sasco 2006-wf3 fwp - wells fargo's rels title services rssdid 1120754 ffiec.gov ( and corelogic...

8/9/2019 SASCO 2006-WF3 FWP - Wells Fargo's RELS TITLE SERVICES RSSDID 1120754 FFIEC.GOV ( and CORELOGIC subsidi

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Sasco 2006-WF3 RELSFWP 9/28/06 4:36pm ET Accession Nm!e" ##44204-6-40#6$ SE% Fi&e333-#3398'-#6

Wells Fargo Banks underwriting of every mortgage loan submitted consists of not

only a credit review, but also a separate appraisal conducted by (i) a thirdparty

appraiser, (ii) an appraiser approved by !aluation "nformation #echnology, $$%(doing business as &'$ !aluation) (RELS), an entity ointly owned by an a*liate

of Wells Fargo Bank and an una*liated third party, or (iii) &'$ itself+ ppraisals

generally conform to current Fannie -ae and Freddie -ac secondary market

re.uirements for residential property appraisals+ ll appraisals are subect to an

internal appraisal review by the loan underwriter irrespective of the loantovalue

ratio, the mortgage loan amount or the identity of the appraiser+ %ertain loans

re.uire a third party review in the form of either a desk review or /eld review+ t the

discretion of Wells Fargo Bank, any mortgage loan is subect to further review in the

form of a desk review, /eld review or additional full appraisal+0

1age 23 FW1

# ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $
http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/File.asp?Number=333-133985-16http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/File.asp?Number=333-133985-16http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690


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http788www+/rstam+com8news89:::829;'7 WF%)+ "t is the nation?s leading originator of residential

mortgages+ With nearly


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than 9;,444 employees in over J44 branches in the Enited tates and abroad+

"nformation about the company?s subsidiaries and an archive of its press releases

can be found on the "nternet at http788www+/rstam+com+

3 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


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Wells Fargo Banks underwriting of every mortgage loan submitted consists of not only

a credit review, but also a separate appraisal conducted by (i) a third-party appraiser, (ii) an

appraiser approved by aluation !nformation "echnology, ##$ (doing business as %'

aluation) (RELS), an entity ointly owned by an affiliate of Wells Fargo Bank and anunaffiliated third party, or (iii) %' itself *ppraisals generally conform to current Fannie +ae

and Freddie +ac secondary market reuirements for residential property appraisals *ll

appraisals are subect to an internal appraisal review by the loan underwriter irrespective of the

loan-to-value ratio, the mortgage loan amount or the identity of the appraiser $ertain loans

reuire a third party review in the form of either a desk review or field review *t the discretion

of Wells Fargo Bank, any mortgage loan is subect to further review in the form of a desk review,

field review or additional full appraisal

SEC

InfoIome

earch

-y"nterests

Ielp

Eser"nfo

Mary Cochrane

Sasco 2006-WF3 FWP Sasco 2006-WF3 +n 9/28/06

Fi&e +n 9/28/06 4:36pm ET Accession Nm!e" ##44204-6-40#6$ SE%

Fi&e 333-#3398'-#6

http788www+secinfo+com8d93#%5+v9;;


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F"ee W"i5in P"ospec5s R&e #63/433

Fi&in Ta!&e o %on5en5s

Docuent/E!hi"it Descri#tion $ages Size

#: FWP F"ee W"i5in P"ospec5s T*L 484*

%his is an &%ML Docuent rendered as 'led( )Alternati*e Forats+

#he depositor has /led a registration statement (including a prospectus) with the

E++ ecurities and 'Achange %ommission (the SEC)+ #he depositor has or will /le

with the '% a registration statement (including a prospectus and any prospectus

supplement) and any related issuer free writing prospectus with respect to this

oGering (the Ofering Documentation)+ >ou may get the @Gering Cocumentation

(when completed) for free by searching the '% online database ('CK&L) atwww+sec+gov+ lternatively, you may obtain a copy of the @Gering Cocumentation

from $ehman Brothers "nc+, ;J eventh ve+, =ew >ork, =>, 9449:, ttn7 sset

Backed FiAed "ncome yndicate or by calling 9


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&e7 tructured sset ecurities %orporation -ortgage 1ass#hrough %erti/cates,eries 3442WF5 (the Securities) %ontract &eformation &e.uest

"n connection with your agreement with $ehman Brothers "nc+ (Lehman Brothers)

to purchase certain ecurities (the Original Trade), $ehman Brothers hereby

noti/es you that additional and8or changed information (New Inormation) is

available with respect to the ecurities from that conveyed to you at or prior to the

time of the @riginal #rade (the Trade Date)+ #he =ew "nformation is beingconveyed to you in the Free Writing 1rospectus dated eptember 3;,344;which is

attached to this re.uest (the !inal !ree "riting #ros$ectus) and is reHected as

blacklined changes under the headings Origination o the %ortgage Loans and

&nderwriting 'uidelines ( "ells !argo Ban)*s %ortgage Loan #rogramand ERIS+

Considerationsin the Final Free Writing 1rospectus+ "n connection with the

conveyance of the =ew "nformation, we wish to inform you of your rights under the

@riginal %ontact and propose that we terminate the @riginal #rade and enter into a

new contract for the purchase of the ecurities based on the conveyance of the =ew

"nformation to you+

1ursuant to the terms of the @riginal #rade, you agreed to purchase the ecurities at

the then agreed upon price (the #urchase #rice) on or about eptember 3:, 3442

(the Settlement Date), on a when, as and if issued basis, and as described and

based on the information conveyed to you at the time of the @riginal #rade+ "n light

of the availability of the =ew "nformation, we re.uest your agreement to terminate

the @riginal #rade as of the date hereof and your agreement to enter into a new

contract, as of the #rade Cate, for the purchase of the ecurities at the 1urchase

1rice on the ettlement Cate, on a when, as and if issued basis, and as described,

and based solely on the information contained in the Final Free Writing 1rospectus

(the New Trade)+

1lease note that you may elect to terminate the @riginal #rade and enter into the

=ew #rade, in which case you will be obligated to purchase the ecurities on the

ettlement Cate under the terms of the =ew #rade+ lternatively, you may elect to

6 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $
http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/File.asp?Number=333-133985-16http://www.secinfo.com/d12TC3.v1778.htm#Dateshttp://www.secinfo.com/d12TC3.v1778.htm#Dateshttp://www.secinfo.com/d12TC3.v1778.htm#Dateshttp://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/d12TC3.v1778.htm#Dateshttp://www.secinfo.com/d12TC3.v1778.htm#Dateshttp://www.secinfo.com/d12TC3.v1778.htm#Dateshttp://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/File.asp?Number=333-133985-16http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690


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terminate the @riginal #rade and not enter into the =ew #rade, in which case you

will have no obligation to purchase the ecurities on the ettlement Cate+

1lease indicate your election by replying to this email no later than 3744 1- =ew

>ork %ity #ime on eptember 3ou may get the @Gering Cocumentation

$ ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $
http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/File.asp?Number=333-133985-16http://www.secinfo.com/d12TC3.v1778.htm#Dateshttp://www.secinfo.com/$/SEC/Registrants.asp?Area=800http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/d12TC3.v1778.htm#Dateshttp://www.secinfo.com/$/SEC/Registrants.asp?Area=800http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/File.asp?Number=333-133985-16http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690


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(when completed) for free by searching the '% online database ('CK&L) at

www+sec+gov+ lternatively, you may obtain a copy of the @Gering Cocumentation

from $ehman Brothers "nc+, ;J eventh ve+, =ew >ork, =>, 9449:, ttn7 sset

Backed FiAed "ncome yndicate or by calling 9


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%onsie" ca"e&&1 5e

"is? ac5o"s !einnin

on pae S-#$ o 5is

"ee 7"i5in

p"ospec5s an on

pae 6 o 5e

p"ospec5s

For a list of capitaliMed

terms used in this free

writing prospectus and

the prospectus, see the

glossary of de/ned termsbeginning on page

:9:2 of this free writing

prospectus and the indeA

of principal terms on page

9


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mortgage loans, which were originated in accordance with underwriting guidelines

that are not as strict as Fannie -ae and Freddie -ac guidelines+

Nei5e" 5e Sec"i5ies an EHcane %ommission no" an1 s5a5e sec"i5ies

commission as app"o;e o" isapp"o;e 5e ce"5iKca5es o" e5e"mine

5a5 5is "ee 7"i5in p"ospec5s o" 5e accompan1in p"ospec5s is

acc"a5e o" comp&e5e An1 "ep"esen5a5ion 5o 5e con5"a"1 is a c"imina&

o


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Te a5e o 5is "ee 7"i5in p"ospec5s is Sep5em!e" 2#2$ 2006

ii

)mpo"5an5 no5ices a!o5 ino"ma5ion p"esen5e in 5is

"ee 7"i5in p"ospec5s an 5e accompan1in p"ospec5s:

We provide information to you about the certi/cates oGered by this free writing

prospectus in two separate documents that progressively provide more detail7 (9)the accompanying prospectus, which provides general information, some of which

may not apply to your certi/cates and (3) this free writing prospectus, which

describes the speci/c terms of your certi/cates+

We include crossreferences in this free writing prospectus and the accompanying

prospectus to captions in these materials where you can /nd further related

discussions+ #he following table of contentsand the table of contentsincluded in

the accompanying prospectus provide the pages on which these captions are

located+

Fo" E"opean )n;es5o"s +n&1

"n relation to each -ember tate of the 'uropean 'conomic rea which has

implemented the 1rospectus Cirective (each, a Rele.ant %em/er State), the

underwriter has represented and agreed that with eGect from and including the

## ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $
http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/File.asp?Number=333-133985-16http://www.secinfo.com/d12TC3.v1778.htm#TOChttp://www.secinfo.com/d12TC3.v1778.htm#TOChttp://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/d12TC3.v1778.htm#TOChttp://www.secinfo.com/d12TC3.v1778.htm#TOChttp://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/File.asp?Number=333-133985-16http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690


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#he ponsor 3

#he Cepositor 3

@rigination of the -ortgage $oans and Enderwriting Kuidelines 5

#he @riginator 5

Wells Fargo Banks -ortgage $oan 1rograms J

#he -aster ervicer


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#he %redit &isk -anager ;4;J

@ptional 1urchase of Cefaulted -ortgage $oans ;4;

pecial ervicer for Cistressed -ortgage $oans ;4;

#he #rust greement ;4;

Keneral ;4;

#he "ssuing 'ntity ;9;

#he #rustee ;9;2

#he ecurities dministrator ;3;;

ssignment of -ortgage $oans ;5;ork, =ew >ork9449:, and its telephone number is (393) 32;444+

Issuing Entity

tructured sset ecurities %orporation -ortgage $oan #rust 3442WF5, a common

law trust formed under the laws of the tate of =ew >ork+

%rustee

E++ Bank =ational ssociation+

Securities Adinistrator

Wells Fargo Bank, =++ will be responsible for preparing monthly distribution

statements and certain taA information for investors and certain taA /lings for the

trust fund+

Master Ser*icer

urora $oan ervices $$% will oversee the servicing of the mortgage loans by the

servicer+

Ser*icer

Wells Fargo Bank, =++ will service all of the mortgage loans included in the trust

fund+

Credit is0 Manager

&isk -anagement Kroup, $$% will monitor and advise the servicer with respect to

default management of the mortgage loans and also prepare certain loanlevel

reports for the trust fund which will be available for review by certi/cateholders+

Originator

Wells Fargo Bank, =++ originated all of the mortgage loans to be included in the

trust fund+

S1a# Counter#arty

"N" Financial 1roducts "nc+

23 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $
http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/File.asp?Number=333-133985-16http://www.secinfo.com/$/SEC/Registrants.asp?City=10019/New_Yorkhttp://www.secinfo.com/$/SEC/Registrants.asp?State=NYhttp://www.secinfo.com/$/SEC/Registrants.asp?ZIP=10019http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/Registrants.asp?City=10019/New_Yorkhttp://www.secinfo.com/$/SEC/Registrants.asp?State=NYhttp://www.secinfo.com/$/SEC/Registrants.asp?ZIP=10019http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/File.asp?Number=333-133985-16http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690


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Ca# Counter#arty

"N" Financial 1roducts "nc+

5

Te %e"5iKca5es

#he certi/cates oGered by this free writing prospectus will be issued with the initial

approAimate characteristics set forth under The Ofered Certi,catesin the table on

page 9+

#he oGered certi/cates will be issued in bookentry form+ #he minimum

denominations and the incremental denominations of each class of oGered

certi/cates are set forth in the table on page 3+

#he certi/cates represent ownership interests in a trust fund, the assets of which

will consist primarily of two pools of conventional, adustable and /Aed rate, fully

amortiMing and balloon, /rst and second lien, residential mortgage loans having a

total principal balance as of the cutoG date, which is eptember 9,3442, of

approAimately T9,J4


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fourfamily residential mortgaged properties+ 1ool 3 will consist of those mortgage

loans in the trust fund with original principal balances which may be less than,

e.ual to, or in eAcess of, Fannie -ae or Freddie -ac original loan amount limitations

for one to fourfamily residential mortgaged properties+

1ayments of principal and interest on the %lass 9 and %lass %erti/cates will be

based primarily on collections from the pool 9 mortgage loans+ 1ayments of

principal and interest on the %lass 3, 5 and J %erti/cates will be based primarily

on collections from the pool 3 mortgage loans+ 1ayments of principal and interest on

the %lass -9, -3, -5, -J, -, -2, -;, -


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1rincipal and interest on the certi/cates will be paid on the 3th day of each month,

beginning in @ctober 3442+ Iowever, if the 3th day is not a business day,

payments will be made on the neAt business day after the 3th day of the month+

Interest $ayents

Aounts A*aila"le for Interest $ayents

"nterest will accrue on each class of oGered certi/cates at the applicable annual

rates described below7

6 Class +6 and Class +8 Certi,cates-the lesser of (9) the applicable annual rate as

described in the table on page 9 and (3) with respect to any distribution date

on which any of the %lass 3, 5 or J %erti/cates are outstanding, the pool 9net funds cap and after the distribution date on which the class principal

amounts of the %lass 3, 5 and J %erti/cates have each been reduced to Mero,

the subordinate net funds cap+

6 Class +75 Class +9 and Class +: Certi,cates-the lesser of (9) the applicable

annual rate as described in the table on page 9 and (3) with respect to any

distribution date on which any of the %lass 9 or %lass %erti/cates are

outstanding, the pool 3 net funds cap and after the distribution date on which

the class principal amounts of the %lass 9 and %lass %erti/cates have eachbeen reduced to Mero, the subordinate net funds cap+

J

26 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


27/810


"nterest will accrue on each class of the %lass -9, -3, -5, -J, -, -2, -;, -


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See 'lossar2 o De,ned Terms in this ree writing $ros$ectus or a descri$tion o

the interest remittance amount1

@n each distribution date (or, in the case of payments to the swap counterparty, the

business day prior to each distribution date), the interest remittance amount for

each mortgage pool will be paid in the following order of priority7

,rst, to the interest rate swap account, any net swap payment or swap termination

payment (not due to a breach by the swap counterparty or to certain termination

events where the swap counterparty is the sole aGected party) owed to the swap

counterparty, to be paid from each of pool 9 and pool 3 interest collections in

proportion to the aggregate principal balance of the mortgage loans in each

mortgage pool and then from the unrelated mortgage pool to the eAtent not paid

second, concurrently, (a) from pool 9 interest collections, to the %lass 9 and

%erti/cates, on a$ro ratabasis, based on the interest entitlements of each such

class, current interest due and any interest unpaid from previous distribution dates

and (b) from pool 3 interest collections, to the %lass 3, 5 and J %erti/cates, on a

$ro ratabasis, based on the interest entitlements of each such class, current

interest due and any interest unpaid from previous distribution dates $ro.idedthat

any interest collections remaining after the payments in clauses (a) and (b) have

been made will be applied to pay interest due and not paid to the senior certi/cates

related to the other mortgage pool

third, to each class of %lass -9, -3, -5, -J, -, -2, -;, -


29/810


$rinci#al $ayents

Aounts A*aila"le for $rinci#al $ayents

#he amount of principal payable to the oGered certi/cates will be determined by (9)

formulas that allocate portions of principal payments received on the mortgage

loans from both mortgage pools among the diGerent certi/cate classes, (3) funds

received on the mortgage loans that are available to make principal payments on

the certi/cates and (5) the application of eAcess interest from both mortgage pools

to pay principal on the certi/cates+ Funds received on the mortgage loans may

consist of (9) eApected monthly scheduled payments or (3) uneApected payments

resulting from prepayments or defaults by borrowers, li.uidation of defaultedmortgage loans or repurchases of mortgage loans under the circumstances

described in this free writing prospectus+

#he manner of allocating payments of principal on the mortgage loans will diGer, as

described in this free writing prospectus, depending upon the occurrence of several

diGerent events or triggers7

6 whether a distribution date occurs before or on or after the ste$down

date5which is the earlier of () the /rst distribution date following the

distribution date on which the class principal amounts of all the senior

certi/cates have been reduced to Mero or (B) the later of (9) the distribution

date in @ctober 344: and (3) the /rst distribution date on which the ratio of

(a) the total principal amount of the subordinate certi/cates plus any

overcollateraliMation amount to (b) the total principal balance of the

mortgage loans in the trust fund e.uals or eAceeds the percentage speci/ed

29 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


30/810


in this free writing prospectus

6 whether a cumulati.e loss trigger e.entoccurs, which is when cumulativelosses on the mortgage loans are higher than certain levels speci/ed in this

free writing prospectus and

6 whether a delin=uenc2 e.entoccurs, which is when the rate of

delin.uencies of the mortgage loans over any threemonth period is higher

than certain levels set forth in this free writing prospectus+

See Descri$tion o the Certi,cates0Distri/utions o #rinci$al0#rinci$al Distri/ution

#riorities in this ree writing $ros$ectus or the $riorit2 o $a2ment o $rinci$al and

'lossar2 o De,ned Terms in this ree writing $ros$ectus or a descri$tion o the

de,ned terms rele.ant to the $a2ment o $rinci$al1

$riority of $rinci#al $ayents

#he key payment concept for payments of principal is the $rinci$al distri/ution

amount5which is, generally, for any distribution date and each mortgage pool, the

amount of principal collected or advanced by the servicer on the mortgage loans

during the related collection period, including any prepayments in full or in part

collected during the related prepayment period, plus other amounts collected or

recovered (such as insurance proceeds) which are allocated to principal, but minus

certain costs reimbursable to the trustee, the servicer, the master servicer, the

securities administrator or the custodian+

See 'lossar2 o De,ned Terms in this ree writing $ros$ectus or a descri$tion o

the $rinci$al distri/ution amount1

+ @n each distribution date (or, in the case of payments to the swap counterparty,

the business day prior to each distribution date) which occurs (a) before the

stepdown date or (b) when a trigger event is in eGect, the principal distribution

amount for each mortgage pool will be paid in the following order of priority7

,rst, to the interest rate swap account, any net swap payment or swap terminationpayment (not due to a breach by the swap counterparty or to certain termination


counterparty to be paid from each of the pool 9 and pool 3 principal collections in

proportion to the aggregate principal balance of the mortgage loans of each

mortgage pool (to the eAtent those amounts were not paid previously or not paid

from the interest remittance amount)

30 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


31/810


32/810


B+ @n each distribution date (or, in the case of payments to the swap counterparty,

the business day prior to each distribution date) which occurs (a) on or after the

stepdown date and (b) when a trigger event is not in eGect, the principal

distribution amount for each mortgage pool will be paid in the following order ofpriority7

,rst, to the interest rate swap account, any net swap payment or swap termination

payment (not due to a breach by the swap counterparty or to certain termination


counterparty to be paid from each of the pool 9 and pool 3 principal collections in

proportion to the aggregate principal balance of the mortgage loans of each

mortgage pool (to the eAtent those amounts were not paid previously or not paid

from the interest remittance amount)

second, to the interest rate swap account, the amount of any net swap payment orswap termination payment (not due to a breach by the swap counterparty or to

certain termination events where the swap counterparty is the sole aGected party)

owed to the swap counterparty to the eAtent not paid from the other mortgage pool

(to the eAtent those amounts were not paid previously or not paid from the interest

remittance amount)

third, on a concurrent basis, to the senior certi/cates of each group in the same

manner as provided in priority thirdabove, eAcept that principal collections will only

be allocated to each class of senior certi/cates in an amount necessary to maintain

a certain credit enhancement target

ourth, to each class of %lass -9, -3, -5, -J, -, -2, -;, -


33/810


the interest rate swap agreement, one business day prior to each distribution date,

beginning in =ovember 3442 and ending in eptember 3499, the supplemental

interest trust will be obligated to make /Aed payments at the applicable rate of

payment owed by the trust fund, which will range from +43R to +JR annually, asdescribed in this free writing prospectus, and the swap counterparty will be

obligated to make Hoating payments at $"B@& (as determined under the interest

rate swap agreement), in each case calculated on a scheduled notional amount and

adusted to a monthly basis+ #o the eAtent that a /Aed payment eAceeds the Hoating

payment relating to any distribution date, amounts otherwise available to

certi/cateholders will be applied to make a net swap payment to the swap

counterparty, and to the eAtent that a Hoating payment eAceeds the /Aed payment

on any distribution date, the swap counterparty will owe a net swap payment to the

supplemental interest trust+

ny net amounts received under the interest rate swap agreement will be depositedinto the interest rate swap account and will generally be paid on each distribution

date (or, in the case of payments to the swap counterparty, the business day prior

to each distribution date) in the following order of priority7

,rst, to the swap counterparty, any net swap payment owed to the swap

counterparty, and then any unpaid swap termination payment (not due to a breach

by the swap counterparty or to certain termination events where the swap

counterparty is the sole aGected party) owed to the swap counterparty

second, concurrently, on a$ro ratabasis, to the senior certi/cates, and then to the

%lass -9, -3, -5, -J, -, -2, -;, -


34/810


;

,th, to the senior certi/cates, concurrently, on a$ro ratabasis, and then to the

%lass -9, -3, -5, -J, -, -2, -;, -


35/810


ny amounts received under the interest rate cap agreement will be deposited into

the interest rate cap account and will generally be paid on each distribution date in

the following order of priority7

,rst, concurrently, on a$ro rata basis, to the senior certi/cates, and then to the

%lass -9, -3, -5, -J, -, -2, -;, -


36/810


"n order to enhance the likelihood that holders of more senior classes of certi/cates

will receive regular distributions of interest and principal, the payment structure of

this securitiMation includes eAcess interest and the application of eAcess cashHow,

overcollateraliMation, subordination, loss allocation, limited crosscollateraliMation,an interest rate swap agreement and an interest rate cap agreement+ #he %lass B

%erti/cates are more likely to eAperience losses than the %lass -94, -:, -


37/810


See Ris) !actors0Ris)s Related to #otential Inade=uac2 o Credit Enhancement

and Other Su$$ort5 Descri$tion o the Certi,cates0Credit Enhancement and0

Su$$lemental Interest Trust in this ree writing $ros$ectus or a more detailed

descri$tion o e;cess interest5 o.ercollaterali>ation5 su/ordination5 loss allocation5limited cross(collaterali>ation5 the interest rate swa$ agreement and the interest

rate ca$ agreement1

Su"ordination of $ayents

%erti/cates with an +in their class designation will have a payment priority as a

group over all other certi/cates+ #he %lass -9 %erti/cates will have a payment

priority over the %lass -3, -5, -J, -, -2, -;, -


38/810


%erti/cates until it is reduced to Mero, then in reduction of the principal amount of

the %lass -< %erti/cates until it is reduced to Mero, then in reduction of the principal

amount of the %lass -; %erti/cates until it is reduced to Mero, then in reduction of

the principal amount of the %lass -2 %erti/cates until it is reduced to Mero, then inreduction of the principal amount of the %lass - %erti/cates until it is reduced to

Mero, then in reduction of the principal amount of the %lass -J %erti/cates until it is

reduced to Mero, then in reduction of the principal amount of the %lass -5

%erti/cates until it is reduced to Mero, then in reduction of the principal amount of

the %lass -3 %erti/cates until it is reduced to Mero, and /nally in reduction of the

principal amount of the %lass -9 %erti/cates until it is reduced to Mero+ "f a loss has

been allocated to reduce the principal amount of a subordinate certi/cate, it is

unlikely that investors will receive any payment in respect of that reduction+


and Other Su$$ort and Descri$tion o the Certi,cates0Credit Enhancement0+$$lication o Reali>ed Losses in this ree writing $ros$ectus1

O*ercollateralization

@n the closing date, the total principal balance of the mortgage loans in the trust

fund is eApected to eAceed the total principal amount of the oGered certi/cates and

the %lass B %erti/cates by approAimately T54,3ation1#hereafter, to the eAtent described in this free

writing prospectus, a portion of eAcess interest may be applied to pay principal onthe certi/cates to the eAtent needed to maintain the re.uired level of

overcollateraliMation+ We cannot, however, assure you that su*cient interest will be

generated by the mortgage loans to maintain any level of overcollateraliMation+

:

38 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $
http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/File.asp?Number=333-133985-16http://www.secinfo.com/d12TC3.v1778.htm#Dateshttp://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/d12TC3.v1778.htm#Dateshttp://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690http://www.secinfo.com/$/SEC/File.asp?Number=333-133985-16http://www.secinfo.com/$/SEC/Registrant.asp?CIK=1375690


39/810


See Ris) !actors0Ris)s Related to #otential Inade=uac2 o Credit Enhancementand Other Su$$ort and Descri$tion o the Certi,cates0Credit Enhancement0

O.ercollaterali>ation in this ree writing $ros$ectus1

Liited Cross2Collateralization

Ender certain limited circumstances, principal payments on the mortgage loans in a

mortgage pool may be distributed as principal to holders of the senior certi/cates

corresponding to the other mortgage pool+

"f the senior certi/cates relating to one mortgage pool have been retired, then

principal payments on the mortgage loans relating to the retired senior certi/cateswill be distributed to the remaining senior certi/cates of the other mortgage pool, if

any, before being distributed to the subordinate classes of certi/cates+


and Other Su$$ort and Descri$tion o the Certi,cates0Distri/utions o

#rinci$alin this ree writing $ros$ectus1

E!cess Interest

#he mortgage loans bear interest each month that in the aggregate is eApected to

eAceed the amount needed to pay monthly interest on the oGered certi/cates and

the %lass B %erti/cates, certain fees and eApenses of the trust fund and any net

swap payments owed to the swap counterparty+ #his e;cess interestreceived

from the mortgage loans each month will be available to absorb realiMed losses on

the mortgage loans, maintain the re.uired level of overcollateraliMation and pay

basis risk shortfalls as described below under 0 +$$lication o E;cess Cash


40/810


re.uired level of overcollateraliMation and to pay interest shortfalls and any

reductions in the principal balances of certain certi/cates due to losses+

ny eAcess cashHow will be paid on each distribution date in the following order of

priority7

,rst, the eAcess cashHow will be paid as principal to the oGered certi/cates and the

%lass B %erti/cates to the eAtent needed to maintain certain credit enhancement

targets and generally in accordance with the priorities summariMed under0

#a2ments on the Certi,cates0#rinci$al #a2ments0#riorit2 o #rinci$al #a2ments

above

second, to each class of %lass -9, -3, -5, -J, -, -2, -;, -


41/810


%he Interest ate Ca# Agreeent

ny payment received under the interest rate cap agreement will be applied to pay

interest shortfalls, maintain overcollateraliMation and repay losses, as described in

this free writing prospectus+

94


and Other Su$$ort0The Interest Rate Ca$ +greement5 Descri$tion o the

Certi,cates0Su$$lemental Interest Trust0Interest Rate Ca$ +greement and0+$$lication o De$osits and #a2ments Recei.ed /2 the Su$$lemental Interest Trust

0Interest Rate Ca$ +greement in this ree writing $ros$ectus1

Fees an EHpenses

Before payments are made on the certi/cates, the servicer will be paid a monthly

fee calculated at a rate of 4+4R per annum, on the total principal balance of the

mortgage loans (subect to reduction as described in this free writing prospectus)+

#he master servicer will receive as compensation the investment income on funds

held in the collection account and the certi/cate account, after payment to thetrustee, from the certi/cate account, of any amount of the trustee fee remaining

unpaid from the securities administration account+ #he trustee will be paid a /Aed

annual fee from investment earnings on funds held in the securities administration

account+ #he securities administrator will receive as compensation the investment

income on funds held in the securities administration account after payment of the

trustee fee and certain fees and eApenses of the custodian+

4# ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


42/810


Fees to the cap counterparty in consideration of the cap counterpartys entering

into the interest rate cap agreement will be paid by the sponsor on or prior to the

closing date and will not be payable from the assets of the trust fund+

fter payments of interest on the certi/cates have been made, the credit risk

manager will be paid a monthly fee calculated as 4+494R per annum on the total

principal balance of the mortgage loans+

'Apenses of the servicer, the master servicer, the custodian and the securities

administrator will be reimbursed before payments are made on the certi/cates+

'Apenses of the trustee will be reimbursed up to a speci/ed amount annually before

payments are made on the certi/cates any additional unpaid eApenses will be paid

to the trustee after payments of interest on the certi/cates and payment of the

credit risk managers fee have been made+

See !ees and E;$enses o the Trust !und in this ree writing $ros$ectus1

Fina& Sce&e Jis5"i!5ion Ja5e

#he /nal scheduled distribution date for the oGered certi/cates will be the

distribution date speci/ed in the table on page 3+ #he /nal scheduled distribution

date for the oGered certi/cates is based upon the second distribution date after the

date of the last scheduled payment of the latest maturing mortgage loan+ #he

actual /nal distribution date for each class of oGered certi/cates may be earlier or

later, and could be substantially earlier, than the /nal scheduled distribution date+

Te N)*S )ns"e"

@ne or more insurance companies, referred to herein collectively as the ="-

"nsurer, may issue a /nancial guaranty insurance policy covering certain payments

to be made on net interest margin securities to be issued by a separate trust or

other special purpose entity and secured by all or a portion of the %lass 1 and %lass

N %erti/cates+ "n that event, the ="- "nsurer will be able to eAercise rights which

could adversely aGect certi/cateholders+

"e reer 2ou to Ris) !actors0Rights o a NI%S Insurer %a2 +fect Securities in the

$ros$ectus or additional inormation concerning the NI%S Insurer1

Te *o"5ae Loans

@n the closing date, which is eApected to be on or about eptember 3:, 3442, the

assets of the trust fund will consist primarily of two mortgage pools of conventional,

adustable and /Aed rate, fully amortiMing and balloon, /rst and second lien,

residential mortgage loans with a total principal balance as of the cutoG date of

approAimately T9,J4


43/810


#ools0'eneral5the mortgage loans on the closing date may vary from the

statistical mortgage loans described in this free writing prospectus, although it is

not anticipated that those variances will be material+ #he mortgage loans will be

secured by mortgages, deeds of trust or other security instruments, all of which arereferred to in this free writing prospectus as mortgages+

#he depositor eApects that the mortgage loans will have the following approAimate

characteristics as of the cutoG date7

99

A"ea5e *o"5ae Loan Smma"1

Rane o"

To5a&

Wei5

e

A;e"a

e

To5a&

Pe"cen5a

eD#

=umber of -ortgage $oans :,4:J Z Z

=umber of FiAed &ate -ortgage $oans 3,::< Z 39+9R

=umber of dustable &ate -ortgage $oans 2,4:2 Z ;


44/810


2

cheduled 1rincipal Balances

T2,;32 to

T9,;34,


45/810


3+444R 5)

(9) 1ercentages are calculated based on the total principal balance of the mortgageloans in both pools+

(3) #he weighted average is computed only where credit scores are available+

(5) #he weighted average is based only on the adustable rate mortgage loans in

both pools+

93

Poo& # *o"5ae Loan Smma"1

Rane o"

To5a&

Wei5

e

A;e"a

e

To5a&

Pe"cen5a

eD#

=umber of -ortgage $oans ,;


46/810


=umber of dustable &ate -ortgage $oans J,324 Z ;


47/810


(9) 1ercentages are calculated based on the total principal balance of the mortgage

loans in pool 9+



pool 9+

95

Poo& 2 *o"5ae Loan Smma"1

Rane o"

To5a&

Wei5

e

A;e"a

e

To5a&

Pe"cen5a

eD#

=umber of -ortgage $oans 5,54; Z Z

=umber of FiAed &ate -ortgage $oans 9,J;9 Z 39+::R

=umber of dustable &ate -ortgage $oans 9,


48/810


T9,;34,


49/810


(9) 1ercentages are calculated based on the total principal balance of the mortgage

loans in pool 3+



pool 3+

9J

#he mortgage loans were generally originated or ac.uired in accordance with

underwriting guidelines that are less strict than Fannie -ae and Freddie -ac

guidelines+ s a result, the mortgage loans are likely to eAperience higher rates of

delin.uency, foreclosure and bankruptcy than mortgage loans underwritten in

accordance with higher standards+

#he mortgage loans in the trust fund will not be insured or guaranteed by any

government agency+

Mortgage Loan e#resentations and Warranties

Wells Fargo Bank, =++, as originator, has made certain representations and

warranties concerning the mortgage loans+ #he sponsors rights to these

representations and warranties will be assigned to the depositor under a sale and

assignment agreement and, in turn, will be assigned by the depositor to the trustee

for the bene/t of certi/cateholders under the trust agreement+ "n addition, the

sponsor will represent that none of the mortgage loans in the trust fund will be high

49 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


50/810


costloans under applicable federal, state or local antipredatory or antiabusive

lending laws+ With respect to a substantial maority of the mortgage loans, the

originator will also be obligated to repurchase any such mortgage loan if the

borrower fails to make the /rst payment to the seller within 54 days of when suchpayment is due+

Following the discovery of a breach of any representation or warranty that

materially and adversely aGects the value of a mortgage loan, or receipt of notice of

that breach, the originator or the sponsor will be re.uired to either (9) cure that

breach, (3) repurchase the aGected mortgage loan from the trust fund or (5) in

certain circumstances, substitute another mortgage loan+

"n order to substitute a new mortgage loan for a mortgage loan that has been

removed from the trust fund because of a breach of a representation or warranty,

(a) substitution must take place within two years from the closing date and (b) amortgage loan that is materially similar to the deleted mortgage loan must be

available for substitution+

See The Trust +greement0Re$resentations and "arranties in this ree writing

$ros$ectus1

Mortgage Loan Ser*icing

#he mortgage loans will be master serviced by urora $oan ervices $$%+ #he

master servicer will oversee the servicing of the mortgage loans by Wells Fargo

Bank, =++, which will be the servicer+ ervicing may subse.uently be transferred to

servicers other than the initial servicer, in accordance with the trust agreement and

the servicing agreement, as described in this free writing prospectus+

#he sponsor will retain certain rights relating to the servicing of the mortgage loans,

including the right to terminate and replace the servicer at any time, without cause,

in accordance with the terms of the trust agreement and the servicing agreement,

which, among other things, re.uires payment of a termination fee+

See The %aster Ser.icer5 The Ser.icer and %ortgage Loan Ser.icing in

thisree writing $ros$ectus1

O#tional $urchase of the Mortgage Loans

#he master servicer, with the prior written consent of the seller and the ="-

"nsurer, which consent may not be unreasonably withheld, may purchase the

mortgage loans on or after the initial optional termination date, which is the

distribution date following the month in which the total principal balance of the

mortgage loans (determined in the aggregate rather than by mortgage pool)

declines to less than R of the initial total principal balance of the mortgage loans

'0 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


51/810


as of the cutoG date+ "f the master servicer fails to eAercise this option, the ="-

"nsurer will have the right to direct the master servicer to eAercise this option so

long as it is insuring the net interest margin securities or any amounts payable to

the ="- "nsurer in respect of the insurance remain unpaid+

"f the mortgage loans are purchased, the certi/cateholders will be paid accrued

interest and principal in an amount not to eAceed the purchase price+

"f the option to purchase the mortgage loans is not eAercised on the initial optional

termination date, then, beginning with the neAt distribution date and thereafter, the

interest rates on the oGered certi/cates will be increased as described in the table

on page 9+

See Descri$tion o the Certi,cates0O$tional #urchase o the %ortgage Loans in

this ree writing $ros$ectus or a descri$tion o the $urchase $rice to /e $aid or the

mortgage loans u$on an o$tional $urchase1

9

See Summar2 o Terms0The Certi,cates0#a2ments on the Certi,cates0Interest

#a2ments in this ree writing $ros$ectus or a descri$tion o the increased interest

rates to /e $aid on the certi,cates ater the initial o$tional termination date1

Financin

n a*liate of $ehman Brothers "nc+ has provided /nancing for certain of the

mortgage loans+ portion of the proceeds of the sale of the certi/cates will be used

to repay the /nancing+

'# ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


52/810


TaH S5a5s

n election will be made to treat a portion of the trust fund as multiple &'-"%s for

federal income taA purposes+ 'ach of the oGered certi/cates will represent

ownership of regular interestsin a &'-"%, along with certain contractual rights

and obligations+ 'ach of the %lass $#& and %lass & %erti/cates will represent the

sole class of residual interestsin one or more &'-"%s+

See %aterial !ederal Income Ta; Considerations in this ree writing $ros$ectus

and in the accom$an2ing $ros$ectus or additional inormation concerning the

a$$lication o ederal income ta; laws to the certi,cates1

ER)SA %onsie"a5ions

Kenerally, all of the certi/cates oGered by this free writing prospectus may be

purchased by employee bene/t plans or other retirement arrangements subect tothe 'mployee &etirement "ncome ecurity ct of 9:;J or ection J:; of the

"nternal &evenue %ode of 9:


53/810


See Ratings in this ree writing $ros$ectus or a more com$lete discussion o the

certi,cate ratings andRis) !actors0Ratings on the Securities are De$endent on

+ssessments /2 the Rating +gencies in the $ros$ectus1

92

Ris? Fac5o"s

Te o&&o7in ino"ma5ion 7ic 1o so& ca"e&&1 consie" ien5iKes

ce"5ain siniKcan5 so"ces o "is? associa5e 7i5 an in;es5men5 in 5e

o


54/810


%hanges in the values of mortgaged properties

related to the mortgage loans may have a

greater eGect on the delin.uency, foreclosure,

bankruptcy and loss eAperience of the mortgageloans in the trust fund than on mortgage loans

originated under stricter guidelines+ We cannot

assure you that the values of the mortgaged

properties have remained or will remain at levels

in eGect on the dates of origination of the

related mortgage loans+

See Descri$tion o the %ortgage #ools0

'eneral in this ree writing $ros$ectus or a

descri$tion o the characteristics o the

mortgage loans in each mortgage $ool and

Origination o the %ortgage Loans and

&nderwriting 'uidelines or a general

descri$tion o the underwriting guidelines

a$$lied in originating the mortgage loans1

See also Ris) !actors0%ortgage Loans

Originated +ccording to Non(+genc2

&nderwriting 'uidelines %a2 ?a.e ?igher

E;$ected Delin=uencies in the $ros$ectus or a

discussion o the ris)s relating to

su/$rime5non($rime and non(conorming

mortgage loans1

*o"5ae Loan )n5e"es5 Ra5es

*a1 Limi5 )n5e"es5 Ra5es on

5e %e"5iKca5es

ll of the oGered certi/cates and the %lass B

%erti/cates will accrue interest at an interest

rate that adusts monthly based on the one

month $"B@& indeA plus a speci/ed margin+Iowever, the interest rates on these certi/cates

are subect to a limitation, generally based on

the weighted average interest rate of the

mortgage loans in pool 9, in the case of the

%lass 9 and %lass %erti/cates in pool 3, in

the case of the %lass 3, %lass 5 and %lass J

%erti/cates or in both mortgage pools, in the

'4 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


55/810


56/810


6 #he interest rates for the oGered certi/cates

adust monthly based on the onemonth $"B@&

indeA, while the interest rates on the mortgage

loans in each mortgage pool either adust less

fre.uently, adust based on a diGerent indeA or

do not adust at all+ %onse.uently, the limits on

the interest rates on these certi/cates may

prevent increases in the interest rates for

eAtended periods in a rising interest rate

environment+

6 #he interest rates on the adustable ratemortgage loans to be included in each mortgage

pool may respond to economic and market

factors that diGer from those that aGect the one

month $"B@& indeA+ "t is possible that the

interest rates on the adustable rate mortgage

loans to be included in each mortgage pool may

decline while the interest rates on the related

certi/cates are stable or rising+ "t is also possible

that the interest rates on the adustable rate

mortgage loans to be included in each mortgagepool and the interest rates on the related

certi/cates may both decline or increase during

the same period, but that the interest rates on

the certi/cates may decline or increase more

slowly or rapidly+

6 #o the eAtent that /Aed rate or adustable rate

mortgage loans are subect to default or

prepayment, the interest rates on the related

certi/cates may be reduced as a result of the

applicable net funds cap limitation described in

this free writing prospectus+

6 "f the interest rates on the oGered certi/cates

and the %lass B %erti/cates are limited for any

'6 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


57/810


distribution date, the resulting basis risk

shortfalls may be recovered by the holders of

those certi/cates on future distribution dates,

but only if there is enough cashHow generatedfrom eAcess interest (and in limited

circumstances, principal) on the mortgage loans

to fund these shortfalls or payments are

received under the interest rate swap

agreement or interest rate cap agreement in an

amount su*cient to pay these shortfalls+

9ation in this ree

writing $ros$ectus1 !or a general descri$tion o

the interest rates o the mortgage loans5 see

Descri$tion o the %ortgage #ools in this ree

writing $ros$ectus1

Ris?s Re&a5e 5o Po5en5ia&

)naeOac1 o %"ei5

Enancemen5 an +5e"

Sppo"5

#he eAcess interest, overcollateraliMation,

subordination, loss allocation and limited cross

collateraliMation features, together with the

interest rate swap agreement and interest rate

cap agreement, all as described in this free

writing prospectus, are intended to enhance the

likelihood that holders of more senior classes will

'$ ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


58/810


receive regular payments of interest and

principal, but are limited in nature and may be

insu*cient to repay all losses on the mortgage

loans+

E!cess Interest and O*ercollateralization+

"n order to maintain overcollateraliMation, it will

be necessary that the mortgage loans in each

mortgage loan pool generate more interest than

is needed to pay interest on the oGered

certi/cates and the %lass B %erti/cates, as well

as that mortgage loan pools allocable portion of

certain fees and eApenses of the trust fund and

any net swap payments owed to the swap

counterparty+ We eApect that the mortgage

loans will generate more interest than is needed

to pay those amounts, at least during certain

periods, because the weighted average of the

interest rates on the mortgage loans in each

mortgage pool is eApected to be higher than the

weighted average of the interest rates on the

related certi/cates plus the weighted average

aggregate eApense rate and any net swap

payments owed to the swap counterparty+ nyremaining interest generated by the mortgage

loans will be used to absorb losses on the

mortgage loans, maintain overcollateraliMation

targets and pay basis risk shortfalls+ @n the

closing date, the total principal balance of the

mortgage loans will eAceed the total principal

amount of the oGered certi/cates and the %lass

B %erti/cates by approAimately T54,3ationand will be available to

absorb losses+ We cannot assure you, however,

that the mortgage loans, together with certain

amounts available from the interest rate swap

agreement and the interest rate cap agreement,

'8 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


59/810


will generate enough eAcess interest to maintain

this overcollateraliMation level as set by the

rating agencies+ #he following factors will aGect

the amount of eAcess interest that the mortgageloans will generate7

9:

6 #re$a2ments+ 'very time a mortgage loan is

prepaid in whole or in part, total eAcess interest

after the date of prepayment will be reduced

because that mortgage loan will no longer be

outstanding and generating interest or, in the

case of a partial prepayment, will be generatingless interest+ #he eGect on your certi/cates of

this reduction will be inHuenced by the amount

of prepaid loans and the characteristics of the

prepaid loans+ 1repayment of a

disproportionately high number of high interest

rate mortgage loans would have a greater

negative eGect on future eAcess interest+

6 Deaults5 Delin=uencies and Li=uidations+ "f therates of delin.uencies, defaults or losses on the

mortgage loans turn out to be higher than

eApected, eAcess interest will be reduced by the

amount necessary to compensate for any

shortfalls in cash available to pay

certi/cateholders+ 'very time a mortgage loan is

li.uidated or written oG, eAcess interest is

'9 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


60/810


reduced because that mortgage loan will no

longer be outstanding and generating interest+

6 Increases in LIBOR+ ubstantially all of the

mortgage loans have either /Aed interest rates

or interest rates that adust based on a siA

month $"B@& indeA and not the onemonth

$"B@& indeA used to determine the interest rates

on the oGered certi/cates and the %lass B

%erti/cates+ s a result of an increase in one

month $"B@&, the interest rates on the oGered

certi/cates and the %lass B %erti/cates may

increase relative to interest rates on the

mortgage loans, re.uiring that more of the

interest generated by the mortgage loans be

applied to pay interest on the oGered certi/cates

and the %lass B %erti/cates+

See Descri$tion o the Certi,cates0Credit

Enhancement0O.ercollaterali>ationin this ree

writing $ros$ectus1

%he Interest ate S1a# Agreeent+ ny

amounts received under the interest rate swap

agreement will be applied as described in this

free writing prospectus to pay interest shortfalls,

maintain overcollateraliMation and repay losses+

Iowever, no amounts will be payable to the

supplemental interest trust by the swap

counterparty unless the Hoating amount owed

by the swap counterparty on a distribution date

eAceeds the /Aed amount owed to the swapcounterparty+ #his will not occur eAcept in

periods when onemonth $"B@& (as determined

pursuant to the interest rate swap agreement)

eAceeds the applicable rate of payment owed by

the trust fund, which will range from +43R to

+JR per annum on the scheduled notional

amount and adusted on a monthly basis as

60 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


61/810


described in this free writing prospectus+ We

cannot assure you that any amounts will be

received under the interest rate swap

agreement, or that any such amounts that arereceived will be su*cient to maintain re.uired

overcollateraliMation, pay interest shortfalls or

repay losses on the mortgage loans+

34

See Descri$tion o the Certi,cates0

Su$$lemental Interest Trust0Interest Rate Swa$

+greement in this ree writing $ros$ectus1

%he Interest ate Ca# Agreeent(ny

amounts received under the interest rate cap

agreement will be applied as described in this

free writing prospectus to pay interest shortfalls,

maintain overcollateraliMation and repay losses+

Iowever, no amounts will be payable to the

supplemental interest trust by the cap

counterparty unless onemonth $"B@& (as

determined pursuant to the interest rate capagreement) moves above 2+4R, in each case

calculated on a scheduled notional amount and

adusted to a monthly basis+ We cannot assure

you that any amounts will be received under the

interest rate cap agreement, or that any such

amounts that are received will be su*cient to

maintain re.uired overcollateraliMation, pay

6# ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


62/810


interest shortfalls or repay losses on the

mortgage loans+


Su$$lemental Interest Trust0Interest Rate Ca$

+greement in this ree writing $ros$ectus1

Su"ordination and Allocation of Losses+ "f

the applicable subordination is insu*cient to

absorb losses, then certi/cateholders will likely

incur losses and may never receive all of their

principal payments+ >ou should consider thefollowing7

6 if you buy a %lass -94 %erti/cate and losses

on the mortgage loans eAceed eAcess interest

and any overcollateraliMation that has been

created, plus the total principal amount of the

%lass B %erti/cates, the principal amount of your

certi/cate will be reduced proportionately with

the principal amounts of the other %lass -94

%erti/cates by the amount of that eAcess

6 if you buy a %lass -: %erti/cate and losses on

the mortgage loans eAceed eAcess interest and

any overcollateraliMation that has been created,

plus the total principal amount of the %lass B

and %lass -94 %erti/cates, the principal amount

of your certi/cate will be reduced

proportionately with the principal amounts of the

other %lass -: %erti/cates by the amount ofthat eAcess

6 if you buy a %lass -< %erti/cate and losses on



62 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


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plus the total principal amount of the %lass B,

%lass -94 and %lass -: %erti/cates, the

principal amount of your certi/cate will be

reduced proportionately with the principalamounts of the other %lass -< %erti/cates by

the amount of that eAcess

39

6 if you buy a %lass -; %erti/cate and losses on




%lass -94, %lass -: and %lass -< %erti/cates,the principal amount of your certi/cate will be

reduced proportionately with the principal

amounts of the other %lass -; %erti/cates by

the amount of that eAcess

6 if you buy a %lass -2 %erti/cate and losses on



plus the total principal amount of the %lass B,%lass -94, %lass -:, %lass -< and %lass -;

%erti/cates, the principal amount of your

certi/cate will be reduced proportionately with

the principal amounts of the other %lass -2

%erti/cates by the amount of that eAcess

63 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


64/810


6 if you buy a %lass - %erti/cate and losses on




%lass -94, %lass -:, %lass -


65/810


33

6 if you buy a %lass -3 %erti/cate and losses on




%lass -94, %lass -:, %lass -


66/810


needed to pay interest and principal on the

oGered certi/cates and the %lass B %erti/cates,

the fees and eApenses of the trust fund and any

net swap payments owed to the swapcounterparty, then eAcess interest will be used

to pay you and other certi/cateholders the

amount of any reduction in the principal

amounts of the certi/cates caused by

application of losses+ #hese payments will be

made in order of seniority+ We cannot assure

you, however, that any eAcess interest will be

generated and, in any event, no interest will be

paid to you on the amount by which your

principal amount was reduced because of the

application of losses+

See Descri$tion o the Certi,cates0Credit

Enhancement@Su/ordination and 0

+$$lication o Reali>ed Losses in this ree

writing $ros$ectus1

Liited Cross2Collateralization(1rincipal

payments on the senior certi/cates will depend,for the most part, on collections on the

mortgage loans in the related mortgage pool+

Iowever, the senior certi/cates will have the

bene/t of credit enhancement in the form of

overcollateraliMation and subordination from

each mortgage pool+ #hat means that even if the

rate of losses on mortgage loans in the

mortgage pool related to any class of senior

certi/cates is low, losses in the unrelated

mortgage pool may reduce the loss protectionfor those certi/cates+

66 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


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35

Ga&&oon Loans pproAimately 92+45R of the /Aed rate

mortgage loans are balloon loans+ Balloon loans

pose a special payment risk because the

borrower must make a large lump sum payment

of principal at the end of the loan term+

See Ris) !actors0Balloon Loans in the

$ros$ectus1

Lac? o P"ima"1 *o"5ae

)ns"ance

pproAimately J:+4;R and J+53R of the

mortgage loans in pool 9 and pool 3,

respectively, eApected to be in the trust fund on

the closing date have original loantovalue

ratios greater than


68/810


mortgage insurance policies under the term of

the servicing agreement+ Wells Fargo Bank, =++

will covenant that in the event of a servicing

transfer, it will continue to pay these premiums+"nvestors should consider that if Wells Fargo

Bank, =++ does not ful/ll its covenant to pay the

related premiums, whether due to inadvertence

or otherwise, the related primary mortgage

insurance coverage will be cancelled+

See Descri$tion o the %ortgage #ools0#rimar2

%ortgage Insurance in this ree writing

$ros$ectus1

We&&s Fa"o Gan? NA

P"case +!&ia5ion %o&

Res&5 )n P"epa1men5 o

%e"5iKca5es

With respect to approAimately ;,552 of the

mortgage loans (representing approAimately


69/810


swap agreement will reduce amounts available

for distribution to certi/cateholders, and may

reduce payments of interest on the certi/cates+

"f the rate of prepayments on the mortgageloans is faster than anticipated, the scheduled

notional amount on which payments due under

the interest rate swap agreement are calculated

may eAceed the total principal balance of the

mortgage loans, thereby increasing the relative

proportion of interest collections on the

mortgage loans that must be applied to make

net swap payments to the swap counterparty

and, under certain circumstances, re.uiring

application of principal received on the

mortgage loans to make net swap payments to

the swap counterparty+ #herefore, the

combination of a rapid rate of prepayment and

low prevailing interest rates could adversely

aGect the yields on the certi/cates+

3J

"n the event that the trust fund, after application

of all interest and principal received on themortgage loans, cannot make the re.uired net

swap payment to the swap counterparty, a swap

termination payment as described in this free

writing prospectus will be owed to the swap

counterparty+ ny termination payment payable

to the swap counterparty in the event of an

early termination of the interest rate swap

69 ( 1 a g e a s c o 3 4 4 2 W F 5 6 F W 1 6 & ' $


70/810


agreement (not due to a breach by the swap

counterparty or to certain termination events

where the swap counterparty is the sole aGected

party) will reduce amounts available fordistribution to certi/cateholders+


Distri/utions o Interest50Distri/utions o

#rinci$al and 0Su$$lemental Interest Trust in

this ree writing $ros$ectus1

E


71/810


3

E


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mortgage loans and may present special risks

upon default of any second lien mortgage loans+

See Ris) !actors0S$ecial Deault Ris) o

Second Lien %ortgage Loans and 0Ris)s

Related to Simultaneous Second Liens and Other

Borrower De/t in the $ros$ectus1

Ris?s Re&a5e 5o

.np"eic5a!i&i51 an E


73/810


1repayments on the mortgage loans may occuras a result of solicitations of the borrowers by

mortgage loan originators, including the seller

and its a*liates, the master servicer and the

servicer, as described under 4ield5 #re$a2ment

and "eighted +.erage Liein this free writing

prospectus+ #he timing of prepayments of

principal may also be aGected by li.uidations of

or insurance payments on the mortgage loans+

"n addition, $ehman Brothers Ioldings "nc+, as

the seller of the mortgage loans to thedepositor, or the originator, may be re.uired to

purchase mortgage loans from the trust fund in

the event that certain breaches of

representations and warranties made with

respect to the mortgage loans are not cured+

#hese purchases will have the same eGect on

certi/cateholders as prepayments of mortgage

loans+

prepayment of a mortgage loan will usually

result in a payment of principal on the

certi/cates, and, depending on the type of

certi/cate and the price investors paid for that

certi/cate, may aGect the yield on that

certi/cate+

See 4ield5 #re$a2ment and "eighted +.erage

Lie in this ree writing $ros$ectus and Ris)

!actors0&n$redicta/ilit2 and Efect o#re$a2mentsin the $ros$ectus or a descri$tion

o actors that ma2 in

8/9/2019 SASCO 2006-WF3 FWP - Wells Fargo's RELS TITLE SERVICES RSSDID 1120754 FFIEC.GOV ( and CORELOGIC subsid

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