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Wachovia Mortgage Loan Trust Series 2006-AMN1 – ‘FWP’ on 6/27/06 re: Wachovia Mortgage Loan Trust Series 2006-AMN1

On:  Tuesday, 6/27/06, at 5:06pm ET   ·   Accession #:  1068238-6-631   ·   File #:  333-130771-02

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

 6/27/06  Wachovia Mtge Loan Tr...2006-AMN1 FWP                    1:1.6M Wachovia Mtge Loan Tr...2006-AMN1 Orrick Herringto..LLP/FA

Free Writing Prospectus   —   Rule 163/433
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: FWP         Free Writing Prospectus -- wmlt2006-amn1_fwp        HTML    736K 


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Subject to Revision

Series Term Sheet Dated June 7, 2006

 



 

Wachovia Mortgage Loan Trust

Asset-Backed Certificates,

Series 2006-AMN1

 

$705,446,000

(Approximate)

 

Wachovia Mortgage Loan Trust, LLC

Depositor

 

American Mortgage Network, Inc.

Seller / Originator

 

Wells Fargo Bank, N.A.

Servicer

 

 

 


 



 

 

DISCLAIMER

 

Important Notice about Information Presented in this Series Term Sheet

and the Base Prospectus with respect to the Certificates

 

We provide information to you about the Certificates in two or more separate documents that provide progressively more detail:

 

 

the base prospectus, dated May 23, 2006, which provides general information, some of which may not apply to the Certificates; and

 

this Series Term Sheet, which describes terms applicable to the classes of Certificates described herein and provides a description of certain collateral stipulations of the mortgage loans and the parties to the transaction, and provides other information related to the Certificates.

 

This Series Term Sheet provides a very general overview of certain terms of the Certificates and does not contain all of the information that you should consider in making your investment decision. To understand all of the terms of a class of Certificates, you should read carefully this document and the entire base prospectus. If the description of the Certificates in this Series Term Sheet differs from the description of the Certificates in the base prospectus, you should rely on the description in this Series Term Sheet.

 

This material is for your private information, Wachovia Capital Markets, LLC (“Wachovia” or an ‘‘Underwriter’’) is not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. The depositor has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates.

 

Before you invest, you should read the prospectus in the registration statement and other documents the depositor has filed with the SEC (SEC File No. 333-130771) for more complete information about the depositor, the issuing trust and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the depositor, any Underwriter or any dealer participating in the offering will arrange to send you the prospectus after filing if you request it by calling toll free 1-800-745-2063 (8am-5pm EST). In addition, you should read the preliminary prospectus supplement that will be prepared in connection with the WMLT 2006-AMN1 Certificates.

 

The certificates referred to in this series term sheet, and the asset pools backing them, are subject to modification or revision (including the possibility that one or more classes of certificates may be split, combined or eliminated at any time prior to issuance or availability of a final prospectus) and are offered on a ‘‘when, as and if issued’’ basis. You understand that, when you are considering the purchase of these offered certificates, a contract of sale will come into being no sooner than the date on which the relevant class has been priced and we have confirmed the allocation of certificates to be made to you; any ‘‘indications of interest’’ expressed by you, and any ‘‘soft circles’’ generated by us, will not create binding contractual obligations for you or us. As a result of the foregoing, you may commit to purchase offered certificates that have characteristics that may change, and you are advised that all or a portion of the offered certificates may not be issued that have the characteristics described in these materials. Our obligation to sell offered certificates to you is conditioned on the offered certificates that are actually issued having the characteristics described in these materials. If we determine that condition is not satisfied in any material respect, we will notify you, and neither the depositor nor any Underwriter will have any obligation to you to deliver any portion of the certificates which you have committed to purchase, and there will be no liability between us as a consequence of the non-delivery. You have requested that an Underwriter provide to you information in connection with your consideration of the purchase of certain certificates described in this information. This information is being provided to you for informative purposes only in response to your specific request. The Underwriters described in this information may from time to time perform investment banking services for, or solicit investment banking business from, any company named in this information. The Underwriters and/or their employees may from time to time have a long or short position in any contract or certificate discussed in this information. The information contained herein supersedes any previous such information delivered to you and may be superseded by information delivered to you prior to the time of sale. Notwithstanding anything herein to the contrary, you (and each of your employees, representatives or other agents) may disclose to any and all persons, without limitation of any kind, the United States federal, state and local income ‘‘tax treatment’’ and ‘‘tax structure’’ (in each case, within the meaning of Treasury Regulation Section 1.6011-4) and all materials of any kind (including opinions or other tax analyses) of the transaction contemplated hereby that are provided to

 

 



 

you (or your representatives) relating to such tax treatment and tax structure, except that with respect to any document or similar item that in either case contains information concerning the tax treatment or tax structure of the transaction as well as other information, this sentence shall only apply to such portions of the document or similar item that relate to the United States federal, state and local income tax treatment or tax structure of the transaction.

 

Prospective investors should conduct a thorough and independent review of the legal, tax, and accounting aspects of any proposed investment in light of their particular circumstances. Although the information set forth herein is reflective of the terms, as of the specified date, under which Wachovia believes an issuance of securities or other transaction might be structured, no assurance can be given that such an issuance or transaction will in fact be consummated and no specific issuer is obligated to issue such securities or obligations. All such information is not intended to be, and shall not be regarded or construed as, recommendations for, or an offer or commitment for, any financial transaction or any investment, tax, legal or accounting advice, and Wachovia shall not be relied upon for the same without a specific, written agreement between us. Information contained herein has been obtained from sources believed to be reliable, but its accuracy or completeness is not guaranteed by Wachovia, nor does any Wachovia entity assume any liability for any loss which may result from reliance thereon. Expressions of opinion contained herein are given in good faith, but are subject to change without notice.

 

Risk Factors

 

The Certificates are not suitable investments for all investors. In particular, you should not purchase any class of Certificates unless you understand the prepayment, credit, liquidity and market risks associated with that class. The Certificates are complex securities. You should possess, either alone or together with an investment advisor, the expertise necessary to evaluate the information contained in this Series Term Sheet, the term sheet supplement and the base prospectus for the Certificates in the context of your financial situation and tolerance for risk. You should carefully consider, among other things, all of the applicable risk factors in connection with the purchase of any class of the Certificates listed in the section entitled "Risk Factors" in this series term sheet and the base prospectus.

 

 

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

Wachovia Contacts:

 

Syndicate

Phone

E-mail Address

Blake O’Connor

(704) 715-7008

blake.oconnor@wachovia.com

Jennifer Doyle

(704) 715-7008

jennifer.doyle@wachovia.com

 

 

 

ABS Trading

Phone

E-mail Address

Chris Choka

(704) 715-8300

chris.choka@wachovia.com

Ibrahim Incoglu

(704) 715-8300

ibrahim.incoglu@wachovia.com

 

 

 

Mortgage Finance

Phone

E-mail Address

Bob Perret

(704) 374-4868

robert.perret@wachovia.com

Scott Schuman

(704) 374-4398

scott.schuman@wachovia.com

John Grady

(704) 715-7903

john.grady@wachovia.com

 

 

 

Structuring / Whole-Loan Trading

Phone

E-mail Address

Serkan Erikci

(704) 715-1263

serkan.erikci@wachovia.com

Florian Halili

(704) 715-8895

florian.halili@wachovia.com

Sharvin Setoodeh

(704) 715-7632

sharvin.setoodeh@wachovia.com

 

 

 

Rating Agency Contacts:

 

 

 

 

 

Moody’s Investors Service

Phone

E-mail Address

Jason Shi

(212) 553-1709

shuisheng.shi@moodys.com

 

 

 

Standard & Poor’s

Phone

E-mail Address

Frank Bruzese

(212) 438-1809

frank_bruzese@sandp.com

 

 

 

Fitch Ratings

Phone

E-mail Address

Marc Lessner

(212) 908-0693

marc.lessner@fitchratings.com

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

3

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

 

$705,446,000

(approximate)

Wachovia Mortgage Loan Trust 2006-AMN1

 

 

Principal

WAL (Years)

Payment Window

Expected Ratings

Assumed Final

Certificate

Class (1)(2)(3)

Balance ($) (4)

Call / Mat (5)

(Mos) Call (5)

(S/M/F)

Distribution Date

Type

A-1

373,000,000

0.95 / 0.95

1 - 25

AAA / Aaa / AAA

August 2036

Floating Rate Seq. Senior

A-2

154,400,000

3.00 / 3.00

25 - 52

AAA / Aaa / AAA

August 2036

Floating Rate Seq. Senior

A-3

132,689,000

5.81 / 6.92

52 - 78

AAA / Aaa / AAA

August 2036

Floating Rate Seq. Senior

M-1

9,644,000

4.46 / 4.82

39 - 78

AA+ / Aa1 / AA+

August 2036

Floating Rate Mezzanine

M-2

8,572,000

4.45 / 4.76

38 - 78

AA+ / Aa2 / AA+

August 2036

Floating Rate Mezzanine

M-3

5,357,000

4.43 / 4.69

38 - 78

AA+ / Aa3 / AA

August 2036

Floating Rate Mezzanine

M-4

5,000,000

4.43 / 4.64

38 - 78

AA / A1 / AA-

August 2036

Floating Rate Mezzanine

M-5

4,286,000

4.43 / 4.56

37 - 78

AA- / A2 / A+

August 2036

Floating Rate Mezzanine

M-6

3,929,000

4.41 / 4.45

37 - 78

A+ / A3 / A

August 2036

Floating Rate Mezzanine

B-1

2,500,000

4.35 / 4.35

37 - 77

A / Baa1 / A-

August 2036

Floating Rate Subordinate

B-2

2,500,000

4.23 / 4.23

37 - 72

A- / Baa2 / BBB+

August 2036

Floating Rate Subordinate

B-3

3,569,000

4.02 / 4.02

37 - 66

BBB- / Baa3 / BBB

August 2036

Floating Rate Subordinate

Total:

$705,446,000

 

 

 

 

 

 

(1)

The Class A-1, Class A-2 and Class A-3 Certificates (the “Senior Certificates”), the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class M-6 Certificates (the “Mezzanine Certificates”) and the Class B-1, Class B-2 and Class B-3 Certificates (the “Subordinate Certificates”) are collectively referred to herein as the “Offered Certificates.”

(2)

The Offered Certificates are priced to call. The margins on the Senior Certificates will be equal to 2.0x their initial margins beginning on the first distribution date on which the optional termination may be exercised. The margins on the Mezzanine Certificates and the Subordinate Certificates will be equal to 1.5x their initial margins beginning on the first distribution date on which the optional termination may be exercised.

(3)

The pass-through rates on the Offered Certificates are subject to a cap equal to the lesser of (a) one-month LIBOR plus the margin for such Class (subject to increase in the event that the optional termination is not exercised, as described above) and (b) the Available Funds Cap Rate. (See “Pass-Through Rate” herein.).

(4)

The principal balance of each Class of Offered Certificates is subject to a +/-10% variance.

(5)

Pricing Prepayment Assumption (“PPA”): 30% CPR.

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

4

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

Deal Summary

 

 

Issuer:

Wachovia Mortgage Loan Trust, Series 2006-AMN1.

 

 

Depositor:

Wachovia Mortgage Loan Trust, LLC.

 

 

Seller:

American Mortgage Network, Inc.

 

 

Rep Provider:

Wachovia Bank, N.A.

 

 

Originator:

American Mortgage Network, Inc.

 

 

Servicer:

Wells Fargo Bank, N.A. (Moody’s: SQ1 / S&P: Strong / Fitch: RPS1).

 

 

Lead Manager

 

& Book Runner:

Wachovia Capital Markets, LLC (“Wachovia Securities”).

 
 
Co-Manager:
RBS Greenwich Capital.

 

 

Trustee:

US Bank National Association.

 

 

Swap Provider:

Wachovia Bank, N.A.

 

 

Certificates:

The Class A-1, Class A-2 and Class A-3 Certificates (the “Senior Certificates”), the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class M-6 Certificates (the “Mezzanine Certificates”) and the Class B-1, Class B-2 and Class B-3 Certificates (the “Subordinate Certificates”) are collectively referred to herein as the Offered Certificates.” The Class X, Class P and Class R Certificates are collectively referred to herein as the “Non-Offered Certificates” and are not offered hereby.

 

 

Federal Tax Status:

The Offered Certificates will represent, in part, ownership of REMIC regular interests for tax purposes.

 

 

Registration:

The Offered Certificates will be available in book-entry form through DTC, Clearstream, Luxembourg and the Euroclear System.

 

 

Mortgage Loans:

Approximately $574,861,123 the (“Initial Mortgage Loans”) and approximately $139,521,373 the (“Additional Mortgage Loans” and, together with the Initial Mortgage Loans, the “Mortgage Loans”). As of their respective Cut-off Date, the aggregate principal balance of the Mortgage Loans was approximately $714,382,496. All of the Mortgage Loans will be sold to the Trust on the Closing Date and there will be no prefunding for this transaction.

 

 

Cut-off Date:

For the Initial Mortgage Loans - June 1, 2006 and for the Additional Mortgage Loans - July 1, 2006.

 

 

Expected Pricing Date:

On or about June [9], 2006.

 

 

Expected Closing Date:

On or about June [29], 2006.

 

 

Distribution Date:

The 25th day of each month (or, if not a business day, the next succeeding business day), commencing in July 2006.

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

5

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

Accrued Interest:

The price to be paid by investors for the Offered Certificates will not include accrued interest (i.e., settling flat).

 

 

Interest Accrual Period:

For each Distribution Date, the period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to such Distribution Date (calculated on an actual/360 day basis).

 

 

ERISA Eligibility:

The Offered Certificates may not be acquired or held by a person investing assets of any employee benefit plan or other retirement arrangement that is subject to Title I of the Employee Retirement Income Security Act of 1974, as amended, or to Section 4975 of the Internal Revenue Code of 1986, as amended, before the termination of the Swap Agreement, unless such acquisition or holding is eligible for the exemptive relief available under one of the investor-based class exemptions described in the prospectus supplement. Such investor-based class exemptions include, but are not limited to: U.S. Department of Labor Prohibited Transaction Class Exemption ("PTCE") 84-14, regarding transactions negotiated by independent "qualified professional asset managers," PTCE 90-1, regarding investments by insurance company pooled separate accounts, PTCE 91-38, regarding investments by bank collective investment funds, PTCE 95-60, regarding investments by insurance company general accounts, and PTCE 96-23, regarding transactions negotiated by certain "in-house asset managers."

 

 

SMMEA Eligibility:

The Senior Certificates and the Mezzanine Certificates are expected to constitute “mortgage related securities” for the purposes of SMMEA.

 

 

Denominations:

The Offered Certificates will be issued in minimum denominations of $25,000 and multiples of $1,000 in excess thereof.

 

 

Optional Termination:

The [Trustee] may exercise the option to purchase all of the Mortgage Loans and retire the Certificates once the aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the aggregate principal balance of the Mortgage Loans as of the applicable Cut-off Date.

 

 

Servicing Fee:

With respect to each Distribution Date, the Servicer will be entitled to a Servicing Fee equal to 1/12 of 0.2500% (the “Servicing Fee Rate”) of the aggregate principal balance of the mortgage loans as of the close of business on the last day of each collection period, plus any reimbursable amounts.

 

 

Trustee Fee:

With respect to each Distribution Date, the Trustee will be entitled to a Trustee Fee equal to 1/12 of 0.0025% (the “Trustee Fee Rate”) of the aggregate principal balance of the mortgage loans as of the close of business on the last day of each collection period.

 

 

Adjusted Net

 

Mortgage Rate:

The Adjusted Net Mortgage Rate for each mortgage loan is equal to the mortgage rate of the mortgage loan less the sum of (1) the Servicing Fee Rate and (2) the Trustee Fee Rate.

 

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

6

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

 

Interest Remittance

 

Amount:

The “Interest Remittance Amount” equals the excess of (1) the sum, without duplication, of (a) all scheduled interest collected during the related collection period, less the related Servicing Fee, (b) interest payments on any principal prepayment received during the related prepayment period other than prepayment interest excess, (c) all Monthly Servicer Advances relating to interest, (d) all Compensating Interest, and (e) liquidation proceeds (to the extent such liquidation proceeds relate to interest) over (2) all non-recoverable advances relating to interest and certain expenses reimbursed during the related collection period.

 

 

Current Interest:

The “Current Interest” with respect to each Class of Offered Certificates and each Distribution Date is the interest accrued at the applicable Pass-Through Rate for the applicable Interest Accrual Period on the principal balance of such Class immediately prior to that Distribution Date.

 

 

Interest Carry

 

Forward Amount:

The “Interest Carry Forward Amount” with respect to each Class of Offered Certificates and each Distribution Date is the excess of (1) Current Interest for such Class with respect to prior Distribution Dates, over (2) the amount actually distributed to such Class with respect to interest on such prior Distribution Dates.

 

 

Formula Rate:

The “Formula Rate” on the Offered Certificates for any Distribution Date will be equal to one-month LIBOR plus the margin for such Class (subject to increase in the event that the Optional Termination is not exercised, as described above).

 

 

Pass-Through Rate:

The “Pass-Through Rate” on the Offered Certificates for any Distribution Date will be equal to the lesser of (1) the Formula Rate and (2) the Available Funds Cap Rate.

 

 

Available

 

Funds Cap Rate:

TheAvailable Funds Cap Ratefor the Offered Certificates on any Distribution Date is the percentage equivalent of a fraction, the numerator of which is equal to (1) the excess of (a) interest due on the Mortgage Loans, over (b) the sum of (i) the Servicing Fee, (ii) the Trustee Fee, (iii) the Net Swap Payments owed to the Swap Provider for such Distribution Date, if any, and (iv) any Swap Termination Payment (other than certain swap termination payments resulting from an event of default or certain termination events with respect to the Swap Provider), and the denominator of which is equal to the product of (1) the actual number of days in the related Interest Accrual Period divided by 360 and (2) the aggregate principal balance of the Offered Certificates.

 

 

Available Funds

 

Cap Shortfall:

If on any Distribution Date the related Pass-Through Rate for any Class of Offered Certificates is limited by the related Available Funds Cap Rate, the “Available Funds Cap Shortfall” for such class is equal to the sum of (1) the excess of (a) the amount of interest that would have accrued on such class based on the related Formula Rate over (b) the amount of interest accrued on such class based on the related Available Funds Cap Rate and (2) the unpaid portion of any related Available Funds Cap Shortfall from the prior Distribution Date together with accrued interest on such unpaid portion at the related Formula Rate. Any Available Funds Cap Shortfall will be paid on such Distribution Date or future Distribution Dates to the extent of funds available.

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

7

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

Swap Agreement:

On the Closing Date, the Supplemental Interest Trust will include a Swap Agreement. Under the Swap Agreement, the Supplemental Interest Trust shall be obligated to pay an amount equal to 5.363% per annum on the scheduled notional balance as set forth in the Swap Agreement to the Swap Provider (the “Fixed Swap Payment”) and the Supplemental Interest Trust will be entitled to receive an amount equal to one-month LIBOR per annum on the scheduled notional balance as set forth in the Swap Agreement from the Swap Provider (the “Floating Swap Payment”), on each Distribution Date, until the Swap Agreement is terminated as further described in the Swap Agreement. Only the net amount of the two obligations will be paid by the appropriate party (“Net Swap Payment”) (See the attached schedule).

 

 

 

Upon early termination of the Swap Agreement, the Supplemental Interest Trust or the Swap Provider may be liable to make a termination payment (the ‘‘Swap Termination Payment’’) to the other party (regardless of which party caused the termination). The Swap Termination Payment will be computed in accordance with the procedures set forth in the Swap Agreement. Notwithstanding the other provisions in these materials, in the event that the Supplemental Interest Trust is required to make a Swap Termination Payment, that payment will be paid on the related Distribution Date, and on any subsequent Distribution Dates until paid in full, prior to payments to the holders of the Offered Certificates from interest funds or principal funds (other than certain swap termination payments resulting from an event of default or certain termination events with respect to the Swap Provider as further described in the Swap Agreement, which swap termination payments will be subordinated to all payments to the holders of the Offered Certificates).

 

 

Monthly Servicer

 

Advances:

The Servicer is generally required to advance scheduled principal and interest (net of the servicing fee) for any delinquent Mortgage Loan, but is not required to make any advance that the Servicer deems to be non-recoverable.

 

 

Prepayment Period:

With respect to any Distribution Date and any prepayment of principal in full, the period from the fourteenth day of the calendar month preceding the month in which such Distribution Date occurs (or in the case of the first Distribution Date, from the Cut-off Date) through the thirteenth day of the month in which the Distribution Date occurs. With respect to any Distribution Date and any prepayment of principal in part, the calendar month preceding such Distribution Date.

 

 

Compensating

 

Interest:

On any Distribution Date, any interest shortfalls resulting from any principal prepayment in full or curtailment received during the Prepayment Period will be required to be advanced by the Servicer as “Compensating Interest”, but only to the extent that such amount does not exceed the aggregate Servicing Fee on the mortgage loans serviced by it for the related collection period.

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

8

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

Credit Enhancement:

The trust will include the following credit enhancement mechanisms, each of which is intended to provide credit support for some or all of the Certificates, as the case may be:

 

 

 

1)   Excess Cashflow;

 

2)   Overcollateralization; and

 

3)   Subordination

 

 

 

Net Swap Payments owed to the Supplemental Interest Trust, if any, pursuant to the “Supplemental Interest Trust,” may serve as an additional form of credit enhancement.

 

 

Expected Ratings

Initial

Total Subordination

Class

(S/M/F)

Subordination

At Stepdown

A-1

AAA / Aaa / AAA

7.60%

15.20%

A-2

AAA / Aaa / AAA

7.60%

15.20%

A-3

AAA / Aaa / AAA

7.60%

15.20%

M-1

AA+ / Aa1 / AA+

6.25%

12.50%

M-2

AA+ / Aa2 / AA+

5.05%

10.10%

M-3

AA+ / Aa3 / AA

4.30%

8.60%

M-4

AA / A1 / AA-

3.60%

7.20%

M-5

AA- / A2 / A+

3.00%

6.00%

M-6

A+ / A3 / A

2.45%

4.90%

B-1

A / Baa1 / A-

2.10%

4.20%

B-2

A- / Baa2 / BBB+

1.75%

3.50%

B-3

BBB- / Baa3 / BBB

1.25%

2.50%

 

 

Any realized losses on the Mortgage Loans will be covered first by Excess Cashflow and Net Swap Payments received from the Swap Provider, if any, and then by the Overcollateralization Amount. In the event that the Overcollateralization Amount is not at its target or is reduced to an amount which is lower than the Overcollateralization Target Amount, Excess Cashflow and Net Swap Payments received from the Swap Provider will be directed to pay principal on the Offered Certificates, resulting in the limited acceleration of the Offered Certificates relative to the amortization of the Mortgage Loans, until the Overcollateralization Amount reaches or is restored to the Overcollateralization Target Amount. Upon this event, the acceleration feature will cease, unless the Overcollateralization Amount is reduced below the Overcollateralization Target Amount by realized losses again.

 

 

 

Any realized losses on the Mortgage Loans not covered by Excess Cashflow and Net Swap Payments received from the Swap Provider or Overcollateralization Amount will be allocated to each class of Subordinate Certificates and Mezzanine Certificates in the following order: to the Class B-3, Class B-2, Class B-1, Class M-6, Class M-5, Class M-4, Class M-3, Class M-2 and Class M-1 Certificates, in each case until the respective principal balance of such class has been reduced to zero.

 

 

Excess Cashflow:

Excess Cashflow for any Distribution Date will be equal to the available funds remaining after interest and principal payments as described under “Payments of Interest” and Payments of Principal.”

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

9

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

Overcollateralization

 

Amount:

The “Overcollateralization Amount” for any Distribution Date is the amount, if any, by which (1) the aggregate principal balance of the Mortgage Loans (including, without duplication, any reduction of the aggregate principal balance of the Mortgage Loans as a result of Realized Losses during the related collection period) exceeds (2) the aggregate principal balance of the classes of Certificates as of such Distribution Date (after giving effect to payments of principal to be made on such Distribution Date). On the Closing Date, the Overcollateralization Amount shall equal approximately 1.25% of the aggregate principal balance of the Cut-off Date Mortgage Loans and will be fully funded.

 

 

Overcollateralization Floor:

The Overcollateralization Floor” for any Distribution Date shall equal 0.50% of the aggregate principal balance of the Cut-off Date Mortgage Loans.

 

 

Overcollateralization

 

Target Amount:

On each Distribution Date, the “Overcollateralization Target Amount” is:

 

 

 

Prior to the Stepdown Date: 1.25% of the aggregate principal balance of the Cut-off Date Mortgage Loans.

 

 

 

On and after the Stepdown Date: The greater of:

 

(1)  the lesser of

 

a.  1.25% of the aggregate principal balance of the Cut-off Mortgage Loans; and

 

b.  an amount equal to 2.50% of the aggregate principal balance of the Mortgage Loans for the current Distribution Date; and

 

(2)  an amount equal to the Overcollateralization Floor.

 

 

 

Provided, however, that if on any Distribution Date a Trigger Event is in effect, the Overcollateralization Target Amount will equal the Overcollateralization Target Amount on the Distribution Date immediately preceding such Distribution Date.

 

 

Senior Enhancement

 

Percentage:

The "Senior Enhancement Percentage" with respect to any Distribution Date is the percentage equivalent of a fraction, the numerator of which is equal to (1) the excess of (a) the aggregate principal balance of the Mortgage Loans for the preceding Distribution Date, over (b) the aggregate principal balance of the most senior class or classes of Certificates as of the day immediately preceding the related Distribution Date, and the denominator of which is equal to (2) the aggregate principal balance of the Mortgage Loans for the preceding Distribution Date.

 

 

Trigger Event:

A “Trigger Event” will be in effect on a Distribution Date on or after the Stepdown Date if either (or both) a Delinquency Trigger or a Cumulative Loss Trigger is in effect on such Distribution Date.

 

 

Delinquency Trigger:

With respect to the Certificates, a “Delinquency Trigger” will occur if the three month rolling average 60+ day delinquency percentage for the outstanding Mortgage Loans (including Mortgage Loans in bankruptcy or foreclosure and all REO properties) equals or exceeds [45]% of the Senior Enhancement Percentage.

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

10

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

Cumulative Loss Trigger:

With respect to the Certificates, a “Cumulative Loss Trigger” will occur if the aggregate amount of Realized Losses on the Mortgage Loans exceeds the applicable percentage of the aggregate principal balance of the Cut-off Date Mortgage Loans, as set forth below:

 

Period (month)

Percentage

25 – 36

[0.30]% with respect to July 2008, plus an additional 1/12th of [0.35]% for each month thereafter

37 – 48

[0.65]% with respect to July 2009, plus an additional 1/12th of [0.30]% for each month thereafter

49 – 60

[0.95]% with respect to July 2010, plus an additional 1/12th of [0.30]% for each month thereafter

61 – 72

[1.25]% with respect to July 2011, plus an additional 1/12th of [0.20]% for each month thereafter

73+

[1.45]%

 

Stepdown Date:

The earlier to occur of:

 

(1)  the Distribution Date after which the aggregate principal balance of the Senior Certificates has been reduced to zero; and

 

(2)  the later to occur of:

 

a. the Distribution Date occurring in July 2009.

 

b. the first Distribution Date on which the aggregate principal balance of the Senior Certificates is less than or equal to [84.80]% of the aggregate principal balance of the Mortgage Loans for such Distribution Date.

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

11

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

 

Payments of Interest:

On each Distribution Date, the Interest Remittance Amount for such Distribution Date is required to be distributed in the following order of priority, until such funds have been fully distributed:

 

 

 

(1) to pay any Trustee Fees not already paid;

 

 

 

(2) to the Supplemental Interest Trust, Net Swap Payments owed to the Swap Provider;

 

 

 

(3) to the Supplemental Interest Trust, the Swap Termination Payment, if any (other than certain swap termination payments resulting from an event of default or certain termination events with respect to the Swap Provider);

 

 

 

(4) concurrently, to the Class A-1, Class A-2 and Class A-3 Certificates, on a pro rata basis, based on their respective entitlements, the Current Interest and any Interest Carry Forward Amount for each such Class;

 

 

 

(5) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2 and Class B-3 Certificates, in that order, the Current Interest for each such Class; and

 

 

 

(6) any remainder as part of the Excess Cashflow to be allocated as described below under Payments of Excess Cashflow.

 

 

Payments of Principal:

On each Distribution Date prior to the Stepdown Date or on which a Trigger Event is in effect, available principal funds will be paid as follows until such funds have been fully distributed:

 

 

 

(1) sequentially, to the Class A-1, Class A-2 and Class A-3 Certificates, in that order, in each case until the principal balance thereof has been reduced to zero.

 

 

 

Provided, however, that if the aggregate principal balance of the Class A-1, Class A-2 and Class A-3 Certificates is greater than the principal balance of the Mortgage Loans, then payments on the Class A-1, Class A-2 and Class A-3 Certificates will be made concurrently on a pro rata basis, based on their outstanding principal balances, until the principal balances thereof have been reduced to zero;

 

 

 

(2) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2 and Class B-3 Certificates, in that order, until the principal balance of each such class is reduced to zero; and

 

 

 

(3) any remainder as part of the Excess Cashflow to be allocated as described below under Payments of Excess Cashflow.

 

 

 

On each Distribution Date on or after the Stepdown Date and so long as a Trigger Event is not in effect, available principal funds will be paid as follows until such funds have been fully distributed:

 

 

 

(1) sequentially, to the Class A-1, Class A-2 and Class A-3 Certificates, in that order, up to an amount necessary to cause the Senior Certificates in the aggregate to have 15.20% subordination.

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

12

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

 

 

Provided, however, that if the aggregate principal balance of the Class A-1, Class A-2 and Class A-3 Certificates is greater than the principal balance of the Mortgage Loans, then payments on the Class A-1, Class A-2 and Class A-3 Certificates will be made concurrently on a pro rata basis, based on their outstanding principal balances, until the principal balances thereof have been reduced to zero;

 

 

 

(2) to the Class M-1 Certificates, up to an amount necessary to cause the Class M-1 Certificates to have 12.50% subordination;

 

 

 

(3) to the Class M-2 Certificates, up to an amount necessary to cause the Class M-2 Certificates to have 10.10% subordination;

 

 

 

(4) to the Class M-3 Certificates, up to an amount necessary to cause the Class M-3 Certificates to have 8.60% subordination;

 

 

 

(5) to the Class M-4 Certificates, up to an amount necessary to cause the Class M-4 Certificates to have 7.20% subordination;

 

 

 

(6) to the Class M-5 Certificates, up to an amount necessary to cause the Class M-5 Certificates to have 6.00% subordination;

 

 

 

(7) to the Class M-6 Certificates, up to an amount necessary to cause the Class M-6 Certificates to have 4.90% subordination;

 

 

 

(8) to the Class B-1 Certificates, up to an amount necessary to cause the Class B-1 Certificates to have 4.20% subordination;

 

 

 

(9) to the Class B-2 Certificates, up to an amount necessary to cause the Class B-2 Certificates to have 3.50% subordination;

 

 

 

(10) to the Class B-3 Certificates, up to an amount necessary to cause the Class B-3 Certificates to have 2.50% subordination; and

 

 

 

(11) any remainder as part of the Excess Cashflow to be allocated as described below under Payments of Excess Cashflow.

 

 

 

Provided, however, that the subordination for each class or classes will be subject to the Overcollateralization Floor.

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

13

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

Payments of Excess

 

Cashflow:

With respect to any Distribution Date, any Excess Cashflow will be paid to the classes of Certificates as follows:

 

 

 

(1) to the Certificates then entitled to receive payments in respect of principal, in an amount necessary to maintain the Overcollateralization Target Amount, payable to such certificates as described under “Payments of Principal” above;

 

 

 

(2) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2 and Class B-3 Certificates, in that order, in an amount equal to any Interest Carry Forward Amount for each such Class;

 

 

 

(3) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2 and Class B-3 Certificates, in that order, in an amount equal to the unpaid realized loss amounts for each such Class;

 

 

 

(4) concurrently, to the Certificates, on a pro rata basis, to the extent needed to pay any Available Funds Cap Shortfall for each such class, based on the amount of such unpaid Available Funds Cap Shortfall, until reduced to zero; and

 

 

 

(5) to the Supplemental Interest Trust, swap termination payments resulting from an event of default in certain termination events with respect to the swap provider, and any remaining amounts.

 

 

Supplemental Interest

 

Trust:

Funds deposited into the Supplemental Interest Trust Account on a Distribution Date will include:

 

 

 

(1) any Net Swap Payments owed to the Swap Provider and received from the trust pursuant to (2) of “Payments of Interest

 

 

 

(2) any Net Swap Payments owed to the Swap Provider and received from the trust pursuant to (3) of “Payments of Interest

 

 

 

(3) any Net Swap Payments received from the Swap Provider for such Distribution Date; and

 

 

 

(4) Excess Cashflow deposited therein pursuant to (5) of Payments of Excess Cashflow.”

 

 

 

Funds in the Supplemental Interest Trust Account will be distributed as follows:

 

 

 

(1) to the Swap Provider, the Net Swap Payments owed for such Distribution Date, if any;

 

 

 

(2) to the Swap Provider, the Swap Termination Payment, if any (other than certain swap termination payments resulting from an event of default or certain termination events with respect to the Swap Provider);

 

 

 

(3) concurrently, to the Class A-1, Class A-2 and Class A-3 Certificates, on a pro rata basis, based on their respective entitlements, the Current Interest and any Interest Carry Forward Amount for each such Class to the extent not already paid pursuant to (4) of “Payments of Interest

 

 

 

(4) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2 and Class B-3 Certificates, in that order, the Current Interest for each such Class to the extent not already paid pursuant to (5) of “Payments of Interest

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

14

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

 

 

(5) to the Certificates then entitled to receive payments in respect of principal, in an amount necessary to maintain the Overcollateralization Target Amount, payable to such certificates as described under “Payments of Principal” above;

 

 

 

(6) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2 and Class B-3 Certificates, in that order, in an amount equal to any Interest Carry Forward Amount for each such Class to the extent not already paid pursuant to (2) of “Payments of Excess Cashflow

 

 

 

(7) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class B-1, Class B-2 and Class B-3 Certificates, in that order, in an amount equal to the unpaid realized loss amounts for each such Class, to the extent not already paid pursuant to (3) of “Payments of Excess Cashflow

 

 

 

(8) concurrently, to the Certificates, on a pro rata basis, to the extent needed to pay any Available Funds Cap Shortfall for each such class, based on the amount of such unpaid Available Funds Cap Shortfall, until reduced to zero, to the extent not already paid pursuant to (4) of “Payments of Excess Cashflow

 

 

 

(9) to the Swap Provider, the Swap Termination Payment, if any to the extent not already paid pursuant to (2) above; and

 

 

 

(10) to the Class X Certificates, any remaining amounts.

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

15

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

SWAP SCHEDULE

 

 

Distribution

Distribution

Notional

 

Distribution

Distribution

Notional

Period

Date

Schedule ($)

 

Period

Date

Schedule ($)

1

7/25/2006

574,861,122.83

 

32

2/25/2009

244,029,387.43

2

8/25/2006

706,631,460.76

 

33

3/25/2009

234,609,033.37

3

9/25/2006

695,704,260.40

 

34

4/25/2009

225,456,473.64

4

10/25/2006

682,367,080.99

 

35

5/25/2009

216,605,606.41

5

11/25/2006

667,170,144.60

 

36

6/25/2009

208,084,620.92

6

12/25/2006

650,833,992.42

 

37

7/25/2009

199,875,325.72

7

1/25/2007

633,076,812.89

 

38

8/25/2009

191,962,503.04

8

2/25/2007

614,127,818.95

 

39

9/25/2009

184,331,323.81

9

3/25/2007

593,782,433.32

 

40

10/25/2009

176,977,226.87

10

4/25/2007

572,034,510.00

 

41

11/25/2009

169,913,367.24

11

5/25/2007

549,918,944.70

 

42

12/25/2009

163,149,351.03

12

6/25/2007

528,363,337.19

 

43

1/25/2010

156,671,948.40

13

7/25/2007

507,279,729.77

 

44

2/25/2010

150,479,804.08

14

8/25/2007

487,229,212.06

 

45

3/25/2010

144,559,433.40

15

9/25/2007

468,152,402.28

 

46

4/25/2010

138,897,988.18

16

10/25/2007

449,991,715.03

 

47

5/25/2010

133,483,263.43

17

11/25/2007

432,693,516.11

 

48

6/25/2010

128,303,656.70

18

12/25/2007

416,207,811.25

 

49

7/25/2010

123,348,137.29

19

1/25/2008

400,487,964.98

 

50

8/25/2010

118,606,214.51

20

2/25/2008

385,490,348.22

 

51

9/25/2010

114,067,910.34

21

3/25/2008

371,174,108.02

 

52

10/25/2010

109,723,729.99

22

4/25/2008

357,489,932.82

 

53

11/25/2010

105,564,634.25

23

5/25/2008

344,342,491.93

 

54

12/25/2010

101,582,029.79

24

6/25/2008

331,651,339.39

 

55

1/25/2011

97,767,756.82

25

7/25/2008

319,399,861.68

 

56

2/25/2011

94,114,079.48

26

8/25/2008

307,539,804.96

 

57

3/25/2011

90,613,727.82

27

9/25/2008

296,060,631.23

 

58

4/25/2011

87,259,938.76

28

10/25/2008

284,952,364.52

 

59

5/25/2011

84,046,487.88

29

11/25/2008

274,205,412.76

 

60

6/25/2011

80,966,666.50

30

12/25/2008

263,810,519.52

 

61

7/25/2011 and

0.00

31

1/25/2009

253,755,115.20

 

 

thereafter

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

16

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

FORWARD CURVES AND EXCESS SPREAD

 

 

 

 

1 Month

1 Year

 

 

 

 

1 Month

1 Year

 

Distribution

Distribution

Forward

Forward

Excess

 

Distribution

Distribution

Forward

Forward

Excess

Period

Date

LIBOR (%)

LIBOR (%)

Spread (%) (1)(2)

 

Period

Date

LIBOR (%)

LIBOR (%)

Spread (%) (1)(2)

1

7/25/2006

5.130000

5.394380

0.633

 

40

10/25/2009

5.379185

5.601825

1.079

2

8/25/2006

5.220184

5.407321

1.066

 

41

11/25/2009

5.399928

5.613932

0.996

3

9/25/2006

5.290520

5.415630

1.068

 

42

12/25/2009

5.419503

5.624619

1.067

4

10/25/2006

5.267298

5.421178

1.099

 

43

1/25/2010

5.437666

5.633991

0.981

5

11/25/2006

5.324128

5.432143

1.071

 

44

2/25/2010

5.454171

5.642169

0.974

6

12/25/2006

5.325071

5.441376

1.100

 

45

3/25/2010

5.468773

5.649302

1.231

7

1/25/2007

5.316157

5.453479

1.070

 

46

4/25/2010

5.481227

5.655558

0.962

8

2/25/2007

5.287899

5.468890

1.067

 

47

5/25/2010

5.491286

5.661125

1.042

9

3/25/2007

5.270657

5.488733

1.159

 

48

6/25/2010

5.498708

5.666216

0.952

10

4/25/2007

5.270527

5.511338

1.063

 

49

7/25/2010

5.503754

5.671066

1.032

11

5/25/2007

5.237267

5.534360

1.092

 

50

8/25/2010

5.508300

5.675882

0.941

12

6/25/2007

5.245480

5.559710

1.058

 

51

9/25/2010

5.512838

5.680696

0.935

13

7/25/2007

5.277970

5.582624

1.094

 

52

10/25/2010

5.517373

5.685493

1.019

14

8/25/2007

5.315193

5.599929

1.056

 

53

11/25/2010

5.521909

5.690256

0.926

15

9/25/2007

5.353957

5.610995

1.054

 

54

12/25/2010

5.526450

5.694969

1.014

16

10/25/2007

5.392655

5.615760

1.093

 

55

1/25/2011

5.531000

5.699612

0.920

17

11/25/2007

5.429682

5.614378

1.049

 

56

2/25/2011

5.535563

5.704166

0.921

18

12/25/2007

5.463430

5.607221

1.089

 

57

3/25/2011

5.540144

5.708610

1.302

19

1/25/2008

5.492293

5.594881

1.043

 

58

4/25/2011

5.544747

5.712921

1.404

20

2/25/2008

5.514665

5.578164

1.039

 

59

5/25/2011

5.549376

5.717076

1.836

21

3/25/2008

5.528939

5.558096

1.133

 

60

6/25/2011

5.554035

5.721050

1.716

22

4/25/2008

5.533508

5.535918

1.031

 

61

7/25/2011

5.558694

5.724818

1.891

23

5/25/2008

5.526767

5.513086

1.077

 

62

8/25/2011

5.563216

5.728362

1.650

24

6/25/2008

5.507110

5.491274

1.025

 

63

9/25/2011

5.567557

5.731705

1.652

25

7/25/2008

5.475510

5.472369

1.075

 

64

10/25/2011

5.571710

5.734880

1.898

26

8/25/2008

5.441505

5.458098

1.022

 

65

11/25/2011

5.575664

5.737925

1.657

27

9/25/2008

5.408339

5.448796

1.024

 

66

12/25/2011

5.579410

5.740876

1.904

28

10/25/2008

5.376880

5.444350

1.084

 

67

1/25/2012

5.582938

5.743776

1.664

29

11/25/2008

5.348000

5.444552

1.030

 

68

2/25/2012

5.586241

5.746667

1.668

30

12/25/2008

5.322567

5.449095

1.093

 

69

3/25/2012

5.589307

5.749595

2.179

31

1/25/2009

5.301451

5.457575

1.037

 

70

4/25/2012

5.592129

5.752606

1.692

32

2/25/2009

5.285523

5.469493

1.042

 

71

5/25/2012

5.594696

5.755751

1.953

33

3/25/2009

5.275650

5.484251

1.251

 

72

6/25/2012

5.597000

5.759082

1.714

34

4/25/2009

5.272704

5.501153

1.060

 

73

7/25/2012

5.599108

5.762652

1.972

35

5/25/2009

5.277554

5.519406

1.137

 

74

8/25/2012

5.601333

5.766500

1.734

36

6/25/2009

5.291071

5.538117

1.069

 

75

9/25/2012

5.603765

5.770584

1.740

37

7/25/2009

5.312405

5.556298

1.139

 

76

10/25/2012

5.606421

5.774842

1.991

38

8/25/2009

5.335178

5.573056

1.010

 

77

11/25/2012

5.609318

5.779208

1.753

39

9/25/2009

5.357520

5.588219

1.008

 

78

12/25/2012

5.612472

5.783612

2.004

 

(1) Run at 100% PPA to Optional Termination.

(2) Includes the application of Net Swap Payments received or paid by the trust.

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

17

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

EFFECTIVE AVAILABLE FUNDS CAP RATE

 

 

Distribution

Distribution

Effective AFC Rate

 

Distribution

Distribution

Effective AFC Rate

Period

Date

Scenario (%) (1)(2)(3)(4)

 

Period

Date

Scenario (%) (1)(2)(3)(4)

1

7/25/2006

18.026

 

40

10/25/2009

18.732

2

8/25/2006

21.611

 

41

11/25/2009

18.520

3

9/25/2006

21.838

 

42

12/25/2009

18.478

4

10/25/2006

22.041

 

43

1/25/2010

18.269

5

11/25/2006

22.132

 

44

2/25/2010

18.148

6

12/25/2006

22.251

 

45

3/25/2010

18.319

7

1/25/2007

22.266

 

46

4/25/2010

17.916

8

2/25/2007

22.267

 

47

5/25/2010

17.898

9

3/25/2007

22.313

 

48

6/25/2010

17.698

10

4/25/2007

22.110

 

49

7/25/2010

17.688

11

5/25/2007

22.004

 

50

8/25/2010

17.492

12

6/25/2007

21.825

 

51

9/25/2010

17.393

13

7/25/2007

21.707

 

52

10/25/2010

17.396

14

8/25/2007

21.523

 

53

11/25/2010

17.205

15

9/25/2007

21.384

 

54

12/25/2010

17.215

16

10/25/2007

21.294

 

55

1/25/2011

17.027

17

11/25/2007

21.126

 

56

2/25/2011

16.962

18

12/25/2007

21.053

 

57

3/25/2011

17.548

19

1/25/2008

20.896

 

58

4/25/2011

19.023

20

2/25/2008

20.790

 

59

5/25/2011

20.840

21

3/25/2008

20.793

 

60

6/25/2011

20.559

22

4/25/2008

20.595

 

61

7/25/2011

12.041

23

5/25/2008

20.555

 

62

8/25/2011

11.667

24

6/25/2008

20.410

 

63

9/25/2011

11.679

25

7/25/2008

20.372

 

64

10/25/2011

12.080

26

8/25/2008

20.223

 

65

11/25/2011

11.702

27

9/25/2008

20.128

 

66

12/25/2011

12.105

28

10/25/2008

20.090

 

67

1/25/2012

11.727

29

11/25/2008

19.932

 

68

2/25/2012

11.740

30

12/25/2008

19.894

 

69

3/25/2012

12.564

31

1/25/2009

19.731

 

70

4/25/2012

11.768

32

2/25/2009

19.640

 

71

5/25/2012

12.175

33

3/25/2009

19.750

 

72

6/25/2012

11.797

34

4/25/2009

19.509

 

73

7/25/2012

12.207

35

5/25/2009

19.553

 

74

8/25/2012

11.829

36

6/25/2009

19.368

 

75

9/25/2012

11.845

37

7/25/2009

19.344

 

76

10/25/2012

12.258

38

8/25/2009

18.911

 

77

11/25/2012

11.880

39

9/25/2009

18.780

 

78

12/25/2012

12.295

 

 

 

 

 

 

 

 

(1) Run at 100% PPA to Optional Termination.

(2) Includes the application of Net Swap Payments received or paid by the trust.

(3) The Pass-through Rates on the Certificates for any Distribution Date will be equal to the least of (a) one-month LIBOR plus the margin for such Class (subject to increase in the event that the Optional Termination is not exercised) and (b) the Available Funds Cap Rate.

(4) Derived assuming indices constant at 20.00% for one-month LIBOR and one-year LIBOR.

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

18

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

BREAK-EVEN LOSSES

 

 

Class

M-1

M-2

M-3

Rating (Moody’s / S&P / Fitch)

AA+ / Aa1 / AA+

AA+ / Aa2 / AA+

AA+ / Aa3 / AA

 

 

 

 

Break-Even CDR (%)

11.00

9.19

8.11

Collateral Loss (%)

8.16

7.06

6.36

 

 

 

 

 

 

 

 

Class

M-4

M-5

M-6

Rating (Moody’s / S&P / Fitch)

AA / A1 / AA-

AA- / A2 / A+

A+ / A3 / A

 

 

 

 

Break-Even CDR (%)

7.14

6.35

5.63

Collateral Loss (%)

5.71

5.16

4.64

 

 

 

 

 

 

 

 

Class

B-1

B-2

B-3

Rating (Moody’s / S&P / Fitch)

A / Baa1 / A-

A- / Baa2 / BBB+

BBB- / Baa3 / BBB

 

 

 

 

Break-Even CDR (%)

5.16

4.71

4.17

Collateral Loss (%)

4.30

3.96

3.55

 

 

 

 

 

 

 

 

 

Assumptions:

1) Cash Flows run at 100% PPA to Maturity

2) Forward LIBOR

3) Triggers are failing after the Stepdown Date

4) 33% Loss Severity

5) 6 month Liquidation Lag

6) Defaults are in addition to Prepayments

7) Servicer advances 100% of principal and interest until liquidation

8) "Break-Even CDR" is the approximate Constant Default Rate that creates the first dollar of

principal loss on the related Class

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

19

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

PREPAYMENT SENSITIVITY TABLES

 

 

 

 

TO OPTIONAL TERMINATION

TO MATURITY

 

 

 

 

 

 

 

 

 

 

 

 

Prepayment Speed (% of PPA)

50%

75%

100%

125%

150%

175%

50%

75%

100%

125%

150%

175%

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A-1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average Life (years)

2.03

1.31

0.95

0.73

0.59

0.48

2.03

1.31

0.95

0.73

0.59

0.48

First Principal Payment

Jul 06

Jul 06

Jul 06

Jul 06

Jul 06

Jul 06

Jul 06

Jul 06

Jul 06

Jul 06

Jul 06

Jul 06

Last Principal Payment

Jan 11

May 09

Jul 08

Jan 08

Sep 07

Jul 07

Jan 11

May 09

Jul 08

Jan 08

Sep 07

Jul 07

Principal Payment Window (months)

55

35

25

19

15

13

55

35

25

19

15

13

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A-2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average Life (years)

6.65

4.27

3.00

2.19

1.73

1.40

6.65

4.27

3.00

2.19

1.73

1.40

First Principal Payment

Jan 11

May 09

Jul 08

Jan 08

Sep 07

Jul 07

Jan 11

May 09

Jul 08

Jan 08

Sep 07

Jul 07

Last Principal Payment

Oct 15

Jun 12

Oct 10

May 09

Oct 08

Apr 08

Oct 15

Jun 12

Oct 10

May 09

Oct 08

Apr 08

Principal Payment Window (months)

58

38

28

17

14

10

58

38

28

17

14

10

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A-3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average Life (years)

12.28

8.07

5.81

4.37

3.25

2.49

14.17

9.55

6.92

5.24

3.92

2.87

First Principal Payment

Oct 15

Jun 12

Oct 10

May 09

Oct 08

Apr 08

Oct 15

Jun 12

Oct 10

May 09

Oct 08

Apr 08

Last Principal Payment

Jan 20

Jun 15

Dec 12

May 11

May 10

Aug 09

Apr 32

Nov 25

Dec 20

Sep 17

May 15

Aug 13

Principal Payment Window (months)

52

37

27

25

20

17

199

162

123

101

80

65

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

20

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

PREPAYMENT SENSITIVITY TABLES (continued)

 

 

 

 

TO OPTIONAL TERMINATION

TO MATURITY

 

 

 

 

 

 

 

 

 

 

 

 

Prepayment Speed (% of PPA)

50%

75%

100%

125%

150%

175%

50%

75%

100%

125%

150%

175%

 

 

 

 

 

 

 

 

 

 

 

 

 

Class M-1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average Life (years)

9.00

5.88

4.46

3.86

3.72

3.16

9.62

6.35

4.82

4.13

3.93

4.23

First Principal Payment

Sep 10

Jul 09

Sep 09

Nov 09

Jan 10

Aug 09

Sep 10

Jul 09

Sep 09

Nov 09

Jan 10

Jun 10

Last Principal Payment

Jan 20

Jun 15

Dec 12

May 11

May 10

Aug 09

May 25

Jul 19

Jan 16

Oct 13

Mar 12

Feb 11

Principal Payment Window (months)

113

72

40

19

5

1

177

121

77

48

27

9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class M-2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average Life (years)

9.00

5.88

4.45

3.80

3.61

3.16

9.55

6.29

4.76

4.04

3.79

3.90

First Principal Payment

Sep 10

Jul 09

Aug 09

Oct 09

Dec 09

Aug 09

Sep 10

Jul 09

Aug 09

Oct 09

Dec 09

Mar 10

Last Principal Payment

Jan 20

Jun 15

Dec 12

May 11

May 10

Aug 09

Jul 24

Nov 18

Jun 15

May 13

Nov 11

Oct 10

Principal Payment Window (months)

113

72

41

20

6

1

167

113

71

44

24

8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class M-3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average Life (years)

9.00

5.88

4.43

3.77

3.52

3.16

9.46

6.23

4.69

3.97

3.68

3.70

First Principal Payment

Sep 10

Jul 09

Aug 09

Sep 09

Nov 09

Aug 09

Sep 10

Jul 09

Aug 09

Sep 09

Nov 09

Jan 10

Last Principal Payment

Jan 20

Jun 15

Dec 12

May 11

May 10

Aug 09

Jul 23

Jan 18

Nov 14

Nov 12

Jul 11

Jul 10

Principal Payment Window (months)

113

72

41

21

7

1

155

103

64

39

21

7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class M-4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average Life (years)

9.00

5.88

4.43

3.75

3.47

3.16

9.36

6.16

4.64

3.91

3.59

3.56

First Principal Payment

Sep 10

Jul 09

Aug 09

Sep 09

Oct 09

Aug 09

Sep 10

Jul 09

Aug 09

Sep 09

Oct 09

Dec 09

Last Principal Payment

Jan 20

Jun 15

Dec 12

May 11

May 10

Aug 09

Sep 22

Jul 17

Jun 14

Jul 12

Apr 11

Apr 10

Principal Payment Window (months)

113

72

41

21

8

1

145

97

59

35

19

5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class M-5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average Life (years)

9.00

5.88

4.43

3.72

3.43

3.16

9.24

6.07

4.56

3.83

3.51

3.44

First Principal Payment

Sep 10

Jul 09

Jul 09

Aug 09

Sep 09

Aug 09

Sep 10

Jul 09

Jul 09

Aug 09

Sep 09

Nov 09

Last Principal Payment

Jan 20

Jun 15

Dec 12

May 11

May 10

Aug 09

Nov 21

Nov 16

Dec 13

Mar 12

Dec 10

Feb 10

Principal Payment Window (months)

113

72

42

22

9

1

135

89

54

32

16

4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

21

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

PREPAYMENT SENSITIVITY TABLES (continued)

 

 

 

 

TO OPTIONAL TERMINATION

TO MATURITY

 

 

 

 

 

 

 

 

 

 

 

 

Prepayment Speed (% of PPA)

50%

75%

100%

125%

150%

175%

50%

75%

100%

125%

150%

175%

 

 

 

 

 

 

 

 

 

 

 

 

 

Class M-6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average Life (years)

9.00

5.88

4.41

3.71

3.40

3.16

9.07

5.94

4.45

3.74

3.42

3.34

First Principal Payment

Sep 10

Jul 09

Jul 09

Aug 09

Sep 09

Aug 09

Sep 10

Jul 09

Jul 09

Aug 09

Sep 09

Oct 09

Last Principal Payment

Jan 20

Jun 15

Dec 12

May 11

May 10

Aug 09

Dec 20

Mar 16

Jun 13

Oct 11

Aug 10

Nov 09

Principal Payment Window (months)

113

72

42

22

9

1

124

81

48

27

12

2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class B-1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average Life (years)

8.89

5.80

4.35

3.67

3.33

3.16

8.89

5.80

4.35

3.67

3.33

3.27

First Principal Payment

Sep 10

Jul 09

Jul 09

Aug 09

Aug 09

Aug 09

Sep 10

Jul 09

Jul 09

Aug 09

Aug 09

Sep 09

Last Principal Payment

Nov 19

May 15

Nov 12

May 11

Apr 10

Aug 09

Nov 19

May 15

Nov 12

May 11

Apr 10

Oct 09

Principal Payment Window (months)

111

71

41

22

9

1

111

71

41

22

9

2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class B-2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average Life (years)

8.68

5.65

4.23

3.58

3.24

3.16

8.68

5.65

4.23

3.58

3.24

3.24

First Principal Payment

Sep 10

Jul 09

Jul 09

Jul 09

Aug 09

Aug 09

Sep 10

Jul 09

Jul 09

Jul 09

Aug 09

Aug 09

Last Principal Payment

Feb 19

Oct 14

Jun 12

Jan 11

Jan 10

Aug 09

Feb 19

Oct 14

Jun 12

Jan 11

Jan 10

Sep 09

Principal Payment Window (months)

102

64

36

19

6

1

102

64

36

19

6

2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class B-3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average Life (years)

8.27

5.35

4.02

3.38

3.15

3.16

8.27

5.35

4.02

3.38

3.15

3.16

First Principal Payment

Sep 10

Jul 09

Jul 09

Jul 09

Jul 09

Aug 09

Sep 10

Jul 09

Jul 09

Jul 09

Jul 09

Aug 09

Last Principal Payment

Feb 18

Feb 14

Dec 11

Aug 10

Oct 09

Aug 09

Feb 18

Feb 14

Dec 11

Aug 10

Oct 09

Aug 09

Principal Payment Window (months)

90

56

30

14

4

1

90

56

30

14

4

1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

22

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

DESCRIPTION OF THE MORTGAGE LOANS

 

Mortgage Loans as of the Cut-off Date

 

Collateral Summary of the Aggregate Mortgage Loans

The approximate collateral statistics for the Initial Mortgage Loans and the Additional Mortgage Loans are listed below as of their respective Cut-off Dates assuming all scheduled payment are made on such date and are subject to change. The balances and percentages may not be exact due to rounding.

 

Number of Mortgage Loans

2,481

 

 

 

Aggregate Outstanding Principal Balance

$714,382,496.28

 

 

 

Aggregate Original Principal Balance

$714,931,457.00

 

 

 

 

 

 

 

 

 

Average

 

Minimum

Maximum

Outstanding Principal Balance

$287,941.35

 

$49,873.25

$2,470,000.00

Original Principal Balance

$288,162.62

 

$50,000.00

$2,470,000.00

 

 

 

 

 

 

Weighted Average

 

Minimum

Maximum

Original LTV Ratio

75.99%

 

15.87%

95.00%

Mortgage Rate

6.792%

 

5.750%

8.250%

Mortgage Rate of ARM Loans

6.792%

 

5.750%

8.250%

Original Term (Months)

360

 

360

360

Remaining Term (Months)

358

 

354

360

Seasoning (Months)

2

 

0

6

Credit Score

708

 

600

816

Margin

2.250%

 

2.250%

2.250%

Maximum Mortgage Rate

12.792%

 

11.750%

14.250%

Minimum Mortgage Rate

2.250%

 

2.250%

2.250%

Initial Rate Cap

6.000%

 

6.000%

6.000%

Periodic Rate Cap

2.000%

 

2.000%

2.000%

Months to Next Adjustment

60

 

31

83

 

 

 

 

 

 

Earliest

 

Latest

 

Origination Date

11/11/2005

 

05/31/2006

 

Maturity Date

12/01/2035

 

07/01/2036

 

 

 

 

 

 

 

 

 

 

 

 

Percent of Aggregate

 

 

Percent of Aggregate

Product Type

Principal Balance

 

Loan Purpose

Principal Balance

Adjustable Rate

100.00

 

Purchase

55.49

Total:

100.00%

 

Rate Term Refi

10.48

 

 

 

Cash Out Refi

34.03

 

Percent of Aggregate

 

Total:

100.00%

Property Type

Principal Balance

 

 

 

Single Family Detached

80.24

 

 

Percent of Aggregate

2-Family Unit

5.80

 

Documentation Type

Principal Balance

3-Family Unit

3.16

 

Full / Alternative

15.25

4-Family Unit

1.79

 

No Income / No Asset

6.92

Condominium

8.44

 

No Ratio

10.05

Condominium hi-rise

0.46

 

Stated Income

59.31

Co-Op

0.11

 

Stated Income / Stated Asset

8.47

Total:

100.00%

 

Total:

100.00%

 

 

 

 

 

 

Percent of Aggregate

 

 

Percent of Aggregate

Occupancy Status

Principal Balance

 

Interest Only Loan Types

Principal Balance

Primary

86.36

 

Interest Only

87.92

Secondary

2.65

 

Not Interest Only

12.08

Investment

10.99

 

Total:

100.00%

Total:

100.00%

 

 

 

 

 

 

 

 

 

Percent of Aggregate

 

 

 

Lien Position

Principal Balance

 

 

 

First Lien

100.00

 

 

 

Total:

100.00%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

23

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

 

Mortgage Loan Principal Balances for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Range of Mortgage Loans Principal Balances ($)

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

0.01 to 50,000.00

$199,788.99

4

0.03%

$49,947.25

6.875%

358

709

34.94%

50,001.01 to 100,000.00

7,337,892.54

90

1.03

81,532.14

7.043

357

714

76.21

100,001.01 to 150,000.00

45,013,305.75

354

6.30

127,156.23

6.817

358

711

76.54

150,001.01 to 200,000.00

79,809,005.05

456

11.17

175,019.75

6.755

358

704

76.68

200,001.01 to 250,000.00

91,861,837.47

408

12.86

225,151.56

6.763

358

706

76.87

250,001.01 to 300,000.00

85,698,161.64

312

12.00

274,673.60

6.729

358

705

76.54

300,001.01 to 350,000.00

76,885,285.28

237

10.76

324,410.49

6.700

358

712

76.50

350,001.01 to 400,000.00

65,294,626.67

174

9.14

375,256.48

6.727

358

710

76.68

400,001.01 to 450,000.00

48,317,965.58

115

6.76

420,156.22

6.722

358

707

74.78

450,001.01 to 500,000.00

44,485,119.11

93

6.23

478,334.61

6.814

358

715

76.89

500,001.01 to 600,000.00

58,520,458.66

107

8.19

546,920.17

6.892

358

702

77.24

600,001.01 to 700,000.00

31,432,952.95

49

4.40

641,488.84

6.754

357

718

75.68

700,001.01 to 800,000.00

21,660,034.88

29

3.03

746,897.75

6.984

358

701

76.63

800,001.01 to 900,000.00

12,772,838.47

15

1.79

851,522.56

6.827

357

701

70.82

900,001.01 to 1,000,000.00

20,444,705.72

21

2.86

973,557.42

7.136

358

698

74.81

1,000,001.01 to 2,000,000.00

22,178,517.52

16

3.10

1,386,157.35

6.962

358

709

65.73

2,000,001.01 to 3,000,000.00

2,470,000.00

1

0.35

2,470,000.00

7.500

358

691

65.00

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

Min: $49,873.25

 

 

 

 

 

 

 

 

Max: $2,470,000.00

 

 

 

 

 

 

 

 

Avg: $287,941.35

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage Rates for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Range of Mortgage Rates (%)

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

5.501 to 6.000

$29,657,405.32

105

4.15%

$282,451.48

5.958%

357

721

75.10%

6.001 to 6.500

212,000,796.65

760

29.68

278,948.42

6.368

357

716

74.81

6.501 to 7.000

304,343,885.54

1,050

42.60

289,851.32

6.818

358

708

75.97

7.001 to 7.500

125,397,025.60

416

17.55

301,435.16

7.292

358

696

77.46

7.501 to 8.000

37,434,378.26

123

5.24

304,344.54

7.771

358

685

77.57

8.001 to 8.500

5,549,004.91

27

0.78

205,518.70

8.138

358

698

82.97

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

Min: 5.750%

 

 

 

 

 

 

 

 

Max: 8.250%

 

 

 

 

 

 

 

 

Wtd. Avg.: 6.792%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Bureau Risk Scores for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Range of Credit Scores

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

600 to 619

$2,791,157.61

12

0.39%

$232,596.47

7.013%

358

609

68.14%

620 to 639

31,416,302.78

104

4.40

302,079.83

6.860

357

631

71.67

640 to 659

77,998,838.65

252

10.92

309,519.20

6.936

358

651

75.46

660 to 679

87,340,506.48

325

12.23

268,740.02

6.892

358

669

74.90

680 to 699

125,616,258.54

444

17.58

282,919.50

6.876

358

690

76.09

700 to 719

108,836,766.93

369

15.24

294,950.59

6.801

358

709

76.73

720 to 739

103,279,558.40

349

14.46

295,929.97

6.676

358

729

77.33

740 to 759

71,571,813.56

257

10.02

278,489.55

6.635

358

749

77.23

760 to 779

70,952,686.80

231

9.93

307,154.49

6.687

358

769

76.02

780 to 799

25,405,393.26

103

3.56

246,654.30

6.642

358

787

75.60

800 to 819

9,173,213.27

35

1.28

262,091.81

6.847

358

807

73.89

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

Min: 600

 

 

 

 

 

 

 

 

Max: 816

 

 

 

 

 

 

 

 

Wtd. Avg.: 708

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

24

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

Original Loan-to-Value Ratios for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

Range of Original

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Loan-to-Value Ratios (%)

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

15.01 to 20.00

$99,915.74

2

0.01%

$49,957.87

7.000%

358

749

15.87%

20.01 to 25.00

390,000.00

2

0.05

195,000.00

6.756

359

785

22.65

25.01 to 30.00

819,339.12

6

0.11

136,556.52

6.578

357

731

27.23

30.01 to 35.00

1,344,503.93

6

0.19

224,083.99

6.608

358

717

32.88

35.01 to 40.00

1,985,270.41

12

0.28

165,439.20

6.413

358

701

37.61

40.01 to 45.00

4,312,968.98

15

0.60

287,531.27

6.703

357

695

42.98

45.01 to 50.00

7,473,695.03

21

1.05

355,890.24

6.599

357

706

48.05

50.01 to 55.00

7,378,667.93

26

1.03

283,794.92

6.527

357

684

52.92

55.01 to 60.00

17,266,318.67

49

2.42

352,373.85

6.659

358

695

57.56

60.01 to 65.00

37,566,652.91

91

5.26

412,820.36

6.716

358

697

63.65

65.01 to 70.00

65,092,440.82

200

9.11

325,462.20

6.755

358

702

69.21

70.01 to 75.00

63,123,620.52

193

8.84

327,065.39

6.906

358

701

74.23

75.01 to 80.00

497,639,902.95

1,806

69.66

275,548.12

6.790

358

710

79.84

80.01 to 85.00

2,873,664.74

16

0.40

179,604.05

7.267

358

713

84.60

85.01 to 90.00

3,928,160.56

20

0.55

196,408.03

7.731

358

712

89.87

90.01 to 95.00

3,087,373.97

16

0.43

192,960.87

7.315

358

729

94.78

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

Min: 15.87%

 

 

 

 

 

 

 

 

Max: 95.00%

 

 

 

 

 

 

 

 

Wtd. Avg.: 75.99%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Remaining Terms to Stated Maturity for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Range of Remaining Terms (months)

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

354

$467,985.07

1

0.07%

$467,985.07

6.375%

354

766

80.00%

355

4,284,000.00

5

0.60

856,800.00

6.822

355

677

65.59

356

49,362,439.38

160

6.91

308,515.25

6.641

356

703

75.54

357

267,778,628.39

944

37.48

283,663.80

6.640

357

708

76.14

358

255,425,244.29

862

35.75

296,316.99

6.859

358

709

75.99

359

136,552,949.15

506

19.11

269,867.49

7.020

359

706

76.20

360

511,250.00

3

0.07

170,416.67

7.100

360

707

70.65

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

Min: 354 Months

 

 

 

 

 

 

 

 

Max: 360 Months

 

 

 

 

 

 

 

 

Wtd. Avg.: 358 Months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage Loan Types for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Mortgage Loan Types

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

ARM 3-yr Hybrid

$3,583,109.12

16

0.50%

$223,944.32

7.421%

358

713

80.19%

ARM 3-yr Hybrid IO

17,918,080.60

44

2.51

407,229.10

6.809

357

706

74.41

ARM 5-yr Hybrid

76,189,554.72

333

10.67

228,797.46

6.722

358

698

75.89

ARM 5-yr Hybrid IO

514,927,050.15

1,897

72.08

271,442.83

6.778

358

709

76.34

ARM 7-yr Hybrid

6,555,593.54

24

0.92

273,149.73

6.647

357

710

74.21

ARM 7-yr Hybrid IO

95,209,108.15

167

13.33

570,114.42

6.910

357

706

74.45

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

25

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

Interest Only Loan Types for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Interest Only

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

Interest Only

$628,054,238.90

2,108

87.92%

$297,938.44

6.799%

358

709

75.99%

Not Interest Only

86,328,257.38

373

12.08

231,443.05

6.746

358

699

75.94

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Original Prepayment Term for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Original Prepayment Term (months)

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

0

$601,322,782.16

2,038

84.17%

$295,055.34

6.799%

358

709

75.81%

24

262,000.00

1

0.04

262,000.00

6.750

357

687

79.39

36

112,797,714.12

442

15.79

255,198.45

6.756

358

701

76.96

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Documentation Type for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Documentation Type

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

Full / Alternative

$108,977,827.36

486

15.25%

$224,234.21

6.540%

358

712

78.61%

No Income / No Asset

49,430,727.05

194

6.92

254,797.56

7.004

358

714

68.76

No Ratio

71,791,481.13

206

10.05

348,502.34

6.898

358

708

72.58

Stated Income

423,669,753.23

1390

59.31

304,798.38

6.778

358

706

76.73

Stated Income / Stated Asset

60,512,707.51

205

8.47

295,183.94

7.046

358

704

76.06

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

 

 

Loan Purpose for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Loan Purpose

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

Purchase

$396,445,266.92

1,473

55.49%

$269,141.39

6.762%

358

721

78.88%

Rate Term Refi

74,852,148.59

266

10.48

281,399.05

6.739

358

688

75.66

Cash Out Refi

243,085,080.77

742

34.03

327,607.93

6.858

358

691

71.37

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

26

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

Property Type for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Property Type

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

Single Family Detached

$573,231,028.18

1,973

80.24%

$290,537.77

6.768%

358

707

76.14%

2-Family Unit

41,437,676.16

134

5.80

309,236.39

6.878

358

704

75.83

3-Family Unit

22,547,122.43

63

3.16

357,890.83

7.115

358

712

71.74

4-Family Unit

12,815,984.28

34

1.79

376,940.71

7.144

358

707

71.35

Condominium

60,271,245.02

263

8.44

229,168.23

6.748

358

716

77.22

Condominium hi-rise

3,270,642.50

11

0.46

297,331.14

7.227

357

728

79.69

Co-Op

808,797.71

3

0.11

269,599.24

6.941

358

648

60.39

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Occupancy Status for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Occupancy Status

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

Primary

$616,952,745.48

2,072

86.36%

$297,757.12

6.755%

358

706

76.65%

Secondary

18,908,753.61

69

2.65

274,039.91

6.936

358

711

73.18

Investment

78,520,997.19

340

10.99

230,944.11

7.054

358

718

71.48

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

27

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

 

Geographic Distribution of the Mortgaged Properties for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Location

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

Alabama

$240,000.00

1

0.03%

$240,000.00

6.500%

358

733

80.00%

Arizona

42,998,194.23

184

6.02

233,685.84

6.779

358

704

76.82

California

248,828,619.96

641

34.83

388,188.17

6.680

358

713

74.93

Colorado

32,166,678.67

152

4.50

211,622.89

6.643

358

704

78.81

Connecticut

18,982,305.01

50

2.66

379,646.10

6.900

358

706

69.69

Delaware

2,209,876.99

4

0.31

552,469.25

6.617

356

694

68.25

District of Columbia

1,554,000.00

4

0.22

388,500.00

6.967

357

727

79.53

Florida

72,722,414.93

304

10.18

239,218.47

7.055

358

710

76.86

Georgia

9,457,481.94

54

1.32

175,138.55

6.882

358

711

79.33

Idaho

582,706.87

2

0.08

291,353.44

7.228

358

730

83.64

Illinois

56,372,020.12

210

7.89

268,438.19

6.934

358

696

76.83

Indiana

2,135,889.44

12

0.30

177,990.79

7.064

358

692

79.37

Iowa

363,704.00

2

0.05

181,852.00

6.297

357

748

80.00

Kansas

2,582,953.64

14

0.36

184,496.69

6.662

357

711

79.99

Louisiana

104,209.46

1

0.01

104,209.46

6.750

357

772

95.00

Maine

1,499,908.90

4

0.21

374,977.23

7.121

359

681

78.87

Maryland

15,680,165.40

47

2.19

333,620.54

6.814

357

687

76.49

Massachusetts

22,044,765.49

69

3.09

319,489.35

6.939

358

698

75.10

Michigan

3,702,971.26

23

0.52

160,998.75

6.967

358

690

79.28

Minnesota

6,635,081.83

35

0.93

189,573.77

6.765

358

690

76.39

Mississippi

295,108.86

1

0.04

295,108.86

6.625

358

733

80.00

Missouri

3,501,395.74

22

0.49

159,154.35

6.753

358

717

76.78

Montana

196,000.00

1

0.03

196,000.00

6.375

357

806

80.00

Nebraska

300,962.78

3

0.04

100,320.93

6.549

357

742

79.18

Nevada

11,562,956.68

43

1.62

268,905.97

6.778

358

701

76.25

New Hampshire

3,674,773.10

18

0.51

204,154.06

6.708

358

705

75.43

New Jersey

15,438,084.19

40

2.16

385,952.10

7.056

358

695

73.26

New Mexico

671,200.00

2

0.09

335,600.00

6.625

358

731

79.97

New York

33,611,185.70

83

4.70

404,954.04

6.893

358

701

75.33

North Carolina

7,960,757.80

36

1.11

221,132.16

6.915

358

724

75.93

North Dakota

256,300.87

2

0.04

128,150.44

6.530

357

685

80.00

Ohio

4,580,768.00

33

0.64

138,811.15

6.685

357

710

79.04

Oklahoma

115,316.96

1

0.02

115,316.96

6.875

358

779

75.00

Oregon

15,257,333.69

72

2.14

211,907.41

6.658

358

714

77.80

Pennsylvania

1,682,327.39

9

0.24

186,925.27

7.355

358

729

77.43

Rhode Island

8,380,030.57

37

1.17

226,487.31

6.842

358

695

75.66

South Carolina

598,414.77

4

0.08

149,603.69

6.872

358

717

80.00

South Dakota

1,153,651.19

4

0.16

288,412.80

6.844

358

750

80.00

Tennessee

1,910,353.89

16

0.27

119,397.12

6.626

358

706

78.47

Utah

6,958,931.19

35

0.97

198,826.61

6.732

357

704

78.79

Virginia

10,142,958.90

31

1.42

327,192.22

6.737

358

719

75.77

Washington

44,512,617.50

169

6.23

263,388.27

6.642

358

709

77.56

West Virginia

140,248.72

1

0.02

140,248.72

7.375

357

714

85.00

Wisconsin

616,869.65

5

0.09

123,373.93

6.904

358

716

81.98

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Grade for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Credit Grade

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

A

$602,176,197.24

2,113

84.29%

$284,986.37

6.769%

358

719

76.32%

A-

109,415,141.43

356

15.32

307,345.90

6.914

358

645

74.37

B

2,791,157.61

12

0.39

232,596.47

7.013

358

609

68.14

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

28

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

 

Interest Only Term for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Interest Only Term (months)

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

0

$86,328,257.38

373

12.08%

$231,443.05

6.746%

358

699

75.94%

120

628,054,238.90

2,108

87.92

297,938.44

6.799

358

709

75.99

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Margin for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Range of Margins (%)

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

2.250 to 2.250

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

Min: 2.250%

 

 

 

 

 

 

 

 

Max: 2.250%

 

 

 

 

 

 

 

 

Wtd. Avg.: 2.250%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Minimum Loan Rate for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Range of Minimum Loan Rates (%)

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

2.250 to 2.250

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

Min: 2.250%

 

 

 

 

 

 

 

 

Max: 2.250%

 

 

 

 

 

 

 

 

Wtd. Avg.: 2.250%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Maximum Loan Rates for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

Range of Maximum Loan Rates (%)

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

11.501 to 12.000

$29,657,405.32

105

4.15%

$282,451.48

5.958%

357

721

75.10%

12.001 to 12.500

211,824,592.56

759

29.65

279,083.78

6.369

357

716

74.81

12.501 to 13.000

304,579,995.73

1,052

42.64

289,524.71

6.817

358

708

75.97

13.001 to 13.500

125,337,119.50

415

17.54

302,017.16

7.292

358

696

77.47

13.501 to 14.000

37,434,378.26

123

5.24

304,344.54

7.771

358

685

77.57

14.001 to 14.500

5,549,004.91

27

0.78

205,518.70

8.138

358

698

82.97

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

Min: 11.750%

 

 

 

 

 

 

 

 

Max: 14.250%

 

 

 

 

 

 

 

 

Wtd. Avg.: 12.792%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

29

 



Wachovia Mortgage Loan Trust
Asset-Backed Certificates,
Series 2006-AMN1
$705,446,000 (approximate)

 

 

 

 

 

Initial Period Rate Cap for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

 

Range of Initial Periodic Rate Caps (%)

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

 

6.000 to 6.000

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

Min: 6.000%

 

 

 

 

 

 

 

 

 

Max: 6.000%

 

 

 

 

 

 

 

 

 

Wtd. Avg.: 6.000%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Periodic Rate Cap for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

 

Range of Periodic Rate Caps (%)

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

 

2.000 to 2.000

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

Min: 2.000%

 

 

 

 

 

 

 

 

 

Max: 2.000%

 

 

 

 

 

 

 

 

 

Wtd. Avg.: 2.000%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Next Interest Rate Adjustment Date for the Mortgage Loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

 

 

Loans by

 

 

Weighted

 

 

 

 

Aggregate

Number of

Aggregate

Average

Weighted

Average

Weighted

Weighted

 

 

Principal

Mortgage

Principal

Principal

Average

Remaining

Average

Average

 

Next Interest Rate Adjustment Date

Balance

Loans

Balance

Balance

Coupon

Term

FICO

LTV

 

2009 January

$1,365,000.00

1

0.19%

$1,365,000.00

6.500%

355

695

65.00%

 

2009 March

9,943,951.57

31

1.39

320,772.63

6.744

357

696

74.53

 

2009 April

9,463,558.15

25

1.32

378,542.33

7.111

358

725

77.39

 

2009 June

728,680.00

3

0.10

242,893.33

7.371

359

666

80.00

 

2011 January

960,000.00

1

0.13

960,000.00

7.375

355

653

80.00

 

2011 February

34,979,284.48

131

4.90

267,017.44

6.584

356

706

75.66

 

2011 March

229,683,329.87

862

32.15

266,453.98

6.620

357

709

76.39

 

2011 April

198,043,125.72

748

27.72

264,763.54

6.821

358

707

76.16

 

2011 May

1,270,830.57

4

0.18

317,707.64

7.416

358

694

80.00

 

2011 June

125,668,784.23

481

17.59

261,265.66

7.006

359

707

76.39

 

2011 July

511,250.00

3

0.07

170,416.67

7.100

360

707

70.65

 

2012 December

467,985.07

1

0.07

467,985.07

6.375

354

766

80.00

 

2013 January

1,747,000.00

2

0.24

873,500.00

6.793

355

672

56.39

 

2013 February

13,028,811.17

26

1.82

501,108.12

6.791

356

690

74.98

 

2013 March

29,717,690.68

55

4.16

540,321.65

6.759

357

708

74.79

 

2013 April

46,943,729.85

86

6.57

545,857.32

6.963

358

714

74.90

 

2013 June

9,859,484.92

21

1.38

469,499.28

7.139

359

689

73.39

 

Total:

$714,382,496.28

2,481

100.00%

$287,941.35

6.792%

358

708

75.99%

 

 

 

 

 

THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT WACHOVIA SECURITIES IMMEDIATELY.

 

30

 



 

 


Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘FWP’ Filing    Date    Other Filings
7/1/06
Filed on:6/27/06424B5
6/7/06
6/1/06
5/23/06
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