Prime fixed-rate RMBS
Wells Fargo Mortgage Backed Securities 2007-5
424B5 filed 2007-04-27, acc 0001193125-07-092138
machine-encoded from the prospectus by the extraction pipeline and tied out over 8 periods (2007-05-25 to 2007-12-26); not yet expert-verified
Backtested periods
8
2007-05-25 to 2007-12-26
Comparison points within $1
99.7%
336 points
Max principal delta
$0.02
interest $30.00 · balance $0.03
What the encoder found in the filings
- dropped I-A-2, I-A-3, I-A-4, I-A-5, I-A-6: never reported by the trustee, so not part of the deal as issued
- I-A-PO: draft face 1,208,276.00 -> reported 1,208,276.98 (pinned from the remittance Original Balance)
- II-A-PO: draft face 308,931.00 -> reported 308,931.91 (pinned from the remittance Original Balance)
- B-6: draft face 462,057.00 -> reported 462,057.31 (pinned from the remittance Original Balance)
- group 1 has 4 senior classes (I-A-1, I-A-7, I-A-PO, I-A-R); 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-3, II-A-PO); assumed pro rata, but the contract may pay them as components — check the tie-out
- exchangeable certificates left out of the tie-out (their rows duplicate the underlying classes): I-A-2, I-A-3, I-A-4, I-A-5, I-A-6
- class names aligned across report formats: 1-A-7->I-A-7, I-APO->I-A-PO, II-APO->II-A-PO
Capital structure · original faces
I-A-1
$262,221,000.00
I-A-7
$5,352,000.00
I-A-PO
$1,208,276.98
I-A-R
$100.00
II-A-1
$12,922,474.00
II-A-2
$58,427,525.00
II-A-3
$110,231,001.00
II-A-PO
$308,931.91
B-1
$7,381,000.00
B-2
$922,000.00
B-3
$923,000.00
B-4
$461,000.00
B-5
$461,000.00
B-6
$462,057.31
viridian = senior (per-pool) · burgundy = cross-collateralized subordinates
Worst remaining deltas · computed vs reported
interest
| 2007-06-25 | II-A-3 | +30.00 |
| 2007-10-25 | II-A-3 | +0.01 |
| 2007-10-25 | I-A-1 | +0.01 |
| 2007-08-27 | I-A-1 | -0.01 |
| 2007-11-26 | I-A-7 | -0.01 |
principal
| 2007-05-25 | B-6 | +0.02 |
| 2007-07-25 | B-6 | -0.02 |
| 2007-10-25 | B-6 | +0.02 |
| 2007-06-25 | II-A-3 | +0.01 |
| 2007-05-25 | II-A-3 | -0.01 |
ending balance
| 2007-11-26 | II-A-1 | -0.03 |
| 2007-12-26 | II-A-1 | -0.02 |
| 2007-08-27 | I-A-PO | -0.02 |
| 2007-11-26 | I-A-PO | -0.02 |
| 2007-12-26 | I-A-PO | -0.02 |