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Wells Fargo Asset Securities Corp – ‘424B5’ on 7/26/05 re: Wells Fargo Asset Securities Corp Mortgage Pass-Through Certificates Series 2005-6

On:  Tuesday, 7/26/05, at 11:36am ET   ·   Accession #:  1193125-5-148735   ·   File #s:  333-122307, -18

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 7/26/05  Wells Fargo Asset Securities Corp 424B5                  1:2.3M Wells Fargo Asset Secs Co… 2005-6 RR Donnelley/FA

Prospectus   —   Rule 424(b)(5)
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: 424B5       Wfmbs 2005-6                                        HTML   1.94M 


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  WFMBS 2005-6  

PROSPECTUS SUPPLEMENT

(To Prospectus Dated June 14, 2005)

LOGO

Wells Fargo Mortgage Backed Securities 2005-6 Trust

Issuer

 

 

LOGO

Seller

 

$597,235,080

(Approximate)

Mortgage Pass-Through Certificates, Series 2005-6

Principal and interest payable monthly, commencing in August 2005

 

 

You should carefully consider the risk factors beginning on page S-12 of this prospectus supplement.

 

Neither the offered certificates nor the underlying mortgage loans are insured or guaranteed by any governmental agency or instrumentality or any other entity.

 

The offered certificates will represent interests in the trust only and will not represent interests in or obligations of the seller or any affiliate of the seller.

 

This prospectus supplement may be used to offer and sell the offered certificates only if accompanied by the prospectus.

 

 

The Trust Will Issue—

 

Ÿ Nineteen classes of senior Class A Certificates.

 

Ÿ Six classes of Class B Certificates, all of which are subordinated to, and provide credit enhancement for, the Class A Certificates. Each class of Class B Certificates is also subordinated to each class of Class B Certificates, if any, with a lower number.

 

The classes of offered certificates are listed under the heading “Offered Certificates” in the table on page S-4.

 

The yield to maturity of the interest only certificates and the principal only certificates will be particularly sensitive to the rate of principal payments on certain mortgage loans, as more fully described in this prospectus supplement. If you are purchasing interest only certificates, you should consider the risk that a faster than anticipated rate of principal payments on the mortgage loans will have a negative effect on the yield to maturity of your certificates and could result in the loss of all or part of your initial investment. If you are purchasing principal only certificates, you should consider the risk that a slower than anticipated rate of principal payments on the applicable mortgage loans will have a negative effect on the yield to maturity of your certificates.

 

The Assets of the Trust Will Include—

 

Ÿ  A pool of fully amortizing, one- to four-family, fixed interest rate, residential first mortgage loans (excluding the fixed retained yield described in this prospectus supplement), substantially all of which have original terms to stated maturity of approximately 30 years.

 

Neither the SEC nor any state securities commission has approved the certificates offered by this prospectus supplement or determined that this prospectus supplement or the prospectus is accurate or complete. Any representation to the contrary is a criminal offense.

 

The underwriter will purchase the offered certificates from the seller and offer them to investors at varying prices to be determined at the time of sale. The offered certificates will be available for delivery to investors on or about July 28, 2005. Total proceeds to the seller for the offered certificates will be approximately $599,927,627 before deducting expenses estimated at $275,000 plus accrued interest from July 1, 2005 to July 28, 2005.

 

    RBS Greenwich Capital    

 

The date of this prospectus supplement is July 25, 2005


TABLE OF CONTENTS

PROSPECTUS SUPPLEMENT

 

 

     Page

Summary Information    S-5  
Risk Factors    S-12

Prepayments May Adversely Affect Yield

   S-12

Increase in LIBOR May Adversely Affect Yield

   S-13

Geographic Concentration May Increase Risk of Loss Because of Adverse Economic Conditions or Natural Disasters

   S-13

Subordination of Super Senior Support Certificates and Class B Certificates Increases Risk of Loss

   S-13

Rights of Beneficial Owners May Be Limited By Book-Entry System for Certain Classes of Certificates

   S-13

There Is a Risk that Interest Payments on the Mortgage Loans May Be Insufficient to Pay Interest on Your Certificates

   S-14

Certificates May Not Be Appropriate For Certain Individual Investors

   S-14

There Are Risks Relating to Second Lien Mortgage Loans

   S-14

Residual Certificates May Have Adverse Tax Consequences

   S-15

United States Military Operations May Increase Risk of Relief Act Shortfalls

   S-15
Forward Looking Statements    S-16
Description of the Certificates    S-16

General

   S-16

Distributions

   S-16

Interest

   S-18

Principal (Including Prepayments)

   S-21

Calculation of Amount to be Distributed on the Certificates

   S-21

Allocation of Amount to be Distributed on the Class A Non-PO Certificates

   S-25

Additional Rights of the Residual Certificateholders

   S-26

Restrictions on Transfer of the Residual Certificates

   S-26

Periodic Advances

   S-27

Subordination of Class B Certificates

   S-27

Allocation of Losses

   S-28
Description of the Mortgage Loans    S-29

General

   S-29

Mortgage Loan Data Appearing in Appendix A

   S-29

Mortgage Loan Underwriting

   S-31

Mandatory Repurchase or Substitution of Mortgage Loans

   S-31
     Page

Optional Purchase or Substitution of Mortgage Loans

   S-31
Prepayment and Yield Considerations    S-32

General

   S-32

Sensitivities of Certain Classes of Certificates

   S-37

Yield Considerations with Respect to the Class B-2 and Class B-3 Certificates

   S-38

Wells Fargo Bank

   S-39
Pooling and Servicing Agreement    S-39

General

   S-39

Distributions

   S-39

Voting

   S-39

Trustee

   S-40

Custodian

   S-40

Master Servicer

   S-40

Optional Termination

   S-40
Servicing of the Mortgage Loans    S-41

The Servicers

   S-41

Fixed Retained Yield; Servicing Compensation and Payment of Expenses

   S-41
Delinquency and Foreclosure Experience    S-42
Federal Income Tax Considerations    S-42

Regular Certificates

   S-42

Residual Certificates

   S-43
ERISA Considerations    S-44
Legal Investment    S-45
Secondary Market    S-45
Underwriting    S-45
Legal Matters    S-46
Use of Proceeds    S-46
Ratings    S-46

Index of Significant Prospectus Supplement Definitions

   S-47
Appendix A—Mortgage Loan Data    A-1  
Appendix B—Decrement Tables    B-1  
Appendix C—Senior Sensitivity Tables    C-1  

Appendix D—Subordinate Sensitivity
Tables

   D-1  

 

S-2


IMPORTANT NOTICE ABOUT INFORMATION PRESENTED IN THIS

PROSPECTUS SUPPLEMENT AND THE ACCOMPANYING PROSPECTUS

 

Information is provided to you about the offered certificates in two separate documents that progressively provide more detail:

 

    the accompanying prospectus, which provides general information, some of which may not apply to your certificates; and

 

    this prospectus supplement, which describes the specific terms of your certificates.

 

If the description of the terms of your certificates varies between this prospectus supplement and the accompanying prospectus, you should rely on the information in this prospectus supplement.

 

Cross-references are included in this prospectus supplement and the accompanying prospectus to captions in these materials where you can find further related discussions. The foregoing Table of Contents and the Table of Contents included in the accompanying prospectus provide the pages on which these captions are located.

 

You can find a listing of the pages where capitalized terms used in this prospectus supplement and the accompanying prospectus are defined under the caption “Index of Significant Prospectus Supplement Definitions” on page S-47 in this document and under the caption “Index of Significant Definitions” beginning on page 102 in the accompanying prospectus. Any capitalized terms used but not defined in this prospectus supplement have the meanings assigned in the prospectus.

 

S-3


THE SERIES 2005-6 CERTIFICATES

 

Class


   Initial
Principal
Balance(1)


  Pass-
Through
Rate


    Principal Types(2)

  

Interest Types(2)


   Initial Rating
of Offered
Certificates(3)


   Original
Form(4)


  Minimum
Denomination(5)


   Incremental
Denomination(5)


             Fitch

   Moody’s

       
Offered Certificates                                       
Class A-1    $ 373,854,858   5.250 %   Senior, Sequential Pay    Fixed Rate    AAA    Aaa    BE   $ 25,000    $ 1,000
Class A-2    $ 62,309,142   (6)     Senior, Sequential Pay    Floating Rate    AAA    Aaa    BE   $ 25,000    $ 1,000
Class A-3          (6)     Senior, Notional Amount    Inverse Floating Rate, Interest Only    AAA    Aaa    BE   $ 2,148,000    $ 1,000
Class A-4    $ 57,000,000   5.500 %   Super Senior, Lockout    Fixed Rate    AAA    Aaa    BE   $ 25,000    $ 1,000
Class A-5    $ 1,500,000   5.000 %   Senior, Sequential Pay    Fixed Rate    AAA    Aaa    BE   $ 1,000    $ 1,000
Class A-6    $ 1,500,000   6.000 %   Senior, Sequential Pay    Fixed Rate    AAA    Aaa    BE   $ 1,000    $ 1,000
Class A-7    $ 3,000,000   5.500 %   Senior, Sequential Pay    Fixed Rate    AAA    Aaa    BE   $ 1,000    $ 1,000
Class A-8    $ 3,000,000   5.500 %   Senior, Sequential Pay    Fixed Rate    AAA    Aaa    BE   $ 1,000    $ 1,000
Class A-9    $ 1,500,000   5.250 %   Senior, Sequential Pay    Fixed Rate    AAA    Aaa    BE   $ 1,000    $ 1,000
Class A-10    $ 1,500,000   5.750 %   Senior, Sequential Pay    Fixed Rate    AAA    Aaa    BE   $ 1,000    $ 1,000
Class A-11    $ 3,000,000   5.500 %   Senior, Sequential Pay    Fixed Rate    AAA    Aaa    BE   $ 1,000    $ 1,000
Class A-12    $ 42,705,000   5.500 %   Senior, Sequential Pay    Fixed Rate    AAA    Aaa    BE   $ 1,000    $ 1,000
Class A-13    $ 3,000,000   5.500 %   Super Senior Support,
Lockout
   Fixed Rate    AAA    Aa1    BE   $ 100,000    $ 1,000
Class A-14    $ 10,000,000   5.250 %   Senior, Sequential Pay    Fixed Rate    AAA    Aaa    BE   $ 1,000    $ 1,000
Class A-15    $ 10,000,000   5.750 %   Senior, Sequential Pay    Fixed Rate    AAA    Aaa    BE   $ 1,000    $ 1,000
Class A-16    $ 6,345,000   5.500 %   Senior, Sequential Pay    Fixed Rate    AAA    Aaa    BE   $ 1,000    $ 1,000
Class A-PO    $ 2,315,980   0.000 %   Senior, Ratio Strip    Principal Only    AAA    Aaa    BE   $ 100,000    $ 1,000
Class A-R    $ 50   5.500 %   Senior, Sequential Pay    Fixed Rate    AAA    None    D   $ 50      N/A
Class A-LR    $ 50   5.500 %   Senior, Sequential Pay    Fixed Rate    AAA    None    D   $ 50      N/A
Class B-1    $ 9,603,000   5.500 %   Subordinated    Fixed Rate    AA    None    BE   $ 100,000    $ 1,000
Class B-2    $ 3,302,000   5.500 %   Subordinated    Fixed Rate    A    None    BE   $ 100,000    $ 1,000
Class B-3    $ 1,800,000   5.500 %   Subordinated    Fixed Rate    BBB    None    BE   $ 100,000    $ 1,000
Non-Offered Certificates                                            
Class B-4    $ 1,201,000   5.500 %   Subordinated    Fixed Rate    N/A    N/A    N/A     N/A      N/A
Class B-5    $ 900,000   5.500 %   Subordinated    Fixed Rate    N/A    N/A    N/A     N/A      N/A
Class B-6    $ 900,997   5.500 %   Subordinated    Fixed Rate    N/A    N/A    N/A     N/A      N/A

(1) Approximate. The initial principal balances are subject to adjustment as described in this prospectus supplement.
(2) See “Description of the Certificates — Categories of Classes of Certificates” in the prospectus for a description of the principal and interest categories listed.
(3) A description of the ratings of the offered certificates is set forth under the heading “Rating of Certificates” in the Summary Information and under “Ratings” in the main text of this prospectus supplement.
(4) See “Description of the Certificates — Definitive Form” and “— Book-Entry Form” in the prospectus for a description of the forms of certificates. Book-entry form is designated as “BE” and definitive form is designated as “D” in the table above.
(5) Denominations for interest only certificates are expressed in notional amount. If necessary, in order to aggregate the initial principal balance or notional amount of a class, one certificate of the class will be issued in an incremental denomination of less than that shown.
(6)

Class


  

Initial Pass-

    Through Rate    


  

Pass-Through

Rate Formula


  

Minimum Pass-

Through Rate


  

Maximum Pass-

Through Rate


Class A-2

   3.670%      LIBOR + 0.330%    0.330%    7.000%

Class A-3

   3.330%    6.670% - LIBOR    0.000%    6.670%
(7) The Class A-3 Certificates are interest only certificates, have no principal balance and will bear interest on their notional amount, initially approximately $62,309,142, as described in this prospectus supplement under “Description of the Certificates — Interest.”

 

S-4


 

SUMMARY INFORMATION

 

Ÿ   This summary highlights selected information from this document, but does not contain all of the information that you should consider in making your investment decision. Please read this entire prospectus supplement and the accompanying prospectus carefully for additional detailed information about the offered certificates.

 

 

RELEVANT PARTIES

 

Issuer

 

The Wells Fargo Mortgage Backed Securities

2005-6 Trust.

 

Seller

 

Wells Fargo Asset Securities Corporation.

 

Master Servicer

 

Wells Fargo Bank, N.A.

 

Servicers

 

Wells Fargo Bank, N.A. and one or more other servicers approved by the master servicer.

 

Trustee

 

Wachovia Bank, National Association.

 

Custodian

 

Wells Fargo Bank, N.A.

 

RATING OF CERTIFICATES

 

The trust will not issue the offered certificates unless they have received at least the ratings set forth in the table on page S-4.

 

Ÿ   The ratings of the rating agencies are not recommendations to buy, sell or hold the certificates rated. A rating may be revised or withdrawn at any time by the assigning rating agency.

 

Ÿ   The ratings do not address the possibility that, as a result of principal prepayments, the yield on your certificate may be lower than anticipated.

 

Ÿ   The ratings do not address the possibility that, if you hold an interest only certificate, you may not recover your initial investment as a result of principal prepayments on the mortgage loans.

 

See “— Effects of Prepayments on Your Investment Expectations” below and “Ratings” in this prospectus supplement.

 

DESCRIPTION OF CERTIFICATES

 

The certificates consist of:

 

Ÿ   the nineteen classes of senior Class A Certificates designated as “Senior,” “Super Senior” and “Super Senior Support” certificates in the table on page S-4; and

 

Ÿ   the six classes of junior Class B Certificates designated as “Subordinated” certificates in the table on page S-4.

 

Only the Class A Certificates and the Class B-1, Class B-2 and Class B-3 Certificates are being offered by this prospectus supplement and the accompanying prospectus. The Class B-4, Class B-5 and Class B-6 Certificates are not being offered pursuant to this prospectus supplement and the accompanying prospectus, and the seller may retain or sell such classes. Information provided with respect to the Class B-4, Class B-5 and Class B-6 Certificates is included solely to aid your understanding of the offered certificates.

 

See the table on page S-4 for more information with respect to each class of certificates.

 

Cut-Off Date

July 1, 2005.

 

Closing Date

On or about July 28, 2005.

 

Distribution Dates

The 25th day of each month, or the following business day if the 25th day is not a business day, commencing in August 2005.

 

Principal Balance of the Certificates

The certificates will have an approximate total initial principal balance of $600,237,077. Any difference between the total principal balance of the certificates as of the date of issuance of the certificates and the approximate total initial principal balance of the certificates as of the date of this prospectus supplement will

 

S-5


 

not exceed 5% of the total initial principal balance of the certificates. Any such difference will be allocated among the various classes of certificates so as to materially retain the characteristics of the offered certificates described in this prospectus supplement.

 

Interests in Mortgage Loans

The Class A-PO Certificates represent a portion of the principal balance of the discount mortgage loans. The mortgage loans which have a mortgage interest rate of less than 5.500% after deducting the master servicing fee rate and the applicable servicing fee rate are discount mortgage loans. Because the Class A-PO Certificates represent an interest solely in the discount mortgage loans, only principal payments, including prepayments of principal, and realized losses on the discount mortgage loans will affect the Class A-PO Certificates. The portion of the total principal balance of the mortgage loans not represented by the Class A-PO Certificates is the non-PO portion and is represented by the other Class A Certificates, referred to as the Class A Non-PO Certificates, and the Class B Certificates.

 

The relative interests in the initial non-PO portion of the principal balance of the mortgage loans represented by the Class A Non-PO Certificates and the Class B Certificates are subject to change over time because:

 

Ÿ   certain unscheduled principal payments on the mortgage loans will be disproportionately allocated to the Class A Non-PO Certificates for a specified period; and

 

Ÿ   certain losses and certain shortfalls on the mortgage loans will be allocated first to the classes of Class B Certificates in reverse numerical order prior to the allocation of such losses and shortfalls to the Class A Certificates, as discussed in “Description of the Certificates — Distributions” and “— Subordination of Class B Certificates” in this prospectus supplement.

 

Forms of Certificates; Denominations

Your certificates will be issued either in book-entry form or in fully registered, certificated form and in the minimum denomination and the incremental denomination set forth in the table on page S-4. The offered certificates are not intended to be directly or indirectly held or beneficially owned by anyone in amounts lower than such minimum denominations.

 

MORTGAGE POOL

The assets of the trust are expected to consist of approximately 1,130 mortgage loans with an aggregate unpaid principal balance as of the cut-off date of approximately $600,237,078. The mortgage loans, which are the source of distributions to holders of the certificates, will consist of conventional, fixed interest rate, monthly pay, fully amortizing, one- to four-family, residential first mortgage loans substantially all of which have original terms to maturity of approximately 30 years.

 

See “Appendix A” and “Description of the Mortgage Loans” in this prospectus supplement.

 

Changes to Mortgage Pool

The seller may remove mortgage loans from the pool, or may make substitutions for certain mortgage loans, in advance of the closing date.

 

After the issuance of the certificates, the seller may remove certain mortgage loans from the pool through repurchase or, under certain circumstances, may make substitutions for certain mortgage loans.

 

See “Description of the Mortgage Loans—Mandatory Repurchase or Substitution of Mortgage Loans” and “—Optional Purchase or Substitution of Mortgage Loans” in this prospectus supplement.

 

Optional Termination of the Trust

The seller may, subject to certain conditions including the then-remaining size of the pool, purchase all outstanding mortgage loans in the pool and thereby effect early retirement of the certificates. See “Pooling and Servicing Agreement — Optional Termination” in this prospectus supplement.

 

DISTRIBUTIONS OF PRINCIPAL AND INTEREST TO CERTIFICATEHOLDERS

On each distribution date the amount available for distribution on the certificates, which consists of those payments, recoveries, advances and other receipts in respect of the mortgage loans which are available for distribution on such date, will be distributed generally in the following order of priority:

 

Ÿ   first, pro rata, to the holders of the Class A Certificates, in respect of interest which they are entitled to receive on such distribution date;

 

S-6


 

Ÿ   second, to the holders of the Class A Certificates in respect of principal which they are entitled to receive on such distribution date; and

 

Ÿ   third, to the holders of the Class B Certificates in numerical order beginning with the Class B-1 Certificates in respect of interest and principal which they are entitled to receive on such distribution date.

 

In addition, certain payments of principal to which the Class A-PO Certificates are entitled on a distribution date will only be paid out of amounts otherwise distributable as principal to the Class B Certificates on such distribution date. See “Description of the Certificates — Principal (Including Prepayments)” in this prospectus supplement.

 

Interest Distributions

 

An interest-bearing class will accrue interest for each interest accrual period in an amount equal to:

 

Ÿ    1/12th of the pass-through rate for the class multiplied by the outstanding principal balance or notional amount of such class on the related distribution date minus

 

Ÿ   the amount of certain interest shortfalls arising from the timing of prepayments on the mortgage loans and the application of the Servicemembers Civil Relief Act and comparable state legislation and interest losses allocated to the class as described under “Description of the Certificates — Interest” in this prospectus supplement.

 

The allocation of interest distributions among the Class A Non-PO Certificates will be made as described under “Description of the Certificates — Distributions” and “— Interest” in this prospectus supplement.

 

Principal Distributions

 

The calculation of the amount of principal which each class of offered certificates is entitled to receive on each distribution date and the priority of principal distributions among the Class A Certificates are described under “Description of the Certificates —  Distributions” and “— Principal (Including Prepayments)” in this prospectus supplement.

 

Credit Enhancement

 

The rights of the holders of each class of Class B Certificates to receive distributions will be sub

ordinated to the rights of the holders of the Class A Certificates to receive distributions and the holders of the classes of Class B Certificates, if any, with lower numerical designations to receive distributions.

 

In general, the protection afforded the holders of more senior classes of certificates by means of this subordination will be effected in two ways:

 

Ÿ   by the preferential right of the holders of such classes to receive, prior to any distribution being made on any distribution date to the holders of the more junior classes of certificates, the amounts of interest and principal due on the more senior classes of certificates, other than amounts payable to the Class A-PO Certificates, as a reimbursement for realized losses, and, if necessary, by the right of such more senior holders to receive future distributions on the mortgage loans that would otherwise have been allocated to the holders of the more junior classes of certificates; and

 

Ÿ   by the allocation of losses resulting from the liquidation of defaulted mortgage loans or the bankruptcy of mortgagors to the more junior classes of certificates in inverse order of seniority, until their respective principal balances have been reduced to zero, prior to the allocation of such losses to the more senior classes of certificates.

 

Credit support for the Class A Certificates is provided by subordination of the Class B Certificates as follows:

 

LOGO

 

The approximate initial credit support percentages set forth in the preceding chart show the initial principal

 

S-7


 

balance of the class or classes of certificates subordinate to a class or classes as a percentage of the aggregate unpaid principal balance of the mortgage loans as of the cut-off date.

 

In addition, in order to increase the period during which the principal balances of the Class B Certificates remain available as credit enhancement to the Class A Certificates, a disproportionate amount of prepayments and unscheduled principal receipts with respect to the mortgage loans will be allocated to the Class A Non-PO Certificates in the aggregate. This allocation will accelerate the amortization of the Class A Non-PO Certificates while, in the absence of losses due to the liquidation of defaulted mortgage loans or losses resulting from the bankruptcy of mortgagors, increasing the percentage interest in the principal balance of the mortgage loans evidenced by the Class B Certificates. See “Description of the Certificates” and “Prepayment and Yield Considerations” in this prospectus supplement.

 

After the principal balances of the Class B Certificates have been reduced to zero, the principal portion of all losses, other than the portion attributable to the discount mortgage loans, will be allocated to the Class A Non-PO Certificates. To the extent such losses arise with respect to discount mortgage loans, principal losses will be shared between the Class A Non-PO Certificates and the Class A-PO Certificates according to their respective interests in such mortgage loans. The principal portion of any losses borne by the Class A Non-PO Certificates will be shared pro rata by such classes of Class A Non-PO Certificates based on their then-outstanding principal balances and the interest portion of such losses will be shared pro rata by the Class A Non-PO Certificates based on interest accrued. However, the share of principal losses allocated to the super senior certificates will be borne by the super senior support certificates, together with such super senior support certificates’ own share of losses. To this extent, the super senior support certificates are subordinate to the super senior certificates. See “Description of the Certificates — Interest” and “— Subordination of Class B Certificates — Allocation of Losses” in this prospectus supplement.

 

See “Description of the Certificates — Distributions” and “— Subordination of Class B Certificates” in this prospectus supplement.

 

 

EFFECTS OF PREPAYMENTS ON YOUR INVESTMENT EXPECTATIONS

 

The rate of prepayments on the mortgage loans will affect the investment performance of the offered certificates.

 

The Class A and Class B Certificates were structured assuming, among other things, that prepayments on the mortgage loans occur at a constant rate of 300% of the standard prepayment assumption as described in this prospectus supplement under “Prepayment and Yield Considerations.” However, no one can predict the actual rate of prepayment of principal on the mortgage loans.

 

In deciding whether to purchase any offered certificates, you should make an independent decision as to the appropriate prepayment assumptions to use. If prepayments on the applicable mortgage loans are higher or lower than you anticipate, the investment performance of the offered certificates may vary materially and adversely from your investment expectations.

 

Factors affecting the rate of prepayment on the mortgage loans and the manner in which prepayments are

allocated among the classes of certificates are discussed in this prospectus supplement under “Description of the Certificates — Principal (Including Prepayments)” and “Prepayment and Yield Considerations.”

 

The actual yield on your certificates may not be equal to the yield you anticipated at the time of purchase. In addition, even if the actual yield is equal to the yield you anticipated at the time of purchase, the total return on investment you expected or the expected weighted average life of your certificates may not be realized. These effects are summarized below.

 

Yield

 

The actual yield on your certificates depends on the:

 

Ÿ   pass-through rate, if any;

 

Ÿ   price paid;

 

Ÿ absence or occurrence of interest shortfalls or losses;

 

Ÿ   absence or occurrence of principal losses; and

 

Ÿ   rate and timing of principal prepayments.

 

If you purchase offered certificates, your yield, absent shortfalls or losses, will primarily be a function

 

S-8


 

of the price paid and the rate and timing of prepayments on the applicable mortgage loans.

 

Ÿ If you purchase your certificate at an amount equal to its unpaid principal balance — that is, at “par”— your effective yield will approximate the pass-through rate on that certificate.

 

Ÿ If you pay less or more than the unpaid principal balance of your certificate — that is, buy the certificate at a “discount” or “premium,” respectively — then your effective yield will be higher or lower, respectively, than the pass-through rate on the certificate, because such discount or premium will be amortized over the life of the certificate.

 

Ÿ Any deviation in the actual rate of prepayments on the applicable mortgage loans from the rate you assumed will affect the period of time over which, or the rate at which, any discount or premium will be amortized and, consequently, will cause your actual yield to differ from that which you anticipated.

 

If you purchase principal only certificates, your yield, absent losses, will primarily be a function of the price you paid for your certificates and the rate and timing of principal payments on the discount mortgage loans.

 

If you purchase interest only certificates, your yield will be highly sensitive to both the timing of receipt of prepayments and the overall rate of prepayment on the mortgage loans. In addition, the interest only certificates, which are also inverse floating rate certificates, are highly sensitive to LIBOR and increases in LIBOR will have a negative effect on the yield to maturity of your certificates. In particular, you should consider the risk that high constant rates of LIBOR combined with high constant prepayment rates will result in a negative yield.

 

The particular sensitivities of the principal only and interest only certificates to prepayments and, in the case of the inverse floating rate certificates, to LIBOR are separately displayed in the tables appearing in Appendix C.

 

The yield to maturity of classes subordinated to other classes will be more sensitive to losses due to liquidations of the mortgage loans and the timing thereof than the classes to which they are subordinated.

 

If you are purchasing super senior support certificates, which are subordinate to the super senior certificates, after the Class B Certificates are no longer outstanding, you should consider this increased sensitivity to losses on your yield to maturity.

 

The sensitivities of the yields to maturity of the Class B-2 and Class B-3 Certificates to losses are illustrated in the tables appearing in Appendix D. These illustrations are based on default, loss and other assumptions which are unlikely to match actual experience on the mortgage loans; therefore, your results will vary.

 

If you are purchasing offered certificates at a discount, particularly the principal only certificates, you should consider the risk that a slower than anticipated rate of principal payments on the applicable mortgage loans will have a negative effect on the yield to maturity of your certificates.

 

If you are purchasing offered certificates at a premium, or if you are purchasing interest only certificates, you should consider the risk that a faster than anticipated rate of principal payments on the mortgage loans will have a negative effect on the yield to maturity of your certificates and that a rapid rate of principal payments on the mortgage loans could result in the loss of all or part of your initial investment.

 

Reinvestment Risk

 

As stated above, if you purchase an offered certificate at par, fluctuations in the rate of distributions of principal will generally not affect your yield to maturity. However, the total return on your investment, even if you purchase your certificates at par, will be reduced if principal distributions received on your certificates cannot be reinvested at a rate as high as the stated pass-through rate or, in the case of principal only certificates, the expected yield.

 

You should consider the risk that rapid rates of prepayments on the mortgage loans may coincide with periods of low prevailing market interest rates. During periods of low prevailing market interest rates, mortgagors may be expected to prepay or refinance mortgage loans that carry interest rates significantly higher than then-current interest rates for mortgage loans. Consequently, the amount of principal distributions available to you for reinvestment at such low prevailing interest rates may be relatively large.

 

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Conversely, slow rates of prepayments on the mortgage loans may coincide with periods of high prevailing market interest rates. During such periods, it is less likely that mortgagors will elect to prepay or refinance mortgage loans and, therefore, the amount of principal distributions available to you for reinvestment at such high prevailing interest rates may be relatively small.

 

Weighted Average Life Volatility

 

One indication of the impact of varying prepayment speeds on a security is the change in its weighted average life.

 

Ÿ   The “weighted average life” of an offered certificate, other than an interest only certificate, is the average amount of time that will elapse between the date of issuance of the certificate and the date on which each dollar in reduction of the principal balance of the certificate is distributed to the investor.

 

  The “weighted average life” of an interest only certificate is the average amount of time that will elapse between the date of issuance of the certificate and the date on which each dollar reduction in the notional amount of such certificate occurs.

 

Low rates of prepayment on the applicable mortgage loans may result in the extension of the weighted average life of a certificate. High rates of prepayment may result in the shortening of the weighted average life of a certificate.

 

In general, if you purchase your certificates at par and the weighted average life of your certificates is extended beyond your anticipated time period, the market value of your certificates may be adversely affected even though the yield to maturity on your certificates is unaffected.

 

See “Prepayment and Yield Considerations” in this prospectus supplement.

 

The sensitivities of the weighted average lives of the offered certificates to prepayments are illustrated in the tables appearing in Appendix B. These illustrations are based on prepayment and other assumptions which are unlikely to match the actual experience on the mortgage loans. Therefore, your results will vary.

 

See “Risk Factors — Prepayments May Adversely Affect Yield” and “Prepayment and Yield Considerations” in this prospectus supplement.

 

FEDERAL INCOME TAX STATUS

 

For federal income tax purposes, the trust estate will consist of two REMICs, an upper-tier REMIC and a lower-tier REMIC.

 

Ÿ   The offered certificates (other than the Class A-R and Class A-LR Certificates) and the Class B-4, Class B-5 and Class B-6 Certificates will constitute “regular interests” in the upper-tier REMIC and will be treated as newly-originated debt instruments for most federal income tax purposes.

 

Ÿ   The Class A-R and Class A-LR Certificates are residual certificates. The Class A-R and Class A-LR Certificates will be the sole “residual interests” in the upper-tier REMIC and lower-tier REMIC, respectively.

 

You must report income received on your certificates as it accrues from distribution date to distribution date, even if it is before such income is distributed in cash to you.

 

Certain classes of certificates may be issued with “original issue discount.” If your class of certificates is issued with original issue discount, you must report original issue discount income over the life of your certificate, often well before such income is distributed in cash to you. See “Federal Income Tax Considerations” in this prospectus supplement.

 

The residual certificates will not be treated as debt instruments for federal income tax purposes. Instead, if you are a holder of a residual certificate, you must include the taxable income or loss of the applicable REMIC in determining your federal taxable income. You may have to use funds other than distributions on your certificate to meet the tax liabilities resulting from the ownership of a residual certificate.

 

In addition, certain transfers of the residual certificates may be disregarded for federal tax purposes, with the transferor continuing to have tax liabilities for the transferred certificates. See “Description of the Certificates — Restrictions on Transfer of the Residual Certificates” and “Federal Income Tax Considerations” in this prospectus supplement and “Certain Federal Income Tax Consequences — Federal Income Tax Consequences for REMIC Certificates” in the prospectus.

 

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ERISA CONSIDERATIONS

 

If you are a fiduciary of a retirement plan or other employee benefit plan or arrangement subject to ERISA, the Internal Revenue Code or any federal, state or local law which is, to a material extent, similar to ERISA or the Internal Revenue Code, you should carefully review with your legal advisors whether the purchase or holding of offered certificates could give rise to a transaction prohibited or not otherwise permissible under the rules or regulations referred to above.

 

The residual certificates may not be purchased by or transferred to a plan or a person acting on behalf of or investing the assets of a plan. See “Description of the Certificates — Restrictions on Transfer of the Residual Certificates” and “ERISA Considerations” in this prospectus supplement.

 

LEGAL INVESTMENT

 

Ÿ   The Class A and Class B-1 Certificates will constitute “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984 as amended, so long as they are rated in one of the two highest rating categories by at least one nationally recognized statistical rating organization.

 

Ÿ   The Class B-2 and Class B-3 Certificates will not constitute “mortgage related securities” under this act.

 

If your investment activities are subject to legal investment laws and regulations, regulatory capital requirements or review by regulatory authorities, you may be subject to restrictions on investment in the offered certificates and should consult your own legal, tax and accounting advisors in determining the suitability of and consequences to you of the purchase, ownership and disposition of the offered certificates.

 

See “Legal Investment” in the prospectus.

 

MONTHLY REPORTS AND ADDITIONAL INFORMATION

 

The master servicer will prepare, and the trustee will make available to certificateholders via the internet, the monthly report described under “Reports to Certificateholders” and “The Pooling and Servicing Agreement — Reports to Certificateholders” in the prospectus. In addition, the seller intends to make the information contained in the monthly report, together with certain additional information, available to any interested investor via the internet and other electronic means described under “Where You Can Find More Information” in the prospectus.

 

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RISK FACTORS

 

Prepayments May Adversely Affect Yield

 

The rate of distributions of principal and the yield to maturity on your certificates will be directly related to the rate of payments of principal on the applicable mortgage loans and the amount and timing of mortgagor defaults resulting in realized losses. Mortgagors are permitted to prepay the mortgage loans, in whole or in part, at any time without penalty. The rate of principal payments on the mortgage loans will be affected by, among other things:

 

    the amortization schedules of the mortgage loans;

 

    the rate of principal prepayments (including partial prepayments and those resulting from refinancing) thereon by mortgagors;

 

    liquidations of defaulted mortgage loans;

 

    repurchases of mortgage loans by the seller as a result of defective documentation or breaches of representations and warranties;

 

    optional purchases by the seller of defaulted mortgage loans; and

 

    the optional purchase by the seller of all of the mortgage loans in connection with the termination of the trust estate.

 

See “Prepayment and Yield Considerations,” “Pooling and Servicing Agreement — Optional Termination” and “Description of the Mortgage Loans — Mandatory Repurchase or Substitution of Mortgage Loans” herein and “The Pooling and Servicing Agreement — Assignment of Mortgage Loans to the Trustee,” “— Optional Purchases” and “— Termination; Optional Purchase of Mortgage Loans” in the prospectus.

 

The rate of payments (including prepayments) on pools of mortgage loans is influenced by a variety of economic, geographic, social and other factors.

 

    If prevailing rates for similar mortgage loans fall below the mortgage interest rates on the mortgage loans, the rate of prepayment would generally be expected to increase.

 

    Conversely, if interest rates on similar mortgage loans rise above the mortgage interest rates on the mortgage loans, the rate of prepayment would generally be expected to decrease.

 

The rate of prepayment on the mortgage loans may also be influenced by programs offered by mortgage originators (including Wells Fargo Bank, N.A.), on a general or targeted basis, to encourage refinancing. See “Prepayment and Yield Considerations — Refinancings” in the prospectus.

 

If you are purchasing offered certificates at a discount, particularly the Class A-PO Certificates, you should consider the risk that if principal payments on the mortgage loans, or, in the case of the Class A-PO Certificates, on the discount mortgage loans, occur at a rate slower than you expected, there will be a negative effect on the yield to maturity of your certificates.

 

If you are purchasing offered certificates at a premium, or if you are purchasing the Class A-3 Certificates, you should consider the risk that if principal payments on the mortgage loans occur at a rate faster than you expected, there will be a negative effect on the yield to maturity of your certificates. If you are purchasing the Class A-3 Certificates, you should consider the risk that a rapid rate of principal prepayments on the mortgage loans could result in your failure to recover your initial investment.

 

The particular sensitivities of the principal only and interest only certificates are separately displayed in the tables appearing in Appendix C.

 

See “Summary Information — Effects of Prepayments on Your Investment Expectations” and “Prepayment and Yield Considerations” herein.

 

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Increase in LIBOR May Adversely Affect Yield

 

If you are purchasing inverse floating rate certificates, you should consider the risk that a high rate of LIBOR will have a negative effect on the yield to maturity on your certificates. In particular, if you are purchasing the Class A-3 Certificates, which are also interest only certificates, you should consider the risk that high constant rates of LIBOR combined with high constant prepayment rates will result in a negative yield.

 

The particular sensitivity of the inverse floating rate certificates is separately displayed in the table in Appendix C.

 

See “Prepayment and Yield Considerations” herein.

 

Geographic Concentration May Increase Risk of Loss Because of Adverse Economic Conditions or Natural Disasters

 

The yield to maturity on your certificates may be affected by the geographic concentration of the mortgaged properties securing the mortgage loans. Certain regions of the United States from time to time will experience weaker regional economic conditions or might experience weaker housing markets or inflated housing prices. Any concentration of the mortgage loans in such a region may present risk considerations in addition to those generally present for similar mortgage-backed securities without such concentration. In addition, certain regions have experienced or may experience natural disasters, including earthquakes, fires, floods and hurricanes, which may adversely affect property values. Any deterioration in housing prices in the regions in which there is a significant concentration of mortgaged properties, as well as the other regions in which the mortgaged properties are located, and any deterioration of economic conditions in such regions which adversely affects the ability of borrowers to make payments on the mortgage loans may increase the likelihood of delinquencies and losses on the mortgage loans. Such delinquencies and losses, if they occur, may have an adverse effect on your certificates, especially if they are subordinated and particularly if they are Class B-3 Certificates. Also, any increase in the market value of properties located in the regions in which the mortgaged properties are located, would reduce the loan-to-value ratios and could, therefore, make alternative sources of financing available to the mortgagors at lower interest rates, which could result in an increased rate of prepayment of the mortgage loans. The concentrations of mortgaged properties by state and geographic areas are identified in Appendix A.

 

Subordination of Super Senior Support Certificates and Class B Certificates Increases Risk of Loss

 

If you purchase the super senior support certificates, you should consider the risk that on or after the date on which the aggregate principal balance of the Class B Certificates has been reduced to zero, the principal portion of realized losses allocated to the super senior certificates will be borne by your super senior support certificates (in addition to the principal portion of realized losses allocated to the super senior support certificates) and not by the super senior certificates so long as the principal balance of the super senior support certificates remains outstanding. See “Description of the Certificates — Subordination of Class B Certificates — Allocation of Losses” herein.

 

The rights of the holders of each class of Class B Certificates to receive distributions will be subordinated to such rights of the holders of the Class A Certificates and the holders of the lower-numbered classes of Class B Certificates, if any. In addition, realized losses will be allocated to the Class B Certificates in the reverse order in which they are entitled to distributions of principal before being allocated to the Class A Certificates. Accordingly, if you are purchasing Class B Certificates, you will be more likely to experience losses as a result of the occurrence of losses or interest shortfalls on the mortgage loans. See “Description of the Certificates — Subordination of Class B Certificates” herein.

 

Rights of Beneficial Owners May Be Limited By Book-Entry System for Certain Classes of Certificates

 

Transactions in the book-entry certificates generally can only be carried out through DTC, DTC participants and indirect DTC participants. If you are a beneficial owner of book-entry certificates, your ability to pledge your certificates, and the liquidity of your certificates in general, may be limited due to the fact that you will not have a physical certificate. In addition, you may experience delays in receiving payments on your

 

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certificates. See “Risk Factors — Book-Entry Certificates May Experience Decreased Liquidity and Payment Delay” and “Description of the Certificates — Book-Entry Form” in the prospectus.

 

There Is a Risk that Interest Payments on the Mortgage Loans May Be Insufficient to Pay Interest on Your Certificates

 

When a mortgage loan is prepaid in full, the mortgagor is charged interest only up to the date on which payment is made, rather than for an entire month. When a mortgagor makes a partial principal prepayment on a mortgage loan, the mortgagor is not charged interest on the amount prepaid for the month in which received. This may result in a shortfall in interest collections available for payment on the next distribution date. The master servicer is required to cover a portion of the shortfall in interest collections that are attributable to prepayments in full on the mortgage loans, but only up to the amount of compensating interest for such distribution date as described under “Description of the Certificates — Distributions to Certificateholders — Distributions of Interest” in the prospectus. To the extent these shortfalls from the mortgage loans are not covered by the amount of compensating interest, they will be allocated pro rata to the interest-bearing classes of certificates as described herein under “Description of the Certificates — Interest.”

 

The master servicer will not cover shortfalls in interest collections arising from partial prepayments. Any such shortfalls will be borne pro rata by the interest-bearing classes of certificates as described herein under “Description of the Certificates — Interest.”

 

Certificates May Not Be Appropriate For Certain Individual Investors

 

If you are an individual investor who does not have sufficient resources or expertise to evaluate the particular characteristics of the applicable class of offered certificates, the offered certificates may not be an appropriate investment for you. This may be the case because, among other things:

 

    if you purchase your certificates at a price other than par, your yield to maturity will be sensitive to the uncertain rate and timing of principal prepayments on the applicable mortgage loans;

 

    the rate of principal distributions on, and the weighted average life of, the offered certificates will be sensitive to the uncertain rate and timing of principal prepayments on the applicable mortgage loans and the priority of principal distributions among the classes of certificates, and, as such, the offered certificates may be inappropriate investments for you if you require a distribution of a particular amount of principal on a specific date or an otherwise predictable stream of distributions;

 

    you may not be able to reinvest amounts distributed in respect of principal on your certificates (which distributions in general, are expected to be greater during periods of relatively low interest rates) at a rate at least as high as the applicable pass-through rate or your expected yield;

 

    a secondary market for the offered certificates may not develop or provide you with liquidity of investment; and

 

    you must report interest as well as original issue discount, if any, on the accrual method of accounting, even if you are otherwise using the cash method of accounting.

 

If you are an individual investor considering the purchase of an offered certificate, you should also carefully consider the further risks and other special considerations discussed above and under the headings “Summary Information — Effects of Prepayments on Your Investment Expectations” and “Prepayment and Yield Considerations” herein and “Risk Factors — Rate of Prepayment on Mortgage Loans May Adversely Affect Average Lives and Yields on Certificates” in the prospectus.

 

There Are Risks Relating to Second Lien Mortgage Loans

 

With respect to certain of the mortgage loans, at the time of origination of the first lien mortgage loan, the originator or another lender may have originated a second lien mortgage loan. With respect to mortgage loans that have second lien mortgage loans encumbering the same mortgaged property, foreclosure frequency may be increased relative to mortgage loans that do not have second lien mortgage loans behind them because mort -

 

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gagors have less equity in the mortgaged property. Investors should also note that any mortgagor may obtain second lien mortgage loans at any time subsequent to the date of origination of their first lien mortgage loan from the originator or from any other lender. See the table with the heading “Original Combined Loan-To-Value Ratios” in Appendix A.

 

Residual Certificates May Have Adverse Tax Consequences

 

The residual certificates will be the sole “residual interest” in the applicable REMIC for federal income tax purposes. Holders of the residual certificates must report as ordinary income or loss the net income or the net loss of the respective REMIC whether or not any cash distributions are made to them. This allocation of income or loss may result in a zero or negative after-tax return. No cash distributions are expected to be made with respect to the residual certificates other than the distribution of their principal balances and interest on those balances. Due to their tax consequences, the residual certificates will be subject to restrictions on transfer that may affect their liquidity. In addition, the residual certificates may not be acquired by ERISA plans or similar governmental plans.

 

United States Military Operations May Increase Risk of Relief Act Shortfalls

 

As a result of military operations in Afghanistan and Iraq, the United States has placed a substantial number of armed forces reservists and members of the National Guard on active duty status. It is possible that the number of reservists and members of the National Guard placed on active duty status may remain at high levels for an extended time. To the extent that a member of the military, or a member of the armed forces reserves or National Guard who is called to active duty, is a mortgagor of a mortgage loan in the trust, the interest rate limitation of the Servicemembers Civil Relief Act and any comparable state law will apply. This may result in interest shortfalls on the mortgage loans, which will be borne by all interest-bearing classes of certificates. The seller has not taken any action to determine whether any of the mortgage loans would be affected by such interest rate limitation. See “Description of the Certificates — Interest” herein and “Certain Legal Aspects of the Mortgage Loans — Servicemembers Civil Relief Act and Similar Laws” in the prospectus.

 

See “Risk Factors” in the prospectus for a description of certain other risks and special considerations applicable to the offered certificates.

 

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FORWARD LOOKING STATEMENTS

 

This prospectus supplement and the accompanying prospectus contain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended. Such forward-looking statements, together with related qualifying language and assumptions, are found in the material, including each of the tables, set forth under “Risk Factors” and “Prepayment and Yield Considerations” and in the Appendices. Forward-looking statements are also found elsewhere in this prospectus supplement and the prospectus, and may be identified by, among other things, accompanying language including the words “expects,” “intends,” “anticipates,” “estimates” or analogous expressions, or by qualifying language or assumptions. Such statements involve known and unknown risks, uncertainties and other important factors that could cause the actual results or performance to differ materially from such forward-looking statements. Such risks, uncertainties and other factors include, among others, general economic and business conditions, competition, changes in political, social and economic conditions, regulatory initiatives and compliance with government regulations, customer preference and various other matters, many of which are beyond the Seller’s control. These forward-looking statements speak only as of the date of this prospectus supplement. The Seller expressly disclaims any obligation or undertaking to disseminate any updates or revisions to such forward-looking statements to reflect any change in the Seller’s expectations with regard thereto or any change in events, conditions or circumstances on which any forward-looking statement is based.

 

DESCRIPTION OF THE CERTIFICATES

 

General

 

The Wells Fargo Mortgage Backed Securities 2005-6 Trust (the “Trust”) will issue Mortgage Pass-Through Certificates, Series 2005-6 (the “Certificates”) on the Closing Date.

 

The Certificates will consist of nineteen classes of senior certificates (the “Class A Certificates”) and six classes of junior certificates (the “Class B Certificates” or “Subordinated Certificates”). The Class A Certificates (other than the Class A-PO Certificates) are referred to herein as the “Class A Non-PO Certificates.” Only the Class A Certificates and the Class B-1, Class B-2 and Class B-3 Certificates are being offered by this prospectus supplement and the accompanying prospectus (the “Offered Certificates”). The Offered Certificates will be issued in the forms and denominations set forth in the table on page S-4.

 

Distributions

 

On each Distribution Date, the Trustee or other paying agent will make monthly distributions of interest and in reduction of Principal Balance to holders of each Class of Certificates, to the extent of each Class’s entitlement thereto. Distributions will be made on each Distribution Date to holders of record (which, in the case of the Book-Entry Certificates, will be Cede, as nominee for DTC) at the close of business on (i) in the case of the Floating Rate and Inverse Floating Rate Certificates, the business day preceding such Distribution Date and (ii) for all other Certificates, the last business day of the preceding month (each, a “Record Date”).

 

The aggregate amount available for distribution to the Certificateholders on each Distribution Date will be the Pool Distribution Amount. The “Pool Distribution Amount” for a Distribution Date will be the sum of:

 

(i)  all previously undistributed payments or other receipts on account of principal (including principal prepayments and Liquidation Proceeds in respect of principal, if any), and interest on or in respect of the Mortgage Loans received by the Master Servicer, including without limitation any related insurance proceeds, any proceeds received as a result of a substitution of a Mortgage Loan and the proceeds of any purchase of a related Mortgage Loan for breach of a representation or warranty or the sale of a Mortgaged Property by a Servicer in connection with the liquidation of the related Mortgage Loan on or prior to the Remittance Date in the month in which such Distribution Date occurs;

 

(ii)  all Periodic Advances made; and

 

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(iii)  all other amounts (including any insurance proceeds and Compensating Interest) placed in the Certificate Account by any Servicer on or before the Remittance Date or by the Master Servicer on or before the Distribution Date pursuant to the Pooling and Servicing Agreement, but excluding the following:

 

(a)  amounts received as late payments of principal or interest as to which one or more unreimbursed Periodic Advances has been made;

 

(b)  those portions of each payment of interest on a particular Mortgage Loan which represent (i) the applicable Servicing Fee, (ii) the Master Servicing Fee and (iii) the Fixed Retained Yield, if any;

 

(c)  all amounts representing scheduled payments of principal and interest due after the Due Date occurring in the month in which such Distribution Date occurs;

 

(d)  all Unscheduled Principal Receipts that were received by the Servicers after the Unscheduled Principal Receipt Period relating to the Distribution Date for the applicable type of Unscheduled Principal Receipt, and all related payments of interest on such amounts;

 

(e)   all repurchase proceeds with respect to the Mortgage Loans repurchased by the Seller on or following the Determination Date in the month in which such Distribution Date occurs and the excess of the unpaid principal balance of any Mortgage Loan for which a Mortgage Loan was substituted over the unpaid principal balance of such substituted Mortgage Loan on or following the Determination Date in the month in which such Distribution Date occurs;

 

(f)  to the extent permitted by the Pooling and Servicing Agreement, that portion of Liquidation Proceeds or insurance proceeds with respect to a Mortgage Loan or proceeds of any Mortgaged Property that becomes owned by the Trust Estate which represents (i) any unpaid Servicing Fee or Master Servicing Fee to which such Servicer or the Master Servicer, respectively, is entitled, (ii) any unpaid Fixed Retained Yield or (iii) any unreimbursed Periodic Advances;

 

(g)  all amounts representing certain expenses reimbursable to the Master Servicer or any Servicer and other amounts permitted to be retained by the Master Servicer or any Servicer or withdrawn by the Master Servicer from the Certificate Account pursuant to the Pooling and Servicing Agreement;

 

(h)  reinvestment earnings on payments received in respect of the Mortgage Loans or on other amounts on deposit in the Certificate Account;

 

(i)  Liquidation Profits;

 

(j)  Month End Interest; and

 

(k)  amounts reimbursable to a Servicer for PMI Advances.

 

See “Description of the Certificates — Distributions to Certificateholders” in the prospectus.

 

Each Servicer is required to deposit in the Certificate Account by the Remittance Date certain amounts in respect of the Mortgage Loans as set forth in the prospectus under “Servicing of the Mortgage Loans — Payments on Mortgage Loans.” The Master Servicer is required to remit to the Trustee on or before the Distribution Date any payments constituting part of the Pool Distribution Amount that are received by the Master Servicer or are required to be made with the Master Servicer’s own funds. Except as described below under “— Periodic Advances,” neither the Master Servicer nor the Trustee is obligated to remit any amounts which a Servicer was required but failed to deposit in the Certificate Account.

 

On each Distribution Date, the Pool Distribution Amount will be allocated among the Classes of Certificates and distributed to the holders thereof of record as of the related Record Date as follows (the “Pool Distribution Amount Allocation”):

 

first, to the Classes of Class A Certificates, pro rata, based on their respective Interest Accrual Amounts, in an aggregate amount up to the sum of their Interest Accrual Amounts with respect to such Distribution Date;

 

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second, to the Classes of Class A Certificates, pro rata, based on their respective unpaid Interest Shortfall Amounts, in an aggregate amount up to the sum of their unpaid Interest Shortfall Amounts;

 

third, concurrently, pro rata, to (A) the Class A Non-PO Certificates, based on and up to the Class A Non-PO Optimal Principal Amount, and (B) the Class A-PO Certificates, based on and up to the Class A-PO Optimal Principal Amount;

 

fourth, to the Class A-PO Certificates in an amount up to the Class A-PO Deferred Amount, but only from amounts otherwise distributable (without regard to this priority) to the Classes of Class B Certificates in reverse order of priority from their respective Class B Principal Distribution Amounts; and

 

fifth, sequentially to the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6 Certificates so that each such Class shall receive (A) first, an amount up to its Interest Accrual Amount with respect to such Distribution Date, (B) then, an amount up to its previously unpaid Interest Shortfall Amounts and (C) finally, an amount up to its Class B Optimal Principal Amount before any Classes of Class B Certificates with higher numerical designations receive any payments in respect of interest or principal; provided, however, that the amount distributable pursuant to this priority fifth clause (C) to any Classes of Class B Certificates will be reduced by the amount, if any, otherwise distributable as principal hereunder used to pay the Class A-PO Deferred Amount in accordance with priority fourth above.

 

The undivided percentage interest (the “Percentage Interest”) represented by any Offered Certificate of a Class will be equal to the percentage obtained by dividing the initial principal balance (or initial notional amount in the case of the Interest Only Certificates) of such Certificate by the initial Principal Balance (or initial Notional Amount) of such Class.

 

Interest

 

Interest will accrue on each interest-bearing Class of Certificates (other than the Floating Rate and Inverse Floating Rate Certificates) during each one-month period ending on the last day of the month preceding the month in which each Distribution Date occurs (each, a “Regular Interest Accrual Period”). The initial Regular Interest Accrual Period will be deemed to have commenced on the Cut-Off Date. Interest which accrues on such Classes of Certificates will be calculated on the assumption that distributions in reduction of the Principal Balances thereof on a Distribution Date are made on the first day of the month of each Distribution Date. Interest will accrue on the Floating Rate and Inverse Floating Rate Certificates during each one-month period commencing on the 25th day of the month preceding the month in which such Distribution Date occurs and ending on the 24th day of the month in which such Distribution Date occurs (each, a “LIBOR Based Interest Accrual Period” and, together with each Regular Interest Accrual Period, an “Interest Accrual Period”). The initial LIBOR Based Interest Accrual Period will be deemed to have commenced on July 25, 2005.

 

The amount of interest that will accrue on each interest-bearing Class of Certificates during each Interest Accrual Period, after taking into account any Non-Supported Interest Shortfalls, Relief Act Shortfalls and the interest portion of certain losses allocated to such Class, is referred to herein as the “Interest Accrual Amount” for such Class.

 

The Interest Accrual Amount for each interest-bearing Class of Certificates equals (a) the product of (i)  1/12th of the Pass-Through Rate for such Class and (ii) the outstanding Principal Balance or Notional Amount of such Class minus (b) the sum of (i) any Non-Supported Interest Shortfall allocable to such Class, (ii) any Relief Act Shortfall allocable to such Class and (iii) in the case of the Class A Certificates, the interest portion of any Realized Losses allocable to such Class on or after the Subordination Depletion Date. The pass-through rate (the “Pass-Through Rate”) for each Class of Certificates is the percentage set forth or described in the table on page S-4 of this prospectus supplement. Interest on each Class of Certificates will be calculated on the basis of a 360-day year consisting of twelve 30-day months. The Pass-Through Rates on the Floating Rate and Inverse Floating Rate Certificates will be determined as described in the prospectus under “Description of the Certificates — Pass-Through Rates Based on LIBOR” and may be obtained by telephoning the Trustee at 704-374-2117 during normal working hours on any business day.

 

No interest will accrue on the Principal Only Certificates.

 

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The Class A-3 Certificates are Interest Only Certificates and have no Principal Balance. The “Notional Amount” with respect to each Distribution Date will be equal to the Principal Balance of the Class A-2 Certificates. Accordingly, any distributions in respect of principal made to, or losses in respect of principal allocated in reduction of, the Principal Balance of the Class A-2 Certificates will result in a related reduction in the Notional Amount of the Class A-3 Certificates. The Notional Amount of the Class A-3 Certificates with respect to the first Distribution Date will be approximately $62,309,142.

 

Subject to the adjustment described below, the “Principal Balance” of a Class of Certificates as of any date will be the principal balance of such Class on the date of initial issuance of the Certificates, less all amounts previously distributed on such Class in reduction of the principal balance of such Class on prior Distribution Dates including, in the case of the Class A-PO Certificates, distributions in respect of the Class A-PO Deferred Amount.

 

After distributions of principal have been made on a Distribution Date, the Principal Balances of the Certificates will be adjusted so that they equal the Adjusted Pool Amount for such Distribution Date. Such adjustment could result in an increase or decrease in the Principal Balance of a Class. Prior to the Subordination Depletion Date, the most subordinate Class of Class B Certificates then outstanding will be subject to the adjustment. After the Subordination Depletion Date, the Principal Balance of the Class A-PO Certificates will be adjusted to equal the Adjusted Pool Amount (PO Portion) and the Principal Balances of the Class A Non-PO Certificates will be adjusted to equal the Adjusted Pool Amount (Non-PO Portion). Any adjustment to the Class A Non-PO Certificates will be allocated among the Class A Non-PO Certificates, pro rata, based on their Principal Balances.

 

Notwithstanding the foregoing, the Principal Balance of a Class may not be increased such that it exceeds the initial Principal Balance of such Class less all amounts previously distributed on such Class in reduction of the Principal Balance thereof.

 

A Recovery with respect to a loss on a Mortgage Loan will be treated as a principal prepayment and will result in a payment of principal to one or more corresponding then-outstanding Classes of Certificates. A Class will cease to be entitled to any distribution after its Principal Balance is reduced to zero for any reason. It is possible that such payment will not be made to the Class that originally bore the loss. Further, even though a Class may have previously had its Principal Balance reduced as a result of a loss for which there is later a Recovery, that Class will not be entitled to any interest on the amount of such reduction. Because a Recovery results in a payment of principal to certain Classes without a corresponding decrease in the related Adjusted Pool Amount, the Principal Balance of the most subordinate corresponding Class then outstanding (which may not be the Class that originally bore the loss if such Class is no longer outstanding) may be increased or such Principal Balance may be decreased by a lesser amount than would otherwise be the case based on any Realized Losses allocable to such Class.

 

The “Class A Principal Balance” as of any date will be equal to the sum of the Principal Balances of the Classes of Class A Certificates as of such date.

 

The “Class A Non-PO Principal Balance” as of any date will be equal to the sum of the Principal Balances of the Classes of Class A Non-PO Certificates as of such date.

 

The “Class B Principal Balance” as of any date will be equal to the sum of the Principal Balances of the Classes of Class B Certificates as of such date.

 

The “Aggregate Principal Balance” as of any date will be equal to the Class A Principal Balance and the Class B Principal Balance as of such date.

 

The “Aggregate Non-PO Principal Balance” as of any date will be equal to the Class A Non-PO Principal Balance and the Class B Principal Balance as of such date.

 

With respect to any Distribution Date, the “Adjusted Pool Amount” will equal the aggregate unpaid principal balance of the Mortgage Loans as of the Cut-Off Date minus the sum of (i) all amounts in respect of principal received in respect of such Mortgage Loans (including amounts received as Periodic Advances,

 

S-19


principal prepayments and Liquidation Proceeds in respect of principal) and distributed to holders of the Certificates on such Distribution Date and all prior Distribution Dates, (ii) the principal portion of all Liquidated Loan Losses incurred on such Mortgage Loans for which the Liquidation Proceeds were received from the Cut-Off Date through the end of the applicable Unscheduled Principal Receipt Period for such Distribution Date and (iii) the principal portion of all Bankruptcy Losses (other than Debt Service Reductions) incurred on such Mortgage Loans from the Cut-Off Date through the end of the period which corresponds to the applicable Unscheduled Principal Receipt Period for principal prepayments in full for such Distribution Date.

 

With respect to any Distribution Date, the “Adjusted Pool Amount (PO Portion)” will equal the sum as to each Mortgage Loan outstanding as of the Cut-Off Date of the product of (A) the PO Fraction for such Mortgage Loan and (B) the principal balance of such Mortgage Loan as of the Cut-Off Date less the sum of (i) all amounts in respect of principal received in respect of such Mortgage Loan (including amounts received as Periodic Advances, principal prepayments and Liquidation Proceeds in respect of principal) and distributed to holders of the Certificates on such Distribution Date and all prior Distribution Dates, (ii) the principal portion of any Liquidated Loan Losses incurred on such Mortgage Loan for which the Liquidation Proceeds were received from the Cut-Off Date through the end of the applicable Unscheduled Principal Receipt Period for such Distribution Date and (iii) the principal portion of all Bankruptcy Losses (other than Debt Service Reductions) incurred on such Mortgage Loan from the Cut-Off Date through the end of the period which corresponds to the applicable Unscheduled Principal Receipt Period for principal prepayments in full for such Distribution Date.

 

With respect to any Distribution Date, the “Adjusted Pool Amount (Non-PO Portion)” will equal the Adjusted Pool Amount less the Adjusted Pool Amount (PO Portion).

 

The “Net Mortgage Interest Rate” on each Mortgage Loan will be equal to the Mortgage Interest Rate on such Mortgage Loan as stated in the related mortgage note minus the sum of (i) the applicable Servicing Fee Rate, (ii) the Master Servicing Fee Rate and (iii) the Fixed Retained Yield rate, if any, for such Mortgage Loan. See “Servicing of the Mortgage Loans — Fixed Retained Yield; Servicing Compensation and Payment of Expenses” herein.

 

As to any Distribution Date, Prepayment Interest Shortfalls, to the extent that they exceed Compensating Interest, and Curtailment Interest Shortfalls are referred to herein as “Non-Supported Interest Shortfalls” and will be allocated to (i) the Class A Certificates according to the percentage obtained by dividing the sum of the Class A Non-PO Principal Balances by the Aggregate Non-PO Principal Balance and (ii) the Class B Certificates according to the percentage obtained by dividing the Class B Principal Balance by the Aggregate Non-PO Principal Balance. Such allocation of Non-Supported Interest Shortfalls will reduce the amount of interest due to be distributed to holders of Certificates then entitled to distributions in respect of interest. Any such reduction in respect of interest allocated to the Class A Certificates will be allocated among the Classes of Class A Certificates, pro rata, on the basis of their respective Interest Accrual Amounts, without regard to any reduction pursuant to this paragraph, for such Distribution Date. Any such reduction in respect of interest allocated to the Class B Certificates will be allocated among such Classes of Class B Certificates, pro rata, on the basis of their respective Interest Accrual Amounts, without regard to any reduction pursuant to this paragraph, for such Distribution Date.

 

Any interest shortfalls arising from Unscheduled Principal Receipts in full that are not Prepayments in Full and any other interest shortfalls arising from Unscheduled Principal Receipts, other than Curtailments, will be borne first by the Classes of Class B Certificates in reverse numerical order and then pro rata by the Class A Certificates, based on interest accrued. See “— Subordination of Class B Certificates” herein. After the Subordination Depletion Date, all interest shortfalls arising from Unscheduled Principal Receipts, other than Prepayment Interest Shortfalls covered by Compensating Interest, will be treated as Non-Supported Interest Shortfalls and allocated in reduction of interest accrued on the Class A Certificates.

 

See “Description of the Certificates — Distributions to Certificateholders — Distributions of Interest” in the prospectus for a discussion of Prepayment Interest Shortfalls, Curtailment Interest Shortfalls and Compensating Interest.

 

S-20


Any interest shortfalls arising as a result of the reduction in the amount of monthly interest payments on any Mortgage Loans as a result of the application of the Servicemembers Civil Relief Act or comparable state legislation (“Relief Act Shortfalls”) will be allocated among the Class A Certificates and Class B Certificates in the same manner as Non-Supported Interest Shortfalls.

 

Allocations of the interest portion of Realized Losses first to the Classes of Class B Certificates in reverse numerical order will result from the priority of distributions first to the holders of the Class A Certificates and then to the holders of the Classes of Class B Certificates in numerical order of the Pool Distribution Amount as described above under “— Distributions.”

 

On each Distribution Date on which the amount available to be distributed in respect of interest on a Class of Certificates pursuant to the Pool Distribution Amount Allocation is less than such Class’s Interest Accrual Amount, the amount of any such deficiency (as to each Class, an “Interest Shortfall Amount”) will be added to the amount of interest distributable to such Class on subsequent Distribution Dates, but only for so long as such Class’s Principal Balance or Notional Amount is greater than zero. No interest will accrue on any Interest Shortfall Amounts.

 

Principal (Including Prepayments)

 

The principal balance of a Certificate (other than an Interest Only Certificate) at any time is equal to the product of the related Class’s Principal Balance and such Certificate’s Percentage Interest, and represents the maximum specified dollar amount (exclusive of (i) any interest that may accrue on such Certificate and (ii) in the case of the Residual Certificates, any additional amounts to which the holders of such Certificates may be entitled as described below under “—Additional Rights of the Residual Certificateholders”) to which the holders thereof are entitled from the cash flow on the Mortgage Loans at such time and will decline to the extent of distributions in reduction of the principal balance of, and allocations of losses to, such Certificate. The approximate initial Principal Balance of each Class of Certificates is set forth in the table on page S-4 of this prospectus supplement. The Interest Only Certificates have no Principal Balance.

 

Calculation of Amount to be Distributed on the Certificates

 

Distributions in reduction of the Principal Balance of the Class A Non-PO Certificates will be made on each Distribution Date pursuant to the Pool Distribution Amount Allocation, in an aggregate amount equal to the Class A Non-PO Principal Distribution Amount with respect to such Distribution Date.

 

The “Class A Non-PO Principal Distribution Amount” with respect to any Distribution Date will be equal to the amount distributed pursuant to priority third clause (A) of the Pool Distribution Amount Allocation, in an aggregate amount up to the Class A Non-PO Optimal Principal Amount.

 

Distributions in reduction of the Principal Balance of the Class A-PO Certificates will be made on each Distribution Date in an aggregate amount equal to the Class A-PO Distribution Amount. The “Class A-PO Distribution Amount” with respect to any Distribution Date will be equal to the sum of (i) the amount distributed pursuant to priority third clause (B) of the Pool Distribution Amount Allocation, in an aggregate amount up to the Class A-PO Optimal Principal Amount and (ii) the amount distributed pursuant to priority fourth of the Pool Distribution Amount Allocation, in an aggregate amount up to the Class A-PO Deferred Amount.

 

Distributions in reduction of the Principal Balances of the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6 Certificates will be made on each Distribution Date first to the Class B-1 Certificates, second to the Class B-2 Certificates, third to the Class B-3 Certificates, fourth to the Class B-4 Certificates, fifth to the Class B-5 Certificates and then to the Class B-6 Certificates, pursuant to priority fifth clause (C) of the Pool Distribution Amount Allocation, in an aggregate amount with respect to each such Class (each, a “Class B Principal Distribution Amount”) up to the Class B Optimal Principal Amount for such Class.

 

S-21


The “Class A Non-PO Optimal Principal Amount,” the “Class B Optimal Principal Amount” for each Class of Class B Certificates and the “Class A-PO Optimal Principal Amount” with respect to each Distribution Date will be an amount equal to the sum of:

 

(I) for each outstanding Mortgage Loan (including each defaulted Mortgage Loan with respect to which the related Mortgaged Property has been acquired by the Trust Estate) of the product of:

 

(A)  (i)  in the case of the Class A Non-PO Optimal Principal Amount and each Class B Optimal Principal Amount, the Non-PO Fraction for such Mortgage Loan and (ii) in the case of the Class A-PO Optimal Principal Amount, the PO Fraction for such Mortgage Loan; and

 

(B) the sum of:

 

(i)  the applicable Class Percentage of the scheduled payment of principal due on such Mortgage Loan on the first day of the month in which the Distribution Date occurs;

 

(ii)  the applicable Class Prepayment Percentage of all Unscheduled Principal Receipts (other than Recoveries) that were received by a Servicer with respect to such Mortgage Loan during the Unscheduled Principal Receipt Period relating to such Distribution Date for each applicable type of Unscheduled Principal Receipt;

 

(iii)  the applicable Class Prepayment Percentage of the Scheduled Principal Balance of such Mortgage Loan which, during the one month period ending on the day preceding the Determination Date for such Distribution Date, was repurchased by the Seller, as described under the heading “Description of the Mortgage Loans — Mandatory Repurchase or Substitution of Mortgage Loans” herein; and

 

(iv)  the applicable Class Percentage of the excess of the unpaid principal balance of any Mortgage Loan for which a Mortgage Loan was substituted during the one month period ending on the day preceding the Determination Date for such Distribution Date over the unpaid principal balance of such substituted Mortgage Loan, less the amount allocable to the principal portion of any unreimbursed advances in respect of such Mortgage Loan. See “The Pooling and Servicing Agreement — Assignment of Mortgage Loans to the Trustee” and “— Optional Substitutions” in the prospectus; and

 

(II) in the case of the Class A-PO Certificates, the PO Fraction of each Recovery in an aggregate amount not exceeding the Class A-PO Deferred Amount and in the case of the Class A Non-PO Certificates and each Class of Class B Certificates, the applicable Class Prepayment Percentage of the Recoveries not allocated to the Class A-PO Certificates.

 

The “Class Percentage” will equal (i) the Class A Percentage, in the case of the calculation of the Class A Non-PO Optimal Principal Amount; (ii) the applicable Class B Percentage, in the case of the calculation of the Class B Optimal Principal Amount for a Class of Class B Certificates; and (iii) 100% in the case of the calculation of the Class A-PO Optimal Principal Amount.

 

The “Class Prepayment Percentage” will equal (i) the Class A Prepayment Percentage, in the case of the calculation of the Class A Non-PO Optimal Principal Amount; (ii) the applicable Class B Prepayment Percentage, in the case of the calculation of the Class B Optimal Principal Amount for a Class of Class B Certificates; and (iii) 100% in the case of the calculation of the Class A-PO Optimal Principal Amount.

 

The “Class A-PO Deferred Amount” for any Distribution Date prior to the Subordination Depletion Date will equal the difference between:

 

  (A)   the sum of:

 

  (i) the amount by which the Class A-PO Optimal Principal Amount for all prior Distribution Dates exceeds the amounts distributed to the Class A-PO Certificates on such prior Distribution Dates pursuant to priority third clause (B) of the Pool Distribution Amount Allocation; and

 

S-22


  (ii) the sum of the product for each Discount Mortgage Loan which became a Liquidated Loan at any time on or prior to the last day of the applicable Unscheduled Principal Receipt Period for the current Distribution Date of:

 

  (a) the PO Fraction for such Discount Mortgage Loan; and

 

  (b) an amount equal to the principal portion of Realized Losses (other than Bankruptcy Losses due to Debt Service Reductions) incurred with respect to such Discount Mortgage Loan; and

 

  (B)   the sum of:

 

  (i) the sum of the Class A-PO Certificates’ portion of Recoveries for such Distribution Date and prior Distribution Dates; and

 

  (ii) amounts distributed on the Class A-PO Certificates on prior Distribution Dates pursuant to priority fourth of the Pool Distribution Amount Allocation.

 

On or after the Subordination Depletion Date, the Class A-PO Deferred Amount will be zero. No interest will accrue on any Class A-PO Deferred Amount.

 

The principal distribution to the holders of a Class of Class B Certificates will be reduced on any Distribution Date on which (i) the Principal Balance of such Class of Class B Certificates would be reduced to zero as a result of principal distributions or allocation of losses and (ii) the Principal Balance of any Class A Certificates or any Class of Class B Certificates with a lower numerical designation, would be subject to reduction as a result of allocation of Realized Losses. The amount of any such reduction in the principal distributed to the holders of such Class of Class B Certificates will instead be distributed pro rata to the holders of any Class (but not the Class A-PO Certificates) senior in priority to receive distributions in accordance with the Pool Distribution Amount Allocation.

 

The “Non-PO Fraction” with respect to any Mortgage Loan will equal the Net Mortgage Interest Rate for such Mortgage Loan divided by 5.500%, but will not be greater than 1.0.

 

The “Pool Balance (Non-PO Portion)” for any Distribution Date is the sum for each outstanding Mortgage Loan of the product of (i) the Non-PO Fraction for such Mortgage Loan and (ii) the Scheduled Principal Balance of such Mortgage Loan as of such Distribution Date.

 

The “PO Fraction” with respect to any Mortgage Loan with a Net Mortgage Interest Rate less than 5.500% (a “Discount Mortgage Loan”), will equal the difference between 1.0 and the Non-PO Fraction for such Mortgage Loan. The PO Fraction with respect to each Mortgage Loan that is not a Discount Mortgage Loan (a “Premium Mortgage Loan”) will be zero.

 

The “Pool Balance (PO Portion)” for any Distribution Date is the sum for each outstanding Mortgage Loan of the product of (i) the PO Fraction for such Mortgage Loan and (ii) the Scheduled Principal Balance of such Mortgage Loan as of such Distribution Date.

 

The “Class A Percentage” for any Distribution Date occurring on or prior to the Subordination Depletion Date is the percentage, which in no event will exceed 100%, obtained by dividing the Class A Non-PO Principal Balance as of such date (before taking into account distributions in reduction of Principal Balance on such date) by the Pool Balance (Non-PO Portion). The Class A Percentage for the first Distribution Date will be approximately 97.04%. The Class A Percentage for any Distribution Date occurring after the Subordination Depletion Date will be 100%.

 

The “Class A Prepayment Percentage” for any Distribution Date prior to the Distribution Date in August 2010 will be 100% and thereafter will be the Class A Percentage for such Distribution Date plus the percentage of the Subordinated Percentage indicated in the table below; provided, however, that if on any Distribution Date the Class A Percentage exceeds the initial Class A Percentage, the Class A Prepayment Percentage for such Distribution Date will equal 100%. See “Prepayment and Yield Considerations” herein and in the prospectus. Notwithstanding the foregoing, no reduction of the level of the Class A Prepayment Percentage will occur on any Distribution Date if the Delinquency and Loss Tests are not met.

 

S-23


The “Delinquency and Loss Tests” with respect to any Distribution Date are met if (i) as of such Distribution Date as to which any reduction in the Class A Prepayment Percentage applies, the average outstanding principal balance on such Distribution Date and for the preceding five Distribution Dates of the Mortgage Loans that were delinquent 60 days or more (including for this purpose any Mortgage Loans in foreclosure and Mortgage Loans with respect to which the related Mortgaged Property has been acquired by the Trust Estate) is less than 50% of the Class B Principal Balance and (ii) for any Distribution Date, cumulative Realized Losses with respect to the Mortgage Loans are less than or equal to the percentages of the principal balance of the Class B Certificates as of the Cut-Off Date (the “Original Class B Principal Balance”) indicated in the table below.

 

Distribution Date Occurring In


   Percentage of
Subordinated
Percentage


  Percentage of
Original Class B
Principal Balance


August 2010 through July 2011    70%   30%
August 2011 through July 2012    60%   35%
August 2012 through July 2013    40%   40%
August 2013 through July 2014    20%   45%
August 2014 and thereafter    0%   50%

 

If on any Distribution Date the allocation to the Class A Non-PO Certificates of full and partial principal prepayments and other amounts in the percentage required as described above would reduce the outstanding Class A Non-PO Principal Balance below zero, the Class A Prepayment Percentage for such Distribution Date will be limited to the percentage necessary to reduce the Class A Non-PO Principal Balance to zero.

 

This disproportionate allocation of certain unscheduled payments in respect of principal will have the effect of accelerating the amortization of the Class A Non-PO Certificates while, in the absence of Realized Losses, increasing the interest in the principal balance of the Mortgage Loans evidenced by the Class B Certificates. Increasing the respective interest of the Class B Certificates relative to that of the Class A Non-PO Certificates is intended to preserve the availability of the subordination provided by the Class B Certificates. See “— Subordination of Class B Certificates” below.

 

The “Subordinated Percentage” for any Distribution Date will be calculated as the difference between 100% and the Class A Percentage for such date. The “Subordinated Prepayment Percentage” for any Distribution Date will be calculated as the difference between 100% and the Class A Prepayment Percentage for such date.

 

The “Class B Percentage” and “Class B Prepayment Percentage” for a Class of Class B Certificates and any Distribution Date will equal the portion of the Subordinated Percentage and Subordinated Prepayment Percentage, as the case may be, represented by the fraction the numerator of which is the Principal Balance for such Class of Class B Certificates and the denominator of which is the sum of the Principal Balances of the Classes of Class B Certificates entitled to principal distributions for such Distribution Date as described below. In the event that a Class of Class B Certificates is not entitled to principal distributions for such Distribution Date, the Class B Percentage and Class B Prepayment Percentage for such Class will both be 0% with respect to such Distribution Date.

 

In the event that on any Distribution Date the Current Fractional Interest of any Class of Class B Certificates is less than the Original Fractional Interest of such Class, then the Classes of Certificates that are subordinate to such Class will not be entitled to distributions in respect of principal and the Principal Balances of such subordinated Classes will not be used to determine the Class B Percentages and Class B Prepayment Percentages of the Classes of Class B Certificates that are senior to such subordinated Classes for such Distribution Date. The Class B-6 Certificates will not have original or current fractional interests which are required to be maintained as described above.

 

The “Original Fractional Interest” of a Class of Class B Certificates is the percentage obtained by dividing the sum of the initial Principal Balances of the Classes of Certificates that are subordinate to such Class by the initial Aggregate Non-PO Principal Balance. The “Current Fractional Interest” of a Class of

 

S-24


Class B Certificates for any Distribution Date is the percentage obtained by dividing the sum of the Principal Balances of the Classes of Certificates that are subordinate to such Class by the Aggregate Non-PO Principal Balance.

 

The following table sets forth the expected approximate Original Fractional Interest for each Class of Class B Certificates on the date of issuance of the Certificates.

 

Class


   Approximate
Original
Fractional
Interest


B-1

   1.36%

B-2

   0.80%

B-3

   0.50%

B-4

   0.30%

B-5

   0.15%

B-6

   N/A

 

Allocation of Amount to be Distributed on the Class A Non-PO Certificates

 

On each Distribution Date occurring prior to the Subordination Depletion Date, the Class A Non-PO Distribution Amount will be allocated among and distributed in reduction of the Principal Balances of the Class A Non-PO Certificates, sequentially, as follows:

 

first, concurrently, to the Class A-R and Class A-LR Certificates, pro rata;

 

second, concurrently, to the Class A-4 and Class A-13 Certificates, pro rata, up to the Priority Amount for such Distribution Date;

 

third, concurrently, to the Class A-1 and Class A-2 Certificates, pro rata;

 

fourth, concurrently, as follows:

 

(i) approximately 17.8465199286%, sequentially, as follows:

 

(I) concurrently, to the Class A-5 and Class A-6 Certificates, pro rata;

 

(II) sequentially, to the Class A-7 and Class A-8 Certificates;

 

(III) concurrently, to the Class A-9 and Class A-10 Certificates, pro rata; and

 

(IV) to the Class A-11 Certificates;

 

(ii) approximately 50.8090422368% to the Class A-12 Certificates; and

 

(iii) approximately 31.3444378346%, sequentially, as follows:

 

(I) concurrently, to the Class A-14 and Class A-15 Certificates, pro rata; and

 

(II) to the Class A-16 Certificates; and

 

fifth, concurrently, to the Class A-4 and Class A-13 Certificates, pro rata.

 

The “Priority Amount” for any Distribution Date means the sum of (A) the product of (1) the Priority Percentage, (2) the Shift Percentage and (3) the Scheduled Principal Amount and (B) the product of (1) the Priority Percentage, (2) the Prepayment Shift Percentage and (3) the Unscheduled Principal Amount.

 

The “Priority Percentage” means the sum of the Principal Balances of the Class A-4 and Class A-13 Certificates divided by the Aggregate Non-PO Principal Balance.

 

The “Scheduled Principal Amount” means the sum for each outstanding Mortgage Loan (including each defaulted Mortgage Loan with respect to which the related Mortgaged Property has been acquired by the Trust Estate) of the product of (A) the Non-PO Fraction for such Mortgage Loan and (B) the sum of the amounts for

 

S-25


such Mortgage Loan described in clauses B(i) and B(iv) of the definition of “Class A Non-PO Optimal Principal Amount” on page S-22, but without such amounts being multiplied by the applicable Class A Percentage.

 

The “Unscheduled Principal Amount” means the sum for each outstanding Mortgage Loan (including each defaulted Mortgage Loan with respect to which the related Mortgaged Property has been acquired by the Trust Estate) of the product of (A) the Non-PO Fraction for such Mortgage Loan and (B) the sum of the amounts for such Mortgage Loan described in clauses B(ii) and B(iii) of the definition of “Class A Non-PO Optimal Principal Amount” on page S-22, but without such amount being multiplied by the applicable Class A Prepayment Percentage.

 

The “Shift Percentage” for any Distribution Date will be the percentage indicated below:

 

Distribution Date Occurring In


   Shift Percentage

 

August 2005 through July 2010

   0 %

August 2010 and thereafter

   100 %

 

The “Prepayment Shift Percentage” for any Distribution Date will be the percentage indicated below:

 

Distribution Date Occurring In


   Prepayment
Shift Percentage


 

August 2005 through July 2010

   0 %

August 2010 through July 2011

   30 %

August 2011 through July 2012

   40 %

August 2012 through July 2013

   60 %

August 2013 through July 2014

   80 %

August 2014 and thereafter

   100 %

 

Notwithstanding the foregoing, on each Distribution Date occurring on or after the Subordination Depletion Date, the Class A Non-PO Principal Distribution Amount will be distributed among the Classes of Class A Non-PO Certificates pro rata in accordance with their respective outstanding Principal Balances without regard to either the proportions or the priorities set forth above.

 

Any amounts distributed on a Distribution Date to the holders of any Class in reduction of Principal Balance will be allocated among the holders of such Class pro rata in accordance with their respective Percentage Interests.

 

Additional Rights of the Residual Certificateholders

 

The Residual Certificates will remain outstanding for as long as the Trust Estate shall exist, whether or not such Class is receiving current distributions of principal or interest. The holders of the Residual Certificates will be entitled to receive the proceeds of the remaining assets of the applicable REMIC, if any, on the final Distribution Date for the Certificates, after distributions in respect of any accrued but unpaid interest on the Certificates and after distributions in reduction of Principal Balance have reduced the Principal Balances of the Certificates to zero. It is not anticipated that there will be any material assets remaining in the Trust Estate on the final Distribution Date following the distributions of interest and in reduction of Principal Balance made on the Certificates on such date.

 

In addition, the Class A-LR Certificateholders will be entitled on each Distribution Date to receive any Pool Distribution Amount remaining after all distributions pursuant to the Pool Distribution Amount Allocation have been made. It is not anticipated that there will be any material undistributed portion of the Pool Distribution Amount.

 

Restrictions on Transfer of the Residual Certificates

 

The Residual Certificates will be subject to restrictions on transfer and the Residual Certificates will contain a legend describing such restrictions.

 

S-26


Tax-related restrictions on transfer are discussed under “Certain Federal Income Tax Consequences — Federal Income Tax Consequences for REMIC Certificates — Taxation of Residual Certificates — Tax-Related Restrictions on Transfer of Residual Certificates” in the prospectus.

 

In addition, the Residual Certificates may not be purchased by or transferred to any person which is an employee benefit plan or other retirement plan or arrangement subject to Title I of the Employee Retirement Income Security Act of 1974, as amended (“ERISA”) or Section 4975 of the Internal Revenue Code of 1986, as amended (the “Code”) (any such plan or arrangement, an “ERISA Plan”) or which is a governmental plan, as defined in Section 3(32) of ERISA, subject to any federal, state or local law (“Similar Law”) which is, to a material extent, similar to the foregoing provisions of ERISA or the Code (collectively, with an ERISA Plan, a “Plan”), or any person acting on behalf of or investing the assets of such Plan. See “ERISA Considerations” herein and in the prospectus.

 

Periodic Advances

 

Generally, each Servicer is required to advance delinquent payments of principal and interest on any Mortgage Loan in the Trust Estate to the extent that such Servicer believes that such amounts will be recoverable by it from liquidation proceeds or other recoveries in respect of the related Mortgage Loan (each, a “Periodic Advance”). Upon a Servicer’s failure to make a Periodic Advance required by the Underlying Servicing Agreement, the Trustee, if such Servicer is Wells Fargo Bank, or the Master Servicer, if such Servicer is not Wells Fargo Bank, will be required to make such Periodic Advance.

 

Amounts advanced are reimbursable to the Servicer, the Master Servicer or the Trustee, as applicable, from amounts received on the related Mortgage Loan or from other funds in the Trust Estate if it is determined that the amounts advanced will not be recoverable from amounts received on such Mortgage Loan. See “Servicing of the Mortgage Loans — Periodic Advances and Limitations Thereon” in the prospectus.

 

Subordination of Class B Certificates

 

The rights of the holders of the Class B Certificates to receive distributions with respect to the Mortgage Loans in the Trust Estate will be subordinated to such rights of the holders of the Class A Certificates and the rights of the holders of the Classes of Class B Certificates with higher numerical designations to receive distributions with respect to the Mortgage Loans in the Trust Estate will be subordinated to such rights of the holders of Classes of Class B Certificates with lower numerical designations, all to the extent described below. This subordination is intended to enhance the likelihood of timely receipt by the holders of the more senior Certificates of the full amount of their scheduled monthly payments of interest and principal and to afford the holders of the more senior Certificates protection against Realized Losses, as more fully described below. If Realized Losses exceed the credit support provided through subordination to a given Class of Certificates, all or a portion of such losses will be borne by such Class of Certificates.

 

The protection afforded to the holders of more senior Classes of Certificates by means of the subordination feature will be accomplished by the preferential right of such holders to receive, prior to any distribution being made on a Distribution Date in respect of the more junior Classes of Certificates, the amounts of principal and interest due such holders on each Distribution Date out of the Pool Distribution Amount with respect to such date and, if necessary, by the right of such holders to receive future distributions on the Mortgage Loans that would otherwise have been payable to the holders of the more junior Classes of Certificates. Because of the priorities in distributing principal to the Class A Non-PO Certificates, some Classes of Class A Non-PO Certificates may be outstanding longer than other Classes of Class A Non-PO Certificates. The aggregate Principal Balance of the Class B Certificates will be reduced on each Distribution Date either through principal distributions or the allocation of Realized Losses. The longer a Class of Class A Non-PO Certificates is outstanding, the smaller the Principal Balances will be of the Class B Certificates providing subordination for such Class A Certificates.

 

Amounts distributed to holders of Subordinated Certificates will not be available to cover delinquencies or Realized Losses in respect of subsequent Distribution Dates.

 

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Allocation of Losses

 

Realized Losses on the Mortgage Loans will not be allocated to the holders of the Class A Certificates until the date on which the aggregate Principal Balance of the Subordinated Certificates has been reduced to zero (the “Subordination Depletion Date”). Prior to such time, such Realized Losses will be allocated to the Classes of Class B Certificates sequentially in reverse numerical order, until the Principal Balance of each such Class has been reduced to zero.

 

The allocation of the principal portion of a Realized Loss (other than a Debt Service Reduction) of a Mortgage Loan will be effected through the adjustment of the Principal Balance of the most subordinate Class then outstanding in such amount as is necessary to cause the Aggregate Principal Balance to equal the Adjusted Pool Amount.

 

Allocations to the Classes of Class B Certificates of (i) the principal portion of Debt Service Reductions, (ii) the interest portion of Realized Losses, (iii) any shortfalls resulting from delinquencies for which the Servicer, the Master Servicer or the Trustee does not advance and (iv) any interest shortfalls resulting from the timing of the receipt of Unscheduled Principal Receipts (other than Prepayments in Full and Curtailments) with respect to Mortgage Loans will result from the priority of distributions of the Pool Distribution Amount first to the Class A Certificates and then to the Classes of Class B Certificates in numerical order as described above under “—Distributions.”

 

After distributions of principal have been made on a Distribution Date, the allocation of the principal portion of Realized Losses in respect of the Mortgage Loans allocated on or after the Subordination Depletion Date will be effected through the adjustment of the Class A Non-PO Principal Balance and the Principal Balance of the Class A-PO Certificates such that (i) the Class A Non-PO Principal Balance equals the Adjusted Pool Amount (Non-PO Portion) and (ii) the Principal Balance of the Class A-PO Certificates equals the Adjusted Pool Amount (PO Portion). The principal portion of such Realized Losses allocated to the Class A Non-PO Certificates will be allocated to such outstanding Classes of Class A Non-PO Certificates, pro rata, in accordance with their Principal Balances. The interest portion of any Realized Loss allocated on or after the Subordination Depletion Date will be allocated among the outstanding Classes of Class A Non-PO Certificates, pro rata, in accordance with their respective Interest Accrual Amounts, without regard to any reduction pursuant to this sentence. Any such losses will be allocated among the outstanding Class A Non-PO Certificates of each such Class pro rata in accordance with their respective Percentage Interests.

 

On or after the Subordination Depletion Date, the Principal Balance of the Class of Super Senior Support Certificates will be reduced not only by the principal portion of Realized Losses allocated to such Class as provided in the preceding paragraph, but also by the portion allocated to the Super Senior Certificates.

 

If due to losses on the Mortgage Loans, the Pool Distribution Amount is not sufficient to cover the Class A Non-PO Optimal Principal Amount on a particular Distribution Date, then the Class A Percentage on and after the next Distribution Date will be proportionately increased, thereby reducing, as a relative matter, the respective interest of the Class B Certificates in future payments of principal on the Mortgage Loans.

 

Notwithstanding the foregoing, the provisions relating to subordination will not be applicable in connection with a Bankruptcy Loss so long as the applicable Servicer has notified the Trustee and the Master Servicer in writing that such Servicer is diligently pursuing any remedies that may exist in connection with the representations and warranties made regarding the related Mortgage Loan and when (A) the related Mortgage Loan is not in default with regard to the payments due thereunder or (B) delinquent payments of principal and interest under the related Mortgage Loan and any premiums on any applicable Standard Hazard Insurance Policy and any related escrow payments in respect of such Mortgage Loan are being advanced on a current basis by such Servicer, in either case without giving effect to any Debt Service Reduction.

 

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DESCRIPTION OF THE MORTGAGE LOANS(1)

 

General

 

The mortgage loans to be included in the Trust Estate will be fixed interest rate, conventional, monthly pay, fully amortizing, one- to four-family, residential first mortgage loans (the “Mortgage Loans”). Substantially all of the Mortgage Loans will have original terms to stated maturity of approximately 30 years. The Mortgage Loans are expected to be secured by first liens (the “Mortgages”) on one- to four-family residential properties (the “Mortgaged Properties”) and to have the additional characteristics described herein and in the prospectus. Wells Fargo Asset Securities Corporation (the “Seller”) will transfer the Mortgage Loans to the Trust.

 

Each of the Mortgage Loans is subject to a due-on-sale clause. See “Certain Legal Aspects of the Mortgage Loans — ‘Due-on-Sale’ Clauses” and “Servicing of the Mortgage Loans — Enforcement of Due-on-Sale Clauses; Realization Upon Defaulted Mortgage Loans” in the prospectus.

 

Mortgage Loan Data Appearing in Appendix A

 

The Mortgage Loans were originated by Wells Fargo Bank or affiliates or by other originators. No single other originator is expected to have accounted for more than 5% of the aggregate unpaid principal balance of the Mortgage Loans as of the Cut-Off Date.

 

In originating Mortgage Loans, the documentation levels vary depending upon several factors, including loan amount, Loan-to-Value Ratio and the type and purpose of the Mortgage Loan. Asset, income and mortgage verifications were obtained for Mortgage Loans processed with “full documentation.” In the case of “no documentation,” neither asset nor income verifications were obtained. For purposes of Appendix A, Mortgage Loans originated under Wells Fargo Bank’s retention program are included in the category of “no documentation.” Eligibility for loans included in the “asset verification” category is determined via a credit scoring model assessment, or this feature may be selected by the borrower with an associated pricing adjustment. See “The Mortgage Loan Programs — Mortgage Loan Underwriting — Wells Fargo Bank Underwriting — Retention Program Standards” in the prospectus. In most instances, a verification of the borrower’s employment was obtained.

 

The Mortgage Loans were originated for various purposes. In general, in the case of a Mortgage Loan made for “rate/term” refinance purpose, substantially all of the proceeds are used to pay in full the principal balance of a previous mortgage loan of the mortgagor with respect to a Mortgaged Property and to pay origination and closing costs associated with such refinancing. However, in the case of a Mortgage Loan made for “equity take out” refinance purpose, all or a portion of the proceeds are generally required by the mortgagor for uses unrelated to the Mortgaged Property. The amount of such proceeds retained by the mortgagor may be substantial.

 

The first table appearing in Appendix A sets forth certain characteristics of the Mortgage Loans, the Premium Mortgage Loans and the Discount Mortgage Loans.


(1) The descriptions in this prospectus supplement of the Trust Estate and the properties securing the Mortgage Loans to be included in the Trust Estate are based upon the expected characteristics of the Mortgage Loans at the close of business on the Cut-Off Date, as adjusted for the scheduled principal payments due on or before such date. Notwithstanding the foregoing, any of such Mortgage Loans may be excluded from the Trust Estate (i) as a result of principal prepayment thereof in full or (ii) if, as a result of delinquencies or otherwise, the Seller otherwise deems such exclusion necessary or desirable. In either event, other Mortgage Loans may be included in the Trust Estate. The Seller believes that the information set forth herein with respect to the expected characteristics of the Mortgage Loans on the Cut-Off Date is representative of the characteristics as of the Cut-Off Date of the Mortgage Loans to be included in the Trust Estate as it will be constituted at the time the Certificates are issued, although the aggregate principal balance of the Mortgage Loans included in the Trust Estate as of the Cut-Off Date, the range of Mortgage Interest Rates and maturities, and certain other characteristics of the Mortgage Loans in the Trust Estate may vary. In the event that any of the characteristics as of the Cut-Off Date of the Mortgage Loans that constitute the Trust Estate on the date of initial issuance of the Certificates vary materially from those described herein, revised information regarding such Mortgage Loans will be made available to purchasers of the Offered Certificates, on or before such issuance date, and a Current Report on Form 8-K containing such information will be filed with the Securities and Exchange Commission within 15 days following such date.

 

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For purposes of Appendix A, the term “single-family dwellings” includes single family attached planned unit developments (“PUDs”), single family detached PUDs, single family townhouses and single family detached dwellings.

 

In addition, for purposes of Appendix A, the Loan-to-Value Ratio of a Mortgage Loan is calculated using the lesser of (i) the appraised value of the related Mortgaged Property, as established by an appraisal obtained by the originator from an appraiser at the time of origination and (ii) the sale price for such property. For the purpose of calculating the Loan-to-Value Ratio of any Mortgage Loan that is the result of the refinancing (including a refinancing for “equity take out” purposes) of an existing mortgage loan, the appraised value of the related Mortgaged Property is generally determined by reference to an appraisal. Although for purposes of applying the Underwriting Standards, the Loan-to-Value Ratio of an LOC Pledged Asset Mortgage Loan, if any, is calculated taking into account the value of the LOC, for purposes of this prospectus supplement, such Loan-to-Value Ratio is calculated without regard to the value of such LOC. See “The Trust Estates — Mortgage Loans — Pledged Asset Mortgage Loans” in the prospectus. There can be no assurance that such appraisal, which is based on the independent judgment of an appraiser and not an arms-length sales transaction, is an accurate representation of the market value of a Mortgaged Property. See “The Trust Estates — Mortgage Loans” in the prospectus. No assurance can be given that the values of the Mortgaged Properties securing the Mortgage Loans have remained or will remain at the levels used in calculating the Loan-to-Value Ratios shown in Appendix A. The Seller has taken no action to establish the current value of any Mortgaged Property. See “Risk Factors — Real Estate Market Conditions Affect Mortgage Loan Performance” and “— Geographic Concentration May Increase Rates of Loss and Delinquency” in the prospectus.

 

For purposes of Appendix A, the “Combined Loan-to-Value Ratio” or “CLTV” is the ratio, expressed as a percentage, of (i) the principal amount of the Mortgage Loan at origination plus (a) any junior mortgage encumbering the related Mortgaged Property originated by Wells Fargo Bank or of which Wells Fargo Bank has knowledge at the time of the origination of the Mortgage Loan or (b) the total available amount of any home equity line of credit originated by Wells Fargo Bank or of which Wells Fargo Bank has knowledge at the time of the origination of the Mortgage Loan, over (ii) the lesser of (a) the appraised value of the related Mortgaged Property at origination or (b) the sales price for such property. There can be no assurance that all data regarding junior mortgage loans or home equity lines of credit originated by parties other than Wells Fargo Bank is known by Wells Fargo Bank and therefore accurately reflected in the tables appearing in Appendix A.

 

Mortgage Loans with Loan-to-Value Ratios at origination greater than 80% may or may not be covered by a primary mortgage insurance policy. Certain Mortgage Loans may be covered by lender-paid primary mortgage insurance policies (each, an “LPMI Policy”). These LPMI Policies, if any, together with all borrower-paid primary mortgage insurance policies, will be assigned to the Trust on the Closing Date. Wells Fargo Bank will be responsible for paying the premiums under the LPMI Policies and may assign such obligation only with the consent of each Rating Agency and the respective primary mortgage insurance policy provider. Information with respect to the Mortgage Loans covered by LPMI Policies is set forth in Appendix A.

 

Appendix A also contains a table of the FICO Scores for the Mortgage Loans. “FICO Scores” are statistical credit scores obtained by many mortgage lenders in connection with the loan application to help assess a borrower’s credit-worthiness. FICO Scores are generated by models developed by a third party and are made available to lenders through three national credit bureaus. The models were derived by analyzing data on consumers in order to establish patterns which are believed to be indicative of the borrower’s probability of default. The FICO Score is based on a borrower’s historical credit data, including, among other things, payment history, delinquencies on accounts, levels of outstanding indebtedness, length of credit history, types of credit, and bankruptcy experience. FICO Scores range from approximately 300 to approximately 850, with higher scores indicating an individual with a more favorable credit history compared to an individual with a lower score. However, a FICO Score purports only to be a measurement of the relative degree of risk a borrower represents to a lender, i.e., that a borrower with a higher score is statistically expected to be less likely to default in payment than a borrower with a lower score. In addition, it should be noted that FICO Scores were developed to indicate a level of default probability over a two-year period which does not correspond to the life of a mortgage loan. Furthermore, FICO Scores were not developed specifically for use in connection with mortgage loans, but for consumer loans in general. Therefore, a FICO Score does not take into consideration the effect of mortgage loan characteristics on the probability of

 

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repayment by the borrower. The FICO Scores set forth in the tables appearing in Appendix A were obtained at either the time of origination of the Mortgage Loan or more recently. Neither the Seller nor Wells Fargo Bank makes any representations or warranties as to the actual performance of any Mortgage Loan or that a particular FICO Score should be relied upon as a basis for an expectation that the borrower will repay the Mortgage Loan according to its terms.

 

The data appearing in Appendix A may not be exact due to rounding.

 

See “The Mortgage Loan Programs — Mortgage Loan Underwriting” in the prospectus.

 

Mortgage Loan Underwriting

 

The Mortgage Loans were generally originated in conformity with the underwriting standards described in the prospectus under the heading “The Mortgage Loan Programs — Mortgage Loan Underwriting — Wells Fargo Bank Underwriting” (the “Underwriting Standards”). In certain instances, exceptions to the Underwriting Standards may have been granted by Wells Fargo Bank. See “The Mortgage Loan Programs — Mortgage Loan Underwriting” in the prospectus. Certain of the Mortgage Loans may have been purchased by Wells Fargo Bank in bulk purchase transactions and may have been underwritten using underwriting standards which may vary from the Underwriting Standards (the “Bulk Purchase Underwritten Loans”). However, Wells Fargo Bank has in each case reviewed the underwriting standards applied for such Bulk Purchase Underwritten Loans and determined that such standards were not materially different than the Underwriting Standards. See “The Mortgage Loan Programs — Mortgage Loan Underwriting” in the prospectus.

 

Mandatory Repurchase or Substitution of Mortgage Loans

 

The Seller is required, with respect to Mortgage Loans that are found by the Trustee or Custodian to have defective documentation, or in respect of which the Seller has breached a representation or warranty, either to repurchase such Mortgage Loans or, at the Seller’s option, if within two years of the date of initial issuance of the Certificates, to substitute new Mortgage Loans therefor. See “Prepayment and Yield Considerations” herein and “The Pooling and Servicing Agreement — Assignment of Mortgage Loans to the Trustee” in the prospectus.

 

Optional Purchase or Substitution of Mortgage Loans

 

Under certain circumstances as described in the prospectus under “The Pooling and Servicing Agreement — Optional Purchases” the Seller may, at its sole discretion purchase certain Mortgage Loans from the Trust Estate. The Seller may also, for three months following the Closing Date, substitute, for any reason, a new Mortgage Loan for any Mortgage Loan in the Trust Estate. See “Prepayment and Yield Considerations” herein.

 

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PREPAYMENT AND YIELD CONSIDERATIONS

 

General

 

The rate of distributions in reduction of the Principal Balance of any Class of the Offered Certificates, the aggregate amount of distributions on any Class of the Offered Certificates and the Weighted Average Life and yield to maturity of any Class of the Offered Certificates purchased at a discount or premium will be directly related to the rate of payments of principal on the applicable Mortgage Loans and the amount and timing of mortgagor defaults resulting in Realized Losses on such Mortgage Loans. Prepayments (which, as used herein, include all unscheduled payments of principal, including payments as the result of liquidations, purchases and repurchases) of the Mortgage Loans will result in distributions to Certificateholders then entitled to distributions in respect of principal in respect of such Mortgage Loans of amounts which would otherwise be distributed over the remaining terms of such Mortgage Loans. Since the rate of prepayment on the Mortgage Loans will depend on future events and a variety of factors (as described more fully below and in the prospectus under “Prepayment and Yield Considerations”), no assurance can be given as to such rate or the rate of principal payments or yield on, or Weighted Average Life of, any Class of the Offered Certificates or the aggregate amount of distributions on any Class of the Offered Certificates.

 

The rate of principal payments on the Mortgage Loans will be affected by the amortization schedules of the Mortgage Loans, the rate of principal prepayments (including partial prepayments and those resulting from refinancing) thereon by mortgagors, liquidations of defaulted Mortgage Loans, repurchases by the Seller of Mortgage Loans as a result of defective documentation or breaches of representations and warranties and optional purchases by the Seller of all of the Mortgage Loans in connection with the termination of the Trust Estate. See “Description of the Mortgage Loans — Mandatory Repurchase or Substitution of Mortgage Loans” and “Pooling and Servicing Agreement — Optional Termination” herein and “The Pooling and Servicing Agreement —Assignment of Mortgage Loans to the Trustee,” “— Optional Purchases” and “— Termination; Optional Purchase of Mortgage Loans” in the prospectus. Mortgagors are permitted to prepay the Mortgage Loans, in whole or in part, at any time without penalty. If prevailing rates for similar mortgage loans fall below the Mortgage Interest Rates on the Mortgage Loans, the rate of prepayment would generally be expected to increase. Conversely, if interest rates on similar mortgage loans rise above the Mortgage Interest Rates on the Mortgage Loans, the rate of prepayment would generally be expected to decrease. The rate of prepayment on the Mortgage Loans may also be influenced by programs offered by mortgage loan originators (including Wells Fargo Bank), servicers (including Wells Fargo Bank) and mortgage loan brokers to encourage refinancing through such originators, servicers and brokers, including, but not limited to, general or targeted solicitations (which may be based on characteristics including, but not limited to, the mortgage loan interest rate or payment history and the geographic location of the Mortgaged Property), reduced origination fees or closing costs, pre-approved applications, waiver of pre-closing interest accrued with respect to a refinanced loan prior to the pay-off of such loan, or other financial incentives. In particular, the application of Wells Fargo Bank’s “retention program,” which enables qualifying mortgagors to refinance at greatly reduced cost, to its servicing portfolio may substantially affect the rate of prepayment on the Mortgage Loans. See “Prepayment and Yield Considerations — Refinancings” in the prospectus. In addition, Wells Fargo Bank or third parties may enter into agreements with borrowers providing for the bi-weekly payment of principal and interest on the related mortgage loan, thereby accelerating payment of the mortgage loan resulting in partial prepayments.

 

Other factors affecting prepayment of mortgage loans include changes in mortgagors’ housing needs, job transfers, unemployment or substantial fluctuations in income, significant fluctuations in real estate values and adverse economic conditions either generally or in particular geographic areas, mortgagors’ equity in the Mortgaged Properties, including the use of the properties as second or vacation homes, and servicing decisions, such as, without limitation, the decision as to whether to foreclose on a Mortgage Loan or to modify the terms of the related Mortgage Note and decisions as to the timing of any foreclosure. Furthermore, certain characteristics of mortgage loans are thought by some in the mortgage industry to be more likely to affect prepayments. These characteristics include, but are not limited to, principal balance, loan-to-value ratio, borrower credit quality and current interest rate higher than prevailing interest rates. No representation is made as to the rate of prepayment on the Mortgage Loans included in the Trust having any particular characteristic. In addition, all of the Mortgage Loans contain due-on-sale clauses which will generally be exercised upon the sale of the related Mortgaged Properties.

 

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Consequently, acceleration of mortgage payments as a result of any such sale will affect the level of prepayments on the Mortgage Loans. The extent to which defaulted Mortgage Loans are assumed by transferees of the related Mortgaged Properties or are refinanced will also affect the rate of principal payments. The rate of prepayment and, therefore, the yield to maturity of the Offered Certificates will be affected by, among other things, the extent to which (i) the Seller elects to repurchase, rather than substitute for, Mortgage Loans which are found by the Trustee or Custodian to have defective documentation or with respect to which the Seller has breached a representation or warranty, (ii) a substitute Mortgage Loan has an unpaid principal balance less than the Mortgage Loan for which it is substituted or (iii) a Servicer may take certain actions to mitigate losses on a defaulted Mortgage Loan which may include, but are not limited to, selling the Mortgaged Property of such Mortgage Loan for less than its unpaid principal balance or modifying the payment terms of such Mortgage Loan. See “Servicing of the Mortgage Loans — Enforcement of Due-on-Sale Clauses; Realization Upon Defaulted Mortgage Loans” in the prospectus.

 

As described under “Description of the Certificates — Principal (Including Prepayments)” herein, all or a disproportionate percentage of principal prepayments on the Mortgage Loans (including liquidations and repurchases of Mortgage Loans) will be distributed, to the extent of the applicable Non-PO Fraction, to the holders of the Class A Non-PO Certificates then entitled to distributions in respect of principal during the nine years beginning on the first Distribution Date, and, to the extent that such principal prepayments are made in respect of a Discount Mortgage Loan, to the Class A-PO Certificates in proportion to the interest of the Class A-PO Certificates in such Discount Mortgage Loan represented by the related PO Fraction.

 

As described herein under “Description of the Certificates — Principal (Including Prepayments) — Allocation of Amount to be Distributed on the Class A Non-PO Certificates” unless the Principal Balances of the other Class A Certificates have been reduced to zero, the Class A-4 and Class A-13 Certificates will not be entitled to any distributions of principal payments for five years and thereafter the percentage of principal payments (including prepayments) allocated to the Class A-4 and Class A-13 Certificates will increase.

 

The yield to maturity of the Offered Certificates will be sensitive in varying degrees to the rate and timing of principal payments (including prepayments, which may be made at any time without penalty) on the Mortgage Loans. Investors in the Offered Certificates should consider the associated risks, including, in the case of Offered Certificates purchased at a discount, particularly the Principal Only Certificates, the risk that a slower than anticipated rate of payments in respect of principal (including prepayments) on the Mortgage Loans, or, in the case of the Principal Only Certificates, on the Discount Mortgage Loans, will have a negative effect on the yield to maturity of such Certificates and, in the case of Offered Certificates purchased at a premium, or the Interest Only Certificates, the risk that a faster than anticipated rate of payments in respect of principal (including prepayments) on the Mortgage Loans will have a negative effect on the yield to maturity of such Certificates. Investors purchasing Offered Certificates at a premium or the Interest Only Certificates should also consider the risk that a rapid rate of payments in respect of principal (including prepayments) on the Mortgage Loans could result in the failure of such investors to fully recover their initial investments. An investor is urged to make an investment decision with respect to any Class of Offered Certificates based on the anticipated yield to maturity of such Class resulting from its purchase price and such investor’s own determination as to anticipated Mortgage Loan prepayment rates under a variety of scenarios.

 

The timing of changes in the rate of prepayment on the Mortgage Loans may significantly affect the actual yield to maturity experienced by an investor who purchases an Offered Certificate at a price other than par, even if the average rate of principal payments experienced over time is consistent with such investor’s expectation. In general, the earlier a prepayment of principal on the applicable Mortgage Loans, the greater the effect on such investor’s yield to maturity. As a result, the effect on such investor’s yield of principal payments occurring at a rate higher (or lower) than the rate anticipated by the investor during the period immediately following the issuance of the Offered Certificates would not be fully offset by a subsequent like reduction (or increase) in the rate of principal payments.

 

The yield to maturity on the Classes of Class B Certificates with higher numerical designations will generally be more sensitive to losses than the Classes with lower numerical designations because the entire amount of such losses will be allocable to the Classes of Class B Certificates in reverse numerical order, except as provided herein. To the extent not covered by Periodic Advances, delinquencies on Mortgage Loans will also

 

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have a relatively greater effect on the yield to maturity on the Classes of Class B Certificates with higher numerical designations because amounts otherwise distributable on the Class B Certificates will be made available to protect the Class A Certificates against interruptions in distributions due to such unadvanced mortgagor delinquencies. Such unadvanced delinquencies, even if subsequently cured, may affect the timing of the receipt of distributions on the Class B Certificates.

 

On and after the Subordination Depletion Date, the yield to maturity of the Super Senior Support Certificates will be more sensitive to losses than that of the other Classes of Class A Certificates to losses on the Mortgage Loans because, while outstanding, the Super Senior Support Certificates will bear not only their own share of losses but also the share allocated to the Super Senior Certificates.

 

The actual yield to maturity experienced by an investor may also be affected by the occurrence of interest shortfalls resulting from Unscheduled Principal Receipts to the extent, if any, to which such interest shortfalls are not covered by Compensating Interest or subordination. See “Description of the Certificates — Interest” herein and “Servicing of the Mortgage Loans — Changes in Servicing” in the prospectus.

 

The yield to maturity on the Offered Certificates and more particularly on the Class B-1, Class B-2 and Class B-3 Certificates, may be affected by the geographic concentration of the Mortgaged Properties securing the applicable Mortgage Loans. Certain regions in the United States have experienced or may experience significant fluctuations in housing prices. In addition, certain regions have experienced or may experience natural disasters, including earthquakes, fires, floods and hurricanes, which may adversely affect property values. See “Description of the Mortgage Loans” herein. Any deterioration in housing prices in the regions in which there is a significant concentration of Mortgaged Properties, as well as other regions in which the Mortgaged Properties are located, and any deterioration of economic conditions in such regions which adversely affects the ability of borrowers to make payments on the Mortgage Loans, may increase the likelihood of losses on the Mortgage Loans. Such losses, if they occur, may have an adverse effect on the yield to maturity of the Offered Certificates and more particularly on the Class B-1, Class B-2 and Class B-3 Certificates.

 

As to Mortgaged Properties in regions that have recently experienced natural disasters, neither the Seller nor Wells Fargo Bank has undertaken the physical inspection of such Mortgaged Properties. As a result, there can be no assurance that material damage to any Mortgaged Property in an affected region has not occurred. In the Pooling and Servicing Agreement, the Seller will represent and warrant that, as of the date of issuance of the Certificates, each Mortgaged Property is undamaged by flood, water, fire, earthquake or earth movement, wind-storm, tornado or similar casualty (excluding casualty from the presence of hazardous wastes or hazardous substances, as to which the Seller makes no representation) so as to affect adversely the value of such Mortgaged Property as security for such Mortgage Loan or the use for which such premises was intended. In the event of a breach of such representation with respect to a Mortgaged Property which materially and adversely affects the interests of Certificateholders in the related Mortgage Loan, the Seller will be obligated to repurchase or substitute for such Mortgage Loan, as described under “The Mortgage Loan Programs — Representations and Warranties” and “The Pooling and Servicing Agreement — Assignment of Mortgage Loans to the Trustee” in the prospectus. Repurchase of any such Mortgage Loan will affect in varying degrees the yields and Weighted Average Lives of the related Classes of Offered Certificates and could adversely affect the yield of any related Offered Certificates purchased at a premium.

 

No representation is made as to the rate of principal payments on the Mortgage Loans or as to the yield to maturity of any Class of Offered Certificates.

 

An investor should consider the risk that rapid rates of prepayments on the applicable Mortgage Loans and therefore of amounts distributable in reduction of principal balance of the related Offered Certificates, may coincide with periods of low prevailing interest rates. During such periods, the effective interest rates on securities in which an investor may choose to reinvest amounts distributed in reduction of the principal balance of such investor’s Offered Certificate may be lower than the applicable Pass-Through Rate or expected yield. Conversely, slower rates of prepayments on the Mortgage Loans and therefore of amounts distributable in reduction of principal balance of the related Offered Certificates, may coincide with periods of high prevailing interest

 

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rates. During such periods, the amount of principal distributions available to an investor for reinvestment at such high prevailing interest rates may be relatively small.

 

Investors in the Floating Rate Certificates should understand that if LIBOR is greater than or equal to 6.670% per annum, the Pass-Through Rate of the Floating Rate Certificates will remain at their maximum rate. Investors in the Floating Rate Certificates should also consider the risk that if LIBOR is lower than anticipated, the actual yields to such investors could be lower than anticipated yields. Conversely, investors in the Inverse Floating Rate Certificates should consider the risk that if LIBOR is higher than anticipated, the actual yields to such investors could be significantly lower than the anticipated yields. Investors in the Inverse Floating Rate Certificates should also understand that if LIBOR is greater than or equal to 6.670% per annum, the Inverse Floating Rate Certificates will accrue interest at their minimum rate. Further, based on the Structuring Assumptions, high constant rates of LIBOR, especially when combined with certain high constant prepayment rates, are expected to produce a negative yield to investors in the Inverse Floating Rate Certificates which are also Interest Only Certificates.

 

In addition, there can be no assurance that LIBOR will correlate with the levels of prevailing mortgage interest rates, therefore it is possible that lower prevailing mortgage rates, which might be expected to result in faster prepayments, could occur concurrently with an increase in LIBOR. However, if, as generally expected, higher mortgage rates and, accordingly, lower prepayment rates, were to occur concurrently with an increase in LIBOR, the Pass-Through Rate of a Class of Inverse Floating Rate Certificates would be reduced at the same time that the rate of reduction of the Notional Amount of such Class may be reduced. In such circumstances, investors in the Inverse Floating Rate Certificates could have a significantly lower yielding instrument with a longer Weighted Average Life than anticipated. See “— Sensitivities of Certain Classes of Certificates” below.

 

Investors in the Floating Rate and Inverse Floating Rate Certificates should understand that the timing of changes in LIBOR may affect the actual yields to such investors even if the average rate of LIBOR is consistent with such investors’ expectations. Each investor must make an independent decision as to the appropriate LIBOR assumptions to be used in deciding whether to purchase a Floating Rate or Inverse Floating Rate Certificate.

 

Due to the special tax treatment of residual interests, the after-tax return of the Residual Certificates may be significantly lower than would be the case if the Residual Certificates were taxed as debt instruments, or may be negative. See “Federal Income Tax Considerations” herein.

 

As referred to herein, the “Weighted Average Life” of a Class of Offered Certificates (other than Interest Only Certificates) refers to the average amount of time that will elapse from the date of issuance of such Class until each dollar in reduction of the Principal Balance of such Class is distributed to the investor. The Weighted Average Life of a Class of Interest Only Certificates is equal to the average amount of time that will elapse between the date of issuance of such Class and the date on which each dollar reduction in the Notional Amount of such Class occurs.

 

Prepayments on mortgage loans are commonly measured relative to a prepayment standard or model. The model used in this prospectus supplement, the Standard Prepayment Assumption (“SPA”), represents an assumed rate of prepayment each month relative to the then-outstanding principal balance of a pool of new mortgage loans. A prepayment assumption of 100% SPA assumes constant prepayment rates of 0.2% per annum of the then-outstanding principal balance of such mortgage loans in the first month of the life of the mortgage loans and an additional 0.2% per annum in each month thereafter until the thirtieth month. Beginning in the thirtieth month and in each month thereafter during the life of the mortgage loans, 100% SPA assumes a constant prepayment rate of 6% per annum each month. As used in the tables appearing in the appendices, “0% SPA” assumes prepayment rates equal to 0% of SPA, i.e., no prepayments. Correspondingly, “300% SPA” assumes prepayment rates equal to 300% of SPA, and so forth. SPA does not purport to be a historical description of prepayment experience or a prediction of the anticipated rate of prepayment of any pool of mortgage loans, including the Mortgage Loans.

 

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Appendix B sets forth the decrement tables for the offered certificates. The tables appearing in Appendix B have been prepared assuming, among other things, the following (the “Structuring Assumptions”):

 

(i)  the Trust Estate consists of one “Assumed Discount Mortgage Loan” and one “Assumed Premium Mortgage Loan” (collectively, the “Assumed Mortgage Loans”) with the characteristics set forth below;

 

(ii)  the scheduled payment in each month for each Assumed Mortgage Loan has been based on its outstanding balance as of the first day of the month preceding the month of such payment, its Mortgage Interest Rate and its remaining term to stated maturity, so that such scheduled payments would amortize the remaining balance over its remaining term to maturity;

 

(iii)  scheduled monthly payments of principal and interest on the Assumed Mortgage Loans will be timely received on the first day of each month (with no defaults), commencing in August 2005;

 

(iv)  the Seller does not repurchase either of the Assumed Mortgage Loans and the Seller does not exercise its option to purchase the Assumed Mortgage Loans and thereby cause a termination of the Trust Estate;

 

(v)  principal payments on the Assumed Mortgage Loans representing principal prepayments in full of individual mortgage loans will be received on the last day of each month commencing in July 2005 at the respective constant percentages of SPA set forth in the tables and there are no Curtailments, Prepayment Interest Shortfalls or Relief Act Shortfalls;

 

(vi)  the Certificates will be issued on the Closing Date;

 

(vii)  distributions to Certificateholders will be made on the 25th day of each month, commencing in August 2005;

 

(viii)  the Master Servicing Fee Rate will be 0.010% per annum for each Assumed Mortgage Loan; and

 

(ix)  the initial Principal Balance and initial Notional Amount of each Class of Certificates will be as set forth in the table on page S-4 of this prospectus supplement.

 

Assumed Mortgage Loan Characteristics

 

     Principal Balance as
of the Cut-Off Date


  

Mortgage

Interest Rate


    Servicing Fee Rate

   

Remaining Term
to Maturity

(in Months)


   Original Term
to Maturity
(in Months)


Assumed Discount     

Mortgage Loan

   $ 265,797,664.70    5.7120767307 %   0.250 %   359    360

Assumed Premium     

Mortgage Loan

   $ 334,439,412.90    5.9658654576 %   0.250 %   359    360

 

It is highly unlikely that the Mortgage Loans will prepay at any constant rate, that all of the Mortgage Loans will prepay at the same rate or that the Mortgage Loans will not experience any losses. In addition, there will be differences between the characteristics of the Mortgage Loans ultimately included in the Trust Estate and the characteristics which are assumed in preparing the tables, as described above. Any difference may have an effect upon the actual percentages of initial Principal Balances or Notional Amount of the Classes of Certificates outstanding, the actual Weighted Average Lives of the Classes of Certificates and the date on which the Principal Balance or Notional Amount of any Class of Certificates is reduced to zero.

 

Based upon the foregoing assumptions, the tables appearing in Appendix B indicate the Weighted Average Life of each Class of Offered Certificates, and set forth the percentages of the initial Principal Balance or Notional Amount of each such Class of Offered Certificates that would be outstanding after each of the dates shown at constant percentages of SPA presented.

 

Interest accrued on the Offered Certificates will be reduced by the amount of any interest portions of Realized Losses allocated to such Certificates as described under “Description of the Certificates — Interest” herein. The yield on the Offered Certificates (other than the Floating Rate and Inverse Floating Rate Certificates) will be less than the yield otherwise produced by their respective Pass-Through Rates, if any, and the prices at which such

 

S-36


Certificates are purchased because the interest which accrues on the Mortgage Loans during each month will not be passed through to Certificateholders until the 25th day of the month following the end of such month (or if such 25th day is not a business day, the following business day).

 

The Seller intends to file certain additional yield tables and other computational materials with respect to one or more Classes of Offered Certificates with the Securities and Exchange Commission in a Report on Form 8-K. See “Incorporation of Certain Information by Reference” in the prospectus. Such tables and materials will have been prepared by the Underwriter at the request of certain prospective investors, based on assumptions provided by, and satisfying the special requirements of, such investors. Such tables and assumptions may be based on assumptions that differ from the Structuring Assumptions. Accordingly, such tables and other materials may not be relevant to or appropriate for investors other than those specifically requesting them.

 

Sensitivities of Certain Classes of Certificates

 

Certain Classes of Offered Certificates will be highly sensitive to the rate and timing of principal payments (including prepayments) on the applicable Mortgage Loans, which rate may fluctuate significantly from time to time. The Inverse Floating Rate Certificates are also highly sensitive to the rate of LIBOR. See “—General” above.

 

The Class A-PO Certificates will be highly sensitive to the rate and timing of principal payments (including prepayments) on the Discount Mortgage Loans.

 

The tables appearing in Appendix C indicate the sensitivities to various rates of prepayment on the Mortgage Loans, and changes in LIBOR in the case of the Inverse Floating Rate Certificates, of the pre-tax yields to maturity on a semi-annual corporate bond equivalent (“CBE”) basis of the designated Classes.

 

The tables have been prepared on the basis of the Structuring Assumptions, and the additional assumptions that (1) the Class A-3 and Class A-PO Certificates will be purchased on the Closing Date at purchase prices equal to 4.75% and 75.00%, respectively, of their initial Notional Amount or initial Principal Balance, as applicable, plus accrued interest, where applicable, from the first day of the Interest Accrual Period to (but not including) the Closing Date and (2) in the case of the Class A-3 Certificates, beginning with the Distribution Date in September 2005 and for each Distribution Date thereafter, LIBOR is at the level specified.

 

The pre-tax yields to maturity set forth in the tables appearing in Appendix C were calculated by (i) determining the monthly discount rates which, when applied to the assumed streams of cash flows to be paid on the designated Class of Certificates, would cause the discounted present value of such assumed streams of cash flows to equal the assumed purchase price for such Class set forth above and (ii) converting such monthly rates to CBE rates. Such calculations do not take into account the interest rates at which investors may be able to reinvest funds received by them as distributions on the Certificates and consequently do not purport to reflect the return on any investment in the Certificates when such reinvestment rates are considered.

 

Notwithstanding the assumed prepayment rates reflected in the tables appearing in Appendix C, it is highly unlikely that the applicable Mortgage Loans will prepay at a constant rate until maturity, that all of the applicable Mortgage Loans will prepay at the same rate or that the applicable Mortgage Loans will not experience any losses. It is also highly unlikely in the case of the Inverse Floating Rate Certificates that LIBOR will remain constant. In addition, there will be differences between the characteristics of the applicable Mortgage Loans ultimately included in the Trust Estate and the Assumed Mortgage Loans. As a result of these factors, the pre-tax yields to maturity on any designated Class of Certificates are likely to differ from those shown in the related table, even if all of the applicable Mortgage Loans prepay at the indicated percentages of SPA.

 

The tables relating to the Inverse Floating Rate Certificates do not constitute a representation as to the correlation of any level of LIBOR with any rate of prepayments on the Mortgage Loans. Each investor must make an independent decision as to the appropriate combination of prepayment and LIBOR assumptions to be used in deciding whether or not to purchase an Inverse Floating Rate Certificate.

 

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Yield Considerations with Respect to the Class B-2 and Class B-3 Certificates

 

Defaults on mortgage loans may be measured relative to a default standard or model. The model used in this prospectus supplement, the standard default assumption (“SDA”), represents an assumed rate of default each month relative to the then-outstanding performing principal balance of a pool of new mortgage loans. A default assumption of 100% SDA assumes constant default rates of 0.02% per annum of the then-outstanding principal balance of such mortgage loans in the first month of the life of the mortgage loans and an additional 0.02% per annum in each month thereafter until the 30th month. Beginning in the 30th month and in each month thereafter through the 60th month of the life of the mortgage loans, 100% SDA assumes a constant default rate of 0.60% per annum each month. Beginning in the 61st month and in each month thereafter through the 120th month of the life of the mortgage loans, 100% SDA assumes that the constant default rate declines each month by 0.0095% per annum, and that the constant default rate remains at 0.03% per annum in each month after the 120th month. As used in the tables appearing in Appendix D, “0% SDA” assumes default rates equal to 0% of SDA (no defaults). SDA does not purport to be a historical description of default experience or a prediction of the anticipated rate of default of any pool of mortgage loans, including the Mortgage Loans.

 

The tables appearing in Appendix D indicate the sensitivities of the pre-tax yields to maturity on a CBE basis of the Class B-2 and Class B-3 Certificates to various rates of prepayment and varying levels of aggregate Realized Losses. The tables appearing in Appendix D are based upon, among other things, the Structuring Assumptions (other than the assumption that no defaults shall have occurred with respect to the Assumed Mortgage Loans) and the additional assumptions that (i) liquidations (other than those scenarios indicated as 0% of SDA (no defaults)) occur monthly on the last day of the preceding month at the percentages of SDA set forth in the tables and (ii) all delinquency tests are met.

 

In addition, it was assumed that (i) Realized Losses on liquidations of 25% or 50% of the outstanding principal balance of such liquidated Mortgage Loans, as indicated in the tables (referred to as a “Loss Severity Percentage”) will occur at the time of liquidation, (ii) there is no delay between the default and the liquidation of the mortgage loans and (iii) the Class B-2 and Class B-3 Certificates are purchased on the Closing Date at purchase prices equal to 98.50% and 95.50%, respectively, of the initial Principal Balances thereof plus accrued interest from the first day of the initial Interest Accrual Period to (but not including) the Closing Date.

 

The actual Mortgage Loans ultimately included in the Trust Estate will have characteristics differing from those assumed in preparing the tables and it is unlikely that they will prepay or liquidate at any of the rates specified. In addition, it is unlikely that Realized Losses will be incurred according to any one particular pattern. The assumed percentages of SPA and SDA and the loss severities shown in the tables are for illustrative purposes only and the Seller makes no representations with respect to the reasonableness of such assumptions or that the actual rates of prepayment and liquidation and loss severity experience of the Mortgage Loans will in any way correspond to any of the assumptions made herein. For these reasons, and because the timing of cash flows is critical to determining yield, the actual pre-tax yields to maturity of the Class B-2 and Class B-3 Certificates are likely to differ from the pre-tax yields to maturity shown in the tables.

 

The pre-tax yields to maturity in the tables appearing in Appendix D were calculated by (i) determining the monthly discount rates which, when applied to the assumed streams of cash flows to be paid on the Class B-2 and Class B-3 Certificates, would cause the discounted present value of such assumed streams of cash flows to equal the assumed purchase prices of the Class B-2 and Class B-3 Certificates set forth above and (ii) converting such monthly rates to CBE rates. Such calculations do not take into account the interest rates at which investors may be able to reinvest funds received by them as distributions on the Class B-2 and Class B-3 Certificates and consequently do not purport to reflect the return on any investment in the Class B-2 and Class B-3 Certificates when such reinvestment rates are considered.

 

Investors are urged to make their investment decisions based on their determinations as to anticipated rates of prepayment and Realized Losses under a variety of scenarios. Investors in Class B-2 and Class B-3 Certificates should fully consider the risk that Realized Losses on the Mortgage Loans could result in the failure of such investors to fully recover their initial investments.

 

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WELLS FARGO BANK

 

Wells Fargo Bank, N.A. (“Wells Fargo Bank”) will act as the Custodian, the Master Servicer and a Servicer with respect to the Mortgage Loans. Even though Wells Fargo Bank will be acting in these multiple capacities, it is expected that with respect to the functions of Master Servicer and Custodian, on the one hand, and Servicer, on the other, different divisions within Wells Fargo Bank, acting through different personnel, will be performing these functions. See “Wells Fargo Bank” in the prospectus.

 

POOLING AND SERVICING AGREEMENT

 

General

 

The Certificates will be issued pursuant to a Pooling and Servicing Agreement to be dated as of the Closing Date (the “Pooling and Servicing Agreement”) among the Seller, the Master Servicer and the Trustee. Reference is made to the prospectus for important additional information regarding the terms and conditions of the Pooling and Servicing Agreement and the Certificates. See “Description of the Certificates,” “Servicing of the Mortgage Loans” and “The Pooling and Servicing Agreement” in the prospectus.

 

The Trust Estate created pursuant to the Pooling and Servicing Agreement will consist of (i) the Mortgage Loans, (ii) such assets as from time to time are identified as deposited in any account held for the benefit of the Certificateholders, (iii) any Mortgaged Properties acquired on behalf of the Certificateholders by foreclosure or by deed in lieu of foreclosure after the Closing Date and (iv) the rights of the Trustee to receive the proceeds of all insurance policies and performance bonds, if any, required to be maintained pursuant to the Pooling and Servicing Agreement.

 

Distributions

 

Distributions (other than the final distribution in retirement of the Offered Certificates of each Class) will be made by check mailed to the address of the person entitled thereto as it appears on the Certificate Register. However, with respect to any holder of an Offered Certificate evidencing at least a $100,000 initial Principal Balance or, in the case of the Class A-3 Certificates, the holder of 3% Percentage Interest, distributions will be made on the Distribution Date by wire transfer in immediately available funds. The final distribution in respect of each Class of Offered Certificates will be made only upon presentation and surrender of the related Certificate at the office or agency appointed by the Trustee specified in the notice of final distribution with respect to the related Class. See “Description of the Certificates — General” in the prospectus.

 

DTC will receive distributions on the Book-Entry Certificates from the Trustee and transmit them to DTC Participants for distribution to Beneficial Owners or their nominees.

 

Voting

 

With respect to any provisions of the Pooling and Servicing Agreement providing for the action, consent or approval of the holders of all Certificates evidencing specified Voting Interests in the Trust Estate, the Interest Only Certificates will be entitled to 1% of the aggregate Voting Interest represented by all Certificates and each remaining Class of Certificates will be entitled to a pro rata portion of the remaining Voting Interest based on the outstanding Principal Balance of such Class. Each Certificateholder of a Class will have a Voting Interest equal to the product of the Voting Interest to which such Class is collectively entitled and the Percentage Interest in such Class represented by such holder’s Certificates. With respect to any provisions of the Pooling and Servicing Agreement providing for action, consent or approval of each Class of Certificates or specified Classes of Certificates, each Certificateholder of a Class will have a Voting Interest in such Class equal to such holder’s Percentage Interest in such Class. Unless Definitive Certificates are issued as described under “Description of the Certificates — Book-Entry Form” in the prospectus, Beneficial Owners of Book-Entry Certificates may exercise their voting rights only through DTC Participants.

 

S-39


Trustee

 

The “Trustee” for the Certificates will be Wachovia Bank, National Association, a national banking association. The corporate trust office of the Trustee is located at 401 South Tryon Street, Charlotte, North Carolina 28288. The Trustee will be required to make Periodic Advances to the limited extent described herein with respect to the Mortgage Loans serviced by Wells Fargo Bank if Wells Fargo Bank, as Servicer, fails to make a Periodic Advance required by the related Underlying Servicing Agreement. See “Description of the Certificates — Periodic Advances” herein. See “The Pooling and Servicing Agreement — The Trustee” in the prospectus.

 

Custodian

 

The “Custodian” for the Mortgage Loans will be the Corporate Trust Services division of Wells Fargo Bank. See “The Pooling and Servicing Agreement — Assignment of Mortgage Loans to the Trustee” in the prospectus.

 

Master Servicer

 

The Corporate Trust Services division of Wells Fargo Bank will act as “Master Servicer” of the Mortgage Loans and, in that capacity, will supervise the servicing of the Mortgage Loans, cause the Mortgage Loans to be serviced in the event an Other Servicer is terminated and a successor servicer is not appointed, provide certain reports to the Trustee regarding the Mortgage Loans and the Certificates and make Periodic Advances to the limited extent described herein. See “Description of the Certificates — Periodic Advances” herein. Under the Pooling and Servicing Agreement, any good faith interpretation of the Master Servicer of any provisions of the Pooling and Servicing Agreement relating to the distributions to be made on or the allocation of any losses to the Certificates which the Master Servicer concludes are ambiguous or unclear will be binding on Certificateholders. The Master Servicer will be entitled to a “Master Servicing Fee” payable monthly equal to the product of (i)  1/12th of 0.010% (the “Master Servicing Fee Rate”) and (ii) the aggregate Scheduled Principal Balance of the Mortgage Loans as of the first day of each month. The Master Servicer will pay certain administrative expenses to the Trust Estate subject to reimbursement as described under “Servicing of the Mortgage Loans — The Master Servicer” in the prospectus.

 

Optional Termination

 

The Seller may purchase from the Trust Estate all of the Mortgage Loans and any REO Properties, and thereby effect early retirement of the Certificates, on any Distribution Date when the aggregate Scheduled Principal Balance of the Mortgage Loans is less than 10% of the aggregate unpaid principal balance of the Mortgage Loans as of the Cut-Off Date. In the event the Seller purchases the Mortgage Loans and any REO Properties as described above, holders of the Certificates, to the extent the purchase price as described in the prospectus under “The Pooling and Servicing Agreement — Termination; Optional Purchase of Mortgage Loans” is sufficient, will receive the unpaid principal balance of their Certificates and any accrued and unpaid interest thereon. For so long as the Seller is subject to regulation by the OCC, the FDIC, the Federal Reserve or the OTS, the Seller may purchase the Mortgage Loans and REO Properties only if the aggregate fair market value of such Mortgage Loans and REO Properties is greater than or equal to the purchase price. The amount, if any, remaining in the Certificate Account after the payment of all principal and interest on the Certificates and expenses of the Upper-Tier REMIC and Lower-Tier REMIC will be distributed to the holders of the Class A-R and Class A-LR Certificates, respectively. See “Description of the Certificates —  Additional Rights of the Residual Certificateholders” herein and “The Pooling and Servicing Agreement — Termination; Optional Purchase of Mortgage Loans” in the prospectus. The exercise of the foregoing option will be in the Seller’s sole discretion. Without limitation, the Seller may enter into agreements with third parties to (i) exercise such option at the direction of such third party or (ii) forbear from the exercise of such option.

 

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SERVICING OF THE MORTGAGE LOANS

 

Wells Fargo Bank and the other servicers listed below (the “Other Servicers,” and collectively with Wells Fargo Bank, the “Servicers”) will service the Mortgage Loans, each pursuant to a separate servicing agreement (each, an “Underlying Servicing Agreement”). The rights to enforce the related Servicer’s obligations under each Underlying Servicing Agreement with respect to the related Mortgage Loans will be assigned to the Trustee for the benefit of Certificateholders. Among other things, the Servicers are obligated under certain circumstances to advance delinquent payments of principal and interest with respect to the Mortgage Loans. See “Servicing of the Mortgage Loans” and “Wells Fargo Bank” in the prospectus.

 

The Servicers

 

The Mortgage Loans initially will be serviced by the following entities:

 

Name of Servicer


   Approximate Percentage
of Unpaid
Principal Balance as of
the Cut-Off Date


 

Wells Fargo Bank

            

Type 1 Loans

   96.42 %      

Type 2 Loans

   0.00 %      
    

     

Wells Fargo Bank Total

         96.42 %

Colonial Savings, F.A.

         2.04 %

Arvest Mortgage Company

         1.44 %

Bank of Oklahoma, N.A.

         0.10 %
          

Total

         100.00 %
          

 

See “Description of the Certificates — Distributions to Certificateholders — Unscheduled Principal Receipts” and “Servicing of the Mortgage Loans — Changes in Servicing” in the prospectus.

 

Fixed Retained Yield; Servicing Compensation and Payment of Expenses

 

A fixed percentage of the interest on each Mortgage Loan (the “Fixed Retained Yield”) will be determined on a loan-by-loan basis and will not be included in the Trust Estate. The Fixed Retained Yield on each Mortgage Loan will equal the greater of (i) zero and (ii) the Mortgage Interest Rate less the sum of (a) 5.500%, (b) the applicable Servicing Fee Rate and (c) the Master Servicing Fee Rate. See “Servicing of the Mortgage Loans —Fixed Retained Yield, Servicing Compensation and Payment of Expenses” in the prospectus for further information regarding Fixed Retained Yield.

 

The primary compensation payable to each of the Servicers is the aggregate of the Servicing Fees applicable to the related Mortgage Loans. The Servicing Fee applicable to each Mortgage Loan is expressed as a fixed percentage (the “Servicing Fee Rate”) of the scheduled principal balance (as defined in the Underlying Servicing Agreements) of such Mortgage Loan as of the first day of each month. The Servicing Fee Rate for each Mortgage Loan is 0.250% per annum. The Servicers also are entitled to additional servicing compensation, as described in the prospectus under “Servicing of the Mortgage Loans — Fixed Retained Yield, Servicing Compensation and Payment of Expenses.”

 

The Master Servicer will pay certain expenses, including fees of the Trustee incurred in connection with its responsibilities under the Pooling and Servicing Agreement, subject to certain rights of reimbursement as described in the prospectus. The servicing fees and other expenses of the Upper-Tier REMIC and the Lower-Tier REMIC will be allocated to the holders of the Class A-R and Class A-LR Certificates, respectively. Unless and until applicable authority provides otherwise, the Master Servicer intends to treat all expenses as incurred by the Lower-Tier REMIC and therefore allocable to the holders of the Class A-LR Certificates. See “Federal Income Tax Considerations” herein and “Certain Federal Income Tax Consequences — Federal Income Tax Consequences for REMIC Certificates — Limitations on Deduction of Certain Expenses” in the prospectus.

 

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DELINQUENCY AND FORECLOSURE EXPERIENCE

 

Certain information concerning recent delinquency and foreclosure experience as reported to the Master Servicer by the applicable servicers on fixed-rate mortgage loans included in various mortgage pools underlying all series of the Seller’s mortgage pass-through certificates is set forth in the tables under “Delinquency and Foreclosure Experience” in the prospectus. There can be no assurance that the delinquency and foreclosure experience set forth in any table with respect to any category of mortgage loans, including categories of mortgage loans similar to the Mortgage Loans included in the Trust Estate, will be representative of the results that may be experienced with respect to the Mortgage Loans included in the Trust Estate.

 

See “Delinquency and Foreclosure Experience” in the prospectus for a discussion of various factors affecting delinquencies and foreclosures generally.

 

FEDERAL INCOME TAX CONSIDERATIONS

 

The following discussion represents the opinion of Cadwalader, Wickersham & Taft LLP as to the anticipated material federal income tax consequences of the purchase, ownership and disposition of the Offered Certificates.        

 

The Trust will consist of two segregated asset groupings, each of which will qualify as a REMIC for federal income tax purposes. One REMIC (the “Lower-Tier REMIC”) will issue certain uncertificated interests (each, a “Lower-Tier REMIC Regular Interest”), each of which will be designated as a regular interest in the Lower-Tier REMIC, and the Class A-LR Certificates, which will be designated as the residual interest in the Lower-Tier REMIC. The assets of the Lower-Tier REMIC will include the Mortgage Loans (exclusive of Fixed Retained Yield), together with the amounts held by the Master Servicer in a separate account in which collections on the Mortgage Loans will be deposited (the “Certificate Account”), the hazard insurance policies and primary mortgage insurance policies, if any, relating to the Mortgage Loans and any property that secured a Mortgage Loan that is acquired by foreclosure or deed in lieu of foreclosure.

 

The second REMIC (the “Upper-Tier REMIC”) will issue all Classes of the Class A Certificates (other than the Class A-LR Certificates) and all Class B Certificates. Each Class of Offered Certificates (other than the Class A-R and Class A-LR Certificates), together with each Class of Certificates not offered hereby (collectively, the “Regular Certificates”) will be designated as regular interests in the Upper-Tier REMIC, and the Class A-R Certificates will be designated as the residual interest in the Upper-Tier REMIC. The Regular Certificates and the Class A-R Certificates are referred to herein collectively as the “Upper-Tier Certificates.” The Class A-R and Class A-LR Certificates are “Residual Certificates” for purposes of the prospectus. The assets of the Upper-Tier REMIC will include the uncertificated Lower-Tier REMIC Regular Interests and a separate account in which distributions on the uncertificated Lower-Tier REMIC Regular Interests will be deposited. The aggregate amount distributed to the holders of the Upper-Tier Certificates, payable from such separate account, will be equal to the aggregate distributions in respect of the Mortgage Loans on the uncertificated Lower-Tier REMIC Regular Interests.

 

The Offered Certificates will be treated as “loans . . . secured by an interest in real property which is . . . residential real property” for a domestic building and loan association, “real estate assets” for a real estate investment trust and, other than the Residual Certificates, “qualified mortgages” for a REMIC to the extent described in the prospectus.

 

Regular Certificates

 

The Regular Certificates generally will be treated as newly originated debt instruments for federal income tax purposes. Beneficial Owners (or in the case of Definitive Certificates, holders) of the Regular Certificates will be required to report income on such Certificates in accordance with the accrual method of accounting.

 

It is anticipated that:

 

  Ÿ The Class A-PO Certificates will be issued with original issue discount equal to the excess of their initial principal balance over their issue price;

 

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    The Class A-3 Certificates will be issued with original issue discount equal to the excess of all distributions of interest expected to be received thereon over their issue price (including accrued interest from the first day of the initial Interest Accrual Period);

 

  Ÿ The Class B-3 Certificates will be issued with original issue discount equal to the excess of their initial Principal Balance (plus three days of accrued interest) over their issue price (including accrued interest from the first day of the initial Interest Accrual Period);

 

    The Class A-1, Class A-4, Class A-5, Class A-6, Class A-7, Class A-8, Class A-9, Class A-10, Class A-11, Class A-15 and Class B-1 Certificates will be issued at a premium;

 

  Ÿ   The Class A-12, Class A-13, Class A-14, Class A-16 and Class B-2 Certificates will be issued with de minimis original issue discount; and

 

    The Class A-2 Certificates will be issued without premium or discount.

 

It is also anticipated that the Class B-4, Class B-5 and Class B-6 Certificates, which are not offered hereby, will be issued with original issue discount.

 

See “Certain Federal Income Tax Consequences — Federal Income Tax Consequences for REMIC Certificates — Taxation of Regular Certificates” in the prospectus.

 

The Prepayment Assumption (as defined in the prospectus) that the Master Servicer intends to use in determining the rate of accrual of original issue discount and whether the original issue discount is considered de minimis, and that may be used by Beneficial Owners (or holders) to amortize premium, will be calculated using 300% SPA. No representation is made as to the actual rate at which the Mortgage Loans will prepay.

 

If the method for computing original issue discount results in a negative amount for any period with respect to any holder of Offered Certificates, the amount of original issue discount allocable to that period would be zero. This is a possibility of particular relevance to a holder of an Interest Only Certificate. The holder would be permitted to offset the negative amount only against future original issue discount, if any, attributable to his or her Certificates. Although the matter is not free from doubt, a holder of an Interest Only Certificate may be permitted to deduct a loss to the extent that his or her respective remaining basis in the Certificate exceeds the maximum amount of future payments to which the holder is entitled, assuming no further prepayments of the applicable Mortgage Loans. Any loss might be treated as a capital loss.

 

Residual Certificates

 

The holders of the Class A-R and Class A-LR Certificates must include the taxable income or loss of the Upper-Tier REMIC and the Lower-Tier REMIC, respectively, in determining their federal taxable income. The Residual Certificates will remain outstanding for federal income tax purposes until there are no Certificates of any other Class outstanding. Prospective investors are cautioned that the Residual Certificateholders’ REMIC taxable income and the tax liability thereon may exceed, and may substantially exceed, cash distributions to such holders during certain periods, in which event, the holders thereof must have sufficient alternative sources of funds to pay such tax liability. Furthermore, it is anticipated that all or a substantial portion of the taxable income of the Upper-Tier REMIC and Lower-Tier REMIC includible by the holders of the Class A-R and Class A-LR Certificates, respectively, will be treated as “excess inclusion” income, resulting in (i) the inability of such holders to use net operating losses to offset such income from the respective REMIC, (ii) the treatment of such income as “unrelated business taxable income” to certain holders who are otherwise tax-exempt and (iii) the treatment of such income as subject to 30% withholding tax to certain non-U.S. investors, with no exemption or treaty reduction.

 

S-43


The Residual Certificates will be considered “noneconomic residual interests,” with the result that transfers thereof would be disregarded for federal income tax purposes if any significant purpose of the transferor was to impede the assessment or collection of tax. Accordingly, the Residual Certificates are subject to certain restrictions on transfer and any prospective transferee thereof will be required to furnish to the Trustee an affidavit as described under “Certain Federal Income Tax Consequences — Federal Income Tax Consequences for REMIC Certificates — Taxation of Residual Certificates — Tax-Related Restrictions on Transfer of Residual Certificates — Noneconomic Residual Interests” in the prospectus. See also “Certain Federal Income Tax Consequences — Federal Income Tax Consequences for REMIC Certificates — Taxation of Residual Certificates — Limitations on Offset or Exemption of REMIC Income” in the prospectus.

 

An individual, trust or estate that holds a Residual Certificate (whether such Certificate is held directly or indirectly through certain pass-through entities) also may have additional gross income with respect to, but may be subject to limitations on the deductibility of, Servicing Fees on the Mortgage Loans and other administrative expenses of the applicable REMIC in computing such holder’s regular tax liability, and may not be able to deduct such fees or expenses to any extent in computing such holder’s alternative minimum tax liability. In addition, some portion of a purchaser’s basis, if any, in a Residual Certificate may not be recovered until termination of the related REMIC.

 

Due to the special tax treatment of residual interests, the effective after-tax return of the Residual Certificates may be significantly lower than would be the case if the Residual Certificates were taxed as debt instruments, or may be negative.

 

See “Certain Federal Income Tax Consequences” in the prospectus.

 

ERISA CONSIDERATIONS

 

The Residual Certificates may not be purchased by or transferred to a Plan or a person acting on behalf of or investing the assets of a Plan. See “Description of the Certificates — Restrictions on Transfer of the Residual Certificates” herein.

 

Accordingly, the following discussion applies to the Offered Certificates (other than the Residual Certificates) and does not purport to discuss the considerations under ERISA, Code Section 4975 or Similar Law with respect to the purchase, acquisition or resale of a Residual Certificate.

 

As described in the prospectus under “ERISA Considerations,” ERISA and the Code impose certain duties and restrictions on ERISA Plans and certain persons who perform services for ERISA Plans. Comparable duties and restrictions may exist under Similar Law on governmental plans and certain persons who perform services for governmental plans. For example, unless exempted, investment by a Plan in the Offered Certificates may constitute a prohibited transaction under ERISA, the Code or Similar Law. There are certain exemptions issued by the United States Department of Labor (the “DOL”) that may be applicable to an investment by an ERISA Plan in the Offered Certificates, including the individual administrative exemption described below. For a further discussion of the individual administrative exemption, including the necessary conditions to its applicability, and other important factors to be considered by an ERISA Plan contemplating investing in the Offered Certificates, see “ERISA Considerations” in the prospectus.

 

The DOL issued an Underwriter Exemption to Greenwich Capital Markets, Inc. (“RBS Greenwich Capital”). This Underwriter Exemption might apply to the acquisition, holding and resale of the Offered Certificates by an ERISA Plan, provided that specified conditions are met.

 

Among the conditions which would have to be satisfied for the Underwriter Exemption to apply to the acquisition by an ERISA Plan of the Offered Certificates is the condition that the ERISA Plan investing in the Offered Certificates be an “accredited investor” as defined in Rule 501(a)(1) of Regulation D of the Securities and Exchange Commission under the Securities Act of 1933, as amended (the “Securities Act”).

 

S-44


Before purchasing an Offered Certificate, a fiduciary of an ERISA Plan should make its own determination as to the availability of the exemptive relief provided in the Underwriter Exemption or the availability of any other prohibited transaction exemptions, and whether the conditions of any such exemption will be applicable to the Offered Certificates, and a fiduciary of a governmental plan should make its own determination as to the need for and availability of any exemptive relief under Similar Law. Any fiduciary of an ERISA Plan considering whether to purchase an Offered Certificate should also carefully review with its own legal advisors the applicability of the fiduciary duty and prohibited transaction provisions of ERISA and the Code to such investment. See “ERISA Considerations” in the prospectus.

 

LEGAL INVESTMENT

 

The Class A and Class B-1 Certificates constitute “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984, as amended (“SMMEA”) so long as they are rated in one of the two highest rating categories by at least one nationally recognized statistical rating organization. The Class B-2 and Class B-3 Certificates will not constitute “mortgage related securities” under SMMEA.

 

Prospective purchasers whose investment activities are subject to legal investment laws and regulations, regulatory capital requirements or review by regulatory authorities may be subject to restrictions on investment in the Offered Certificates and should consult their own legal, tax and accounting advisors in determining the suitability of and consequences to them of the purchase, ownership and disposition of the Offered Certificates. See “Legal Investment” in the prospectus.

 

SECONDARY MARKET

 

There will not be any market for the Offered Certificates prior to the issuance thereof. The Underwriter intends to act as a market maker in the Offered Certificates, subject to applicable provisions of federal and state securities laws and other regulatory requirements, but is under no obligation to do so. There can be no assurance that a secondary market in the Offered Certificates will develop or, if such a market does develop, that it will provide holders of Offered Certificates with liquidity of investment at any particular time or for the life of the Offered Certificates. As a source of information concerning the Certificates and the Mortgage Loans, prospective investors in Certificates may obtain copies of the Monthly Reports to Certificateholders described under “The Pooling and Servicing Agreement — Reports to Certificateholders” in the prospectus upon written request to the Trustee at the Corporate Trust Office.

 

UNDERWRITING

 

Subject to the terms and conditions of the underwriting agreement dated May 10, 2004 and the terms agreement dated June 28, 2005 (together, the “Underwriting Agreement) among Wells Fargo Bank, the Seller and RBS Greenwich Capital, as underwriter (the “Underwriter”), the Offered Certificates are being purchased from the Seller by the Underwriter upon issuance thereof. The Underwriter, which is not an affiliate of the Seller, is committed to purchase all of the Offered Certificates if any such Certificates are purchased. The Underwriter has advised the Seller that it proposes to offer the Offered Certificates, from time to time, for sale in negotiated transactions or otherwise at prices determined at the time of sale. Proceeds to the Seller from the sale of the Offered Certificates are expected to be approximately $599,927,627 plus accrued interest thereon from the Cut-Off Date to (but not including) the Closing Date before deducting expenses payable by the Seller estimated to be $275,000. The Underwriter has advised the Seller that it has not allocated the purchase price paid to the Seller for the Class A Non-PO Certificates among such Classes and has allocated the purchase price paid to the Seller for the Class A-PO Certificates.

 

S-45


The Underwriter and any dealers that participate with the Underwriter in the distribution of the Offered Certificates may be deemed to be underwriters, and any discounts or commissions received by them and any profit on the resale of Offered Certificates by them may be deemed to be underwriting discounts or commissions, under the Securities Act.

 

The Underwriting Agreement provides that the Seller or Wells Fargo Bank will indemnify the Underwriter against certain civil liabilities under the Securities Act or contribute to payments which the Underwriter may be required to make in respect thereof.

 

This prospectus supplement and the prospectus may be used by Wells Fargo Brokerage Services, LLC, an affiliate of the Seller and Wells Fargo Bank, to the extent required, in connection with market making transactions in the Offered Certificates. Wells Fargo Brokerage Services, LLC may act as principal or agent in such transactions.

 

LEGAL MATTERS

 

The validity of the Offered Certificates and certain tax matters with respect thereto will be passed upon for the Seller by Cadwalader, Wickersham & Taft LLP, New York, New York. Certain legal matters will be passed upon for the Underwriter by Stroock & Stroock & Lavan LLP, New York, New York.

 

USE OF PROCEEDS

 

The net proceeds to be received from the sale of the Offered Certificates will be applied by the Seller to the purchase from Wells Fargo Bank of the Mortgage Loans underlying the Certificates.

 

RATINGS

 

It is a condition to the issuance of the Offered Certificates that each such class will have received at least the rating set forth in the table on page S-4 from Fitch Ratings (“Fitch”) and Moody’s Investors Service, Inc. (“Moody’s,” and together with Fitch, the “Rating Agencies”). A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency. Each security rating should be evaluated independently of any other security rating.

 

The ratings of Fitch on mortgage pass-through certificates address the likelihood of the receipt by certificateholders of all distributions to which such certificateholders are entitled. Fitch’s rating opinions address the structural and legal aspects associated with the certificates, including the nature of the underlying mortgage loans. Fitch’s ratings on mortgage pass-through certificates do not represent any assessment of the likelihood or rate of principal prepayments and consequently any adverse effect the timing of such prepayments could have on an investor’s anticipated yield.

 

The ratings of Moody’s on mortgage pass-through certificates address the likelihood of the receipt by certificateholders of all distributions of principal and interest to which such certificateholders are entitled. Moody’s rating opinions address the structural, legal and issuer aspects associated with the certificates, including the nature of the underlying mortgage loans and the credit quality of the credit support provider, if any. Moody’s ratings on mortgage pass-through certificates do not represent any assessment of the likelihood that principal prepayments may differ from those originally anticipated and consequently any adverse effect the timing of such prepayments could have on an investor’s anticipated yield.

 

The ratings of Fitch and Moody’s also do not address the possibility that, as a result of principal prepayments, a holder of an Interest Only Certificate may not fully recover its initial investment. In addition, the ratings of Fitch and Moody’s on a Class of Principal Only Certificates only address the return of the Principal Balance of such Class.

 

The Seller has not requested a rating on the Offered Certificates of any Class by any rating agency other than Fitch and Moody’s, although data with respect to the Mortgage Loans may have been provided to other rating agencies solely for their informational purposes. There can be no assurance that any rating assigned by any other rating agency to the Offered Certificates will be as high as those assigned by Fitch and Moody’s.

 

S-46


INDEX OF SIGNIFICANT

PROSPECTUS SUPPLEMENT DEFINITIONS

 

Term


   Page

Adjusted Pool Amount    S-19
Adjusted Pool Amount (Non-PO Portion)    S-20
Adjusted Pool Amount (PO Portion)    S-20
Aggregate Non-PO Principal Balance    S-19
Aggregate Principal Balance    S-19
Assumed Discount Mortgage Loan    S-36
Assumed Mortgage Loans    S-36
Assumed Premium Mortgage Loan    S-36
Bulk Purchase Underwritten Loans    S-31
CBE    S-37
Certificate Account    S-42
Certificates    S-16
Class A Certificates    S-16
Class A Non-PO Certificates    S-16

Class A Non-PO Optimal

    Principal Amount

   S-22
Class A Non-PO Principal Balance    S-19
Class A Non-PO Principal Distribution     Amount    S-21
Class A Percentage    S-23
Class A Prepayment Percentage    S-23
Class A Principal Balance    S-19
Class A-PO Deferred Amount    S-22
Class A-PO Distribution Amount    S-21
Class A-PO Optimal Principal Amount    S-22
Class B Certificates    S-16
Class B Optimal Principal Amount    S-22
Class B Percentage    S-24
Class B Prepayment Percentage    S-24
Class B Principal Balance    S-19
Class B Principal Distribution Amount    S-21
Class Percentage    S-22
Class Prepayment Percentage    S-22
CLTV    S-30
Code    S-27
Combined Loan-to-Value Ratio    S-30
Current Fractional Interest    S-24
Custodian    S-40
Delinquency and Loss Tests    S-24
Discount Mortgage Loan    S-23
DOL    S-44
ERISA    S-27
ERISA Plan    S-27
FICO Scores    S-30
Fitch    S-46
Fixed Retained Yield    S-41
Interest Accrual Amount    S-18
Interest Accrual Period    S-18
Interest Shortfall Amount    S-21
LIBOR Based Interest Accrual Period    S-18
Loss Severity Percentage    S-38

Lower-Tier REMIC

   S-42

Lower-Tier REMIC Regular Interest

   S-42

LPMI Policy

   S-30
Master Servicer    S-40
Master Servicing Fee    S-40
Master Servicing Fee Rate    S-40
Moody’s    S-46
Mortgage Loans    S-29

Term


   Page

Mortgaged Properties    S-29
Mortgages    S-29
Net Mortgage Interest Rate    S-20
Non-PO Fraction    S-23
Non-Supported Interest Shortfalls    S-20
Notional Amount    S-19
Offered Certificates    S-16
Original Class B Principal Balance    S-24
Original Fractional Interest    S-24
Other Servicers    S-41
Pass-Through Rate    S-18
Percentage Interest    S-18
Periodic Advance    S-27
Plan    S-27
PO Fraction    S-23
Pool Balance (Non-PO Portion)    S-23
Pool Balance (PO Portion)    S-23
Pool Distribution Amount    S-16
Pool Distribution Amount Allocation    S-17
Pooling and Servicing Agreement    S-39
Premium Mortgage Loan    S-23
Prepayment Shift Percentage    S-26
Principal Balance    S-19
Priority Amount    S-25
Priority Percentage    S-25

PUDs

   S-30
Rating Agencies    S-46
RBS Greenwich Capital    S-44
Record Date    S-16
Regular Certificates    S-42
Regular Interest Accrual Period    S-18
Relief Act Shortfalls    S-21
Residual Certificates    S-42
Scheduled Principal Amount    S-25
SDA    S-38
Securities Act    S-44
Seller    S-29
Servicers    S-41
Servicing Fee Rate    S-41
Shift Percentage    S-26
Similar Law    S-27
SMMEA    S-45
SPA    S-35
Structuring Assumptions    S-36
Subordinated Certificates    S-16
Subordinated Percentage    S-24
Subordinated Prepayment Percentage    S-24
Subordination Depletion Date    S-28
Trust    S-16
Trustee    S-40
Underlying Servicing Agreement    S-41
Underwriter    S-45
Underwriting Agreement    S-45
Underwriting Standards    S-31
Unscheduled Principal Amount    S-26

Upper-Tier Certificates

   S-42

Upper-Tier REMIC

   S-42
Weighted Average Life    S-35
Wells Fargo Bank    S-39

 

S-47


APPENDIX A

 

SELECTED MORTGAGE LOAN DATA

(as of the Cut-Off Date)

 

    

All Mortgage

Loans


  

Premium Mortgage

Loans


  

Discount Mortgage

Loans


Number of Mortgage Loans

   1,130    643    487

Aggregate Unpaid Principal Balance

   $600,237,078    $334,439,413    $265,797,665

Range of Unpaid Principal Balances

   $50,400 to $1,993,853    $50,400 to $1,993,853    $127,866 to $1,569,820

Average Unpaid Principal Balance

   $531,183    $520,124    $545,786

Range of Current Mortgage Interest Rates

   5.375% to 6.500%    5.875% to 6.500%    5.375% to 5.750%

Weighted Average Current Mortgage Interest Rate

   5.853%    5.966%    5.712%

Weighted Average Current Net Mortgage Interest Rate

   5.479%    5.500%    5.452%

Range of Remaining Terms to Stated Maturity

   330 to 360 Months    330 to 360 Months    356 to 360 Months

Weighted Average Remaining Term to Stated Maturity

   359 Months    359 Months    359 Months

Range of Original Loan-to-Value Ratios

   12.20% to 95.00%    12.20% to 95.00%    25.76% to 95.00%

Weighted Average Original Loan-to-Value Ratio

   69.13%    69.61%    68.53%

Range of Original Combined Loan-to-Value Ratios

   17.81% to 100.00%    17.81% to 100.00%    28.32% to 100.00%

Weighted Average Original Combined Loan-to-Value Ratio

   73.45%    73.72%    73.10%

Number of Mortgage Loans with Original Loan-to-Value Ratios
greater than 80% not covered by Primary Mortgage Insurance

   0    0    0

Mortgage Loans with Original Loan-to-Value Ratios greater than 80% not covered by Primary Mortgage Insurance as a Percentage of Aggregate Unpaid Principal Balance

   0.00%    0.00%    0.00%

Number of Mortgage Loans covered by an LPMI Policy

   1    0    1

Mortgage Loans covered by an LPMI Policy as a Percentage of Aggregate Unpaid Principal Balance

   0.08%    0.00%    0.18%

Weighted Average Original Loan-to-Value Ratio of Mortgage Loans with Original Principal Balances greater than $600,000

   67.63%    67.86%    67.33%

Maximum Original Loan-to-Value Ratio of Mortgage Loans with Original Principal Balances greater than $600,000

   80.00%    80.00%    80.00%

 

A-1


APPENDIX A (Continued)

 

SELECTED MORTGAGE LOAN DATA (Continued)

(as of the Cut-Off Date)

 

Geographic Concentration of Mortgaged Properties Securing Mortgage Loans in
Excess of 5% of the Aggregate Unpaid Principal Balance

              

California

   38.77%    38.87%    38.64%

New York

   6.87%    8.31%    5.06%

Virginia

   5.38%    *    7.49%

Maryland

   *    5.62%    *

Maximum Five-Digit Zip Code Concentration

   0.61%    0.78%    1.39%

Earliest Origination Month

   August 2004    August 2004    February 2005

Latest Origination Month

   July 2005    July 2005    June 2005
Latest Stated Maturity Date    July 1, 2035    July 1, 2035    July 1, 2035

Number of Buy-Down Loans

   6    3    3

Buy-Down Loans as a Percentage of Aggregate Unpaid Principal Balance

   0.33%    0.38%    0.27%

Number of Relocation Mortgage Loans

   0    0    0

Relocation Mortgage Loans as a Percentage of Aggregate Unpaid Principal Balance

   0.00%    0.00%    0.00%

Number of Subsidy Loans

   0    0    0

Subsidy Loans as a Percentage of Aggregate Unpaid Principal Balance

   0.00%    0.00%    0.00%

Number of Home Asset ManagementSM Account Loans

   13    8    5

Home Asset ManagementSM Account Loans as a Percentage of Aggregate Unpaid Principal Balance

   0.93%    1.02%    0.82%

Number of LOC Pledged Asset Mortgage Loans

   0    0    0

LOC Pledged Asset Mortgage Loans as a Percentage of Aggregate Unpaid Principal Balance

   0.00%    0.00%    0.00%

Weighted Average FICO Score(1)

   747    742    753
 
  (1) Does not include the Mortgage Loans for which FICO Scores are not available.
  * Less than 5% of the aggregate unpaid principal balance as of the Cut-Off Date.

 

A-2


APPENDIX A (Continued)

 

MORTGAGE LOAN DATA

 

CURRENT MORTGAGE INTEREST RATES

 

Range of
Current Mortgage
Interest Rates


  Number

 

Aggregate
Unpaid

Principal

Balance


  Percentage
of Total
Aggregate
Unpaid
Principal
Balance


 

5.250% to 5.499%

  6   $ 3,333,270.15   0.56 %

5.500% to 5.749%

  109     61,030,264.67   10.17  

5.750% to 5.999%

  734     395,869,311.97   65.95  

6.000% to 6.249%

  219     111,325,875.40   18.55  

6.250% to 6.499%

  55     25,432,695.73   4.24  

6.500% to 6.500%

  7     3,245,659.68   0.54  
   
 

 

Total

  1,130   $ 600,237,077.60   100.00 %
   
 

 

 

DOCUMENTATION LEVELS

 

Documentation Level


  Number

 

Aggregate

Unpaid

Principal

Balance


  Percentage
of Total
Aggregate
Unpaid
Principal
Balance


 

Full Documentation

  622   $ 339,137,700.73   56.50 %

Income Verification

  12     7,291,315.04   1.21  

Asset Verification

  383     201,310,497.98   33.54  

No Documentation

  113     52,497,563.85   8.75  
   
 

 

Total

  1,130   $ 600,237,077.60   100.00 %
   
 

 

REMAINING TERMS TO STATED

MATURITY

 

Remaining Stated Term
(Months)


   Number

   Aggregate
Unpaid
Principal
Balance


   Percentage
of Total
Aggregate
Unpaid
Principal
Balance


 

330

   1    $ 548,114.01    0.09 %

335

   1      288,667.29    0.05  

336

   1      426,000.00    0.07  

350

   2      1,034,212.81    0.17  

355

   1      391,024.19    0.07  

356

   1      438,149.16    0.07  

357

   27      16,623,005.87    2.77  

358

   39      21,995,686.73    3.66  

359

   757      403,157,706.54    67.17  

360

   300      155,334,511.00    25.88  
    
  

  

Total

   1,130    $ 600,237,077.60    100.00 %
    
  

  

 

YEARS OF ORIGINATION

 

Year of Origination


   Number

   Aggregate
Unpaid
Principal
Balance


   Percentage
of Total
Aggregate
Unpaid
Principal
Balance


 

2004.

   2    $ 1,034,212.81    0.17 %

2005.

   1,128      599,202,864.79    99.83  
    
  

  

Total

   1,130    $ 600,237,077.60    100.00 %
    
  

  

 

A-3


APPENDIX A (Continued)

 

MORTGAGE LOAN DATA

 

PROPERTY TYPES

 

Property Type


  Number

 

Aggregate

Unpaid

Principal

Balance


  Percentage
of Total
Aggregate
Unpaid
Principal
Balance


 

Single-family dwellings

  1,050   $ 558,595,435.67   93.06 %

Two-to four-family units

  10     6,365,472.84   1.06  

Condominiums

               

High-rise (greater than four stories)

  16     10,156,820.09   1.69  

Low-rise (four stories or less)

  50     23,238,335.25   3.87  

Cooperative Units

  4     1,881,013.75   0.31  

Manufactured Homes

  0     0.00   0.00  
   
 

 

Total

  1,130   $ 600,237,077.60   100.00 %
   
 

 

GEOGRAPHIC AREAS

 

Geographic Area


  Number

 

Aggregate
Unpaid

Principal
Balance


  Percentage
of Total
Aggregate
Unpaid
Principal
Balance


 

Alabama

  1   $ 499,452.72   0.08 %

Arizona

  21     9,750,672.04   1.62  

Arkansas

  14     6,874,823.51   1.15  

California

  420     232,687,726.05   38.77  

Colorado

  30     17,228,794.88   2.87  

Connecticut

  19     10,563,521.04   1.76  

Delaware

  5     3,207,575.75   0.53  

District of Columbia

  6     3,436,383.29   0.57  

Florida

  40     19,759,523.70   3.29  

Georgia

  23     11,227,612.53   1.87  

Hawaii

  3     2,185,615.66   0.36  

Idaho

  5     1,865,735.15   0.31  

Illinois

  43     22,649,299.58   3.77  

Indiana

  1     50,400.00   0.01  

Iowa

  3     1,547,406.01   0.26  

Kansas

  3     2,201,408.70   0.37  

Kentucky

  2     1,085,000.00   0.18  

Louisiana

  6     3,773,960.41   0.63  

Maine

  1     997,997.56   0.17  

Maryland

  58     28,862,928.98   4.81  

Massachusetts

  32     17,681,002.26   2.95  

Michigan

  5     1,900,870.20   0.32  

Minnesota

  33     17,908,173.73   2.98  

Mississippi

  1     190,255.53   0.03  

Missouri

  6     3,815,448.38   0.64  

Montana

  1     350,000.00   0.06  

Nebraska

  1     525,000.00   0.09  

Nevada

  10     4,512,275.06   0.75  

New Hampshire

  1     374,617.67   0.06  

New Jersey

  48     25,361,179.86   4.23  

New Mexico

  5     2,212,803.11   0.37  

New York

  75     41,238,591.93   6.87  

North Carolina

  21     10,655,852.17   1.78  

Ohio

  3     1,516,025.16   0.25  

Oklahoma

  3     2,090,628.86   0.35  

Oregon

  18     9,342,109.65   1.56  

Pennsylvania

  18     11,203,775.90   1.87  

South Carolina

  4     2,054,005.32   0.34  

Tennessee

  2     925,176.18   0.15  

Texas

  29     12,242,479.84   2.04  

Utah

  2     924,585.25   0.15  

Vermont

  1     648,337.29   0.11  

Virginia

  65     32,285,645.50   5.38  

Washington

  30     14,231,974.04   2.37  

West Virginia

  2     520,464.37   0.09  

Wisconsin

  10     5,069,962.78   0.84  
   
 

 

Total

  1,130   $ 600,237,077.60   100.00 %
   
 

 

ORIGINAL LOAN-TO-VALUE RATIOS

 

Range of
Original
Loan-to-Value
Ratios


  Number

 

Aggregate

Unpaid

Principal
Balance


  Percentage
of Total
Aggregate
Unpaid
Principal
Balance


 

50% or less

  116   $ 63,627,759.98   10.60 %

50.01% to 55.00%

  53     28,817,729.59   4.80  

55.01% to 60.00%

  55     30,900,187.13   5.15  

60.01% to 65.00%

  116     65,134,286.47   10.85  

65.01% to 70.00%

  122     71,850,335.89   11.97  

70.01% to 75.00%

  166     88,014,714.13   14.66  

75.01% to 80.00%

  478     242,811,284.60   40.45  

80.01% to 85.00%

  1     405,385.24   0.07  

85.01% to 90.00%

  9     3,535,050.15   0.59  

90.01% to 95.00%

  14     5,140,344.42   0.86  
   
 

 

Total

  1,130   $ 600,237,077.60   100.00 %
   
 

 

 

ORIGINAL COMBINED

LOAN-TO-VALUE RATIOS

Range of Original Combined

Loan-to-Value Ratios


  Number

 

Aggregate

Unpaid

Principal

Balance


  Percentage
of Total
Aggregate
Unpaid
Principal
Balance


 

50% or less

  87   $ 47,679,757.52   7.94 %

50.01% to 55.00%

  45     24,856,871.03   4.14  

55.01% to 60.00%

  44     22,444,524.14   3.74  

60.01% to 65.00%

  103     56,782,739.61   9.46  

65.01% to 70.00%

  106     62,009,764.85   10.33  

70.01% to 75.00%

  157     83,455,576.48   13.90  

75.01% to 80.00%

  317     167,816,061.53   27.96  

80.01% to 85.00%

  23     13,010,385.93   2.17  

85.01% to 90.00%

  133     69,054,406.25   11.50  

90.01% to 95.00%

  86     44,463,599.63   7.41  

95.01% to 100.00%

  29     8,663,390.63   1.44  
   
 

 

Total

  1,130   $ 600,237,077.60   100.00 %
   
 

 

 

FICO SCORES

Range of

FICO Scores


  Number

 

Aggregate

Unpaid

Principal

Balance


  Percentage
of Total
Aggregate
Unpaid
Principal
Balance


   

Weighted
Average
Original
Loan-to-

Value
Ratio


 

300 to 350

  0   $ 0.00   0.00 %   0.00 %

351 to 400

  0     0.00   0.00     0.00  

401 to 450

  0     0.00   0.00     0.00  

451 to 500

  0     0.00   0.00     0.00  

501 to 550

  0     0.00   0.00     0.00  

551 to 600

  1     508,500.00   0.08     90.00  

601 to 650

  29     13,380,916.33   2.23     70.43  

651 to 700

  167     83,644,762.10   13.94     71.85  

701 to 750

  322     170,692,298.97   28.44     69.64  

751 to 800

  538     293,231,491.97   48.85     68.06  

801 to 850

  70     37,166,868.03   6.19     67.80  

Not Available

  3     1,612,240.20   0.27     83.80  
   
 

 

 

Total/Weighted Average

  1,130   $ 600,237,077.60   100.00 %   69.13 %
   
 

 

 

 

A-4


APPENDIX A (Continued)

 

MORTGAGE LOAN DATA

 

 

ORIGINAL PRINCIPAL BALANCES

 

Range of Original
Principal Balances


  Number

 

Aggregate
Unpaid

Principal

Balance


  Percentage
of Total
Aggregate
Unpaid
Principal
Balance


 

Less than or equal to $50,000

  0   $ 0.00   0.00 %

$50,001 to $100,000

  9     710,734.45   0.12  

$100,001 to $150,000

  11     1,437,828.11   0.24  

$150,001 to $200,000

  13     2,226,772.73   0.37  

$200,001 to $250,000

  11     2,532,710.57   0.42  

$250,001 to $300,000

  9     2,519,235.38   0.42  

$300,001 to $350,000

  11     3,651,762.56   0.61  

$350,001 to $400,000

  152     58,754,750.13   9.79  

$400,001 to $450,000

  204     86,905,954.37   14.48  

$450,001 to $500,000

  176     84,138,443.44   14.02  

$500,001 to $550,000

  126     66,344,887.70   11.05  

$550,001 to $600,000

  116     67,235,551.06   11.20  

$600,001 to $650,000

  97     61,349,264.18   10.22  

$650,001 to $700,000

  41     27,858,877.15   4.64  

$700,001 to $750,000

  46     33,547,076.25   5.59  

$750,001 to $800,000

  23     18,014,356.69   3.00  

$800,001 to $850,000

  19     15,855,893.19   2.64  

$850,001 to $900,000

  17     15,020,940.73   2.50  

$900,001 to $950,000

  8     7,388,386.03   1.23  

$950,001 to $1,000,000

  34     33,687,609.94   5.61  

Over $1,000,000

  7     11,056,042.94   1.84  
   
 

 

Total

  1,130   $ 600,237,077.60   100.00 %
   
 

 

 

ORIGINATORS

Originator


  Number

 

Aggregate

Unpaid

Principal

Balance


  Percentage
of Total
Aggregate
Unpaid
Principal
Balance


 

Wells Fargo Bank or Affiliate

  825   $ 437,203,883.92   72.84 %

Other Originators

  305     163,033,193.68   27.16  
   
 

 

Total

  1,130   $ 600,237,077.60   100.00 %
   
 

 

 

PURPOSES

Purpose


  Number

 

Aggregate

Unpaid

Principal

Balance


  Percentage
of Total
Aggregate
Unpaid
Principal
Balance


 

Purchase

  585   $ 317,133,016.33   52.83 %

Equity Take Out Refinance

  360     178,425,950.89   29.73  

Rate/Term Refinance

  185     104,678,110.38   17.44  
   
 

 

Total

  1,130   $ 600,237,077.60   100.00 %
   
 

 

 

OCCUPANCY TYPES

Occupancy Type


  Number

 

Aggregate

Unpaid

Principal

Balance


  Percentage
of Total
Aggregate
Unpaid
Principal
Balance


 

Investment Property

  0   $ 0.00   0.00 %

Primary Residence

  1,075     569,167,101.00   94.82  

Second Home

  55     31,069,976.60   5.18  
   
 

 

Total

  1,130   $ 600,237,077.60   100.00 %
   
 

 

 

A-5


APPENDIX B

 

Percentage of Initial Principal Balance Outstanding For:

 

   

Class A-1, Class A-2 and Class A-3(2)

Certificates at the
Following Percentages of
SPA


  

Class A-4 and Class A-13

Certificates at the
Following Percentages of
SPA


Distribution Date


  0%

  100%

  300%

  400%

  500%

  750%

  1000%

   0%

  100%

  300%

  400%

  500%

  750%

  1000%

Initial

  100   100   100   100   100   100   100    100   100   100   100   100   100   100

July 2006

  98   96   92   90   88   83   78    100   100   100   100   100   100   100

July 2007

  97   89   76   69   62   46   32    100   100   100   100   100   100   100

July 2008

  95   80   55   43   32   9   0    100   100   100   100   100   100   100

July 2009

  93   72   37   23   11   0   0    100   100   100   100   100   100   53

July 2010

  90   63   23   8   0   0   0    100   100   100   100   100   71   4

July 2011

  88   56   12   0   0   0   0    98   96   93   90   88   31   0

July 2012

  86   50   5   0   0   0   0    96   92   84   80   75   11   0

July 2013

  84   44   0   0   0   0   0    94   87   73   66   59   3   0

July 2014

  82   39   0   0   0   0   0    92   81   61   52   41   1   0

July 2015

  79   34   0   0   0   0   0    90   74   49   38   28   1   0

July 2016

  76   29   0   0   0   0   0    87   68   39   28   19   *   0

July 2017

  74   25   0   0   0   0   0    85   62   31   21   13   *   0

July 2018

  71   21   0   0   0   0   0    82   56   24   15   9   *   0

July 2019

  67   17   0   0   0   0   0    79   51   19   11   6   *   0

July 2020

  64   14   0   0   0   0   0    76   46   15   8   4   *   0

July 2021

  60   10   0   0   0   0   0    73   41   12   6   3   *   0

July 2022

  57   7   0   0   0   0   0    69   37   9   4   2   *   0

July 2023

  53   4   0   0   0   0   0    65   33   7   3   1   *   0

July 2024

  48   2   0   0   0   0   0    61   29   6   2   1   *   0

July 2025

  44   0   0   0   0   0   0    57   25   4   2   1   *   0

July 2026

  39   0   0   0   0   0   0    53   22   3   1   *   *   0

July 2027

  34   0   0   0   0   0   0    48   19   2   1   *   *   0

July 2028

  28   0   0   0   0   0   0    43   16   2   1   *   *   0

July 2029

  23   0   0   0   0   0   0    38   13   1   *   *   *   0

July 2030

  16   0   0   0   0   0   0    33   11   1   *   *   *   0

July 2031

  10   0   0   0   0   0   0    27   8   1   *   *   *   0

July 2032

  3   0   0   0   0   0   0    20   6   *   *   *   *   0

July 2033

  0   0   0   0   0   0   0    14   4   *   *   *   *   0

July 2034

  0   0   0   0   0   0   0    7   2   *   *   *   *   0

July 2035

  0   0   0   0   0   0   0    0   0   0   0   0   0   0

Weighted Average
Life (years)(1)

  17.12   8.06   3.52   2.86   2.46   1.91   1.61    20.41   15.32   10.88   9.82   9.01   5.76   4.16
   

Class A-5 and Class A-6

Certificates at the
Following Percentages of
SPA


  

Class A-7

Certificates at the
Following Percentages of
SPA


Distribution Date


  0%

  100%

  200%

  300%

  400%

  500%

  750%

  1000%

   0%

  100%

  200%

  300%

  400%

  500%

  750%

  1000%

Initial

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   100

July 2006

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   100

July 2007

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   100

July 2008

  100   100   100   100   100   100   100   0    100   100   100   100   100   100   100   0

July 2009

  100   100   100   100   100   100   0   0    100   100   100   100   100   100   0   0

July 2010

  100   100   100   100   100   0   0   0    100   100   100   100   100   97   0   0

July 2011

  100   100   100   100   53   0   0   0    100   100   100   100   100   0   0   0

July 2012

  100   100   100   100   0   0   0   0    100   100   100   100   0   0   0   0

July 2013

  100   100   100   70   0   0   0   0    100   100   100   100   0   0   0   0

July 2014

  100   100   100   0   0   0   0   0    100   100   100   66   0   0   0   0

July 2015

  100   100   100   0   0   0   0   0    100   100   100   0   0   0   0   0

July 2016

  100   100   100   0   0   0   0   0    100   100   100   0   0   0   0   0

July 2017

  100   100   98   0   0   0   0   0    100   100   100   0   0   0   0   0

July 2018

  100   100   24   0   0   0   0   0    100   100   100   0   0   0   0   0

July 2019

  100   100   0   0   0   0   0   0    100   100   60   0   0   0   0   0

July 2020

  100   100   0   0   0   0   0   0    100   100   4   0   0   0   0   0

July 2021

  100   100   0   0   0   0   0   0    100   100   0   0   0   0   0   0

July 2022

  100   100   0   0   0   0   0   0    100   100   0   0   0   0   0   0

July 2023

  100   100   0   0   0   0   0   0    100   100   0   0   0   0   0   0

July 2024

  100   100   0   0   0   0   0   0    100   100   0   0   0   0   0   0

July 2025

  100   74   0   0   0   0   0   0    100   100   0   0   0   0   0   0

July 2026

  100   11   0   0   0   0   0   0    100   100   0   0   0   0   0   0

July 2027

  100   0   0   0   0   0   0   0    100   52   0   0   0   0   0   0

July 2028

  100   0   0   0   0   0   0   0    100   0   0   0   0   0   0   0

July 2029

  100   0   0   0   0   0   0   0    100   0   0   0   0   0   0   0

July 2030

  100   0   0   0   0   0   0   0    100   0   0   0   0   0   0   0

July 2031

  100   0   0   0   0   0   0   0    100   0   0   0   0   0   0   0

July 2032

  100   0   0   0   0   0   0   0    100   0   0   0   0   0   0   0

July 2033

  0   0   0   0   0   0   0   0    93   0   0   0   0   0   0   0

July 2034

  0   0   0   0   0   0   0   0    0   0   0   0   0   0   0   0

July 2035

  0   0   0   0   0   0   0   0    0   0   0   0   0   0   0   0

Weighted Average
Life (years)(1)

  27.74   20.41   12.68   8.22   6.06   4.87   3.49   2.79    28.25   22.08   14.22   9.26   6.60   5.22   3.68   2.93

(1) The Weighted Average Life of an Offered Certificate is determined by (i) multiplying the amount of net reduction of Principal Balance or Notional Amount, as the case may be, by the number of years from the date of the issuance of such Certificate to the related Distribution Date, (ii) adding the results and (iii) dividing the sum by the aggregate net reduction of Principal Balance or Notional Amount, as the case may be, referred to in clause (i).
(2) With respect to the Class A-3 Certificates, percentages are expressed as percentages of initial Notional Amount.
*   Indicates a percentage greater than zero but less than 0.5% of the initial Principal Balance or Notional Amount of such Class.

 

B-1


APPENDIX B (Continued)

 

Percentage of Initial Principal Balance Outstanding For:

 

    Class A-8
Certificates at the
Following Percentages of
SPA


  

Class A-9 and Class A-10

Certificates at the
Following Percentages of
SPA


Distribution Date


  0%

  100%

  200%

  300%

  400%

  500%

  750%

  1000%

   0%

  100%

  200%

  300%

  400%

  500%

  750%

  1000%

Initial

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   100

July 2006

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   100

July 2007

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   100

July 2008

  100   100   100   100   100   100   100   71    100   100   100   100   100   100   100   100

July 2009

  100   100   100   100   100   100   0   0    100   100   100   100   100   100   93   0

July 2010

  100   100   100   100   100   100   0   0    100   100   100   100   100   100   0   0

July 2011

  100   100   100   100   100   0   0   0    100   100   100   100   100   84   0   0

July 2012

  100   100   100   100   83   0   0   0    100   100   100   100   100   0   0   0

July 2013

  100   100   100   100   0   0   0   0    100   100   100   100   79   0   0   0

July 2014

  100   100   100   100   0   0   0   0    100   100   100   100   20   0   0   0

July 2015

  100   100   100   93   0   0   0   0    100   100   100   100   0   0   0   0

July 2016

  100   100   100   33   0   0   0   0    100   100   100   100   0   0   0   0

July 2017

  100   100   100   0   0   0   0   0    100   100   100   86   0   0   0   0

July 2018

  100   100   100   0   0   0   0   0    100   100   100   47   0   0   0   0

July 2019

  100   100   100   0   0   0   0   0    100   100   100   16   0   0   0   0

July 2020

  100   100   100   0   0   0   0   0    100   100   100   0   0   0   0   0

July 2021

  100   100   56   0   0   0   0   0    100   100   100   0   0   0   0   0

July 2022

  100   100   15   0   0   0   0   0    100   100   100   0   0   0   0   0

July 2023

  100   100   0   0   0   0   0   0    100   100   79   0   0   0   0   0

July 2024

  100   100   0   0   0   0   0   0    100   100   48   0   0   0   0   0

July 2025

  100   100   0   0   0   0   0   0    100   100   21   0   0   0   0   0

July 2026

  100   100   0   0   0   0   0   0    100   100   0   0   0   0   0   0

July 2027

  100   100   0   0   0   0   0   0    100   100   0   0   0   0   0   0

July 2028

  100   97   0   0   0   0   0   0    100   100   0   0   0   0   0   0

July 2029

  100   46   0   0   0   0   0   0    100   100   0   0   0   0   0   0

July 2030

  100   0   0   0   0   0   0   0    100   97   0   0   0   0   0   0

July 2031

  100   0   0   0   0   0   0   0    100   52   0   0   0   0   0   0

July 2032

  100   0   0   0   0   0   0   0    100   9   0   0   0   0   0   0

July 2033

  100   0   0   0   0   0   0   0    100   0   0   0   0   0   0   0

July 2034

  0   0   0   0   0   0   0   0    94   0   0   0   0   0   0   0

July 2035

  0   0   0   0   0   0   0   0    0   0   0   0   0   0   0   0

Weighted Average
Life (years)(1)

  28.76   23.96   16.20   10.76   7.32   5.68   3.90   3.06    29.24   26.09   19.04   13.03   8.54   6.27   4.15   3.23
    Class A-11
Certificates at the
Following Percentages of
SPA


  

Class A-12

Certificates at the
Following Percentages of
SPA


Distribution Date


  0%

  100%

  200%

  300%

  400%

  500%

  750%

  1000%

   0%

  100%

  200%

  300%

  400%

  500%

  750%

  1000%

Initial

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   100

July 2006

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   100

July 2007

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   100

July 2008

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   54

July 2009

  100   100   100   100   100   100   100   0    100   100   100   100   100   100   39   0

July 2010

  100   100   100   100   100   100   0   0    100   100   100   100   100   79   0   0

July 2011

  100   100   100   100   100   100   0   0    100   100   100   100   91   37   0   0

July 2012

  100   100   100   100   100   60   0   0    100   100   100   100   57   12   0   0

July 2013

  100   100   100   100   100   5   0   0    100   100   100   94   36   1   0   0

July 2014

  100   100   100   100   100   0   0   0    100   100   100   73   24   0   0   0

July 2015

  100   100   100   100   89   0   0   0    100   100   100   59   18   0   0   0

July 2016

  100   100   100   100   66   0   0   0    100   100   100   47   13   0   0   0

July 2017

  100   100   100   100   48   0   0   0    100   100   100   37   10   0   0   0

July 2018

  100   100   100   100   36   0   0   0    100   100   85   29   7   0   0   0

July 2019

  100   100   100   100   26   0   0   0    100   100   72   23   5   0   0   0

July 2020

  100   100   100   92   19   0   0   0    100   100   61   18   4   0   0   0

July 2021

  100   100   100   72   14   0   0   0    100   100   51   14   3   0   0   0

July 2022

  100   100   100   56   10   0   0   0    100   100   43   11   2   0   0   0

July 2023

  100   100   100   44   7   0   0   0    100   100   36   9   1   0   0   0

July 2024

  100   100   100   34   5   0   0   0    100   100   30   7   1   0   0   0

July 2025

  100   100   100   26   4   0   0   0    100   95   24   5   1   0   0   0

July 2026

  100   100   99   19   3   0   0   0    100   82   20   4   1   0   0   0

July 2027

  100   100   79   15   2   0   0   0    100   70   16   3   *   0   0   0

July 2028

  100   100   63   11   1   0   0   0    100   59   13   2   *   0   0   0

July 2029

  100   100   48   8   1   0   0   0    100   49   10   2   *   0   0   0

July 2030

  100   100   36   5   1   0   0   0    100   39   7   1   *   0   0   0

July 2031

  100   100   26   4   *   0   0   0    100   30   5   1   *   0   0   0

July 2032

  100   100   18   2   *   0   0   0    100   22   4   *   *   0   0   0

July 2033

  100   70   11   1   *   0   0   0    79   14   2   *   *   0   0   0

July 2034

  100   32   5   1   *   0   0   0    39   6   1   *   *   0   0   0

July 2035

  0   0   0   0   0   0   0   0    0   0   0   0   0   0   0   0

Weighted Average
Life (years)(1)

  29.72   28.57   24.36   18.43   12.86   7.26   4.44   3.42    28.74   24.22   17.30   11.94   8.28   5.86   3.93   3.09

(1) The Weighted Average Life of an Offered Certificate is determined by (i) multiplying the amount of net reduction of Principal Balance by the number of years from the date of the issuance of such Certificate to the related Distribution Date, (ii) adding the results and (iii) dividing the sum by the aggregate net reduction of Principal Balance referred to in clause (i).
*   Indicates a percentage greater than zero but less than 0.5% of the initial Principal Balance of such Class.

 

B-2


APPENDIX B (Continued)

 

Percentage of Initial Principal Balance Outstanding For:

 

    Class A-14 and Class A-15
Certificates at the
Following Percentages of
SPA


  

Class A-16

Certificates at the
Following Percentages of
SPA


Distribution Date


  0%

  100%

  200%

  300%

  400%

  500%

  750%

  1000%

   0%

  100%

  200%

  300%

  400%

  500%

  750%

  1000%

Initial

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   100

July 2006

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   100

July 2007

  100   100   100   100   100   100   100   100    100   100   100   100   100   100   100   100

July 2008

  100   100   100   100   100   100   100   40    100   100   100   100   100   100   100   100

July 2009

  100   100   100   100   100   100   19   0    100   100   100   100   100   100   100   0

July 2010

  100   100   100   100   100   73   0   0    100   100   100   100   100   100   0   0

July 2011

  100   100   100   100   88   17   0   0    100   100   100   100   100   100   0   0

July 2012

  100   100   100   100   43   0   0   0    100   100   100   100   100   50   0   0

July 2013

  100   100   100   92   15   0   0   0    100   100   100   100   100   4   0   0

July 2014

  100   100   100   65   0   0   0   0    100   100   100   100   100   0   0   0

July 2015

  100   100   100   45   0   0   0   0    100   100   100   100   74   0   0   0

July 2016

  100   100   100   30   0   0   0   0    100   100   100   100   55   0   0   0

July 2017

  100   100   99   17   0   0   0   0    100   100   100   100   40   0   0   0

July 2018

  100   100   80   7   0   0   0   0    100   100   100   100   30   0   0   0

July 2019

  100   100   63   0   0   0   0   0    100   100   100   97   22   0   0   0

July 2020

  100   100   48   0   0   0   0   0    100   100   100   76   16   0   0   0

July 2021

  100   100   36   0   0   0   0   0    100   100   100   60   12   0   0   0

July 2022

  100   100   25   0   0   0   0   0    100   100   100   47   8   0   0   0

July 2023

  100   100   15   0   0   0   0   0    100   100   100   36   6   0   0   0

July 2024

  100   100   7   0   0   0   0   0    100   100   100   28   4   0   0   0

July 2025

  100   93   *   0   0   0   0   0    100   100   100   21   3   0   0   0

July 2026

  100   77   0   0   0   0   0   0    100   100   82   16   2   0   0   0

July 2027

  100   61   0   0   0   0   0   0    100   100   66   12   1   0   0   0

July 2028

  100   47   0   0   0   0   0   0    100   100   52   9   1   0   0   0

July 2029

  100   33   0   0   0   0   0   0    100   100   40   6   1   0   0   0

July 2030

  100   20   0   0   0   0   0   0    100   100   30   4   *   0   0   0

July 2031

  100   8   0   0   0   0   0   0    100   100   22   3   *   0   0   0

July 2032

  100   0   0   0   0   0   0   0    100   91   15   2   *   0   0   0

July 2033

  72   0   0   0   0   0   0   0    100   58   9   1   *   0   0   0

July 2034

  19   0   0   0   0   0   0   0    100   27   4   *   *   0   0   0

July 2035

  0   0   0   0   0   0   0   0    0   0   0   0   0   0   0   0

Weighted Average
Life (years)(1)

  28.45   22.93   15.26   10.10   7.01   5.46   3.78   2.99    29.67   28.30   23.71   17.72   12.26   7.14   4.41   3.40
    

Class A-PO

Certificates at the
Following Percentages of
SPA


  

Class A-R and Class A-LR

Certificates at the
Following Percentages of
SPA


Distribution Date


   0%

   100%

   300%

   400%

   500%

   750%

   1000%

   0%

   100%

   300%

   400%

   500%

   750%

   1000%

Initial

   100    100    100    100    100    100    100    100    100    100    100    100    100    100

July 2006

   99    97    94    93    91    87    84    0    0    0    0    0    0    0

July 2007

   97    92    82    77    72    61    50    0    0    0    0    0    0    0

July 2008

   96    85    67    58    50    34    20    0    0    0    0    0    0    0

July 2009

   94    79    54    44    35    18    8    0    0    0    0    0    0    0

July 2010

   93    73    43    33    24    10    3    0    0    0    0    0    0    0

July 2011

   91    67    35    24    16    5    1    0    0    0    0    0    0    0

July 2012

   89    62    28    18    11    3    *    0    0    0    0    0    0    0

July 2013

   87    57    22    13    8    2    *    0    0    0    0    0    0    0

July 2014

   85    52    18    10    5    1    *    0    0    0    0    0    0    0

July 2015

   83    48    14    7    4    *    *    0    0    0    0    0    0    0

July 2016

   81    44    11    5    2    *    *    0    0    0    0    0    0    0

July 2017

   78    40    9    4    2    *    *    0    0    0    0    0    0    0

July 2018

   76    36    7    3    1    *    *    0    0    0    0    0    0    0

July 2019

   73    33    6    2    1    *    *    0    0    0    0    0    0    0

July 2020

   70    30    4    2    1    *    *    0    0    0    0    0    0    0

July 2021

   67    27    4    1    *    *    *    0    0    0    0    0    0    0

July 2022

   64    24    3    1    *    *    *    0    0    0    0    0    0    0

July 2023

   60    21    2    1    *    *    *    0    0    0    0    0    0    0

July 2024

   57    19    2    *    *    *    *    0    0    0    0    0    0    0

July 2025

   53    16    1    *    *    *    *    0    0    0    0    0    0    0

July 2026

   49    14    1    *    *    *    *    0    0    0    0    0    0    0

July 2027

   44    12    1    *    *    *    *    0    0    0    0    0    0    0

July 2028

   40    10    1    *    *    *    0    0    0    0    0    0    0    0

July 2029

   35    9    *    *    *    *    0    0    0    0    0    0    0    0

July 2030

   30    7    *    *    *    *    0    0    0    0    0    0    0    0

July 2031

   24    5    *    *    *    *    0    0    0    0    0    0    0    0

July 2032

   19    4    *    *    *    *    0    0    0    0    0    0    0    0

July 2033

   13    2    *    *    *    *    0    0    0    0    0    0    0    0

July 2034

   6    1    *    *    *    *    0    0    0    0    0    0    0    0

July 2035

   0    0    0    0    0    0    0    0    0    0    0    0    0    0

Weighted Average
Life (years)(1)

   19.05    11.21    5.63    4.50    3.78    2.74    2.20    0.08    0.08    0.08    0.08    0.08    0.08    0.08

(1) The Weighted Average Life of an Offered Certificate is determined by (i) multiplying the amount of net reduction of Principal Balance by the number of years from the date of the issuance of such Certificate to the related Distribution Date, (ii) adding the results and (iii) dividing the sum by the aggregate net reduction of Principal Balance referred to in clause (i).
*   Indicates a percentage greater than zero but less than 0.5% of the initial Principal Balance of such Class.

 

B-3


APPENDIX B (Continued)

 

Percentage of Initial Principal Balance Outstanding For:

 

    

Class B-1, Class B-2 and Class B-3

Certificates at the
Following Percentages of
SPA


Distribution Date


   0%

   100%

   300%

   400%

   500%

   750%

   1000%

Initial

   100    100    100    100    100    100    100

July 2006

   99    99    99    99    99    99    99

July 2007

   97    97    97    97    97    97    97

July 2008

   96    96    96    96    96    96    96

July 2009

   94    94    94    94    94    94    94

July 2010

   93    93    93    93    93    93    93

July 2011

   91    89    86    84    82    76    42

July 2012

   89    86    78    74    70    59    16

July 2013

   87    81    68    61    55    41    6

July 2014

   85    75    56    48    41    25    3

July 2015

   83    69    45    36    28    13    1

July 2016

   81    63    36    26    19    7    *

July 2017

   79    57    29    19    13    4    *

July 2018

   76    52    23    14    9    2    *

July 2019

   73    47    18    10    6    1    *

July 2020

   70    43    14    8    4    1    *

July 2021

   67    38    11    6    3    *    *

July 2022

   64    34    9    4    2    *    *

July 2023

   61    31    7    3    1    *    *

July 2024

   57    27    5    2    1    *    *

July 2025

   53    24    4    1    *    *    *

July 2026

   49    21    3    1    *    *    *

July 2027

   45    18    2    1    *    *    *

July 2028

   40    15    2    *    *    *    *

July 2029

   35    12    1    *    *    *    *

July 2030

   30    10    1    *    *    *    *

July 2031

   25    8    1    *    *    *    *

July 2032

   19    5    *    *    *    *    0

July 2033

   13    3    *    *    *    *    0

July 2034

   6    2    *    *    *    *    0

July 2035

   0    0    0    0    0    0    0

Weighted Average
Life (years)(1)

   19.14    14.41    10.29    9.31    8.64    7.59    5.99

(1) The Weighted Average Life of an Offered Certificate is determined by (i) multiplying the amount of net reduction of Principal Balance by the number of years from the date of the issuance of such Certificate to the related Distribution Date, (ii) adding the results and (iii) dividing the sum by the aggregate net reduction of Principal Balance referred to in clause (i).
*   Indicates a percentage greater than zero but less than 0.5% of the initial Principal Balance of such Class.

 

B-4


APPENDIX C

 

Sensitivity of the Pre-Tax Yield to Maturity

of the Class A-PO Certificates to Prepayments

at an Assumed Purchase Price of 75.00%

of the Initial Principal Balance

 

     Percentage of SPA

 
     0%

    100%

    300%

    400%

    500%

    750%

    1000%

 

Pre-Tax Yield to Maturity (CBE)

   1.56 %   2.78 %   5.66 %   7.06 %   8.38 %   11.43 %   14.18 %

 

Sensitivity of the Pre-Tax Yield to Maturity

of the Class A-3 Certificates to Prepayments and LIBOR

at an Assumed Purchase Price of 4.75%

of the Initial Notional Amount (plus Accrued Interest)

 

     Percentage of SPA

 

Level of LIBOR


   0%

    100%

    300%

    400%

    500%

    750%

    1000%

 

0.34%

   164.02 %   158.96 %   148.38 %   142.84 %   137.17 %   122.82 %   108.68 %

1.34%

   134.24 %   128.99 %   117.91 %   112.05 %   106.07 %   91.09 %   76.63 %

2.34%

   105.81 %   100.30 %   88.42 %   82.06 %   75.62 %   59.78 %   44.90 %

3.34%

   78.72 %   72.81 %   59.64 %   52.51 %   45.38 %   28.36 %   12.95 %

4.34%

   52.91 %   46.41 %   30.99 %   22.59 %   14.45 %   (4.19 )%   (20.25 )%

5.34%

   28.24 %   20.75 %   0.78 %   (9.79 )%   (19.51 )%   (40.44 )%   (57.26 )%

6.34%

   2.28 %   (7.90 )%   (40.19 )%   (55.47 )%   (68.20 )%   (92.70 )%   **  

6.67% and above

   * *   * *   * *   * *   * *   * *   **  

 

**   The pre-tax yield to maturity will be less than (99.99)%

 

C-1


APPENDIX D

 

Sensitivity of Pre-Tax Yields to Maturity of the Class B-2

Certificates to Prepayments and Realized Losses

at an Assumed Purchase Price of 98.50%

of the Initial Principal Balance (plus Accrued Interest)

 

Percentage

of SDA


  

Loss

Severity

Percentage


   Percentages of SPA

 
      0%

    100%

    300%

    400%

    500%

    750%

    1000%

 

0%

   N/A    5.67 %   5.69 %   5.72 %   5.73 %   5.74 %   5.76 %   5.79 %

50%

   25%    5.65 %   5.69 %   5.72 %   5.73 %   5.74 %   5.76 %   5.79 %

50%

   50%    4.37 %   5.67 %   5.72 %   5.73 %   5.74 %   5.76 %   5.79 %

100%

   25%    4.45 %   5.67 %   5.72 %   5.73 %   5.74 %   5.76 %   5.79 %

100%

   50%    (38.45 )%   (31.20 )%   1.44 %   4.62 %   5.74 %   5.76 %   5.79 %

150%

   25%    (19.56 )%   1.45 %   5.72 %   5.73 %   5.74 %   5.76 %   5.79 %

150%

   50%    (59.03 )%   (54.57 )%   (41.59 )%   (8.68 )%   (2.20 )%   5.76 %   5.79 %

200%

   25%    (37.97 )%   (30.45 )%   1.63 %   4.81 %   5.74 %   5.76 %   5.79 %

200%

   50%    (74.53 )%   (71.22 )%   (62.46 )%   (56.21 )%   (46.90 )%   0.17 %   5.79 %

**   The Pre-Tax yield to maturity will be less than (99.99)%.

 

Sensitivity of Pre-Tax Yields to Maturity of the Class B-3

Certificates to Prepayments and Realized Losses

at an Assumed Purchase Price of 95.50%

of the Initial Principal Balance (plus Accrued Interest)