Prime hybrid ARM RMBS
Wells Fargo Mortgage Backed Securities 2006-AR4
424B5 filed 2006-03-22, acc 0001193125-06-060823
machine-encoded from the prospectus by the extraction pipeline and tied out over 8 periods (2006-05-25 to 2006-12-26); not yet expert-verified
Backtested periods
8
2006-05-25 to 2006-12-26
Comparison points within $1
99.2%
360 points
Max principal delta
$0.01
interest $1.27 · balance $0.03
What the encoder found in the filings
- B-6: draft face 2,396,770.00 -> reported 2,396,770.87 (pinned from the remittance Original Balance)
- group 1 has 2 senior classes (I-A-1, I-A-2); assumed pro rata, but the contract may pay them as components — check the tie-out
- group 2 has 7 senior classes (II-A-1, II-A-2, II-A-3, II-A-4, II-A-5, II-A-6, II-A-R); assumed pro rata, but the contract may pay them as components — check the tie-out
- class names aligned across report formats: B1->B-1, B2->B-2, B3->B-3, B4->B-4, B5->B-5, B6->B-6, I-A1->I-A-1, I-A2->I-A-2, II-A1->II-A-1, II-A2->II-A-2, II-A3->II-A-3, II-A4->II-A-4, II-A5->II-A-5, II-A6->II-A-6, II-AR->II-A-R
- backtest window starts at deal month 2 (2006-05-25); 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
$223,297,000.00
I-A-2
$10,372,000.00
II-A-1
$322,769,000.00
II-A-2
$222,942,000.00
II-A-3
$101,333,000.00
II-A-4
$117,303,000.00
II-A-5
$108,422,000.00
II-A-6
$40,538,000.00
II-A-R
$100.00
B-1
$31,744,000.00
B-2
$7,187,000.00
B-3
$4,791,000.00
B-4
$2,995,000.00
B-5
$1,797,000.00
B-6
$2,396,770.87
viridian = senior (per-pool) · burgundy = cross-collateralized subordinates
Worst remaining deltas · computed vs reported
interest
| 2006-08-25 | II-A-1 | -1.27 |
| 2006-05-25 | II-A-1 | -1.14 |
| 2006-07-25 | II-A-1 | -1.03 |
| 2006-10-25 | I-A-1 | +0.91 |
| 2006-08-25 | II-A-2 | -0.84 |
principal
| 2006-05-25 | I-A-1 | +0.01 |
| 2006-08-25 | B-6 | -0.01 |
| 2006-10-25 | B-6 | +0.01 |
| 2006-11-27 | B-6 | -0.01 |
| 2006-12-26 | B-6 | +0.01 |
ending balance
| 2006-12-26 | I-A-2 | -0.03 |
| 2006-12-26 | B-4 | +0.02 |
| 2006-10-25 | I-A-2 | -0.02 |
| 2006-11-27 | I-A-2 | -0.02 |
| 2006-09-25 | I-A-2 | -0.02 |