Fitch rates Wells Fargo mortgage pass-through certificates, series 2007-15 as follows:
--$1,299,378,479 classes A-1 through A-7, A-PO, and A-R 'AAA' (senior certificates);
--$27,000,000 class B-1 'AA';
--$8,775,000 class B-2 'A';
--$4,050,000 class B-3 'BBB';
--$5,400,000 class B-4 'BB'; and
--$2,025,000 class B-5 'B'.
The 'AAA' ratings on the senior certificates reflect the 3.75% subordination provided by the 2.00% class B-1, the 0.65% class B-2, the 0.30% class B-3, the 0.40% privately offered class B-4, the 0.15% privately offered class B-5, and the 0.25% privately offered class B-6. The ratings on the class B-1, B-2, B-3, B-4, and B-5 certificates are based on their respective subordination. Class B-6 is not rated by Fitch.
This transaction contains certain classes designated as Exchangeable REMIC certificates and Exchangeable Certificates.
Exchangeable REMIC Certificates: A-1.
Exchangeable Certificates: A-3 through A-7.
All other classes are regular certificates.
All or a portion of certain classes of offered exchangeable REMIC certificates may be exchanged for a proportionate interest in the related exchangeable certificates. All or a portion of the exchangeable certificates may also be exchanged for the related offered exchangeable REMIC certificates in the same manner. This process may occur repeatedly. The classes of offered exchangeable REMIC certificates and of exchangeable certificates that are outstanding at any given time, and the outstanding principal balances and notional amounts of these classes, will depend upon any related distributions of principal, as well as any exchanges that occur. Offered exchangeable REMIC certificates and exchangeable certificates in any combination may be exchanged only in the proportions shown in the governing documents. Holders of exchangeable certificates will be the beneficial owners of a proportionate interest in the certificates in the related combination group and will receive a proportionate share of the distributions on those certificates.
With respect to any distribution date, the aggregate amount of principal and interest distributable to, and amount of principal and interest losses and interest shortfalls on, all of the exchangeable certificates in any exchangeable combination on such distribution date will be identical to the aggregate amount of principal and interest distributable to, and amount of principal and interest losses and interest shortfalls on, all of the exchangeable REMIC certificates in the related REMIC combination on such distribution date.
Fitch believes the amount of credit enhancement available will be sufficient to cover credit losses. The ratings also reflect the high quality of the underlying collateral, the integrity of the legal and financial structures, and the primary servicing capabilities of Wells Fargo Bank, N.A. (WFB) rated 'RPS1' by Fitch.
The transaction consists of 2,230 fixed interest rate, first lien mortgage loans, with an original weighted average term to maturity (WAM) of approximately 30 years. The aggregate unpaid principal balance of the pool is $1,350,003,645 as of October 1, 2007 (the cut-off date), and the average principal balance is $605,383. The weighted average original loan-to-value ratio (OLTV) of the loan pool is approximately 74.73%; 5.75% of the loans have an OLTV greater than 80%. The weighted average coupon (WAC) of the mortgage loans is 6.588%, and the weighted average FICO score is 747. The states that represent the largest geographic concentration are California (21.78%), New York (11.73%), Virginia (8.79%) and Maryland (5.46%). All other states represent less than 5% of the outstanding balance of the pool.
All of the mortgage loans were generally originated in conformity with underwriting standards of WFB. WFB sold the loans to Wells Fargo Asset Securities Corporation (WFASC), a special purpose corporation, who deposited the loans into the trust. The trust issued the certificates in exchange for the mortgage loans. WFB will act as servicer and custodian, and HSBC Bank USA, National Association will act as trustee. Elections will be made to treat the trust as two real estate mortgage investment conduits (REMICs) for federal income tax purposes.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
