Carrington Mortgage Loan Trust, Series 2006-OPT1 Inactive
Filed: 9 Mar 06, 12:00am
- -------------------------------------------------------------------------------- (Filed pursuant to Rule 433; SEC File No. 333-130210) CCM [CARRINGTON CAPITAL MANAGEMENT LOGO] COMPUTATIONAL MATERIALS $959,704,000 (APPROXIMATE) - -------------------------------------------------------------------------------- CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 ASSET-BACKED PASS-THROUGH CERTIFICATES - -------------------------------------------------------------------------------- CARRINGTON SECURITIES, LP Sponsor OPTION ONE MORTGAGE CORPORATION Originator & Servicer STANWICH ASSET ACCEPTANCE COMPANY, L.L.C. Depositor CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 Issuing Entity MARCH 7, 2006 - -------------------------------------------------------------------------------- Citigroup Global Markets Inc. CITIGROUP [LOGO] CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 $959,704,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES MARCH 7, 2006 - -------------------------------------------------------------------------------- STATEMENT REGARDING THIS FREE WRITING PROSPECTUS The information in this free writing prospectus, if conveyed prior to the time of your contractual commitment to purchase any of the Offered Certificates, supersedes any information contained in any prior similar materials relating to the Offered Certificates. The information in this free writing prospectus is preliminary, and is subject to completion or change. This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement. This free writing prospectus is being delivered to you solely to provide you with information about the offering of the Offered Certificates referred to in this free writing prospectus and to solicit an offer to purchase the Offered Certificates, when, as and if issued. Any such offer to purchase made by you will not be accepted and will not constitute a contractual commitment by you to purchase any of the Offered Certificates, until we have accepted your offer to purchase Offered Certificates. This free writing prospectus is not an offer to sell or a solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted. The information in this free writing prospectus may be based on preliminary assumptions about the mortgage loans and the structure. Any such assumptions are subject to change. The information in this free writing prospectus may reflect parameters, metrics or scenarios specifically requested by you. If so, prior to the time of your commitment to purchase, you should request updated information based on any parameters, metrics or scenarios specifically required by you. IMPORTANT NOTICE REGARDING THE CONDITIONS FOR THIS OFFERING OF ASSET-BACKED SECURITIES The Offered Certificates referred to in these materials are being sold when, as and if issued. The depositor is not obligated to issue such Offered Certificates or any similar security and the underwriter's obligation to deliver such Offered Certificates is subject to the terms and conditions of the underwriting agreement with the depositor and the availability of such Offered Certificates when, as and if issued by the depositor. You are advised that the terms of the Offered Certificates, and the characteristics of the mortgage loan pool backing them, may change (due, among other things, to the possibility that mortgage loans that comprise the pool may become delinquent or defaulted or may be removed or replaced and that similar or different mortgage loans may be added to the pool, and that one or more classes of Offered Certificates may be split, combined or eliminated), at any time prior to issuance or availability of a final prospectus. You are advised that Offered Certificates may not be issued that have the characteristics described in these materials. The underwriter's obligation to sell such Offered Certificates to you is conditioned on the mortgage loans and Offered Certificates having the characteristics described in these materials. If for any reason the depositor does not deliver such Offered Certificates, the underwriter will notify you, and neither the depositor nor any underwriter will have any obligation to you to deliver all or any portion of the Offered Certificates which you have committed to purchase, and none of the depositor nor any underwriter will be liable for any costs or damages whatsoever arising from or related to such non-delivery. THE DEPOSITOR HAS FILED A REGISTRATION STATEMENT (INCLUDING A PROSPECTUS) WITH THE SECURITIES AND EXCHANGE COMMISSION (THE SEC) FOR THE OFFERING TO WHICH THIS COMMUNICATION RELATES. BEFORE YOU INVEST, YOU SHOULD READ THE PROSPECTUS IN THAT REGISTRATION STATEMENT AND OTHER DOCUMENTS THE DEPOSITOR HAS FILED WITH THE SEC FOR MORE COMPLETE INFORMATION ABOUT THE DEPOSITOR AND THE OFFERING. YOU MAY GET THESE DOCUMENTS AT NO CHARGE 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 AT NO CHARGE IF YOU REQUEST IT BY CALLING TOLL-FREE 1-866-803-9204. 1 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 $959,704,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES MARCH 7, 2006 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO OPTIONAL REDEMPTION - -------------------------------------------------------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION* - -------------------------------------------------------------------------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC - -------------------------------------------------------------------------------------------------------------------------------- CLASS A-1 - -------------------------------------------------------------------------------------------------------------------------------- WAL 15.67 1.62 1.00 0.74 0.60 Principal Window 1 - 275 1 - 36 1 - 21 1 - 15 1 - 11 Principal Window End 2/25/2029 3/25/2009 12/25/2007 6/25/2007 2/25/2007 - -------------------------------------------------------------------------------------------------------------------------------- CLASS A-2 - -------------------------------------------------------------------------------------------------------------------------------- WAL 23.49 3.25 1.80 1.34 1.03 Principal Window 275 - 287 36 - 41 21 - 22 15 - 17 11 - 13 Principal Window End 2/25/2030 8/25/2009 1/25/2008 8/25/2007 4/25/2007 - -------------------------------------------------------------------------------------------------------------------------------- CLASS A-3 - -------------------------------------------------------------------------------------------------------------------------------- WAL 27.43 7.29 3.00 1.77 1.45 Principal Window 287 - 357 41 - 150 22 - 71 17 - 25 13 - 22 Principal Window End 12/25/2035 9/25/2018 2/25/2012 4/25/2008 1/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS A-4 - -------------------------------------------------------------------------------------------------------------------------------- WAL 29.78 12.53 5.95 2.17 1.86 Principal Window 357 - 357 150 - 150 71 - 71 25 - 26 22 - 22 Principal Window End 12/25/2035 9/25/2018 2/25/2012 5/25/2008 1/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-1 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 8.25 5.06 2.36 1.93 Principal Window 297 - 357 47 - 150 53 - 71 26 - 30 22 - 24 Principal Window End 12/25/2035 9/25/2018 2/25/2012 9/25/2008 3/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-2 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 8.25 4.71 2.64 2.06 Principal Window 297 - 357 47 - 150 48 - 71 30 - 33 24 - 25 Principal Window End 12/25/2035 9/25/2018 2/25/2012 12/25/2008 4/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-3 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 8.25 4.53 2.86 2.22 Principal Window 297 - 357 47 - 150 45 - 71 33 - 35 25 - 27 Principal Window End 12/25/2035 9/25/2018 2/25/2012 2/25/2009 6/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-4 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 8.25 4.44 3.21 2.35 Principal Window 297 - 357 47 - 150 44 - 71 35 - 42 27 - 29 Principal Window End 12/25/2035 9/25/2018 2/25/2012 9/25/2009 8/25/2008 * 85% CPR maximum in any given period. 2 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 $959,704,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES MARCH 7, 2006 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO OPTIONAL REDEMPTION - -------------------------------------------------------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION* - -------------------------------------------------------------------------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-5 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 8.25 4.38 3.53 2.49 Principal Window 297 - 357 47 - 150 42 - 71 42 - 42 29 - 30 Principal Window End 12/25/2035 9/25/2018 2/25/2012 9/25/2009 9/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-6 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 8.25 4.33 3.53 2.65 Principal Window 297 - 357 47 - 150 41 - 71 42 - 42 30 - 32 Principal Window End 12/25/2035 9/25/2018 2/25/2012 9/25/2009 11/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-7 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 8.25 4.29 3.53 2.70 Principal Window 297 - 357 47 - 150 40 - 71 42 - 42 32 - 32 Principal Window End 12/25/2035 9/25/2018 2/25/2012 9/25/2009 11/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-8 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 8.25 4.26 3.53 2.70 Principal Window 297 - 357 47 - 150 39 - 71 42 - 42 32 - 32 Principal Window End 12/25/2035 9/25/2018 2/25/2012 9/25/2009 11/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-9 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 8.25 4.22 3.53 2.70 Principal Window 297 - 357 47 - 150 39 - 71 42 - 42 32 - 32 Principal Window End 12/25/2035 9/25/2018 2/25/2012 9/25/2009 11/25/2008 * 85% CPR maximum in any given period. 3 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 $959,704,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES MARCH 7, 2006 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY - -------------------------------------------------------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION* - -------------------------------------------------------------------------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC - -------------------------------------------------------------------------------------------------------------------------------- CLASS A-1 - -------------------------------------------------------------------------------------------------------------------------------- WAL 15.67 1.62 1.00 0.74 0.60 Principal Window 1 - 275 1 - 36 1 - 21 1 - 15 1 - 11 Principal Window End 2/25/2029 3/25/2009 12/25/2007 6/25/2007 2/25/2007 - -------------------------------------------------------------------------------------------------------------------------------- CLASS A-2 - -------------------------------------------------------------------------------------------------------------------------------- WAL 23.49 3.25 1.80 1.34 1.03 Principal Window 275 - 287 36 - 41 21 - 22 15 - 17 11 - 13 Principal Window End 2/25/2030 8/25/2009 1/25/2008 8/25/2007 4/25/2007 - -------------------------------------------------------------------------------------------------------------------------------- CLASS A-3 - -------------------------------------------------------------------------------------------------------------------------------- WAL 27.43 7.57 3.15 1.77 1.45 Principal Window 287 - 357 41 - 217 22 - 106 17 - 25 13 - 22 Principal Window End 12/25/2035 4/25/2024 1/25/2015 4/25/2008 1/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS A-4 - -------------------------------------------------------------------------------------------------------------------------------- WAL 29.78 21.64 11.09 2.17 1.86 Principal Window 357 - 357 217 - 312 106 - 171 25 - 26 22 - 22 Principal Window End 12/25/2035 3/25/2032 6/25/2020 5/25/2008 1/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-1 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 9.14 5.55 2.36 1.93 Principal Window 297 - 357 47 - 279 53 - 145 26 - 30 22 - 24 Principal Window End 12/25/2035 6/25/2029 4/25/2018 9/25/2008 3/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-2 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 9.12 5.18 2.64 2.06 Principal Window 297 - 357 47 - 271 48 - 139 30 - 33 24 - 25 Principal Window End 12/25/2035 10/25/2028 10/25/2017 12/25/2008 4/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-3 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 9.10 4.99 2.86 2.22 Principal Window 297 - 357 47 - 261 45 - 133 33 - 35 25 - 27 Principal Window End 12/25/2035 12/25/2027 4/25/2017 2/25/2009 6/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-4 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 9.07 4.89 4.90 2.35 Principal Window 297 - 357 47 - 254 44 - 128 35 - 106 27 - 29 Principal Window End 12/25/2035 5/25/2027 11/25/2016 1/25/2015 8/25/2008 * 85% CPR maximum in any given period. 4 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 $959,704,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES MARCH 7, 2006 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY - -------------------------------------------------------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION* - -------------------------------------------------------------------------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-5 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 9.05 4.81 6.24 2.49 Principal Window 297 - 357 47 - 247 42 - 124 66 - 86 29 - 30 Principal Window End 12/25/2035 10/25/2026 7/25/2016 5/25/2013 9/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-6 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 9.02 4.73 5.11 2.65 Principal Window 297 - 357 47 - 239 41 - 119 56 - 72 30 - 32 Principal Window End 12/25/2035 2/25/2026 2/25/2016 3/25/2012 11/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-7 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 8.97 4.67 4.54 2.81 Principal Window 297 - 357 47 - 230 40 - 114 50 - 68 32 - 34 Principal Window End 12/25/2035 5/25/2025 9/25/2015 11/25/2011 1/25/2009 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-8 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 8.92 4.61 4.19 3.15 Principal Window 297 - 357 47 - 220 39 - 108 47 - 65 34 - 74 Principal Window End 12/25/2035 7/25/2024 3/25/2015 8/25/2011 5/25/2012 - -------------------------------------------------------------------------------------------------------------------------------- CLASS M-9 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.10 8.85 4.54 3.96 5.21 Principal Window 297 - 357 47 - 209 39 - 102 44 - 61 56 - 72 Principal Window End 12/25/2035 8/25/2023 9/25/2014 4/25/2011 3/25/2012 * 85% CPR maximum in any given period. 5 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 $959,704,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES MARCH 7, 2006 - -------------------------------------------------------------------------------- NET WAC RATE PERIOD NET WAC RATE -------------------------------- 1 -- 2 7.71 3 7.46 4 7.71 5 7.46 6 7.46 7 7.71 8 7.46 9 7.71 10 7.46 11 7.37 12 8.16 13 7.37 14 7.61 15 7.37 16 7.61 17 7.37 18 7.37 19 7.61 20 7.36 21 7.61 22 9.42 23 9.40 24 10.02 25 9.34 26 9.64 27 9.32 28 9.76 29 9.44 30 9.43 31 9.48 32 9.17 33 9.48 34 9.24 35 9.25 36 10.23 37 9.24 38 9.54 39 9.22 40 9.53 41 9.21 42 9.21 43 9.50 44 9.19 45 9.49 46 9.17 47 9.17 48 10.14 49 9.15 50 9.45 51 9.13 52 9.43 53 9.11 54 9.11 55 9.40 56 9.09 57 9.39 58 9.19 59 9.18 60 10.16 61 9.16 62 9.46 63 9.15 64 9.46 65 9.14 66 9.13 67 9.43 68 9.11 69 9.41 70 9.09 71 9.08 Assumptions: Static Indices: 1mL= 4.67% 6mL=5.00% 10% Optional Cleanup Call Based On Pricing Prepayment Assumption 6 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 $959,704,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES MARCH 7, 2006 - -------------------------------------------------------------------------------- CLASS A EFFECTIVE MAXIMUM RATE* PERIOD CLASS A AFC -------------------------------- 1 9.35 2 11.43 3 11.42 4 11.44 5 11.44 6 11.45 7 11.48 8 11.48 9 11.51 10 11.51 11 11.53 12 11.61 13 11.57 14 11.62 15 11.62 16 11.67 17 11.68 18 11.71 19 11.77 20 11.78 21 11.89 22 12.26 23 12.40 24 12.67 25 12.75 26 12.93 27 13.00 28 13.93 29 14.01 30 14.21 31 14.48 32 14.61 33 15.08 34 14.52 35 15.06 36 17.37 37 175.93 38 142.51 39 26.37 40 27.58 41 26.17 42 25.66 43 26.00 44 24.68 45 25.03 46 23.80 47 23.36 48 25.40 49 22.54 50 22.88 51 21.76 52 22.13 53 21.06 54 20.71 55 21.05 56 20.05 57 20.40 58 19.58 59 19.29 60 21.04 61 18.72 62 19.09 63 18.45 64 19.08 65 18.44 66 18.42 67 19.00 68 18.36 69 18.95 70 18.35 71 18.33 72 19.56 *Assumptions: Static Indices: 1mL=20.0% 6mL=20.0% *10% Optional Cleanup Call Based On Pricing Prepayment Assumption *Includes any payments made from the applicable Interest Rate Cap Agreement *The Class A Effective Maximum Rate is an annual rate calculated by taking the maximum amount of funds available to pay interest to the Class A Certificates on the related Distribution Date divided by the beginning Class A Certificate balance (adjusted for the actual number of days in the period). 7 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 $959,704,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES MARCH 7, 2006 - -------------------------------------------------------------------------------- CLASS M EFFECTIVE MAXIMUM RATE* PERIOD CLASS M AFC -------------------------------- 1 9.05 2 11.00 3 11.00 4 11.00 5 11.00 6 11.00 7 11.00 8 11.00 9 11.00 10 11.00 11 11.00 12 11.00 13 11.00 14 11.00 15 11.00 16 11.00 17 11.00 18 11.00 19 11.00 20 11.00 21 11.00 22 11.03 23 11.03 24 11.03 25 11.03 26 11.03 27 11.03 28 11.58 29 11.57 30 11.56 31 11.58 32 11.56 33 11.58 34 12.21 35 12.22 36 12.35 37 12.22 38 12.25 39 10.44 40 11.45 41 11.08 42 11.06 43 11.42 44 11.03 45 11.39 46 11.03 47 11.02 48 12.18 49 10.99 50 11.34 51 10.96 52 11.33 53 10.95 54 10.93 55 11.28 56 10.90 57 11.25 58 10.99 59 10.97 60 12.13 61 10.94 62 11.29 63 10.91 64 11.29 65 10.91 66 10.89 67 11.24 68 10.86 69 11.20 70 10.86 71 10.84 72 11.57 *Assumptions: Static Indices: 1mL=20.0% 6mL=20.0% *10% Optional Cleanup Call Based On Pricing Prepayment Assumption *Includes any payments made from the applicable Interest Rate Cap Agreement *The Class M Effective Maximum Rate is an annual rate calculated by taking the maximum amount of funds available to pay interest to the Class M Certificates on the related Distribution Date divided by the beginning Class M Certificate balance (adjusted for the actual number of days in the period). 8 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 $959,704,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES MARCH 7, 2006 - -------------------------------------------------------------------------------- ASSUMED MONTHLY EXCESS INTEREST PERIOD STATIC LIBOR FORWARD LIBOR - ----------------------------------------------------------- 1 1.13 1.13 2 2.94 2.79 3 2.78 2.47 4 2.94 2.64 5 2.78 2.40 6 2.78 2.33 7 2.94 2.53 8 2.78 2.32 9 2.94 2.47 10 2.78 2.35 11 2.68 2.26 12 3.15 2.74 13 2.68 2.22 14 2.84 2.38 15 2.68 2.20 16 2.83 2.36 17 2.68 2.19 18 2.68 2.19 19 2.83 2.35 20 2.68 2.19 21 2.83 2.36 22 4.80 4.34 23 4.78 4.34 24 5.08 4.68 25 4.73 4.33 26 4.89 4.52 27 4.72 4.36 28 5.01 4.74 29 4.85 4.58 30 4.85 4.59 31 4.75 4.52 32 4.59 4.35 33 4.77 4.54 34 4.68 4.42 35 4.69 4.43 36 5.17 4.93 37 4.70 4.41 38 4.69 4.39 39 4.41 4.07 40 4.63 4.35 41 4.50 4.19 42 4.51 4.18 43 4.67 4.35 44 4.51 4.16 45 4.67 4.32 46 4.50 4.18 47 4.50 4.17 48 4.97 4.69 49 4.48 4.15 50 4.64 4.32 51 4.47 4.14 52 4.63 4.31 53 4.46 4.13 54 4.45 4.13 55 4.61 4.30 56 4.44 4.11 57 4.60 4.28 58 4.55 4.22 59 4.54 4.21 60 5.02 4.73 61 4.53 4.20 62 4.68 4.37 63 4.51 4.19 64 4.68 4.37 65 4.51 4.19 66 4.50 4.18 67 4.65 4.34 68 4.48 4.15 69 4.63 4.32 70 4.46 4.13 71 4.45 4.12 - -------------------------------------------------------------------------------- Assumptions: 1. Run at pricing prepayment assumption 2. Excess (30/360) 3. Static Indices: 1mL = 4.67%; 6mL = 5.00% 4. Forward 1mL used for Certificates, Forward 6mL used for collateral 5. 10% optional clean-up call 9 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 $959,704,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES MARCH 7, 2006 - -------------------------------------------------------------------------------- BREAKEVEN (LAST CDR PRIOR TO 1ST DOLLAR LOSS) BOND CDR BE RATE WAL CUM LOSS - ------------------------------------------------------ M-1 35.77 5.16 23.07 M-2 28.65 5.98 20.11 M-3 24.92 7.20 18.35 M-4 21.82 7.84 16.76 M-5 19.17 8.42 15.28 M-6 16.80 8.97 13.87 M-7 14.61 9.50 12.47 M-8 12.78 10.16 11.23 M-9 11.40 10.92 10.24 ASSUMPTIONS: 1. Trigger event is always in effect 2. 40% loss severity 3. 6 months lag 4. Pricing prepayment assumption 5. Certificates use 1-month LIBOR forward and collateral uses 6-month LIBOR forward 6. P&I advance 10 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-OPT1 $959,704,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES MARCH 7, 2006 - -------------------------------------------------------------------------------- FOR MORE INFORMATION, PLEASE CALL: - ---------------------------------------------- CITIGROUP GLOBAL MARKETS INC. - ---------------------------------------------- MORTGAGE FINANCE Philip Seares 212-723-1145 Michael Murai 212-723-1256 Kapil Dargan 212-723-6195 MORTGAGE ANALYTICS Shekhar Shah 212-723-5386 Neil Aggarwal 212-723-6420 MORTGAGE TRADING Matt Cherwin 212-723-6325 Eliot Rubenzahl 212-723-6325 11 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering.