-1
$15,212,000.00
I-B-2
$4,803,000.00
I-B-3
$2,802,000.00
II-B-1
$8,821,000.00
II-B-2
$2,406,000.00
II-B-3
$1,603,000.00
I-B-4
$1,602,000.00
I-B-5
$800,000.00
I-B-6
$1,601,949.28
II-B-4
$802,000.00
II-B-5
$802,000.00
II-B-6
$802,631.32
viridian = senior (per-pool) · burgundy = cross-collateralized subordinates · IO classes (I-A-IO, II-A-IO, I-B-1-IO, I-B-2-IO, II-B-1-IO, II-B-2-IO) accrue on senior notionals
Worst remaining deltas · computed vs reported
interest
| 2006-11-27 | I-A-R | -1382.40 |
| 2006-11-27 | I-B-1-IO | -23.17 |
| 2006-11-27 | I-B-1 | +23.16 |
| 2006-11-27 | I-B-2-IO | -7.32 |
| 2006-11-27 | I-B-2 | +7.31 |
principal
| 2006-11-27 | II-A-1 | -0.31 |
| 2006-11-27 | I-A-1 | -0.27 |
| 2006-11-27 | II-B-6 | -0.02 |
| 2006-11-27 | I-A-2 | -0.01 |
| 2006-11-27 | II-A-2 | -0.01 |
ending balance
| 2006-12-26 | II-A-1 | +0.32 |
| 2006-11-27 | II-A-1 | +0.31 |
| 2006-11-27 | I-A-1 | +0.27 |
| 2006-12-26 | I-A-1 | +0.27 |
| 2006-11-27 | II-B-6 | +0.02 |