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As Of Filer Filing For·On·As Docs:Size Issuer Agent 7/26/06 WaMu Asset Acceptance Corp. FWP 1:1.9M Washington Mutual Mtge … 2006-AR6 Kelly Cecelia Anne/FA |
Document/Exhibit Description Pages Size 1: FWP Free Writing Prospectus HTML 933K
Preliminary Term Sheet
Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2006-AR6 Trust
$ [872,422,200]
WaMu Asset Acceptance Corp.
Depositor
Washington Mutual Mortgage Securities Corp.
Seller
Washington Mutual Bank
Servicer
LaSalle Bank National Association
Trustee
July [19], 2006
Closing Date |
July 27 , 2006 |
Investor Settlement Date |
|
First Distribution Date |
|
Cut-Off Date |
Important Notice About Information Presented in this
Preliminary Term Sheet
The securities described in this preliminary term sheet may not be appropriate for all investors. Potential investors must be willing to assume, among other things, market price volatility, prepayment, yield curve and interest rate risks. Investors should carefully consider the risks of these securities.
We do not intend that there be any sale of the securities discussed in this preliminary term sheet in any state in which such offer or sale would be unlawful prior to registration or qualification of such securities under the securities laws of any such state.
The issuer has filed a registration statement (including a prospectus) on Form S-3 with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may obtain these documents for free by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in this offering will arrange to send you the prospectus if you so request by calling toll-free 1-800-667-9569.
We will provide information to you about the offered certificates in two separate documents that progressively provide more detail: (a) a prospectus, which provides general information, some of which may not apply to your series of certificates, and (b) the Washington Mutual Mortgage Pass–Through Certificates, WMALT Series AR free writing prospectus, along with this preliminary term sheet, describes more specifically the terms of your series of certificates. This preliminary term sheet does not contain all of the information that is required to be included in the prospectus and the prospectus supplement that will be prepared for your series of certificates. The information in this preliminary term sheet is subject to completion or change. The information in this preliminary term sheet supersedes information contained in any prior term sheet relating to these securities prior to the time of your commitment to purchase. To understand the terms of the offered certificates, read carefully this entire preliminary term sheet and the prospectus and the Washington Mutual Mortgage Pass–Through Certificates, WMALT Series AR free writing prospectus we will provide you. You may obtain a copy of the prospectus and the Washington Mutual Mortgage Pass–Through Certificates, WMALT Series AR free writing prospectus by contacting WaMu Capital Corp. at 1-800-667-9569.
THE DATA DESCRIBING THE MORTGAGE POOL IN THIS PRELIMINARY TERM SHEET REFLECTS THE PRELIMINARY CHARACTERISTICS OF THE MORTGAGE POOL AS OF THE CUT-OFF DATE, WHICH IS JULY 1, 2006. THE PROSPECTUS SUPPLEMENT THAT WILL BE PREPARED FOR THIS TRANSACTION WILL REFLECT THE FINAL MORTGAGE POOL DATA AS OF THE CUT-OFF DATE. ONCE AVAILABLE, A FINAL PROSPECTUS AND PROSPECTUS SUPPLEMENT MAY BE OBTAINED WITHOUT CHARGE BY CONTACTING WAMU CAPITAL CORP. AT 1-800-667-9569.
This preliminary term sheet is being delivered to you solely to provide you with information about the offering of the mortgage-backed securities referred to in this preliminary term sheet. The mortgage-backed securities referred to in this preliminary term sheet are being offered when, as and if issued. Our obligation to sell securities to you is conditioned on the securities having the characteristics described in this preliminary term sheet. If that condition is not satisfied, we will notify you, and neither the issuer nor any underwriter will have any obligation to you to deliver all or any portion of the securities which you have committed to purchase, and there will be no liability between us as a consequence of the non-delivery.
Washington Mutual Mortgage Pass-Through Certificates,
WMALT Series 2006-AR6 Trust
$ [872,422,200]
Description of Certificates
|
Principal/ Notional Amount (Approx.) (1) |
WAL (Yrs) To Call/Mat (2) |
Pmt Window (Mths) To Call/Mat (2) |
Interest Rate Type |
Tranche Type |
Expected Ratings
|
1A |
$ 158,488,000 |
4.03/4.36 |
1-126/1-479 |
Variable (3) |
Senior |
AAA/Aaa |
1A-1B |
$ 79,244,000 |
4.03/4.36 |
1-126/1-480 |
Variable (4) |
Senior Mezz |
AAA/Aaa |
2A |
$ 318,229,000 |
4.03/4.36 |
1-126/1-480 |
Variable (5) |
Senior |
AAA/Aaa |
2A-1B |
$ 159,115,000 |
4.03/4.36 |
1-126/1-480 |
Variable (6) |
Senior Mezz |
AAA/Aaa |
CA-1C |
$ 79,453,000 |
4.03/4.36 |
1-126/1-480 |
Variable (7) |
Junior Mezz |
AAA/Aaa |
R |
$ 100 |
|
[___%] |
Senior/Residual |
AAA/Aaa |
|
PPP |
$ 100 (8) |
|
|
N/A |
Prepayment Penalty |
AAA/Aaa |
1X |
$ 295,963,191 |
|
|
Variable (9) |
Senior IO/PO |
AAA/Aaa |
2X |
$ 594,266,120 |
|
|
Variable (9) |
Senior IO/PO |
AAA/Aaa |
B-1 |
$ 17,805,000 |
7.07/7.84 |
1-126/1-480 |
Variable (10) |
Subordinate |
AA+/Aa1 |
B-2 |
$ 17,804,000 |
7.07/7.84 |
1-126/1-480 |
Variable (10) |
Subordinate |
AA/Aa1 |
B-3 |
$ 4,451,000 |
7.07/7.84 |
1-126/1-480 |
Variable (10) |
Subordinate |
AA-/Aa1 |
B-4 |
$ 8,902,000 |
7.07/7.84 |
1-126/1-480 |
Variable (10) |
Subordinate |
A+/Aa2 |
B-5 |
$ 4,451,000 |
7.07/7.84 |
1-126/1-480 |
Variable (10) |
Subordinate |
A/Aa3 |
B-6 |
$ 4,451,000 |
7.07/7.84 |
1-126/1-480 |
Variable (10) |
Subordinate |
A-/A1 |
B-7 |
$ 4,451,000 |
7.07/7.84 |
1-126/1-480 |
Variable (10) |
Subordinate |
BBB+/ A1 |
B-8 |
$ 2,225,000 |
7.07/7.84 |
1-126/1-480 |
Variable (10) |
Subordinate |
BBB/ A2 |
B-9 |
$ 4,451,000 |
7.07/7.84 |
1-126/1-480 |
Variable (10) |
Subordinate |
BBB-/ A3 |
B-10 |
$ 4,451,000 |
7.07/7.84 |
1-126/1-480 |
Variable (10) |
Subordinate |
BB+/Baa2 |
B-11 |
$ 4,451,000 |
7.07/7.84 |
1-126/1-480 |
Variable (10) |
Subordinate |
BB/Baa3 |
B-12 |
$ 3,560,000 |
Privately Offered Certificates |
Subordinate |
BB-/Ba2 |
||
B-13 |
$ 6,676,000 |
Subordinate |
B/NR |
|||
B-14 |
$ 7,571,210 |
Subordinate |
NR/NR |
|||
Total | $ 890,229,311 |
(1) Distributions on the Class 1A, Class 1A-1B, Class 1X and Class R Certificates will be derived primarily from a pool of conforming balance and non-conforming balance adjustable-rate mortgage loans indexed off of One-Year MTA or One-Month Libor (as defined herein) that do not impose prepayment penalties (the "Group 1 Mortgage Loans," such Mortgage Loans, "Loan Group 1").
Distributions on the Class 2A, Class 2A-1B, Class 2X and Class PPP Certificates will be derived primarily from a pool of conforming balance and/or non-conforming balance adjustable-rate mortgage loans indexed off of One-Year MTA or One-Month Libor that impose a prepayment penalty for voluntary prepayments in full for a period no greater than 36 months from the date of origination of such Mortgage Loan (the "Group 2 Mortgage Loans," such Mortgage Loans, "Loan Group 2").
Distributions on the CA-1C and Subordinate Certificates will be derived primarily from Group 1 and Group 2 Mortgage Loans.
Amounts otherwise available for distribution as interest to the Class 1X and Class 2X Certificates may instead be used to pay Carryover Shortfall Amounts (as defined herein) to the Class 1A, Class 1A-1B, Class 2A, Class 2A-1B, Class CA-1C and Senior Subordinate and Junior Subordinate Certificates.
(2) WAL and Payment Windows for the Class 1A, Class 1A-1B, Class 2A, Class 2A-1B, Class CA-1C, Class B-1, Class B-2, Class B-3, Class B-4, Class B-5, Class B-6, Class B-7, Class B-8, Class B-9, Class B-10 and Class B-11 Certificates are shown to the Optional Call Date (as defined herein) and to Maturity.
(3) On each Distribution Date (as defined herein), the certificate interest rate for the Class 1A Certificates will be equal to the least of (i) London Interbank Offered Rate for one-month United States dollar deposits ("LIBOR") plus the related margin (the margin will be multiplied by 2.0 after the first possible Optional Call Date), (ii) the Adjusted Net WAC Cap (as defined herein) for Loan Group 1 and (iii) the Maximum Loan Group 1 Rate (as defined herein). In addition, if on any Distribution Date the certificate interest rate for the Class 1A Certificates is equal to the Adjusted Net WAC Cap for Loan Group 1, the Class 1A Certificates may be entitled to receive, as interest, Carryover Shortfall Amounts from amounts, if any, otherwise payable to the Class 1X and Class 2X Certificates. See "Carryover Shortfall Amount" and "Certificates Priority of Distributions" in this preliminary term sheet. For the initial Distribution Date, after giving effect to carryover shortfall payments, if any, the annual certificate interest rate on these certificates will equal approximately [__]%.
(4) On each Distribution Date (as defined herein), the certificate interest rate for the Class 1A-1B Certificates will be equal to the least of (i) LIBOR plus the related margin (the margin will be multiplied by 2.0 after the first possible Optional Call Date), (ii) the Adjusted Net WAC Cap (as defined herein) for Loan Group 1 and (iii) the Maximum Loan Group 1 Rate (as defined herein). In addition, if on any Distribution Date the certificate interest rate for the Class 1A-1B Certificates is equal to the Adjusted Net WAC Cap for Loan Group 1, the Class 1A-1B Certificates may be entitled to receive, as interest, Carryover Shortfall Amounts from amounts, if any, otherwise payable to the Class 1X and Class 2X Certificates. See "Carryover Shortfall Amount" and "Certificates Priority of Distributions" in this preliminary term sheet. For the initial Distribution Date, after giving effect to carryover shortfall payments, if any, the annual certificate interest rate on these certificates will equal approximately [__]%.
(5) On each Distribution Date, the certificate interest rate for the Class 2A Certificates will be equal to the lesser of (i) (a) for each distribution date in or before January 2007, One-Year MTA plus [__]% and (b) for each distribution date after the distribution date in January 2007, One-Year MTA plus [___]% and (ii) the Net WAC Cap for the Group 2 Mortgage Loans. In addition, if on the initial Distribution Date the certificate interest rate for the Class 2A Certificates is equal to the Net WAC Cap for the Group 2 Mortgage Loans, the Class 2A Certificates may be entitled to receive, as interest, Carryover Shortfall Amounts from amounts, if any, otherwise payable to the Class 1X and Class 2X Certificates. See "Carryover Shortfall Amount" and "Certificates Priority of Distributions" in this preliminary term sheet. For the initial Distribution Date, after giving effect to carryover shortfall payments, if any, the annual certificate interest rate on these certificates will equal approximately [__]%.
(6) On each Distribution Date, the certificate interest rate for the Class 2A-1B Certificates will be equal to the lesser of (i) (a) for each distribution date in or before January 2007, One-Year MTA plus [__]% and (b) for each distribution date after the distribution date in January 2007, One-Year MTA plus [___]% and (ii) the Net WAC Cap for the Group 2 Mortgage Loans. In addition, if on the initial Distribution Date the certificate interest rate for the Class 2A-1B Certificates is equal to the Net WAC Cap for the Group 2 Mortgage Loans, the Class 2A-1B Certificates may be entitled to receive, as interest, Carryover Shortfall Amounts from amounts, if any, otherwise payable to the Class 1X and Class 2X Certificates. See "Carryover Shortfall Amount" and "Certificates Priority of Distributions" in this preliminary term sheet. For the initial Distribution Date, after giving effect to carryover shortfall payments, if any, the annual certificate interest rate on these certificates will equal approximately [__]%
(7) Solely for purposes of calculating distributions of principal and interest and the allocation of losses realized on the mortgage loans, the Class CA-1C Certificates will be deemed to be comprised of two components (the "Class CA-1C Group 1 Component" and the "Class CA-1C Group 2 Component" each, a "Class CA-1C Component"). Each Class CA-1C Component will have a component principal balance representing the portion of the Class CA-1C principal balance derived from the related loan group. Interest will be payable with respect to each Class CA-1C Component. The initial principal balance of the Class CA-1C Group 1 Component and the Class CA-1C Group 2 Component will be approximately $[__] and $[__], respectively.
On each Distribution Date, the certificate interest rate on the Class CA-1C Group 1 Component will be equal to the least of (i) LIBOR plus the related margin (the margin will be multiplied by 2.0 after the first possible Optional Call Date), (ii) the Adjusted Net WAC Cap for Loan Group 1 and (iii) the Maximum Loan Group 1 Rate. In addition, if on any Distribution Date the certificate interest rate for the Class CA-1C Group 1 Component is equal to the Adjusted Net WAC Cap Loan Group 1, the Class CA-1C Group 1 Component may be entitled to receive, as interest, Carryover Shortfall Amounts from amounts, if any, otherwise payable to the Class 1X and Class 2X Certificates. See "Carryover Shortfall Amount" and "Certificates Priority of Distributions" in this preliminary term sheet. For the initial Distribution Date, after giving effect to carryover shortfall payments, if any, the annual certificate interest rate on these certificates will equal approximately [__]%.
On each Distribution Date, the certificate interest rate on the Class CA-1C Group 2 Component will be equal to the least of (i) LIBOR plus the related margin (the margin will be multiplied by 2.0 after the first possible Optional Call Date), (ii) the Adjusted Net WAC Cap for Loan Group 2 and (iii) the Maximum Loan Group 2 Rate (as defined herein). In addition, if on any Distribution Date the certificate interest rate for the Class CA-1C Group 2 Component is equal to the Adjusted Net WAC Cap for Loan Group 2, the Class CA-1C Group 2 Component may be entitled to receive, as interest, Carryover Shortfall Amounts from amounts, if any, otherwise payable to the Class 1X and Class 2X Certificates. See "Carryover Shortfall Amount" and "Certificates Priority of Distributions" in this preliminary term sheet. For the initial Distribution Date, after giving effect to carryover shortfall payments, if any, the annual certificate interest rate on these certificates will equal approximately [__]%.
(8) The Class PPP Certificates will receive $100 of principal on the Distribution Date in July 2010, from a reserve fund to be funded on the Closing Date (as defined herein) with a deposit by the underwriter. The Class PPP Certificates will not receive interest. The Class PPP Certificates will also have a notional balance; the Class PPP notional amount will equal the aggregate principal balance of the Group 2 Mortgage Loans as of the Cut-Off. However, the Class PPP Certificates will not accrue interest on its notional balance. The Class PPP Certificates will be entitled to receive all prepayment penalty payments, with respect to voluntary full prepayments, remitted to the Trust for each Group 2 Mortgage Loan. See "The Class PPP Certificates" herein and the "Prepay Term (Months)" table herein for information regarding the number of loans, and the related percentage of the mortgage pool, that contain prepayment penalties, broken out for each of the various prepayment penalty terms.
(9) Solely for purposes of calculating distributions of principal and interest and the allocation of losses realized on the Mortgage Loans, the Class 1X Certificates will be deemed to be comprised of an interest-only component (the "Class 1X IO Component”, also a "Class X IO Component") and a principal-only component (the "Class 1X PO Component", also a "Class X PO Component") and the Class 2X Certificates will be deemed to be comprised of an interest-only component (the "Class 2X IO Component”, also a "Class X IO Component") and a principal-only component (the "Class 2X PO Component", also a "Class X PO Component"). Interest, if any, will be payable with respect to the Class X IO Components. The Class X IO Components will not have a principal balance and principal will not be payable with respect to any Class X IO Component. Each Class X PO Component will have a principal balance which initially will equal zero. Interest will not accrue on any Class X PO Component. In the event that interest otherwise payable with respect to each Class X IO Component is reduced as a result of the allocation of net negative amortization (as described herein), the amount of such reduction will be added as principal to the related Class X principal balance.
The amount of interest available for distribution to the Class 1X Certificates on any Distribution Date (before giving effect to the allocation of any shortfall in interest collections and payment of Carryover Shortfall Amounts (as defined herein)) will equal, subject to the limitations described in this footnote (9), the excess, if any, of:
(x) the product of (i) a fraction, the numerator of which is the Net WAC Cap for the Group 1 Mortgage Loans and the denominator of which is 12, and (ii) the Loan Group 1 Balance over
(y) the product of (i) a fraction, the numerator of which is the Weighted Average Certificate Interest Rate for Loan Group 1 and the denominator of which is 12, and (ii) the Loan Group 1 Balance reduced by the Class 1X Principal Balance.
The amount of interest available for distribution to the Class 2X Certificates on any Distribution Date (before giving effect to the allocation of any shortfall in interest collections and payment of Carryover Shortfall Amounts (as defined herein)) will equal, subject to the limitations described in this footnote (9), the excess, if any, of:
(x) the product of (i) a fraction, the numerator of which is the Net WAC Cap for the Group 2 Mortgage Loans and the denominator of which is 12, and (ii) the Loan Group 2 Balance over
(y) the product of (i) a fraction, the numerator of which is the Weighted Average Certificate Interest Rate for Loan Group 2 and the denominator of which is 12, and (ii) the Loan Group 2 Balance reduced by the Class 2X Principal Balance.
provided, however, that if either loan group is an Overcollateralized Group (as defined in the Washington Mutual Mortgage Pass–Through Certificates, WMALT Series AR free writing prospectus), the amount of interest available for distribution to the Class 1X or Class 2X Certificates may be greater or less than it otherwise would be, as described in the pooling agreement.
Notwithstanding the foregoing, interest otherwise available for distribution to the Class 1X and Class 2X Certificates on any Distribution Date may instead be distributed as Carryover Shortfall Amounts. See "Carryover Shortfall Amount" and "Certificates Priority of Distributions" in this preliminary term sheet.
Notwithstanding the foregoing, if the aggregate amount of interest available for distribution to the Class 1X and 2X Certificates on any Distribution Date, calculated as described above, is greater than the Maximum Class X Interest Amount (as defined herein), then the aggregate amount of interest available for distribution to the Class 1X and Class 2X Certificates will be capped at the Maximum Class X Interest Amount, and the amount of interest accrued on each of the Class 1X and Class 2X Certificates, if such amount is positive, will equal its pro rata portion of the Maximum Class X Interest Amount (pro rata according to such amount, calculated as described above without giving effect to this sentence).
(10) For each Distribution Date, the certificate interest rate for the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5, Class B-6, Class B-7, Class B-8, Class B-9, Class B-10 and Class B-11 Certificates will be equal to the least of (i) LIBOR plus the related margin (in each case, the margin will be multiplied by 1.5 after the first possible Optional Call Date), (ii) the Class B Adjusted Net WAC Cap (as defined herein) and (iii) the Maximum Class B Rate (as defined herein). In addition, if on any Distribution Date the certificate interest rate for the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5, Class B-6, Class B-7, Class B-8, Class B-9, Class B-10 or Class B-11 Certificates is equal to the Class B Adjusted Net WAC Cap, such certificates may be entitled to receive, as interest, Carryover Shortfall Amounts from amounts, if any, otherwise payable to the Class 1X and Class 2X Certificates. See "Carryover Shortfall Amount" and "Certificates Priority of Distributions" in this preliminary term sheet.
Transaction Summary
Depositor: WaMu Asset Acceptance Corp. ("WAAC").
Trust: Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2006-AR6 Trust
Servicer: Washington Mutual Bank ("WMB")
Lead Manager: WaMu Capital Corp.
Trustee: LaSalle Bank National Association.
Rating Agencies: It is anticipated that the Offered Certificates will be rated by Moody's and Standard & Poor's and assigned the credit ratings described herein.
Cut-off Date: July 1, 2006.
Expected Pricing Date: On or about July 20, 2006
Closing Date: On or about July 27, 2006.
Distribution Date: The 25th of each month (or if such day is not a business day, the next succeeding business day), commencing in August 2006.
Servicing Fee for Group 1 One-Year MTA Mortgage Loans: The servicing fee for each Group 1 Mortgage Loan indexed to One-Year MTA will be calculated as a per annum percentage for each Mortgage Loan. The servicing fee for some of the Mortgage Loans indexed to One-Year MTA will equal (a) the greater of (i) 0.375% and (ii) the excess, if any, of the gross margin on the applicable Mortgage Loan (as stated in the related mortgage note) over 2.05% or (b) the initial fixed rate on such Mortgage Loan.
Servicing Fee for Group 2 One-Year MTA Mortgage Loans: The servicing fee for each Group 2 Mortgage Loan indexed to One-Year MTA will be calculated as a per annum percentage for each Mortgage Loan. The servicing fee for some of the Mortgage Loans indexed to One-Year MTA will equal (a) the greater of (i) 0.375% and (ii) the excess, if any, of the gross margin on the applicable Mortgage Loan (as stated in the related mortgage note) over 1.50% or (b) the initial fixed rate on such Mortgage Loan.
Servicing Fee for One-Month LIBOR Mortgage Loans: The servicing fee for each Mortgage Loan indexed to One-Month LIBOR (as defined herein) will be calculated as a per annum percentage for each Mortgage Loan. The servicing fee for some of the Mortgage Loans indexed to One-Month LIBOR will equal (a) the greater of (i) 0.375% and (ii) the excess, if any, of the gross margin on the applicable Mortgage Loan (as stated in the related mortgage note) over 1.00% or (b) the initial fixed rate on such Mortgage Loan.
Certificates: The "Senior Certificates" will consist of the Class 1A, Class 1A-1B, Class 2A, Class 2A-1B and Class CA-1C Certificates (the "Class A Certificates"), the Class 1X and Class 2X Certificates (the "Class X Certificates") and the Class R Certificates. The "Class PPP Certificates" will consist of the Class PPP Certificates. The "Mezzanine Certificates" will consist of the Class CA-1C Certificates. The "Senior Subordinate Certificates" will consist of the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5, Class B-6, Class B-7, Class B-8, Class B-9, Class B-10 and Class B-11 Certificates. The "Junior Subordinate Certificates" will consist of the Class B-12, Class B-13 and Class B-14 Certificates. The Senior Subordinate Certificates and Junior Subordinate Certificates are collectively known as the "Subordinate Certificates". The Senior Certificates, Class PPP Certificates and the Subordinate Certificates are collectively referred to herein as the "Certificates." The Class A, Class X, Class PPP, Class R and Senior Subordinate Certificates are being offered herein and are referred to herein as the "Offered Certificates".
Registration: Each class of Offered Certificates (other than Class R) will initially be represented by a single certificate registered in the name of Cede & Co., a nominee of The Depository Trust Company, New York, New York.
Federal Tax Treatment: It is anticipated that the Offered Certificates (other than the Class PPP Certificates) will be treated as REMIC regular interests for federal tax income purposes, coupled in certain cases with a right to receive additional payments pursuant to a notional principal contract. The Class PPP Certificates (in respect of their right to receive certain prepayment penalties) will be treated as stripped interests in the Mortgage Loans for federal income tax purposes. The Class R Certificate will be treated as a REMIC residual interest for tax purposes. The Class PPP Certificates will not represent an interest in any REMIC.
SMMEA Treatment: The Class A, Class B-1, Class B-2, Class B-3, Class B-4, Class B-5 and Class X Certificates are expected to constitute "mortgage related securities" for purposes of the Secondary Mortgage Market Enhancement Act of 1984 ("SMMEA"). The Class B-6, Class B-7, Class B-8, Class B-9, Class B-10, Class B-11, Class B-12, Class B-13, Class B-14 and Class PPP Certificates are not expected to constitute "mortgage related securities" for purposes of SMMEA.
ERISA Eligibility: The Offered Certificates (other than the Class PPP and Class R Certificates) are expected to be ERISA eligible. Prospective investors should review with their legal advisors whether the purchase and holding of the Offered Certificates could give rise to a transaction prohibited or not otherwise permissible under ERISA, the Internal Revenue Code or other similar laws. The Class R and Class PPP Certificates are not expected to be ERISA eligible.
Optional Termination: The terms of the transaction allow for an optional termination of the Trust which may be exercised once the aggregate principal balance of the Mortgage Loans is equal to or less than 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date (the "Optional Call Date").
Accrued Interest: The price to be paid by investors for the Class 1A, Class 1A-1B, Class CA-1C and Senior Subordinate Certificates will not include accrued interest (settling flat). The price to be paid by investors for the Class 2A, Class 2A-1B and Class X Certificates will include 26 days of accrued interest.
Interest Accrual Period: The interest accrual period for the Class 1A, Class 1A-1B, Class CA-1C and Subordinate Certificates for a given Distribution Date will be the period beginning on the 25th day of the month immediately preceding the month during which such Distribution Date occurs (or, in the case of the first Distribution Date, the Closing Date) and ending on the 24th day of the month during which such Distribution Date occurs (on an actual/360 basis). The interest accrual period for the Class 2A, Class 2A-1B and Class X Certificates will be on the calendar month prior to such Distribution Date (on a 30/360 basis).
Pricing Prepayment Speed: The Offered Certificates will be priced to a prepayment speed of 20% CPR.
Compensating Interest: Compensating interest paid by WMB with respect to the Mortgage Loans in each loan group will equal the least of (a) any shortfall for the previous month in interest collections resulting from the timing of payoffs on the Mortgage Loans in that loan group made from the 15th day of the calendar month before the Distribution Date to the last day of such month, (b) the sum of 1/12 of 0.050% of the aggregate Stated Principal Balance of such Mortgage Loans in that loan group, any reinvestment income realized by WMB relating to payoffs on such Mortgage Loans in that loan group made during the prepayment period, and interest payments on the payoffs in that loan group received during the period of the 1st day through the 14th day of the month of the Distribution Date, as applicable and (c) 1/12 of 0.125% of the aggregate Stated Principal Balance of such Mortgage Loans in that loan group.
Mortgage Loans: As of July 1, 2006, the aggregate principal balance of the Mortgage Loans is approximately $[890,229,311]. As of July 1, 2006, the aggregate principal balance of the Group 1 Mortgage Loans is approximately $[295,963,191]. As of July 1, 2006, the aggregate principal balance of the Group 2 Mortgage Loans is approximately $[594,266,120]. The Mortgage Loans consist of conventional, adjustable rate, first lien residential mortgage loans with original terms to maturity of not more than 30 or 40 years. The Group 1 and Group 2 Mortgage Loans are conforming and non-conforming balance mortgage loans. As of July 1, 2006, the aggregate principal balance of the Mortgage Loans that impose a prepayment penalty for voluntary prepayments in full is approximately $[594,266,120]. All the Mortgage Loans accrue interest at a mortgage rate which adjusts monthly (after an initial fixed rate period of [1 and 3] months) based upon an Index rate of the 12-month moving average of the monthly yield on United States Treasury Security adjusted to a constant maturity of one year (the "One-Year MTA") or the average of interbank offered rates for one-month U.S. dollar-denominated deposits in the London market, as published in The Wall Street Journal and most recently available as of fifteen days before the applicable interest rate adjustment date ("One-Month LIBOR"). After the initial fixed interest rate period, the interest rate for each Mortgage Loan will adjust monthly to equal the sum of the related Index and the gross margin. As of the Cut-off Date, approximately [21.48]% of the Mortgage Loans were still in their fixed rate period. None of the Mortgage Loans are subject to a periodic rate adjustment cap. All of the Mortgage Loans are subject to a maximum mortgage rate.
For all of the Mortgage Loans, the Minimum Monthly Payment is set at origination and is adjusted on the first anniversary of the first due date and annually thereafter, subject to the limitations set forth below, to an amount which will fully amortize the Mortgage Loan at the then current mortgage interest rate in equal monthly installments over its remaining term to maturity (the "Minimum Monthly Payment"). This adjustment is subject to the conditions that (i) the amount of the Minimum Monthly Payment will not increase by an amount that is more than 7.50% of the current Minimum Monthly Payment, (ii) as of the fifth anniversary of the first due date and on the same day every five years thereafter, and on the final payment adjustment date, the Minimum Monthly Payment will be recast without regard to the limitation in clause (i) above and (iii) if the unpaid principal balance exceeds a percentage (either 110%, 115% or 125%) of the original principal balance due to negative amortization (the "Negative Amortization Limit"), the Minimum Monthly Payment will be recast without regard to the limitation in clause (i) to amortize fully the then unpaid principal balance over the remaining term to maturity.
Negative amortization on a Mortgage Loan will occur when the monthly payment made by the borrower is less than interest accrued at the current mortgage rate on the unpaid principal balance of the Mortgage Loan (such deficiency, "Negative Amortization"). The amount of the Negative Amortization is added to the unpaid principal balance of the Mortgage Loan.
On the Closing Date, the aggregate principal balance of the Mortgage Loans as of the Cut-off Date is approximately $[890,229,311], subject to an increase or decrease of up to 10%. It is expected that the characteristics of the Mortgage Loans on the closing date will be substantially similar to the characteristics of the Mortgage Loans described herein. The initial principal balance of any of the Offered Certificates on the Closing Date is subject to an increase or decrease of up to 10% from the amounts shown herein.
|
|
23.28 |
|
FIRST HORIZON HOME LOAN CORP |
13.51 |
PLAZA HOME MORTGAGE INC |
11.11 |
RFC |
10.95 |
Total |
58.85 |
See "Originator Disclosure" section.
Class PPP Certificates: With respect to each Mortgage Loan, (a) all prepayment penalty payments on such Mortgage Loans remitted to the Trust with respect to voluntary full prepayments that have prepayment penalties and (b) any amounts paid by the Servicer, pursuant to the pooling agreement if the Servicer, waives a penalty on a voluntary full prepayment of a Mortgage Loan other than in accordance with the standards set forth in the pooling agreement, or paid by the Depositor pursuant to the mortgage loan sale agreement if it breaches certain representations and warranties with respect to a Mortgage Loan that requires payment of a penalty on voluntary full prepayment (each an "Assigned Prepayment Penalty") will be distributed to the holders of the Class PPP Certificates in the following manner: on each Distribution Date the Class PPP Certificates will be entitled to receive all such prepayment penalty payments remitted to the Trust during the period from the 15th day of the immediately preceding calendar month (or, in the case of the first Distribution Date, from the Cut-Off Date) through the 14th day of the current calendar for each Group 2 Mortgage Loan. The holders of the Class PPP Certificates will not receive any prepayment penalty payment with respect to voluntary partial prepayments; each such payment will be retained by the Servicer as additional servicing compensation. No prepayment penalty payments will be available for distribution to holders of the other classes of certificates. Notwithstanding the foregoing, prepayment penalties are neither imposed nor remitted to the Trust (and therefore are not payable to the Class PPP Certificates) (i) in some cases where the mortgagor sells the mortgaged property and obtains a new mortgage loan originated and serviced by Washington Mutual Bank to purchase another property, provided that the prepayment is made no earlier than one year after origination, (ii) in some cases, for Mortgage Loans with prepayment penalty terms greater than 12 months, where the mortgagor refinances the Mortgage Loan with a new mortgage loan originated and serviced by Washington Mutual Bank, provided that 90 days or less remain in the prepayment penalty term or (iii) for prepayments of accrued but unpaid interest that has been added to principal as a result of negative amortization. Moreover, regardless of the terms of the mortgage note, the Servicer will not collect prepayment penalties after the third anniversary of the origination of the Mortgage Loan. The Servicer will also not collect prepayment penalties due to involuntary prepayments such as foreclosures. In addition, under certain circumstances set forth in the Pooling Agreement, the payment of any otherwise applicable Assigned Prepayment Penalty by a mortgagor may be waived by the Servicer and, if waived in accordance with the terms of the pooling agreement, the amount of the waived Assigned Prepayment Penalty will not be available for distribution to the holders of the Class PPP Certificates.
Investors should conduct their own analysis of the effect, if any, that the payment of the Assigned Prepayment Penalties on the Class PPP Certificates, or decisions by the Servicer with respect to waiver thereof, may have on the performance of such certificates. General economic conditions and homeowner mobility will also affect the prepayment rate.
In addition, under circumstances described in the pooling agreement, the depositor may be required to repurchase Mortgage Loans from the Trust (or substitute new mortgage loans for those Mortgage Loans). The holders of the Class PPP Certificates will not be entitled to any prepayment penalty on a Mortgage Loan that was purchased from the Trust or substituted for, or (in the case of a substitution) on the new mortgage loan.
As of the Cut-Off Date, certain of the Mortgage Loans impose prepayment penalties for certain prepayments of principal. See the "Prepay Term (Months)" table in this preliminary term sheet for information regarding the number of loans, and the related percentage of the mortgage pool, that contain prepayment penalties, broken out for each of the various prepayment penalty terms. Generally, the mortgage loans with prepayment penalties provide for the payment of a penalty in connection with certain voluntary, full or partial prepayments made within a period of time specified in the related mortgage note and generally ranging from six months to three years from the date of origination of such Mortgage Loan. The amount of the applicable prepayment penalty, to the extent permitted by applicable law, is as provided in the related mortgage note. Such prepayment premiums may discourage mortgagors from prepaying their Mortgage Loans during the period such prepayment penalties are in effect and, accordingly, thereby affect the rate of prepayment of such mortgage loans even in a declining interest rate environment.
In addition, the Class PPP Certificates will receive $100 of principal, on the Distribution Date in July 2010, from a reserve fund to be funded on the Closing Date with a deposit by the underwriter.
Credit Enhancement: Senior/Subordinate, shifting interest structure. Credit enhancement for the Class A Certificates will consist of the subordination of the Subordinate Certificates, initially 10.75% total subordination (subject to the variance stated in the collateral profile).
Shifting Interest: Until the first Distribution Date occurring after July 2016, the Subordinate Certificates will be locked out from receipt of prepayments in full on a Mortgage Loan (each, a "Payoff") and partial prepayments on a Mortgage Loan, including any amounts in excess of the Minimum Monthly Payment (each, a "Curtailment") (net of Negative Amortization) (unless the Class A and Class X Certificates are paid down to zero or the credit enhancement provided by the Subordinate Certificates has doubled prior to such date as described below). After such time and subject to standard collateral performance triggers (as described in the Washington Mutual Mortgage Pass–Through Certificates, WMALT Series AR free writing prospectus), the Subordinate Certificates will receive their increasing portions of unscheduled principal payments (net of Negative Amortization).
The prepayment percentages on the Subordinate Certificates are as follows:
Periods: |
Unscheduled Principal Payments (%) |
August 2006 – July 2016 |
0% Pro Rata Share |
August 2016 – July 2017 |
30% Pro Rata Share |
August 2017 – July 2018 |
40% Pro Rata Share |
August 2018 – July 2019 |
60% Pro Rata Share |
August 2019 – July 2020 |
80% Pro Rata Share |
August 2020 and after |
100% Pro Rata Share |
Notwithstanding the foregoing, if the credit enhancement provided by the Subordinate Certificates has doubled (subject to the performance triggers described in Washington Mutual Mortgage Pass–Through Certificates, WMALT Series AR free writing prospectus), (i) prior to the Distribution Date in August 2009, and the cumulative realized losses on the Mortgage Loans allocated to the Subordinate Certificates, as a percentage of the aggregate class principal balance of the Subordinate Certificates as of the Closing Date, do not exceed 20%, the Subordinate Certificates will be entitled to 50% of their pro rata share of Payoffs and Curtailments (net of Negative Amortization) or (ii) on or after the Distribution Date in August 2009, and the cumulative realized losses on the Mortgage Loans allocated to the Subordinate Certificates, as a percentage of the aggregate class principal balance of the Subordinate Certificates as of the Closing Date, do not exceed 30%, the Subordinate Certificates will be entitled to 100% of their pro rata share of Payoffs and Curtailments (net of Negative Amortization).
In the event the current aggregate principal balance of the related Class A and Class X Certificates related to a loan group, divided by the Stated Principal Balance of the related Mortgage Loans (the "Senior Percentage") exceeds the applicable initial Senior Percentage as of the Closing Date, the related Class A and Class X Certificates will receive all Payoffs and Curtailments (net of Negative Amortization) for the related Mortgage Loans.
Stated Principal Balance: The "Stated Principal Balance" of any Mortgage Loan as of any date of determination is equal to its principal balance as of the Cut-Off Date, after application of all scheduled principal payments due on or before the Cut-Off Date, whether or not received, reduced by all amounts allocable to principal that have been distributed to certificateholders with respect to that Mortgage Loan on or before that date of determination, and as further reduced to the extent that any realized loss on that Mortgage Loan has been allocated to one or more classes of certificates on or before that date of determination, and as increased by the amounts of any Negative Amortization with respect to that Mortgage Loan for all prior interest accrual periods.
Class Principal Balance: The "Class Principal Balance" for any Distribution Date and for any class of certificates (other than the Class CA-1C Certificates) will equal the aggregate amount of principal to which such class or, in the case of the Class X Certificates, the related principal-only component, is entitled on the Closing Date, reduced by all distributions of principal to that class or component, as applicable, and all allocations of losses required to be borne by that class or component, as applicable, before that Distribution Date and increased by the portion of the aggregate Net Negative Amortization allocated to that class or component, as applicable.
The "Class Principal Balance" for any Distribution Date and the Class CA-1C Certificates will equal the sum of the related Component Principal Balances, as applicable.
Component Principal Balance: The "Component Principal Balance" for any Distribution Date and any Class CA-1C Component will equal the aggregate amount of principal to which that component is entitled on the Closing Date, reduced by all distributions of principal to that component, and all allocations of losses required to be borne by that component, before that Distribution Date and increased by the portion of the aggregate Net Negative Amortization allocated to that component, as applicable.
Subordinate Component Balance: The "Subordinate Component Balance" for either of Loan Group 1 or Loan Group 2 as of any date of determination will equal the product of (x) the aggregate Class Principal Balance of the Subordinate Certificates and (y) a fraction, the numerator of which is the excess, if any, of the aggregate Stated Principal Balance of the Mortgage Loans in that loan group over the aggregate Class Principal Balance or Component Balance of the Class A and Class X Certificates (or components thereof, as applicable) related to such loan group (and, in the case of Loan Group 1, the Class R Certificates) and the denominator of which is the sum of such excess amounts calculated for each loan group.
Net Mortgage Rate: The "Net Mortgage Rate" with respect to each Mortgage Loan is equal to the excess, if any, of the mortgage interest rate over the servicing fee rate.
Net WAC Cap: The "Net WAC Cap" for any Distribution Date and the Group 1 Mortgage Loans and the Group 2 Mortgage Loans is equal to the weighted average of the Net Mortgage Rates of the related Mortgage Loans as of the second preceding Due Date (after giving effect to (a) the payments due on the related Mortgage Loans on that Due Date and (b) except for the first Distribution Date, any Payoffs on the related Mortgage Loans received on or before the 14th day of the calendar month of that Due Date).
Adjusted Net WAC Cap: The "Adjusted Net WAC Cap" for each of the Group 1 Mortgage Loans and the Group 2 Mortgage Loans is equal to the weighted average of the Net Mortgage Rates of the related Mortgage Loans, adjusted on an actual/360 basis.
Class B Adjusted Net WAC Cap: The "Class B Adjusted Net WAC Cap" is equal to the quotient expressed as a percentage of (a) the sum of (i) the product of (x) the Adjusted Net WAC Cap for Loan Group 1 and (y) the Subordinate Component Balance (as defined herein) for Loan Group 1 immediately before that Distribution Date and (ii) the product of (x) the Adjusted Net WAC Cap for Loan Group 2 and (y) the Subordinate Component Balance for Loan Group 2 immediately before that Distribution Date, divided by (b) the sum of the Subordinate Component Balances for Loan Group 1 and Loan Group 2 immediately before that Distribution Date.
Maximum Class B Rate: The "Maximum Class B Rate" is the Class B Adjusted Net WAC Cap modified as follows: for purposes of calculating the Net WAC Cap, the lifetime maximum mortgage rate for each Mortgage Loan will be substituted for the per annum mortgage rate for such Mortgage Loan.
Maximum Loan Group 1 Rate: The "Maximum Loan Group 1 Rate" is the Adjusted Net WAC Cap for Loan Group 1 modified as follows: for purposes of calculating the related Net WAC Cap for each related Mortgage Loans, the lifetime maximum mortgage rate for each related Mortgage Loan will be substituted for the per annum mortgage rate for such Mortgage Loan.
Maximum Loan Group 2 Rate: The "Maximum Loan Group 2 Rate" is the Adjusted Net WAC Cap for Loan Group 2 modified as follows: for purposes of calculating the related Net WAC Cap for each related Mortgage Loans, the lifetime maximum mortgage rate for each related Mortgage Loan will be substituted for the per annum mortgage rate for such Mortgage Loan.
Loan Group 1 Balance Loan Group 2 Balance: The "Loan Group 1 Balance'' and "Loan Group 2 Balance" for any Distribution Date is the aggregate principal balance of the Group 1 Mortgage Loans and Group 2 Mortgage Loans, respectively, as of the second preceding Due Date (after giving effect to (a) the payments due on the related Mortgage Loans on that Due Date and (b) except for the first Distribution Date, any Payoffs on the related Mortgage Loans received on or before the 14th day of the calendar month of that Due Date)
Aggregate Weighted Average Certificate Interest Rate: The "Aggregate Weighted Average Certificate Interest Rate'' for any Distribution Date is the weighted average (weighted according to Class Principal Balance or Component Principal Balance, as applicable) of the annual certificate interest rates on the Class A and Subordinate Certificates (or components thereof, as applicable) (each of which annual certificate interest rates, in the case of the Class 1A, Class 1A-1B, Class CA-1C and Subordinate Certificates, will be multiplied by a fraction, the numerator of which is the actual number of days in the related certificate accrual period and the denominator of which is 30).
Maximum Class X Interest Amount: The "Maximum Class X Interest Amount" for any Distribution Date is the excess, if any, of (x) the product of (i) a fraction, the numerator of which is the weighted average of the Net WAC Cap for the Group 1 Mortgage Loans and the Net WAC Cap for the Group 2 Mortgage Loans and the denominator of which is 12, and (ii) the aggregate of the Loan Group 1 Balance and the Loan Group 2 Balance over (y) the product of (i) a fraction, the numerator of which is the Aggregate Weighted Average Certificate Interest Rate and the denominator of which is 12, and (ii) the aggregate of the Loan Group 1 Balance and the Loan Group 2 Balance reduced by the aggregate Class Principal Balance of the Class X Certificates.
Weighted Average Certificate Interest Rate: The "Weighted Average Certificate Interest Rate" for any loan group for any Distribution Date is the weighted average of the annual certificate interest rates on the Class A and Subordinate Certificates (or components thereof, as applicable) related to such loan group (each of which annual certificate interest rates, in the case of the Class 1A, Class 1A-1B, Class CA-1C and Subordinate Certificates (or components thereof, as applicable), will be multiplied by a fraction, the numerator of which is the actual number of days in the related certificate accrual period and the denominator of which is 30) (such rates weighted, (i) in the case of the Class A Certificates, according to the Class Principal Balance or Component Principal Balance thereof, as applicable, and (ii) in the case of the certificate interest rate on each class of Subordinate Certificates, according to the product of the Class Principal Balance thereof and a fraction, the numerator of which is the Subordinate Component Balance for such loan group and the denominator of which is the aggregate Class Principal Balance of all the Subordinate Certificates).
Carryover Shortfall Amount: With respect to the Class 2A and Cass 2A-1B Certificates, if, on the initial Distribution Date, One-Year MTA plus the related margin for the Class 2A and Class 2A-1B Certificates is greater than the applicable Net WAC Cap, then such class will be entitled to the payment of an amount equal to the excess, if any, of (a) the amount of interest that would have accrued on such class at a certificate interest rate equal to the One-Year MTA plus the related margin, over (b) the actual amount of interest accrued on such class for such Distribution Date (together, the "Carryover Shortfall Amount"). The Class 2A and Class 2A-1B Certificates will not be entitled to Carryover Shortfall Amounts on any other Distribution Date.
With respect to the Class 1A, Class 1A-1B and Subordinate Certificates and Class CA-1C Group 1 and Group 2 Components, if, on any Distribution Date, LIBOR plus the related margin for the Class 1A, Class 1A-1B, Class CA-1C and Subordinate Certificates is greater than the applicable Adjusted Net WAC Cap, then such class will be entitled to the payment of an amount equal to the sum of (i) the excess, if any, of (a) the lesser of (1) interest accrued at LIBOR plus the related margin for such class and (2) in the case of (x) the Class 1A and Class 1A-1B Certificates, the Maximum Loan Group 1 Rate, (y) the Class CA-1C Group 1 and Group 2 Components, the related Maximum Loan Group 1 Rate or Maximum Loan Group 2 Rate related to such Class CA-1C Component and (z) the Subordinate Certificates, the Maximum Class B Rate, as applicable, over (b) interest accrued on such class or component, as applicable, at the applicable Net WAC Cap and (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the Certificate Interest Rate for such class without giving effect to the related Adjusted Net WAC Cap) (together, the "Carryover Shortfall Amount").
Carryover Shortfall Amounts will be paid to the Class A Certificates pro rata according to such Carryover Shortfall Amounts, from the aggregate interest otherwise distributable to the Class 1X and Class 2X Certificates (in each case, after the reduction due to Net Negative Amortization allocated to the Class 1X and Class 2X Certificates) (which interest otherwise distributable to the Class 1X and Class 2X Certificates will be reduced as described herein under "Structure Rules-Certificates Priority of Distribution". Carryover Shortfall Amounts will be paid, sequentially in order of seniority, to the Subordinate Certificates, from the remaining interest otherwise distributable to the Class 1X and Class 2X Certificates (after the reduction due to Net Negative Amortization allocated to the Class 1X and Class 2X Certificates and the reduction due to payment of Carryover Shortfall Amounts to the Class A Certificates).
Adjusted Cap Rate: The "Adjusted Cap Rate" for any Distribution Date and the Class 1A and Class 1A-1B Certificates will equal a fraction, the numerator of which is equal to the product of (i) the amount of interest accrued on the Mortgage Loans in Loan Group 1 at the Net WAC Cap for Loan Group 1 for that Distribution Date less the Net Negative Amortization with respect to Loan Group 1 and (ii) 12, and the denominator of which is the Loan Group 1 Balance, such fraction multiplied by a ratio, the numerator of which is 30 and the denominator of which is the actual number of days in the related certificate accrual period.
The "Adjusted Cap Rate" for any Distribution Date and the Class 2A and Class 2A-1B Certificates will equal a fraction, the numerator of which is equal to the product of (i) the amount of interest accrued on the Mortgage Loans in Loan Group 2 at the Net WAC Cap for Loan Group 2 for that Distribution Date less the Net Negative Amortization with respect to Loan Group 2 and (ii) 12, and the denominator of which is the Loan Group 2 Balance.
The "Adjusted Cap Rate" for any Distribution Date and the Class CA-1C Group 1 Component will equal a fraction, the numerator of which is equal to the product of (i) the amount of interest accrued on the Mortgage Loans in Loan Group 1 at the Net WAC Cap for Loan Group 1 for that Distribution Date less the Net Negative Amortization with respect to Loan Group 1 and (ii) 12, and the denominator of which is the Loan Group 1 Balance, such fraction multiplied by a ratio, the numerator of which is 30 and the denominator of which is the actual number of days in the related certificate accrual period.
The "Adjusted Cap Rate" for any Distribution Date and the Class CA-1C Group 2 Component will equal a fraction, the numerator of which is equal to the product of (i) the amount of interest accrued on the Mortgage Loans in Loan Group 2 at the Net WAC Cap for Loan Group 2 for that Distribution Date less the Net Negative Amortization with respect to Loan Group 2 and (ii) 12, and the denominator of which is the Loan Group 2 Balance, such fraction multiplied by a ratio, the numerator of which is 30 and the denominator of which is the actual number of days in the related certificate accrual period.
The "Adjusted Cap Rate" for any Distribution Date and any class of Subordinate Certificates will equal the Class B Adjusted Net WAC Cap, computed for this purpose by (i) reducing the Adjusted Net WAC Cap for the Group 1 Mortgage Loans by a per annum rate equal to a fraction, the numerator of which is the Net Negative Amortization with respect to Loan Group 1 multiplied by 12, and the denominator of which is the Loan Group 1 Balance and (ii) reducing the Adjusted Net WAC Cap for the Group 2 Mortgage Loans by a per annum rate equal to a fraction, the numerator of which is the Net Negative Amortization with respect to Loan Group 2 multiplied by 12, and the denominator of which is the Loan Group 2 Balance.
Negative Amortization: The Mortgage Loans may experience negative amortization when the interest accrued on a Mortgage Loan exceeds the monthly payment due on such Mortgage Loan. Such excess is deferred and added to the unpaid principal balance of such Mortgage Loan.
Net Negative Amortization: The "Net Negative Amortization'' for the Mortgage Loans and for the Group 1 and Group 2 Mortgage Loans for any Distribution Date will equal the excess, if any, of (i) the aggregate amount of Negative Amortization with respect to the related Mortgage Loans during the prior calendar month over (ii) the aggregate amount of Payoffs and Curtailments received with respect to the related Mortgage Loans during the related Prepayment Period.
For any Distribution Date, the Net Negative Amortization for each of the Group 1 and Group 2 Mortgage Loans will be allocated among the certificates as follows:
(i) first, (a) the Net Negative Amortization for the Group 1 Mortgage Loans, to the Class 1X Certificates in reduction of the interest otherwise payable to the Class 1X Certificates, until such amount is reduced to zero and (b) the Net Negative Amortization for the Group 2 Mortgage Loans, to the Class 2X Certificates in reduction of the interest otherwise payable to the Class 2X Certificates, until such amount is reduced to zero;
(ii) second, (a) the Net Negative Amortization for the Group 1 Mortgage Loans remaining after the allocation pursuant to clause (i)(a) above, to the Class 2X Certificates in reduction of the remaining interest otherwise payable to the Class 2X Certificates, until such remaining amount is reduced to zero, (b) the Net Negative Amortization for the Group 2 Mortgage Loans remaining after the allocation pursuant to clause (i)(b) above, to the Class 1X Certificates in reduction of the remaining interest otherwise payable to the Class 1X Certificates, until such remaining amount is reduced to zero;
(iii) third, the Net Negative Amortization for the Group 1 Mortgage Loans remaining after the allocations pursuant to clauses (i) and (ii) above, to the Class 1A, Class 1A-1B and Subordinate Certificates and the Class CA-1C Group 1 Component in proportion to the excess, if any, for each such class or component of (x) the current interest accrued at the applicable certificate interest rate for such class or component over (y) the amount of current interest that would have accrued had the certificate interest rate for such class or component equaled the Adjusted Cap Rate for such class or component and for such Distribution Date (such excess, in the case of each class of Subordinate Certificates, multiplied by a fraction, the numerator of which is the Subordinate Component Balance for Loan Group 1 and the denominator of which is the aggregate Class Principal Balance of the Subordinate Certificates); and
(iv) fourth, the Net Negative Amortization for the Group 2 Mortgage Loans remaining after the allocations pursuant to clauses (i) and (ii) above, to the Class 2A, Class 2A-1B and Subordinate Certificates and the Class CA-1C Group 2 Component in proportion to the excess, if any, for each such class or component of (x) the current interest accrued at the applicable certificate interest rate for such class or component over (y) the amount of current interest that would have accrued had the certificate interest rate for such class or component equaled the Adjusted Cap Rate for such class or component and for such Distribution Date (such excess, in the case of each class of Subordinate Certificates, multiplied by a fraction, the numerator of which is the Subordinate Component Balance for Loan Group 2 and the denominator of which is the aggregate Class Principal Balance of the Subordinate Certificates).
The amount of Net Negative Amortization allocated to the Class X Certificates in reduction of the interest otherwise payable to such Class and derived from the Mortgage Loans in a Loan Group will be added to the Class Principal Balance of the Class X Certificate related to such Loan Group. The amount of Net Negative Amortization allocated to any Class of Class A or Subordinate Certificates (or component thereof) in reduction of the interest otherwise payable to such Class (or component) will be added to the Class Principal Balance of such Class (or component).
Structure Rules
Allocation of Realized Losses: Any realized losses on the Group 1 and Group 2 Mortgage Loans will be allocated as follows: first, to the Subordinate Certificates in reverse order of their numerical Class designations, in each case until the respective class principal balance has been reduced to zero; second, to the Class CA-1C Certificates until the Component Principal Balance thereof related to that loan group has been reduced to zero; third, (a) with respect to any realized losses on the Group 1 Mortgage Loans, to the Class 1A-1B Certificates until the Certificate Principal Balance thereof has been reduced to zero and (b) with respect to any realized losses on the Group 2 Mortgage Loans, to the Class 2A-1B Certificates until the Certificate Principal Balance thereof has been reduced to zero; and fourth, any realized losses remaining on the Mortgage Loans to the related Class A Certificates (other than the Mezzanine Certificates) and the Class X Certificates related to that loan group, on a pro-rata basis, until the related Class Principal Balance or Component Principal Balance has been reduced to zero.
Cross-Collateralization: In some limited circumstances, principal and interest collected from either of loan group 1 or 2 may be used to pay principal or interest, or both, to the Class A and Class X Certificates related to the other loan group, before making payments to the Subordinate Certificates, as more fully described in the Washington Mutual Mortgage Pass–Through Certificates, WMALT Series AR free writing prospectus.
Certificates Priority of Distributions: Available funds from the Mortgage Loans will be distributed in the following order of priority:
1) to the Senior Certificates, accrued and unpaid interest, pro rata, at the related certificate interest rate; provided, however, that any interest otherwise distributable with respect to the Class X Certificates will be reduced to the extent needed to pay any Carryover Shortfall Amounts as described below (after giving effect to the allocation of any Net Negative Amortization);
2) from the Group 1 Mortgage Loans, as principal, sequentially, as follows:
(a) first, to the Class R Certificates, until its principal balance is reduced to zero;
(b) second, to the Class 1A and Class 1A-1B Certificates and Class CA-1C Group 1 Component, pro rata according to Class Principal Balance in the case of the Class 1A and Class 1A-1B Certificates and the Component Principal Balance for the Class CA-1C Group 1 Component, until the related Class Principal Balance or Component Principal Balance is reduced to zero; and
(c) third, to the Class 1X Certificates, until its Class Principal Balance is reduced to zero;
3) from the Group 2 Mortgage Loans, as principal, sequentially, as follows:
(a) first, to the Class 2A and Class 2A-1B Certificates and Class CA-1C Group 2 Component, pro rata according to Class Principal Balance in the case of the Class 2A and Class 2A-1B Certificates and the Component Principal Balance for the Class CA-1C Group 2 Component, until the related Class Principal Balance or Component Principal Balance is reduced to zero; and
(b) second, to the Class 2X Certificates, until its Class Principal Balance is reduced to zero;
4) (a) on the initial Distribution Date, to the Class 1A, Class 1A-1B, Class 2A and Class 2A-1B Certificates and the Class CA-1C Group 1 and Group 2 Components, their Carryover Shortfall Amounts, pro rata according to such Carryover Shortfall Amounts, from the aggregate interest otherwise distributable to the Class 1X and Class 2X Certificates on such Distribution Date (in each case, after the reduction due to Net Negative Amortization allocated to the Class 1X and Class 2X Certificates) (which interest otherwise distributable to the Class 1X and Class 2X Certificates will be reduced by the aggregate amount paid as Carryover Shortfall Amounts to the Class 1A, Class 1A-1B, Class 2A and Class 2A-1B Certificates and the Class CA-1C Group 1 and Group 2 Components as follows: (i) first, such interest otherwise distributable to the Class 1X and Class 2X Certificates will be reduced, pro rata, by the aggregate amount paid pursuant to this clause (4)(a) as Carryover Shortfall Amounts to the Class 2A and Class 2A-1B Certificates and the Class CA-1C Group 1 and Group 2 Components, (ii) second, such interest otherwise distributable to the Class 1X Certificates and remaining after the reduction pursuant to clause (4)(a)(i) above will be further reduced by the aggregate amount paid pursuant to this clause (4)(a) as Carryover Shortfall Amounts to the Class 1A and Class 1A-1B Certificates and (iii) third, such interest otherwise distributable to the Class 2X Certificates and remaining after the reduction pursuant to clause 4(a)(i) above will be further reduced by the portion of the aggregate amount paid pursuant to this clause (4)(a) as Carryover Shortfall Amounts to the Class 1A and Class 1A-1B Certificates that has not been allocated in reduction of the interest otherwise distributable to the Class 1X Certificates pursuant to clause (4)(a)(ii) above); and
(b) on each Distribution Date after the initial Distribution Date, to the Class 1A and Class 1A-1B Certificates and the Class CA-1C Group 1 and Group 2 Components, their Carryover Shortfall Amounts, pro rata according to such Carryover Shortfall Amounts, from the aggregate interest otherwise distributable to the Class 1X and Class 2X Certificates on such Distribution Date (in each case, after the reduction due to Net Negative Amortization allocated to the Class 1X and Class 2X Certificates) (which interest otherwise distributable to the Class 1X and Class 2X Certificates will be reduced by the aggregate amount paid as Carryover Shortfall Amounts to the Class 1A and Class 1A-1B Certificates and the Class CA-1C Group 1 and Group 2 Components as follows: (i) first, such interest otherwise distributable to the Class 1X and Class 2X Certificates will be reduced, pro rata, by the aggregate amount paid pursuant to this clause (4)(b) as Carryover Shortfall Amounts to the Class CA-1C Group 1 and Group 2 Components, (ii) second, such interest otherwise distributable to the Class 1X Certificates and remaining after the reduction pursuant to clause (4)(b)(i) above will be further reduced by the aggregate amount paid pursuant to this clause (4)(b) as Carryover Shortfall Amounts to the Class 1A and Class 1A-1B Certificates and (iii) third, such interest otherwise distributable to the Class 2X Certificates and remaining after the reduction pursuant to clause (4)(b)(i) above will be further reduced by the portion of the aggregate amount paid pursuant to this clause (4)(b) as Carryover Shortfall Amounts to the Class 1A and Class 1A-1B Certificates that has not been allocated in reduction of the interest otherwise distributable to the Class 1X Certificates pursuant to clause (4)(b)(ii) above);
5) to the Class B-1 Certificates, accrued and unpaid interest at the Class B-1 certificate interest rate;
6) to the Class B-1 Certificates, principal allocable to such Class;
7) to the Class B-2 Certificates, accrued and unpaid interest at the Class B-2 certificate interest rate;
8) to the Class B-2 Certificates, principal allocable to such Class;
9) to the Class B-3 Certificates, accrued and unpaid interest at the Class B-3 certificate interest rate;
10) to the Class B-3 Certificates, principal allocable to such Class;
11) to the Class B-4 Certificates, accrued and unpaid interest at the Class B-4 certificate interest rate;
12) to the Class B-4 Certificates, principal allocable to such Class;
13) to the Class B-5 Certificates, accrued and unpaid interest at the Class B-5 certificate interest rate;
14) to the Class B-5 Certificates, principal allocable to such Class;
15) to the Class B-6 Certificates, accrued and unpaid interest at the Class B-6 certificate interest rate;
16) to the Class B-6 Certificates, principal allocable to such Class;
17) to the Class B-7 Certificates, accrued and unpaid interest at the Class B-7 certificate interest rate;
18) to the Class B-7 Certificates, principal allocable to such Class;
19) to the Class B-8 Certificates, accrued and unpaid interest at the Class B-8 certificate interest rate;
20) to the Class B-8 Certificates, principal allocable to such Class;
21) to the Class B-9 Certificates, accrued and unpaid interest at the Class B-9 certificate interest rate;
22) to the Class B-9 Certificates, principal allocable to such Class;
23) to the Class B-10 Certificates, accrued and unpaid interest at the Class B-10 certificate interest rate;
24) to the Class B-10 Certificates, principal allocable to such Class;
25) to the Class B-11 Certificates, accrued and unpaid interest at the Class B-10 certificate interest rate;
26) to the Class B-11 Certificates, principal allocable to such Class;
27) to the Class B-12, Class B-13 and Class B-14 Certificates, in sequential order, accrued and unpaid interest at the related certificate interest rate;
28) to the Class B-12, Class B-13 and Class B-14 Certificates, principal allocable to such Classes;
29) to the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5, Class B-6, Class B-7, Class B-8, Class B-9, Class B-10, Class B-11, Class B-12, Class B-13 and Class B-14 Certificates, in sequential order, their Carryover Shortfall Amounts, from remaining aggregate interest otherwise distributable to the Class 1X and Class 2X Certificates (in each case, after the reduction due to Net Negative Amortization allocated to the Class 1X and Class 2X Certificates and the reduction due to payment of Carryover Shortfall Amounts to the Class A Certificates) (pro rata according to such interest otherwise distributable to the Class 1X and Class 2X Certificates); and
30) to the Class R Certificate, any remaining amount.
In addition, see "Transaction Summary – Class PPP Certificates" in this preliminary term sheet for a description of the distributions on the Class PPP Certificates.
ORIGINATOR DISCLOSURES
Alliance Bancorp, also referred to herein as "AB", is a California corporation. AB is a residential mortgage banking company that focuses primarily on the origination and sale of Option ARM mortgages. Option ARM mortgages are first lien mortgages made to borrowers whose credit is generally within Fannie Mae or Freddie Mac guidelines, but are considered "non-conforming" due to loan balances in excess of maximum conforming lending limits, limited or no documentation required for approval of the borrower. AB's target Option ARM mortgage borrowers consist of prime quality borrowers with high-end FICO scores, low loan-to-value ratios and non-conforming documentation. AB has been originating mortgage loans since 1990, and Option ARM mortgage loans since 2005. The principal executive offices of AB are located at 1000 Marina Boulevard, Suite 100, Brisbane, CA 94005.
The following table reflects AB's originations of Option ARM mortgage loans for 2005:
Option ARM |
Year Ending |
Number of Loans |
920 |
Principal Balance |
405,550,334 |
AB is not aware of any material legal proceedings pending against it or against any of its property, including any proceedings known to be contemplated by governmental authorities.
First Horizon Home Loan Corporation, a Kansas corporation. The principal executive office of First Horizon Home Loan Corporation is located at 4000 Carl I. Brown and Co., MNC Mortgage Corp., and Sunbelt National Mortgage Corp. On March 4, 2000, First Horizon Home Loan Corporation officially changed its name from FT Mortgage Cos. to First Horizon Home Loan Corporation. For over 27 years, First Horizon Home Loan Corporation and its predecessors in interest have been engaged principally in the business of origination, purchasing and selling residential mortgage loans in its own name and through its affiliates. First Horizon Home Loan Corporation is engaged primarily in the mortgage banking business, and as such, originates, purchases, sells and services mortgage loans. First Horizon Home Loan Corporation has originated and serviced residential mortgage loans for 20 years through a retail branch system and through mortgage loan brokers and correspondents nationwide. First Horizon Home Loan Corporation's mortgage loans are principally first-lien, fixed or adjustable rate mortgage loans secured by single-family residences.
Plaza Home Mortgage, Inc.("Plaza") is a direct lender engaged in the mortgage banking business to originate and sell mortgage loans. Plaza is incorporated in California, with the principal executive offices located at 5090 Shoreham Place, Suite 206, San Diego, CA 92122. Plaza originates mortgage loans primarily through Plaza's eleven wholesale branch offices, using a network of independent mortgage brokers approved by Plaza. Loans originated and sold by Plaza are first and/or second lien, fixed and adjustable rate mortgage loans secured by one-to-four unit properties
Residential Funding Corporation ("RFC"), an indirect, wholly-owned subsidiary of GMAC Mortgage Group, Inc., is a Delaware corporation having its principal place of business in Minnesota. RFC is engaged in the business of (i) originating and acquiring residential mortgage loans from correspondent bankers and brokers and selling loans to public and private investors in the secondary markets in its own name and through its affiliates and (ii) servicing residential mortgage loans for its own account and for the accounts of others. RFC's principal executive offices are located at 8400 Normandale Lake Boulevard, Suite 250, Minneapolis, Minnesota and its telephone number is (952) 857-7000
IMPORTANT NOTICE REGARDING COLLATERAL MATERIALS
The information contained in this section has not been independently verified by WaMu Capital Corp. The information contained in this section is Final and subject to change and supersedes information contained in any prior collateral materials for this transaction.
WMALT Mortgage Pass-Through Certificates
Series 2006-AR6
Mortgage Loans
Preliminary Collateral Information As of 07/01/06
TOTAL CURRENT BALANCE |
$890,229,311 |
|
|
|
|
|
TOTAL ORIGINAL BALANCE |
$891,017,539 |
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF LOANS |
2,097 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Minimum |
|
Maximum |
|
AVG CURRENT BALANCE |
$424,525 |
|
$43,921 |
|
$3,000,816 |
|
AVG ORIGINAL BALANCE |
$424,901 |
|
$44,000 |
|
$3,000,000 |
|
|
|
|
|
|
|
|
WAVG GROSS COUPON |
6.50 |
% |
1.00 |
% |
10.23 |
% |
WAVG GROSS MARGIN |
3.44 |
% |
1.55 |
% |
5.95 |
% |
WAVG MAX INT RATE |
10.21 |
% |
7.00 |
% |
11.95 |
% |
|
|
|
|
|
|
|
WAVG CURRENT LTV |
74.15 |
% |
11.36 |
% |
96.80 |
% |
|
|
|
|
|
|
|
WAVG FICO SCORE |
711 |
|
0 |
|
819 |
|
|
|
|
|
|
|
|
WAVG MONTHS TO ROLL |
1 |
Month(s) |
1 |
Month(s) |
3 |
Month(s) |
|
|
|
|
|
|
|
WAVG NEG AM LIMIT |
112 |
% |
110 |
% |
125 |
% |
WAVG PAYMENT CAP |
7.50 |
% |
7.50 |
% |
7.50 |
% |
WAVG RECAST |
60 |
Month(s) |
60 |
Month(s) |
60 |
Month(s) |
|
|
|
|
|
|
|
WAVG ORIGINAL TERM |
372 |
Month(s) |
360 |
Month(s) |
480 |
Month(s) |
WAVG REMAINING TERM |
370 |
Month(s) |
347 |
Month(s) |
480 |
Month(s) |
WAVG SEASONING |
1 |
Month(s) |
0 |
Month(s) |
13 |
Month(s) |
|
|
|
|
|
|
|
NZ WAVG PREPAY TERM |
28 |
Month(s) |
6 |
Month(s) |
36 |
Month(s) |
|
|
|
|
|
|
|
TOP STATE CONC |
CA(67.76%),FL(5.13%),AZ(4.42%) |
|||||
MAXIMUM CA ZIPCODE |
1.00% |
|||||
|
|
|
|
|
|
|
FIRST PAY DATE |
|
|
July 1,2005 |
|
August 1,2006 |
|
|
|
|
|
|
|
|
RATE CHANGE DATE |
|
|
August 1,2006 |
|
October 1,2006 |
|
|
|
|
|
|
|
|
MATURITY DATE |
|
|
June 1,2035 |
|
July 1,2046 |
|
PRODUCT |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Option ARM |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
INDEX |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
LIBOR |
|
134 |
|
$61,787,512.16 |
|
6.94% |
MTA |
|
1,963 |
|
828,441,798.58 |
|
93.06 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
CURRENT BALANCE ($) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
1—100,000 |
|
24 |
|
$1,871,521.59 |
|
0.21% |
100,001—200,000 |
|
236 |
|
37,689,678.61 |
|
4.23 |
200,001—300,000 |
|
412 |
|
103,918,759.02 |
|
11.67 |
300,001—400,000 |
|
465 |
|
162,845,092.29 |
|
18.29 |
400,001—500,000 |
|
367 |
|
164,334,492.85 |
|
18.46 |
500,001—600,000 |
|
257 |
|
141,061,087.18 |
|
15.85 |
600,001—700,000 |
|
147 |
|
94,491,856.40 |
|
10.61 |
700,001—800,000 |
|
66 |
|
49,601,476.22 |
|
5.57 |
800,001—900,000 |
|
32 |
|
27,263,026.78 |
|
3.06 |
900,001—1,000,000 |
|
45 |
|
43,473,662.07 |
|
4.88 |
1,000,001—1,100,000 |
|
10 |
|
10,214,377.42 |
|
1.15 |
1,100,001—1,200,000 |
|
6 |
|
6,938,779.38 |
|
0.78 |
1,200,001—1,300,000 |
|
3 |
|
3,699,722.76 |
|
0.42 |
1,300,001—1,400,000 |
|
9 |
|
12,092,512.78 |
|
1.36 |
1,400,001—1,500,000 |
|
7 |
|
10,352,517.68 |
|
1.16 |
1,500,001—1,600,000 |
|
3 |
|
4,603,523.92 |
|
0.52 |
1,600,001—1,700,000 |
|
2 |
|
3,398,207.15 |
|
0.38 |
1,700,001—1,800,000 |
|
1 |
|
1,704,463.53 |
|
0.19 |
1,800,001—1,900,000 |
|
1 |
|
1,865,206.81 |
|
0.21 |
1,900,001—2,000,000 |
|
3 |
|
5,808,530.23 |
|
0.65 |
2,500,001 >= |
|
1 |
|
3,000,816.07 |
|
0.34 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
GROSS COUPON (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
0.751—1.000 |
|
247 |
|
$119,970,586.39 |
|
13.48% |
1.001—1.250 |
|
17 |
|
6,346,500.00 |
|
0.71 |
1.251—1.500 |
|
32 |
|
12,680,027.00 |
|
1.42 |
1.501—1.750 |
|
33 |
|
16,350,219.80 |
|
1.84 |
1.751—2.000 |
|
37 |
|
13,221,553.50 |
|
1.49 |
2.001—2.250 |
|
12 |
|
4,787,169.10 |
|
0.54 |
2.251—2.500 |
|
7 |
|
1,856,753.94 |
|
0.21 |
2.501—2.750 |
|
1 |
|
582,936.36 |
|
0.07 |
2.751—3.000 |
|
2 |
|
911,785.29 |
|
0.10 |
3.001—3.250 |
|
1 |
|
315,000.00 |
|
0.04 |
3.501—3.750 |
|
1 |
|
229,653.58 |
|
0.03 |
5.751—6.000 |
|
2 |
|
1,877,827.14 |
|
0.21 |
6.001—6.250 |
|
1 |
|
193,671.13 |
|
0.02 |
6.251—6.500 |
|
3 |
|
1,665,765.77 |
|
0.19 |
6.501—6.750 |
|
12 |
|
5,494,726.31 |
|
0.62 |
6.751—7.000 |
|
58 |
|
25,248,516.03 |
|
2.84 |
7.001—7.250 |
|
205 |
|
85,913,601.60 |
|
9.65 |
7.251—7.500 |
|
276 |
|
116,465,154.41 |
|
13.08 |
7.501—7.750 |
|
485 |
|
187,594,309.85 |
|
21.07 |
7.751—8.000 |
|
142 |
|
52,802,035.77 |
|
5.93 |
8.001—8.250 |
|
217 |
|
104,187,959.83 |
|
11.70 |
8.251—8.500 |
|
62 |
|
29,349,710.90 |
|
3.30 |
8.501—8.750 |
|
84 |
|
35,740,643.08 |
|
4.01 |
8.751—9.000 |
|
74 |
|
29,440,956.63 |
|
3.31 |
9.001—9.250 |
|
43 |
|
18,905,775.20 |
|
2.12 |
9.251—9.500 |
|
19 |
|
7,897,134.53 |
|
0.89 |
9.501—9.750 |
|
10 |
|
4,137,324.66 |
|
0.46 |
9.751—10.000 |
|
7 |
|
3,393,049.50 |
|
0.38 |
10.001—10.250 |
|
7 |
|
2,668,963.44 |
|
0.30 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
GROSS MARGIN (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
1.501—1.750 |
|
2 |
|
$1,877,827.14 |
|
0.21% |
1.751—2.000 |
|
1 |
|
193,671.13 |
|
0.02 |
2.001—2.250 |
|
7 |
|
3,018,627.05 |
|
0.34 |
2.251—2.500 |
|
20 |
|
9,769,464.61 |
|
1.10 |
2.501—2.750 |
|
99 |
|
41,111,044.23 |
|
4.62 |
2.751—3.000 |
|
306 |
|
138,658,185.35 |
|
15.58 |
3.001—3.250 |
|
486 |
|
205,456,075.76 |
|
23.08 |
3.251—3.500 |
|
491 |
|
192,158,078.42 |
|
21.59 |
3.501—3.750 |
|
352 |
|
153,967,649.23 |
|
17.30 |
3.751—4.000 |
|
70 |
|
30,613,457.96 |
|
3.44 |
4.001—4.250 |
|
50 |
|
20,809,148.55 |
|
2.34 |
4.251—4.500 |
|
68 |
|
30,475,565.20 |
|
3.42 |
4.501—4.750 |
|
55 |
|
23,267,988.16 |
|
2.61 |
4.751—5.000 |
|
44 |
|
19,103,428.08 |
|
2.15 |
5.001—5.250 |
|
25 |
|
10,769,762.27 |
|
1.21 |
5.251—5.500 |
|
9 |
|
3,913,688.50 |
|
0.44 |
5.501—5.750 |
|
5 |
|
2,396,685.66 |
|
0.27 |
5.751—6.000 |
|
7 |
|
2,668,963.44 |
|
0.30 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
MAX INT RATE (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 8.000 |
|
1 |
|
$1,476,473.07 |
|
0.17% |
8.751—9.000 |
|
1 |
|
328,686.68 |
|
0.04 |
9.751—10.000 |
|
1,668 |
|
688,718,712.73 |
|
77.36 |
10.001—10.250 |
|
2 |
|
462,026.57 |
|
0.05 |
10.251—10.500 |
|
7 |
|
2,473,164.95 |
|
0.28 |
10.751—11.000 |
|
338 |
|
162,013,908.20 |
|
18.20 |
11.501—11.750 |
|
1 |
|
651,710.00 |
|
0.07 |
11.751—12.000 |
|
79 |
|
34,104,628.54 |
|
3.83 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
ORIGINAL TERM (Months) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
360 |
|
1,888 |
|
$802,466,140.00 |
|
90.14% |
480 |
|
209 |
|
87,763,170.74 |
|
9.86 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
NEG AM LIMIT (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
110 |
|
1,034 |
|
$484,069,766.38 |
|
54.38% |
115 |
|
1,047 |
|
397,855,474.63 |
|
44.69 |
125 |
|
16 |
|
8,304,069.73 |
|
0.93 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
REMAINING TERM (Months) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
341—350 |
|
2 |
|
$860,869.40 |
|
0.10% |
351—360 |
|
1,886 |
|
801,605,270.60 |
|
90.04 |
471—480 |
|
209 |
|
87,763,170.74 |
|
9.86 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
SEASONING (Months) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 0 |
|
172 |
|
$72,419,813.05 |
|
8.13% |
1—6 |
|
1,917 |
|
814,785,146.78 |
|
91.53 |
7—12 |
|
7 |
|
2,492,168.19 |
|
0.28 |
13 >= |
|
1 |
|
532,182.72 |
|
0.06 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
CURRENT LTV (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 20 |
|
3 |
|
$588,562.98 |
|
0.07% |
21—25 |
|
4 |
|
1,559,171.36 |
|
0.18 |
26—30 |
|
4 |
|
822,339.27 |
|
0.09 |
31—35 |
|
8 |
|
2,829,698.65 |
|
0.32 |
36—40 |
|
13 |
|
4,250,695.11 |
|
0.48 |
41—45 |
|
27 |
|
11,418,857.95 |
|
1.28 |
46—50 |
|
36 |
|
16,952,066.66 |
|
1.90 |
51—55 |
|
50 |
|
18,575,555.30 |
|
2.09 |
56—60 |
|
57 |
|
25,908,432.69 |
|
2.91 |
61—65 |
|
106 |
|
53,150,619.46 |
|
5.97 |
66—70 |
|
191 |
|
96,649,315.81 |
|
10.86 |
71—75 |
|
226 |
|
109,063,526.27 |
|
12.25 |
76—80 |
|
986 |
|
411,411,639.32 |
|
46.21 |
81—85 |
|
270 |
|
105,016,064.27 |
|
11.80 |
86—90 |
|
58 |
|
15,396,025.05 |
|
1.73 |
91—95 |
|
43 |
|
12,306,951.80 |
|
1.38 |
96—100 |
|
15 |
|
4,329,788.79 |
|
0.49 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
ORIGINAL LTV (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 20 |
|
2 |
|
$505,173.97 |
|
0.06% |
21—25 |
|
4 |
|
1,559,171.36 |
|
0.18 |
26—30 |
|
5 |
|
2,052,865.47 |
|
0.23 |
31—35 |
|
7 |
|
1,599,172.45 |
|
0.18 |
36—40 |
|
13 |
|
4,250,695.11 |
|
0.48 |
41—45 |
|
28 |
|
11,761,057.62 |
|
1.32 |
46—50 |
|
35 |
|
16,411,579.02 |
|
1.84 |
51—55 |
|
51 |
|
20,263,193.48 |
|
2.28 |
56—60 |
|
60 |
|
29,191,598.58 |
|
3.28 |
61—65 |
|
109 |
|
51,090,246.74 |
|
5.74 |
66—70 |
|
213 |
|
107,501,213.51 |
|
12.08 |
71—75 |
|
239 |
|
117,160,438.94 |
|
13.16 |
76—80 |
|
1,200 |
|
490,988,585.16 |
|
55.15 |
81—85 |
|
15 |
|
3,861,553.69 |
|
0.43 |
86—90 |
|
76 |
|
20,953,295.40 |
|
2.35 |
91—95 |
|
40 |
|
11,079,470.24 |
|
1.24 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
FICO SCORE |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 499 |
|
5 |
|
$1,186,931.89 |
|
0.13% |
620—639 |
|
144 |
|
56,111,607.88 |
|
6.30 |
640—659 |
|
195 |
|
73,809,008.61 |
|
8.29 |
660—679 |
|
319 |
|
134,791,039.16 |
|
15.14 |
680—699 |
|
326 |
|
140,108,694.54 |
|
15.74 |
700—719 |
|
255 |
|
106,534,357.12 |
|
11.97 |
720—739 |
|
231 |
|
105,087,196.10 |
|
11.80 |
740—759 |
|
215 |
|
90,814,966.50 |
|
10.20 |
760—779 |
|
191 |
|
82,526,480.49 |
|
9.27 |
780—799 |
|
161 |
|
74,582,869.80 |
|
8.38 |
800 >= |
|
55 |
|
24,676,158.65 |
|
2.77 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
DOCUMENTATION |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Full |
|
183 |
|
$67,455,246.65 |
|
7.58% |
No Doc/NINA |
|
342 |
|
150,459,714.92 |
|
16.90 |
No Ratio/NORA |
|
45 |
|
19,528,522.52 |
|
2.19 |
Reduced Doc |
|
1,527 |
|
652,785,826.65 |
|
73.33 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
OCCUPANCY |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Investor |
|
213 |
|
$61,070,113.94 |
|
6.86% |
Owner Occupied |
|
1,784 |
|
794,498,817.23 |
|
89.25 |
Second Home |
|
100 |
|
34,660,379.57 |
|
3.89 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
PROPERTY TYPE |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Duplex |
|
70 |
|
$27,695,547.50 |
|
3.11% |
Fourplex |
|
20 |
|
10,067,739.73 |
|
1.13 |
Hi Rise Condo |
|
20 |
|
7,140,548.08 |
|
0.80 |
Low Rise Condo |
|
173 |
|
58,782,311.33 |
|
6.60 |
PUD |
|
421 |
|
187,266,458.06 |
|
21.04 |
Single Family Residence |
|
1,377 |
|
592,793,091.77 |
|
66.59 |
Townhouse |
|
5 |
|
2,549,736.82 |
|
0.29 |
Triplex |
|
11 |
|
3,933,877.45 |
|
0.44 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
PURPOSE |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Home Improvement |
|
18 |
|
$9,156,542.35 |
|
1.03% |
Purchase |
|
559 |
|
229,981,866.55 |
|
25.83 |
Refi—Cash Out |
|
1,093 |
|
460,495,943.88 |
|
51.73 |
Refi—No Cash Out |
|
427 |
|
190,594,957.96 |
|
21.41 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
PREPAY TERM (Months) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
0 |
|
671 |
|
$295,963,191.02 |
|
33.25% |
6 |
|
5 |
|
1,975,450.22 |
|
0.22 |
12 |
|
439 |
|
185,872,181.31 |
|
20.88 |
24 |
|
65 |
|
25,400,886.31 |
|
2.85 |
36 |
|
917 |
|
381,017,601.88 |
|
42.80 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
STATE |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
AK |
|
5 |
|
$1,164,986.42 |
|
0.13% |
AR |
|
2 |
|
564,894.64 |
|
0.06 |
AZ |
|
126 |
|
39,311,683.52 |
|
4.42 |
CA |
|
1,249 |
|
603,176,834.59 |
|
67.76 |
CO |
|
18 |
|
7,429,982.64 |
|
0.83 |
CT |
|
11 |
|
4,836,539.28 |
|
0.54 |
DC |
|
1 |
|
3,000,816.07 |
|
0.34 |
DE |
|
1 |
|
254,192.79 |
|
0.03 |
FL |
|
129 |
|
45,692,983.46 |
|
5.13 |
GA |
|
21 |
|
7,117,211.97 |
|
0.80 |
HI |
|
30 |
|
15,925,349.78 |
|
1.79 |
IA |
|
1 |
|
116,482.67 |
|
0.01 |
ID |
|
14 |
|
3,459,213.83 |
|
0.39 |
IL |
|
23 |
|
7,079,264.32 |
|
0.80 |
IN |
|
1 |
|
47,914.04 |
|
0.01 |
KS |
|
3 |
|
602,006.94 |
|
0.07 |
KY |
|
2 |
|
201,738.48 |
|
0.02 |
LA |
|
2 |
|
411,569.67 |
|
0.05 |
MA |
|
37 |
|
14,871,983.78 |
|
1.67 |
MD |
|
39 |
|
12,885,057.50 |
|
1.45 |
MI |
|
5 |
|
1,228,237.88 |
|
0.14 |
MN |
|
10 |
|
2,548,016.18 |
|
0.29 |
MO |
|
6 |
|
1,492,058.96 |
|
0.17 |
MT |
|
1 |
|
200,800.00 |
|
0.02 |
NC |
|
8 |
|
2,158,446.18 |
|
0.24 |
NE |
|
1 |
|
118,469.13 |
|
0.01 |
NH |
|
4 |
|
2,896,063.53 |
|
0.33 |
NJ |
|
46 |
|
16,738,127.13 |
|
1.88 |
NM |
|
11 |
|
2,373,884.68 |
|
0.27 |
NV |
|
68 |
|
20,596,265.11 |
|
2.31 |
NY |
|
20 |
|
6,452,185.70 |
|
0.72 |
OH |
|
2 |
|
420,703.70 |
|
0.05 |
OK |
|
1 |
|
116,267.84 |
|
0.01 |
OR |
|
32 |
|
11,438,105.44 |
|
1.28 |
PA |
|
10 |
|
1,900,432.06 |
|
0.21 |
RI |
|
10 |
|
3,923,034.97 |
|
0.44 |
SC |
|
5 |
|
1,269,785.50 |
|
0.14 |
TN |
|
2 |
|
196,317.87 |
|
0.02 |
TX |
|
11 |
|
2,208,068.67 |
|
0.25 |
UT |
|
14 |
|
3,324,583.53 |
|
0.37 |
VA |
|
56 |
|
23,261,321.48 |
|
2.61 |
VT |
|
1 |
|
683,492.18 |
|
0.08 |
WA |
|
53 |
|
15,655,678.70 |
|
1.76 |
WI |
|
4 |
|
498,421.62 |
|
0.06 |
WV |
|
1 |
|
379,836.31 |
|
0.04 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
BACK DTI (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Data Not Compiled |
|
341 |
|
$151,098,904.75 |
|
16.97% |
15.00 or less |
|
19 |
|
5,014,464.31 |
|
0.56 |
15.01—20.00 |
|
33 |
|
13,606,211.22 |
|
1.53 |
20.01—25.00 |
|
108 |
|
45,223,982.70 |
|
5.08 |
25.01—30.00 |
|
144 |
|
56,122,067.73 |
|
6.30 |
30.01—35.00 |
|
298 |
|
115,946,069.74 |
|
13.02 |
35.01—40.00 |
|
545 |
|
232,585,688.94 |
|
26.13 |
40.01—45.00 |
|
354 |
|
162,034,675.49 |
|
18.20 |
45.01—50.00 |
|
186 |
|
82,113,378.69 |
|
9.22 |
50.01—55.00 |
|
66 |
|
25,348,224.88 |
|
2.85 |
55.01—60.00 |
|
3 |
|
1,135,642.29 |
|
0.13 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
At origination, the weighted average monthly debt-to-income ratio of all debt of the mortgage loans (exclusive of the data not compiled) was approximately 37.50%.
With respect to the data not compiled for the mortgage loans, no assurance can be given that the monthly debt-to-income ratio of all debt distribution of such mortgage loans does not differ from such distribution for the remaining mortgage loans, and the distribution could differ substantially.
COMBINED LTV (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
No Second Lien |
|
1,416 |
|
$582,186,604.93 |
|
65.40% |
60.00 or less |
|
7 |
|
3,853,263.41 |
|
0.43 |
60.01—65.00 |
|
2 |
|
780,152.69 |
|
0.09 |
65.01—70.00 |
|
7 |
|
6,059,265.12 |
|
0.68 |
70.01—75.00 |
|
12 |
|
6,517,331.55 |
|
0.73 |
75.01—80.00 |
|
28 |
|
17,836,603.42 |
|
2.00 |
80.01—85.00 |
|
60 |
|
30,487,704.25 |
|
3.42 |
85.01—90.00 |
|
526 |
|
223,255,640.72 |
|
25.08 |
90.01 >= |
|
39 |
|
19,252,744.65 |
|
2.16 |
Total |
|
2,097 |
|
$890,229,310.74 |
|
100.00% |
At origination, the weighted average combined loan-to-value ratio of the first and second liens of the mortgage loans (exclusive of mortgage loans with no second lien) was approximately 87.27%.
WMALT Mortgage Pass-Through Certificates
Series 2006-AR6 Group 1
Mortgage Loans
Preliminary Collateral Information As of 07/01/06
TOTAL CURRENT BALANCE |
$295,963,191 |
|
|
|
|
|
TOTAL ORIGINAL BALANCE |
$296,639,162 |
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF LOANS |
671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Minimum |
|
Maximum |
|
AVG CURRENT BALANCE |
$441,078 |
|
$43,921 |
|
$3,000,816 |
|
AVG ORIGINAL BALANCE |
$442,085 |
|
$44,000 |
|
$3,000,000 |
|
|
|
|
|
|
|
|
WAVG GROSS COUPON |
5.28 |
% |
1.00 |
% |
9.86 |
% |
WAVG GROSS MARGIN |
3.15 |
% |
1.68 |
% |
5.58 |
% |
WAVG MAX INT RATE |
10.23 |
% |
7.00 |
% |
11.95 |
% |
|
|
|
|
|
|
|
WAVG CURRENT LTV |
71.13 |
% |
11.36 |
% |
96.80 |
% |
|
|
|
|
|
|
|
WAVG FICO SCORE |
730 |
|
0 |
|
819 |
|
|
|
|
|
|
|
|
WAVG MONTHS TO ROLL |
1 |
Month(s) |
1 |
Month(s) |
2 |
Month(s) |
|
|
|
|
|
|
|
WAVG NEG AM LIMIT |
113 |
% |
110 |
% |
125 |
% |
WAVG PAYMENT CAP |
7.50 |
% |
7.50 |
% |
7.50 |
% |
WAVG RECAST |
60 |
Month(s) |
60 |
Month(s) |
60 |
Month(s) |
|
|
|
|
|
|
|
WAVG ORIGINAL TERM |
368 |
Month(s) |
360 |
Month(s) |
480 |
Month(s) |
WAVG REMAINING TERM |
366 |
Month(s) |
351 |
Month(s) |
479 |
Month(s) |
WAVG SEASONING |
2 |
Month(s) |
0 |
Month(s) |
9 |
Month(s) |
|
|
|
|
|
|
|
NZ WAVG PREPAY TERM |
0 |
Month(s) |
0 |
Month(s) |
0 |
Month(s) |
|
|
|
|
|
|
|
TOP STATE CONC |
CA(54.80%),NJ(5.66%),AZ(4.82%) |
|||||
MAXIMUM CA ZIPCODE |
2.99% |
|||||
|
|
|
|
|
|
|
FIRST PAY DATE |
|
|
November 1,2005 |
|
August 1,2006 |
|
|
|
|
|
|
|
|
RATE CHANGE DATE |
|
|
August 1,2006 |
|
September 1,2006 |
|
|
|
|
|
|
|
|
MATURITY DATE |
|
|
October 1,2035 |
|
June 1,2046 |
|
PRODUCT |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Option ARM |
|
671 |
|
$295,963,191.02 |
|
100.00% |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
INDEX |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
LIBOR |
|
118 |
|
$55,209,150.21 |
|
18.65% |
MTA |
|
553 |
|
240,754,040.81 |
|
81.35 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
CURRENT BALANCE ($) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
1—100,000 |
|
10 |
|
$752,983.21 |
|
0.25% |
100,001—200,000 |
|
93 |
|
14,370,234.74 |
|
4.86 |
200,001—300,000 |
|
134 |
|
33,424,763.27 |
|
11.29 |
300,001—400,000 |
|
134 |
|
46,953,193.17 |
|
15.86 |
400,001—500,000 |
|
97 |
|
43,768,448.19 |
|
14.79 |
500,001—600,000 |
|
65 |
|
36,026,541.94 |
|
12.17 |
600,001—700,000 |
|
49 |
|
31,182,434.97 |
|
10.54 |
700,001—800,000 |
|
25 |
|
19,079,452.69 |
|
6.45 |
800,001—900,000 |
|
20 |
|
17,105,968.32 |
|
5.78 |
900,001—1,000,000 |
|
21 |
|
20,291,469.30 |
|
6.86 |
1,000,001—1,100,000 |
|
6 |
|
6,087,625.65 |
|
2.06 |
1,100,001—1,200,000 |
|
2 |
|
2,359,364.17 |
|
0.80 |
1,200,001—1,300,000 |
|
2 |
|
2,472,653.93 |
|
0.84 |
1,300,001—1,400,000 |
|
3 |
|
4,067,178.27 |
|
1.37 |
1,400,001—1,500,000 |
|
4 |
|
5,937,280.86 |
|
2.01 |
1,600,001—1,700,000 |
|
1 |
|
1,700,000.00 |
|
0.57 |
1,700,001—1,800,000 |
|
1 |
|
1,704,463.53 |
|
0.58 |
1,800,001—1,900,000 |
|
1 |
|
1,865,206.81 |
|
0.63 |
1,900,001—2,000,000 |
|
2 |
|
3,813,111.93 |
|
1.29 |
2,500,001 >= |
|
1 |
|
3,000,816.07 |
|
1.01 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
GROSS COUPON (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
0.751—1.000 |
|
157 |
|
$83,487,237.20 |
|
28.21% |
1.001—1.250 |
|
2 |
|
899,000.00 |
|
0.30 |
1.251—1.500 |
|
1 |
|
213,000.00 |
|
0.07 |
1.501—1.750 |
|
18 |
|
10,281,269.80 |
|
3.47 |
1.751—2.000 |
|
18 |
|
8,479,137.12 |
|
2.86 |
2.001—2.250 |
|
3 |
|
1,433,268.26 |
|
0.48 |
2.251—2.500 |
|
1 |
|
377,293.94 |
|
0.13 |
2.751—3.000 |
|
1 |
|
264,647.71 |
|
0.09 |
5.751—6.000 |
|
1 |
|
1,476,473.07 |
|
0.50 |
6.251—6.500 |
|
1 |
|
1,242,127.73 |
|
0.42 |
6.501—6.750 |
|
2 |
|
733,059.29 |
|
0.25 |
6.751—7.000 |
|
31 |
|
11,667,682.37 |
|
3.94 |
7.001—7.250 |
|
73 |
|
34,901,323.14 |
|
11.79 |
7.251—7.500 |
|
61 |
|
26,963,782.94 |
|
9.11 |
7.501—7.750 |
|
218 |
|
83,569,493.27 |
|
28.24 |
7.751—8.000 |
|
21 |
|
5,583,714.44 |
|
1.89 |
8.001—8.250 |
|
11 |
|
3,958,005.76 |
|
1.34 |
8.251—8.500 |
|
25 |
|
12,428,357.63 |
|
4.20 |
8.501—8.750 |
|
13 |
|
4,580,194.07 |
|
1.55 |
8.751—9.000 |
|
11 |
|
2,530,869.47 |
|
0.86 |
9.001—9.250 |
|
1 |
|
406,488.06 |
|
0.14 |
9.751—10.000 |
|
1 |
|
486,765.75 |
|
0.16 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
GROSS MARGIN (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
1.501—1.750 |
|
1 |
|
$1,476,473.07 |
|
0.50% |
2.001—2.250 |
|
3 |
|
1,722,427.73 |
|
0.58 |
2.251—2.500 |
|
9 |
|
4,436,009.18 |
|
1.50 |
2.501—2.750 |
|
49 |
|
20,198,490.32 |
|
6.82 |
2.751—3.000 |
|
155 |
|
78,687,670.72 |
|
26.59 |
3.001—3.250 |
|
201 |
|
92,503,568.78 |
|
31.26 |
3.251—3.500 |
|
205 |
|
79,451,907.77 |
|
26.85 |
3.501—3.750 |
|
27 |
|
9,608,590.64 |
|
3.25 |
3.751—4.000 |
|
12 |
|
3,966,276.11 |
|
1.34 |
4.001—4.250 |
|
4 |
|
2,052,366.11 |
|
0.69 |
4.251—4.500 |
|
3 |
|
1,050,372.17 |
|
0.35 |
4.501—4.750 |
|
1 |
|
322,272.67 |
|
0.11 |
5.501—5.750 |
|
1 |
|
486,765.75 |
|
0.16 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
MAX INT RATE (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 8.000 |
|
1 |
|
$1,476,473.07 |
|
0.50% |
9.751—10.000 |
|
507 |
|
209,240,178.19 |
|
70.70 |
10.001—10.250 |
|
1 |
|
124,829.80 |
|
0.04 |
10.251—10.500 |
|
5 |
|
1,835,646.92 |
|
0.62 |
10.751—11.000 |
|
148 |
|
79,289,355.97 |
|
26.79 |
11.501—11.750 |
|
1 |
|
651,710.00 |
|
0.22 |
11.751—12.000 |
|
8 |
|
3,344,997.07 |
|
1.13 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
ORIGINAL TERM (Months) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
360 |
|
621 |
|
$276,693,442.41 |
|
93.49% |
480 |
|
50 |
|
19,269,748.61 |
|
6.51 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
NEG AM LIMIT (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
110 |
|
279 |
|
$140,716,241.82 |
|
47.55% |
115 |
|
390 |
|
154,183,783.14 |
|
52.10 |
125 |
|
2 |
|
1,063,166.06 |
|
0.36 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
REMAINING TERM (Months) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
351—360 |
|
621 |
|
$276,693,442.41 |
|
93.49% |
471—480 |
|
50 |
|
19,269,748.61 |
|
6.51 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
SEASONING (Months) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 0 |
|
11 |
|
$5,067,517.89 |
|
1.71% |
1—6 |
|
657 |
|
289,880,758.38 |
|
97.94 |
7—12 |
|
3 |
|
1,014,914.75 |
|
0.34 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
CURRENT LTV (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 20 |
|
2 |
|
$188,401.20 |
|
0.06% |
21—25 |
|
1 |
|
994,624.08 |
|
0.34 |
26—30 |
|
3 |
|
676,687.19 |
|
0.23 |
31—35 |
|
4 |
|
2,061,995.62 |
|
0.70 |
36—40 |
|
9 |
|
3,311,035.74 |
|
1.12 |
41—45 |
|
12 |
|
7,213,707.11 |
|
2.44 |
46—50 |
|
20 |
|
10,413,887.46 |
|
3.52 |
51—55 |
|
18 |
|
7,262,276.12 |
|
2.45 |
56—60 |
|
27 |
|
13,476,755.14 |
|
4.55 |
61—65 |
|
49 |
|
27,559,423.03 |
|
9.31 |
66—70 |
|
69 |
|
41,905,886.03 |
|
14.16 |
71—75 |
|
93 |
|
45,532,548.91 |
|
15.38 |
76—80 |
|
212 |
|
87,454,553.13 |
|
29.55 |
81—85 |
|
93 |
|
31,582,115.93 |
|
10.67 |
86—90 |
|
28 |
|
7,711,562.81 |
|
2.61 |
91—95 |
|
22 |
|
6,152,911.64 |
|
2.08 |
96—100 |
|
9 |
|
2,464,819.88 |
|
0.83 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
ORIGINAL LTV (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 20 |
|
1 |
|
$105,012.19 |
|
0.04% |
21—25 |
|
1 |
|
994,624.08 |
|
0.34 |
26—30 |
|
4 |
|
1,907,213.39 |
|
0.64 |
31—35 |
|
3 |
|
831,469.42 |
|
0.28 |
36—40 |
|
9 |
|
3,311,035.74 |
|
1.12 |
41—45 |
|
12 |
|
7,213,707.11 |
|
2.44 |
46—50 |
|
20 |
|
10,215,599.49 |
|
3.45 |
51—55 |
|
18 |
|
7,460,564.09 |
|
2.52 |
56—60 |
|
29 |
|
16,332,015.91 |
|
5.52 |
61—65 |
|
49 |
|
25,109,823.94 |
|
8.48 |
66—70 |
|
88 |
|
50,401,900.96 |
|
17.03 |
71—75 |
|
84 |
|
42,054,381.19 |
|
14.21 |
76—80 |
|
287 |
|
111,922,140.11 |
|
37.82 |
81—85 |
|
7 |
|
1,774,409.07 |
|
0.60 |
86—90 |
|
41 |
|
11,820,612.42 |
|
3.99 |
91—95 |
|
18 |
|
4,508,681.91 |
|
1.52 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
FICO SCORE |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 499 |
|
1 |
|
$254,120.17 |
|
0.09% |
620—639 |
|
24 |
|
7,714,650.18 |
|
2.61 |
640—659 |
|
40 |
|
11,646,218.71 |
|
3.94 |
660—679 |
|
92 |
|
35,142,349.34 |
|
11.87 |
680—699 |
|
82 |
|
36,946,950.75 |
|
12.48 |
700—719 |
|
79 |
|
29,527,107.62 |
|
9.98 |
720—739 |
|
70 |
|
38,442,557.08 |
|
12.99 |
740—759 |
|
83 |
|
36,943,288.77 |
|
12.48 |
760—779 |
|
75 |
|
35,822,153.63 |
|
12.10 |
780—799 |
|
92 |
|
47,922,994.61 |
|
16.19 |
800 >= |
|
33 |
|
15,600,800.16 |
|
5.27 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
DOCUMENTATION |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Full |
|
115 |
|
$43,688,957.92 |
|
14.76% |
No Doc/NINA |
|
18 |
|
8,604,411.35 |
|
2.91 |
No Ratio/NORA |
|
4 |
|
2,008,256.57 |
|
0.68 |
Reduced Doc |
|
534 |
|
241,661,565.18 |
|
81.65 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
OCCUPANCY |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Investor |
|
75 |
|
$21,048,032.37 |
|
7.11% |
Owner Occupied |
|
545 |
|
255,924,171.80 |
|
86.47 |
Second Home |
|
51 |
|
18,990,986.85 |
|
6.42 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
PROPERTY TYPE |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Duplex |
|
32 |
|
$10,574,267.33 |
|
3.57% |
Fourplex |
|
6 |
|
2,511,410.27 |
|
0.85 |
Hi Rise Condo |
|
9 |
|
3,335,368.28 |
|
1.13 |
Low Rise Condo |
|
50 |
|
17,040,910.77 |
|
5.76 |
PUD |
|
156 |
|
70,784,199.58 |
|
23.92 |
Single Family Residence |
|
410 |
|
188,618,025.30 |
|
63.73 |
Townhouse |
|
3 |
|
1,472,759.15 |
|
0.50 |
Triplex |
|
5 |
|
1,626,250.34 |
|
0.55 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
PURPOSE |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Purchase |
|
220 |
|
$91,806,418.70 |
|
31.02% |
Refi—Cash Out |
|
259 |
|
118,324,283.81 |
|
39.98 |
Refi—No Cash Out |
|
192 |
|
85,832,488.51 |
|
29.00 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
PREPAY TERM (Months) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
0 |
|
671 |
|
$295,963,191.02 |
|
100.00% |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
STATE |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
AK |
|
5 |
|
$1,164,986.42 |
|
0.39% |
AR |
|
2 |
|
564,894.64 |
|
0.19 |
AZ |
|
41 |
|
14,275,688.08 |
|
4.82 |
CA |
|
279 |
|
162,182,677.62 |
|
54.80 |
CO |
|
8 |
|
2,366,005.30 |
|
0.80 |
CT |
|
5 |
|
2,721,393.70 |
|
0.92 |
DC |
|
1 |
|
3,000,816.07 |
|
1.01 |
FL |
|
38 |
|
13,019,642.78 |
|
4.40 |
GA |
|
15 |
|
5,472,512.37 |
|
1.85 |
HI |
|
4 |
|
1,970,050.57 |
|
0.67 |
IA |
|
1 |
|
116,482.67 |
|
0.04 |
ID |
|
8 |
|
2,143,358.06 |
|
0.72 |
IL |
|
21 |
|
6,675,431.29 |
|
2.26 |
KS |
|
3 |
|
602,006.94 |
|
0.20 |
KY |
|
2 |
|
201,738.48 |
|
0.07 |
LA |
|
2 |
|
411,569.67 |
|
0.14 |
MA |
|
21 |
|
7,836,035.59 |
|
2.65 |
MD |
|
28 |
|
9,387,047.07 |
|
3.17 |
MI |
|
4 |
|
1,139,990.50 |
|
0.39 |
MN |
|
9 |
|
2,305,379.72 |
|
0.78 |
MO |
|
6 |
|
1,492,058.96 |
|
0.50 |
NC |
|
8 |
|
2,158,446.18 |
|
0.73 |
NE |
|
1 |
|
118,469.13 |
|
0.04 |
NH |
|
2 |
|
2,316,956.54 |
|
0.78 |
NJ |
|
46 |
|
16,738,127.13 |
|
5.66 |
NM |
|
11 |
|
2,373,884.68 |
|
0.80 |
NV |
|
12 |
|
3,152,543.78 |
|
1.07 |
NY |
|
19 |
|
6,165,363.48 |
|
2.08 |
OH |
|
1 |
|
313,953.70 |
|
0.11 |
OR |
|
10 |
|
3,565,730.10 |
|
1.20 |
PA |
|
4 |
|
1,164,841.08 |
|
0.39 |
RI |
|
8 |
|
3,447,729.81 |
|
1.16 |
SC |
|
5 |
|
1,269,785.50 |
|
0.43 |
TN |
|
1 |
|
101,167.87 |
|
0.03 |
TX |
|
4 |
|
1,283,855.99 |
|
0.43 |
UT |
|
2 |
|
467,690.64 |
|
0.16 |
VA |
|
12 |
|
5,751,418.30 |
|
1.94 |
WA |
|
18 |
|
6,025,038.99 |
|
2.04 |
WI |
|
4 |
|
498,421.62 |
|
0.17 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
BACK DTI (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Data Not Compiled |
|
11 |
|
$4,431,101.56 |
|
1.50% |
15.00 or less |
|
6 |
|
1,613,116.08 |
|
0.55 |
15.01—20.00 |
|
10 |
|
5,305,357.85 |
|
1.79 |
20.01—25.00 |
|
47 |
|
21,408,334.78 |
|
7.23 |
25.01—30.00 |
|
57 |
|
24,654,019.65 |
|
8.33 |
30.01—35.00 |
|
118 |
|
45,747,085.39 |
|
15.46 |
35.01—40.00 |
|
215 |
|
93,625,327.65 |
|
31.63 |
40.01—45.00 |
|
139 |
|
66,654,636.86 |
|
22.52 |
45.01—50.00 |
|
51 |
|
25,253,597.61 |
|
8.53 |
50.01—55.00 |
|
16 |
|
6,948,340.92 |
|
2.35 |
55.01—60.00 |
|
1 |
|
322,272.67 |
|
0.11 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
At origination, the weighted average monthly debt-to-income ratio of all debt of the mortgage loans (exclusive of the data not compiled) was approximately 36.89%.
With respect to the data not compiled for the mortgage loans, no assurance can be given that the monthly debt-to-income ratio of all debt distribution of such mortgage loans does not differ from such distribution for the remaining mortgage loans, and the distribution could differ substantially.
COMBINED LTV (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
No Second Lien |
|
486 |
|
$213,477,846.85 |
|
72.13% |
60.00 or less |
|
5 |
|
2,889,426.59 |
|
0.98 |
60.01—65.00 |
|
2 |
|
780,152.69 |
|
0.26 |
65.01—70.00 |
|
5 |
|
4,746,726.71 |
|
1.60 |
70.01—75.00 |
|
4 |
|
2,336,682.41 |
|
0.79 |
75.01—80.00 |
|
13 |
|
8,472,305.15 |
|
2.86 |
80.01—85.00 |
|
20 |
|
10,178,087.74 |
|
3.44 |
85.01—90.00 |
|
134 |
|
51,772,091.84 |
|
17.49 |
90.01 >= |
|
2 |
|
1,309,871.04 |
|
0.44 |
Total |
|
671 |
|
$295,963,191.02 |
|
100.00% |
At origination, the weighted average combined loan-to-value ratio of the first and second liens of the mortgage loans (exclusive of mortgage loans with no second lien) was approximately 84.57%.
WMALT Mortgage Pass-Through Certificates
Series 2006-AR6 Group 2
Mortgage Loans
Preliminary Collateral Information As of 07/01/06
TOTAL CURRENT BALANCE |
$594,266,120 |
|
|
|
|
|
TOTAL ORIGINAL BALANCE |
$594,378,377 |
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF LOANS |
1,426 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Minimum |
|
Maximum |
|
AVG CURRENT BALANCE |
$416,736 |
|
$47,914 |
|
$1,995,418 |
|
AVG ORIGINAL BALANCE |
$416,815 |
|
$48,000 |
|
$2,000,000 |
|
|
|
|
|
|
|
|
WAVG GROSS COUPON |
7.10 |
% |
1.00 |
% |
10.23 |
% |
WAVG GROSS MARGIN |
3.58 |
% |
1.55 |
% |
5.95 |
% |
WAVG MAX INT RATE |
10.19 |
% |
8.95 |
% |
11.95 |
% |
|
|
|
|
|
|
|
WAVG CURRENT LTV |
75.65 |
% |
18.53 |
% |
95.19 |
% |
|
|
|
|
|
|
|
WAVG FICO SCORE |
701 |
|
0 |
|
816 |
|
|
|
|
|
|
|
|
WAVG MONTHS TO ROLL |
1 |
Month(s) |
1 |
Month(s) |
3 |
Month(s) |
|
|
|
|
|
|
|
WAVG NEG AM LIMIT |
112 |
% |
110 |
% |
125 |
% |
WAVG PAYMENT CAP |
7.50 |
% |
7.50 |
% |
7.50 |
% |
WAVG RECAST |
60 |
Month(s) |
60 |
Month(s) |
60 |
Month(s) |
|
|
|
|
|
|
|
WAVG ORIGINAL TERM |
374 |
Month(s) |
360 |
Month(s) |
480 |
Month(s) |
WAVG REMAINING TERM |
373 |
Month(s) |
347 |
Month(s) |
480 |
Month(s) |
WAVG SEASONING |
1 |
Month(s) |
0 |
Month(s) |
13 |
Month(s) |
|
|
|
|
|
|
|
NZ WAVG PREPAY TERM |
28 |
Month(s) |
6 |
Month(s) |
36 |
Month(s) |
|
|
|
|
|
|
|
TOP STATE CONC |
CA(74.21%),FL(5.50%),AZ(4.21%) |
|||||
MAXIMUM CA ZIPCODE |
0.63% |
|||||
|
|
|
|
|
|
|
FIRST PAY DATE |
|
|
July 1,2005 |
|
August 1,2006 |
|
|
|
|
|
|
|
|
RATE CHANGE DATE |
|
|
August 1,2006 |
|
October 1,2006 |
|
|
|
|
|
|
|
|
MATURITY DATE |
|
|
June 1,2035 |
|
July 1,2046 |
|
PRODUCT |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Option ARM |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
INDEX |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
LIBOR |
|
16 |
|
$6,578,361.95 |
|
1.11% |
MTA |
|
1,410 |
|
587,687,757.77 |
|
98.89 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
CURRENT BALANCE ($) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
1—100,000 |
|
14 |
|
$1,118,538.38 |
|
0.19% |
100,001—200,000 |
|
143 |
|
23,319,443.87 |
|
3.92 |
200,001—300,000 |
|
278 |
|
70,493,995.75 |
|
11.86 |
300,001—400,000 |
|
331 |
|
115,891,899.12 |
|
19.50 |
400,001—500,000 |
|
270 |
|
120,566,044.66 |
|
20.29 |
500,001—600,000 |
|
192 |
|
105,034,545.24 |
|
17.67 |
600,001—700,000 |
|
98 |
|
63,309,421.43 |
|
10.65 |
700,001—800,000 |
|
41 |
|
30,522,023.53 |
|
5.14 |
800,001—900,000 |
|
12 |
|
10,157,058.46 |
|
1.71 |
900,001—1,000,000 |
|
24 |
|
23,182,192.77 |
|
3.90 |
1,000,001—1,100,000 |
|
4 |
|
4,126,751.77 |
|
0.69 |
1,100,001—1,200,000 |
|
4 |
|
4,579,415.21 |
|
0.77 |
1,200,001—1,300,000 |
|
1 |
|
1,227,068.83 |
|
0.21 |
1,300,001—1,400,000 |
|
6 |
|
8,025,334.51 |
|
1.35 |
1,400,001—1,500,000 |
|
3 |
|
4,415,236.82 |
|
0.74 |
1,500,001—1,600,000 |
|
3 |
|
4,603,523.92 |
|
0.77 |
1,600,001—1,700,000 |
|
1 |
|
1,698,207.15 |
|
0.29 |
1,900,001—2,000,000 |
|
1 |
|
1,995,418.30 |
|
0.34 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
GROSS COUPON (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
0.751—1.000 |
|
90 |
|
$36,483,349.19 |
|
6.14% |
1.001—1.250 |
|
15 |
|
5,447,500.00 |
|
0.92 |
1.251—1.500 |
|
31 |
|
12,467,027.00 |
|
2.10 |
1.501—1.750 |
|
15 |
|
6,068,950.00 |
|
1.02 |
1.751—2.000 |
|
19 |
|
4,742,416.38 |
|
0.80 |
2.001—2.250 |
|
9 |
|
3,353,900.84 |
|
0.56 |
2.251—2.500 |
|
6 |
|
1,479,460.00 |
|
0.25 |
2.501—2.750 |
|
1 |
|
582,936.36 |
|
0.10 |
2.751—3.000 |
|
1 |
|
647,137.58 |
|
0.11 |
3.001—3.250 |
|
1 |
|
315,000.00 |
|
0.05 |
3.501—3.750 |
|
1 |
|
229,653.58 |
|
0.04 |
5.751—6.000 |
|
1 |
|
401,354.07 |
|
0.07 |
6.001—6.250 |
|
1 |
|
193,671.13 |
|
0.03 |
6.251—6.500 |
|
2 |
|
423,638.04 |
|
0.07 |
6.501—6.750 |
|
10 |
|
4,761,667.02 |
|
0.80 |
6.751—7.000 |
|
27 |
|
13,580,833.66 |
|
2.29 |
7.001—7.250 |
|
132 |
|
51,012,278.46 |
|
8.58 |
7.251—7.500 |
|
215 |
|
89,501,371.47 |
|
15.06 |
7.501—7.750 |
|
267 |
|
104,024,816.58 |
|
17.50 |
7.751—8.000 |
|
121 |
|
47,218,321.33 |
|
7.95 |
8.001—8.250 |
|
206 |
|
100,229,954.07 |
|
16.87 |
8.251—8.500 |
|
37 |
|
16,921,353.27 |
|
2.85 |
8.501—8.750 |
|
71 |
|
31,160,449.01 |
|
5.24 |
8.751—9.000 |
|
63 |
|
26,910,087.16 |
|
4.53 |
9.001—9.250 |
|
42 |
|
18,499,287.14 |
|
3.11 |
9.251—9.500 |
|
19 |
|
7,897,134.53 |
|
1.33 |
9.501—9.750 |
|
10 |
|
4,137,324.66 |
|
0.70 |
9.751—10.000 |
|
6 |
|
2,906,283.75 |
|
0.49 |
10.001—10.250 |
|
7 |
|
2,668,963.44 |
|
0.45 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
GROSS MARGIN (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
1.501—1.750 |
|
1 |
|
$401,354.07 |
|
0.07% |
1.751—2.000 |
|
1 |
|
193,671.13 |
|
0.03 |
2.001—2.250 |
|
4 |
|
1,296,199.32 |
|
0.22 |
2.251—2.500 |
|
11 |
|
5,333,455.43 |
|
0.90 |
2.501—2.750 |
|
50 |
|
20,912,553.91 |
|
3.52 |
2.751—3.000 |
|
151 |
|
59,970,514.63 |
|
10.09 |
3.001—3.250 |
|
285 |
|
112,952,506.98 |
|
19.01 |
3.251—3.500 |
|
286 |
|
112,706,170.65 |
|
18.97 |
3.501—3.750 |
|
325 |
|
144,359,058.59 |
|
24.29 |
3.751—4.000 |
|
58 |
|
26,647,181.85 |
|
4.48 |
4.001—4.250 |
|
46 |
|
18,756,782.44 |
|
3.16 |
4.251—4.500 |
|
65 |
|
29,425,193.03 |
|
4.95 |
4.501—4.750 |
|
54 |
|
22,945,715.49 |
|
3.86 |
4.751—5.000 |
|
44 |
|
19,103,428.08 |
|
3.21 |
5.001—5.250 |
|
25 |
|
10,769,762.27 |
|
1.81 |
5.251—5.500 |
|
9 |
|
3,913,688.50 |
|
0.66 |
5.501—5.750 |
|
4 |
|
1,909,919.91 |
|
0.32 |
5.751—6.000 |
|
7 |
|
2,668,963.44 |
|
0.45 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
MAX INT RATE (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
8.751—9.000 |
|
1 |
|
$328,686.68 |
|
0.06% |
9.751—10.000 |
|
1,161 |
|
479,478,534.54 |
|
80.68 |
10.001—10.250 |
|
1 |
|
337,196.77 |
|
0.06 |
10.251—10.500 |
|
2 |
|
637,518.03 |
|
0.11 |
10.751—11.000 |
|
190 |
|
82,724,552.23 |
|
13.92 |
11.751—12.000 |
|
71 |
|
30,759,631.47 |
|
5.18 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
ORIGINAL TERM (Months) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
360 |
|
1,267 |
|
$525,772,697.59 |
|
88.47% |
480 |
|
159 |
|
68,493,422.13 |
|
11.53 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
NEG AM LIMIT (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
110 |
|
755 |
|
$343,353,524.56 |
|
57.78% |
115 |
|
657 |
|
243,671,691.49 |
|
41.00 |
125 |
|
14 |
|
7,240,903.67 |
|
1.22 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
REMAINING TERM (Months) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
341—350 |
|
2 |
|
$860,869.40 |
|
0.14% |
351—360 |
|
1,265 |
|
524,911,828.19 |
|
88.33 |
471—480 |
|
159 |
|
68,493,422.13 |
|
11.53 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
SEASONING (Months) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 0 |
|
161 |
|
$67,352,295.16 |
|
11.33% |
1—6 |
|
1,260 |
|
524,904,388.40 |
|
88.33 |
7—12 |
|
4 |
|
1,477,253.44 |
|
0.25 |
13 >= |
|
1 |
|
532,182.72 |
|
0.09 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
CURRENT LTV (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 20 |
|
1 |
|
$400,161.78 |
|
0.07% |
21—25 |
|
3 |
|
564,547.28 |
|
0.09 |
26—30 |
|
1 |
|
145,652.08 |
|
0.02 |
31—35 |
|
4 |
|
767,703.03 |
|
0.13 |
36—40 |
|
4 |
|
939,659.37 |
|
0.16 |
41—45 |
|
15 |
|
4,205,150.84 |
|
0.71 |
46—50 |
|
16 |
|
6,538,179.20 |
|
1.10 |
51—55 |
|
32 |
|
11,313,279.18 |
|
1.90 |
56—60 |
|
30 |
|
12,431,677.55 |
|
2.09 |
61—65 |
|
57 |
|
25,591,196.43 |
|
4.31 |
66—70 |
|
122 |
|
54,743,429.78 |
|
9.21 |
71—75 |
|
133 |
|
63,530,977.36 |
|
10.69 |
76—80 |
|
774 |
|
323,957,086.19 |
|
54.51 |
81—85 |
|
177 |
|
73,433,948.34 |
|
12.36 |
86—90 |
|
30 |
|
7,684,462.24 |
|
1.29 |
91—95 |
|
21 |
|
6,154,040.16 |
|
1.04 |
96—100 |
|
6 |
|
1,864,968.91 |
|
0.31 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
ORIGINAL LTV (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 20 |
|
1 |
|
$400,161.78 |
|
0.07% |
21—25 |
|
3 |
|
564,547.28 |
|
0.09 |
26—30 |
|
1 |
|
145,652.08 |
|
0.02 |
31—35 |
|
4 |
|
767,703.03 |
|
0.13 |
36—40 |
|
4 |
|
939,659.37 |
|
0.16 |
41—45 |
|
16 |
|
4,547,350.51 |
|
0.77 |
46—50 |
|
15 |
|
6,195,979.53 |
|
1.04 |
51—55 |
|
33 |
|
12,802,629.39 |
|
2.15 |
56—60 |
|
31 |
|
12,859,582.67 |
|
2.16 |
61—65 |
|
60 |
|
25,980,422.80 |
|
4.37 |
66—70 |
|
125 |
|
57,099,312.55 |
|
9.61 |
71—75 |
|
155 |
|
75,106,057.75 |
|
12.64 |
76—80 |
|
913 |
|
379,066,445.05 |
|
63.79 |
81—85 |
|
8 |
|
2,087,144.62 |
|
0.35 |
86—90 |
|
35 |
|
9,132,682.98 |
|
1.54 |
91—95 |
|
22 |
|
6,570,788.33 |
|
1.11 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
FICO SCORE |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
<= 499 |
|
4 |
|
$932,811.72 |
|
0.16% |
620—639 |
|
120 |
|
48,396,957.70 |
|
8.14 |
640—659 |
|
155 |
|
62,162,789.90 |
|
10.46 |
660—679 |
|
227 |
|
99,648,689.82 |
|
16.77 |
680—699 |
|
244 |
|
103,161,743.79 |
|
17.36 |
700—719 |
|
176 |
|
77,007,249.50 |
|
12.96 |
720—739 |
|
161 |
|
66,644,639.02 |
|
11.21 |
740—759 |
|
132 |
|
53,871,677.73 |
|
9.07 |
760—779 |
|
116 |
|
46,704,326.86 |
|
7.86 |
780—799 |
|
69 |
|
26,659,875.19 |
|
4.49 |
800 >= |
|
22 |
|
9,075,358.49 |
|
1.53 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
DOCUMENTATION |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Full |
|
68 |
|
$23,766,288.73 |
|
4.00% |
No Doc/NINA |
|
324 |
|
141,855,303.57 |
|
23.87 |
No Ratio/NORA |
|
41 |
|
17,520,265.95 |
|
2.95 |
Reduced Doc |
|
993 |
|
411,124,261.47 |
|
69.18 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
OCCUPANCY |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Investor |
|
138 |
|
$40,022,081.57 |
|
6.73% |
Owner Occupied |
|
1,239 |
|
538,574,645.43 |
|
90.63 |
Second Home |
|
49 |
|
15,669,392.72 |
|
2.64 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
PROPERTY TYPE |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Duplex |
|
38 |
|
$17,121,280.17 |
|
2.88% |
Fourplex |
|
14 |
|
7,556,329.46 |
|
1.27 |
Hi Rise Condo |
|
11 |
|
3,805,179.80 |
|
0.64 |
Low Rise Condo |
|
123 |
|
41,741,400.56 |
|
7.02 |
PUD |
|
265 |
|
116,482,258.48 |
|
19.60 |
Single Family Residence |
|
967 |
|
404,175,066.47 |
|
68.01 |
Townhouse |
|
2 |
|
1,076,977.67 |
|
0.18 |
Triplex |
|
6 |
|
2,307,627.11 |
|
0.39 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
PURPOSE |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Home Improvement |
|
18 |
|
$9,156,542.35 |
|
1.54% |
Purchase |
|
339 |
|
138,175,447.85 |
|
23.25 |
Refi—Cash Out |
|
834 |
|
342,171,660.07 |
|
57.58 |
Refi—No Cash Out |
|
235 |
|
104,762,469.45 |
|
17.63 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
PREPAY TERM (Months) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
6 |
|
5 |
|
$1,975,450.22 |
|
0.33% |
12 |
|
439 |
|
185,872,181.31 |
|
31.28 |
24 |
|
65 |
|
25,400,886.31 |
|
4.27 |
36 |
|
917 |
|
381,017,601.88 |
|
64.12 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
STATE |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
AZ |
|
85 |
|
$25,035,995.44 |
|
4.21% |
CA |
|
970 |
|
440,994,156.97 |
|
74.21 |
CO |
|
10 |
|
5,063,977.34 |
|
0.85 |
CT |
|
6 |
|
2,115,145.58 |
|
0.36 |
DE |
|
1 |
|
254,192.79 |
|
0.04 |
FL |
|
91 |
|
32,673,340.68 |
|
5.50 |
GA |
|
6 |
|
1,644,699.60 |
|
0.28 |
HI |
|
26 |
|
13,955,299.21 |
|
2.35 |
ID |
|
6 |
|
1,315,855.77 |
|
0.22 |
IL |
|
2 |
|
403,833.03 |
|
0.07 |
IN |
|
1 |
|
47,914.04 |
|
0.01 |
MA |
|
16 |
|
7,035,948.19 |
|
1.18 |
MD |
|
11 |
|
3,498,010.43 |
|
0.59 |
MI |
|
1 |
|
88,247.38 |
|
0.01 |
MN |
|
1 |
|
242,636.46 |
|
0.04 |
MT |
|
1 |
|
200,800.00 |
|
0.03 |
NH |
|
2 |
|
579,106.99 |
|
0.10 |
NV |
|
56 |
|
17,443,721.33 |
|
2.94 |
NY |
|
1 |
|
286,822.22 |
|
0.05 |
OH |
|
1 |
|
106,750.00 |
|
0.02 |
OK |
|
1 |
|
116,267.84 |
|
0.02 |
OR |
|
22 |
|
7,872,375.34 |
|
1.32 |
PA |
|
6 |
|
735,590.98 |
|
0.12 |
RI |
|
2 |
|
475,305.16 |
|
0.08 |
TN |
|
1 |
|
95,150.00 |
|
0.02 |
TX |
|
7 |
|
924,212.68 |
|
0.16 |
UT |
|
12 |
|
2,856,892.89 |
|
0.48 |
VA |
|
44 |
|
17,509,903.18 |
|
2.95 |
VT |
|
1 |
|
683,492.18 |
|
0.12 |
WA |
|
35 |
|
9,630,639.71 |
|
1.62 |
WV |
|
1 |
|
379,836.31 |
|
0.06 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
BACK DTI (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Data Not Compiled |
|
330 |
|
$146,667,803.19 |
|
24.68% |
15.00 or less |
|
13 |
|
3,401,348.23 |
|
0.57 |
15.01—20.00 |
|
23 |
|
8,300,853.37 |
|
1.40 |
20.01—25.00 |
|
61 |
|
23,815,647.92 |
|
4.01 |
25.01—30.00 |
|
87 |
|
31,468,048.08 |
|
5.30 |
30.01—35.00 |
|
180 |
|
70,198,984.35 |
|
11.81 |
35.01—40.00 |
|
330 |
|
138,960,361.29 |
|
23.38 |
40.01—45.00 |
|
215 |
|
95,380,038.63 |
|
16.05 |
45.01—50.00 |
|
135 |
|
56,859,781.08 |
|
9.57 |
50.01—55.00 |
|
50 |
|
18,399,883.96 |
|
3.10 |
55.01—60.00 |
|
2 |
|
813,369.62 |
|
0.14 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
At origination, the weighted average monthly debt-to-income ratio of all debt of the mortgage loans (exclusive of the data not compiled) was approximately 37.89%.
With respect to the data not compiled for the mortgage loans, no assurance can be given that the monthly debt-to-income ratio of all debt distribution of such mortgage loans does not differ from such distribution for the remaining mortgage loans, and the distribution could differ substantially.
COMBINED LTV (%) |
|
Number of Mortgage Loans |
|
Principal Balance Outstanding as of the Cut-off Date |
|
% of Aggregate Principal Balance Outstanding as of the Cut-off Date |
No Second Lien |
|
930 |
|
$368,708,758.08 |
|
62.04% |
60.00 or less |
|
2 |
|
963,836.82 |
|
0.16 |
65.01—70.00 |
|
2 |
|
1,312,538.41 |
|
0.22 |
70.01—75.00 |
|
8 |
|
4,180,649.14 |
|
0.70 |
75.01—80.00 |
|
15 |
|
9,364,298.27 |
|
1.58 |
80.01—85.00 |
|
40 |
|
20,309,616.51 |
|
3.42 |
85.01—90.00 |
|
392 |
|
171,483,548.88 |
|
28.86 |
90.01 >= |
|
37 |
|
17,942,873.61 |
|
3.02 |
Total |
|
1,426 |
|
$594,266,119.72 |
|
100.00% |
At origination, the weighted average combined loan-to-value ratio of the first and second liens of the mortgage loans (exclusive of mortgage loans with no second lien) was approximately 88.26%.
This ‘FWP’ Filing | Date | Other Filings | ||
---|---|---|---|---|
8/25/06 | 10-D | |||
7/27/06 | 424B5, 8-K, FWP | |||
Filed on: | 7/26/06 | 424B5, FWP | ||
7/20/06 | ||||
7/1/06 | ||||
12/31/05 | ||||
3/4/00 | ||||
List all Filings |