Carrington Mortgage Loan Trust, Series 2006-FRE1 Inactive
Filed: 21 Jun 06, 12:00am
FREE WRITING PROSPECTUS FILED PURSUANT TO RULE 433 REGISTRATION STATMENT NO.: 333-130210 - -------------------------------------------------------------------------------- [CCM LOGO] COMPUTATIONAL MATERIALS $1,153,121,000 (APPROXIMATE) - -------------------------------------------------------------------------------- CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-FRE1 ASSET-BACKED PASS-THROUGH CERTIFICATES - -------------------------------------------------------------------------------- CARRINGTON SECURITIES, LP Sponsor FREMONT INVESTMENT & LOAN Originator & Servicer STANWICH ASSET ACCEPTANCE COMPANY, L.L.C. Depositor CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-FRE1 Issuing Entity JUNE 19, 2006 Barclays Capital Inc. [BARCLAYS CAPITAL LOGO] CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-FRE1 $1,153,121,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 19, 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 offered 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 1-888-227-2275 ext. 2663. 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-FRE1 $1,153,121,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 19, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO OPTIONAL REDEMPTION - -------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION* - ------------------------------------------------------------------------------------ 0PPC 50PPC 100PPC 150PPC 200PPC - ------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------ CLASS A-1 - ------------------------------------------------------------------------------------ WAL 17.66 1.63 1.00 0.74 0.60 Principal Window 1 - 301 1 - 36 1 - 21 1 - 15 1 - 12 Principal Window End 7/25/2031 6/25/2009 3/25/2008 9/25/2007 6/25/2007 - ------------------------------------------------------------------------------------ CLASS A-2 - ------------------------------------------------------------------------------------ WAL 26.81 4.00 2.00 1.51 1.15 Principal Window 301 - 348 36 - 68 21 - 28 15 - 21 12 - 16 Principal Window End 6/25/2035 2/25/2012 10/25/2008 3/25/2008 10/25/2007 - ------------------------------------------------------------------------------------ CLASS A-3 - ------------------------------------------------------------------------------------ WAL 29.73 8.28 3.00 1.87 1.52 Principal Window 348 - 358 68 - 147 28 - 70 21 - 24 16 - 21 Principal Window End 4/25/2036 9/25/2018 4/25/2012 6/25/2008 3/25/2008 - ------------------------------------------------------------------------------------ CLASS A-4 - ------------------------------------------------------------------------------------ WAL 29.83 12.41 5.91 2.08 1.76 Principal Window 358 - 358 147 - 149 70 - 71 24 - 26 21 - 22 Principal Window End 4/25/2036 11/25/2018 5/25/2012 8/25/2008 4/25/2008 - ------------------------------------------------------------------------------------ CLASS M-1 - ------------------------------------------------------------------------------------ WAL 29.29 8.19 5.04 2.29 1.86 Principal Window 324 - 358 48 - 149 52 - 71 26 - 29 22 - 23 Principal Window End 4/25/2036 11/25/2018 5/25/2012 11/25/2008 5/25/2008 - ------------------------------------------------------------------------------------ CLASS M-2 - ------------------------------------------------------------------------------------ WAL 29.29 8.19 4.65 2.55 1.96 Principal Window 324 - 358 48 - 149 47 - 71 29 - 32 23 - 24 Principal Window End 4/25/2036 11/25/2018 5/25/2012 2/25/2009 6/25/2008 - ------------------------------------------------------------------------------------ CLASS M-3 - ------------------------------------------------------------------------------------ WAL 29.29 8.19 4.48 2.79 2.06 Principal Window 324 - 358 48 - 149 45 - 71 32 - 35 24 - 25 Principal Window End 4/25/2036 11/25/2018 5/25/2012 5/25/2009 7/25/2008 - ------------------------------------------------------------------------------------ CLASS M-4 - ------------------------------------------------------------------------------------ WAL 29.29 8.19 4.40 3.11 2.15 Principal Window 324 - 358 48 - 149 43 - 71 35 - 43 25 - 27 Principal Window End 4/25/2036 11/25/2018 5/25/2012 1/25/2010 9/25/2008 * 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-FRE1 $1,153,121,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 19, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO OPTIONAL REDEMPTION - -------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION* - ---------------------------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC - ---------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------- CLASS M-5 - ---------------------------------------------------------------------------------- WAL 29.29 8.19 4.33 3.58 2.29 Principal Window 324 - 358 48 - 149 42 - 71 43 - 43 27 - 28 Principal Window End 4/25/2036 11/25/2018 5/25/2012 1/25/2010 10/25/2008 - ---------------------------------------------------------------------------------- CLASS M-6 - ---------------------------------------------------------------------------------- WAL 29.29 8.19 4.29 3.58 2.44 Principal Window 324 - 358 48 - 149 41 - 71 43 - 43 28 - 30 Principal Window End 4/25/2036 11/25/2018 5/25/2012 1/25/2010 12/25/2008 - ---------------------------------------------------------------------------------- CLASS M-7 - ---------------------------------------------------------------------------------- WAL 29.29 8.19 4.25 3.58 2.49 Principal Window 324 - 358 48 - 149 40 - 71 43 - 43 30 - 30 Principal Window End 4/25/2036 11/25/2018 5/25/2012 1/25/2010 12/25/2008 - ---------------------------------------------------------------------------------- CLASS M-8 - ---------------------------------------------------------------------------------- WAL 29.29 8.19 4.22 3.58 2.49 Principal Window 324 - 358 48 - 149 39 - 71 43 - 43 30 - 30 Principal Window End 4/25/2036 11/25/2018 5/25/2012 1/25/2010 12/25/2008 - ---------------------------------------------------------------------------------- CLASS M-9 - ---------------------------------------------------------------------------------- WAL 29.29 8.19 4.21 3.58 2.49 Principal Window 324 - 358 48 - 149 39 - 71 43 - 43 30 - 30 Principal Window End 4/25/2036 11/25/2018 5/25/2012 1/25/2010 12/25/2008 * 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-FRE1 $1,153,121,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 19, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY - -------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION* - ------------------------------------------------------------------------------------ 0PPC 50PPC 100PPC 150PPC 200PPC - ------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------ CLASS A-1 - ------------------------------------------------------------------------------------ WAL 17.66 1.63 1.00 0.74 0.60 Principal Window 1 - 301 1 - 36 1 - 21 1 - 15 1 - 12 Principal Window End 7/25/2031 6/25/2009 3/25/2008 9/25/2007 6/25/2007 - ------------------------------------------------------------------------------------ CLASS A-2 - ------------------------------------------------------------------------------------ WAL 26.81 4.00 2.00 1.51 1.15 Principal Window 301 - 348 36 - 68 21 - 28 15 - 21 12 - 16 Principal Window End 6/25/2035 2/25/2012 10/25/2008 3/25/2008 10/25/2007 - ------------------------------------------------------------------------------------ CLASS A-3 - ------------------------------------------------------------------------------------ WAL 29.73 8.28 3.00 1.87 1.52 Principal Window 348 - 358 68 - 147 28 - 70 21 - 24 16 - 21 Principal Window End 4/25/2036 9/25/2018 4/25/2012 6/25/2008 3/25/2008 - ------------------------------------------------------------------------------------ CLASS A-4 - ------------------------------------------------------------------------------------ WAL 29.83 16.84 8.17 2.08 1.76 Principal Window 358 - 358 147 - 313 70 - 162 24 - 26 21 - 22 Principal Window End 4/25/2036 7/25/2032 12/25/2019 8/25/2008 4/25/2008 - ------------------------------------------------------------------------------------ CLASS M-1 - ------------------------------------------------------------------------------------ WAL 29.29 9.07 5.48 2.29 1.86 Principal Window 324 - 358 48 - 283 52 - 142 26 - 29 22 - 23 Principal Window End 4/25/2036 1/25/2030 4/25/2018 11/25/2008 5/25/2008 - ------------------------------------------------------------------------------------ CLASS M-2 - ------------------------------------------------------------------------------------ WAL 29.29 9.05 5.09 2.55 1.96 Principal Window 324 - 358 48 - 274 47 - 137 29 - 32 23 - 24 Principal Window End 4/25/2036 4/25/2029 11/25/2017 2/25/2009 6/25/2008 - ------------------------------------------------------------------------------------ CLASS M-3 - ------------------------------------------------------------------------------------ WAL 29.29 9.03 4.91 2.79 2.06 Principal Window 324 - 358 48 - 264 45 - 131 32 - 35 24 - 25 Principal Window End 4/25/2036 6/25/2028 5/25/2017 5/25/2009 7/25/2008 - ------------------------------------------------------------------------------------ CLASS M-4 - ------------------------------------------------------------------------------------ WAL 29.29 9.01 4.81 4.13 2.15 Principal Window 324 - 358 48 - 257 43 - 127 35 - 99 25 - 27 Principal Window End 4/25/2036 11/25/2027 1/25/2017 9/25/2014 9/25/2008 * 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-FRE1 $1,153,121,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 19, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY - -------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION* - ------------------------------------------------------------------------------------ 0PPC 50PPC 100PPC 150PPC 200PPC - ------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------ CLASS M-5 - ------------------------------------------------------------------------------------ WAL 29.29 8.99 4.73 5.99 2.29 Principal Window 324 - 358 48 - 249 42 - 122 63 - 84 27 - 28 Principal Window End 4/25/2036 3/25/2027 8/25/2016 6/25/2013 10/25/2008 - ------------------------------------------------------------------------------------ CLASS M-6 - ------------------------------------------------------------------------------------ WAL 29.29 8.96 4.67 4.86 2.44 Principal Window 324 - 358 48 - 241 41 - 117 54 - 71 28 - 30 Principal Window End 4/25/2036 7/25/2026 3/25/2016 5/25/2012 12/25/2008 - ------------------------------------------------------------------------------------ CLASS M-7 - ------------------------------------------------------------------------------------ WAL 29.29 8.91 4.61 4.34 2.60 Principal Window 324 - 358 48 - 231 40 - 112 48 - 68 30 - 32 Principal Window End 4/25/2036 9/25/2025 10/25/2015 2/25/2012 2/25/2009 - ------------------------------------------------------------------------------------ CLASS M-8 - ------------------------------------------------------------------------------------ WAL 29.29 8.86 4.55 4.03 2.78 Principal Window 324 - 358 48 - 221 39 - 107 45 - 64 32 - 35 Principal Window End 4/25/2036 11/25/2024 5/25/2015 10/25/2011 5/25/2009 - ------------------------------------------------------------------------------------ CLASS M-9 - ------------------------------------------------------------------------------------ WAL 29.29 8.79 4.50 3.82 3.14 Principal Window 324 - 358 48 - 209 39 - 101 43 - 61 35 - 67 Principal Window End 4/25/2036 11/25/2023 11/25/2014 7/25/2011 1/25/2012 * 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-FRE1 $1,153,121,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 19, 2006 - -------------------------------------------------------------------------------- NET WAC RATE PERIOD NET WAC RATE - ------ ------------ 1 8.75 2 7.63 3 7.63 4 7.88 5 7.62 6 7.88 7 7.62 8 7.62 9 8.44 10 7.62 11 7.88 12 7.62 13 7.88 14 7.62 15 7.62 16 7.88 17 7.62 18 7.88 19 7.62 20 7.62 21 8.15 22 7.62 23 9.67 24 9.35 25 9.66 26 9.34 27 9.34 28 9.65 29 10.20 30 10.53 31 10.19 32 10.19 33 11.27 34 10.18 35 10.53 36 10.19 37 10.53 38 10.18 39 10.18 40 10.51 41 10.18 42 10.51 43 10.17 44 10.16 45 11.25 46 10.15 47 10.49 48 10.14 49 10.48 50 10.13 51 10.13 52 10.46 53 10.12 54 10.45 55 10.11 56 10.10 57 11.18 58 10.09 59 10.42 60 10.08 61 10.41 62 10.07 63 10.07 64 10.40 65 10.06 66 10.39 67 10.04 68 10.04 69 10.72 70 10.03 71 10.35 Assumptions: Static Indices: 1mL= 5.18375% 6mL=5.41813% 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-FRE1 $1,153,121,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 19, 2006 - -------------------------------------------------------------------------------- CLASS A EFFECTIVE MAXIMUM RATE* PERIOD CLASS A AFC - ------ ----------- 1 11.50 2 11.50 3 11.50 4 11.50 5 11.50 6 11.50 7 11.50 8 11.50 9 11.50 10 11.50 11 11.50 12 11.50 13 11.50 14 11.50 15 11.50 16 11.50 17 11.50 18 11.50 19 11.50 20 11.50 21 11.50 22 11.50 23 11.50 24 11.50 25 11.50 26 11.50 27 11.50 28 12.47 29 13.89 30 14.60 31 14.45 32 14.81 33 16.81 34 15.76 35 18.92 36 19.25 37 226.87 38 132.01 39 33.59 40 33.94 41 32.79 42 33.16 43 31.42 44 30.76 45 33.36 46 29.53 47 29.92 48 28.39 49 28.77 50 27.31 51 26.80 52 27.18 53 25.83 54 26.22 55 24.92 56 24.49 57 26.65 58 23.67 59 24.07 60 22.92 61 23.30 62 22.20 63 21.90 64 22.61 65 21.87 66 22.58 67 21.83 68 21.82 69 23.30 70 21.78 71 20.25 *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-FRE1 $1,153,121,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 19, 2006 - -------------------------------------------------------------------------------- CLASS M EFFECTIVE MAXIMUM RATE* PERIOD CLASS M AFC - ------ ----------- 1 11.50 2 11.50 3 11.50 4 11.50 5 11.50 6 11.50 7 11.50 8 11.50 9 11.50 10 11.50 11 11.50 12 11.50 13 11.50 14 11.50 15 11.50 16 11.50 17 11.50 18 11.50 19 11.50 20 11.50 21 11.50 22 11.50 23 11.50 24 11.50 25 11.50 26 11.50 27 11.50 28 11.50 29 11.50 30 11.50 31 11.50 32 11.50 33 12.22 34 11.50 35 12.76 36 12.35 37 12.74 38 12.34 39 12.33 40 12.72 41 12.65 42 13.06 43 12.63 44 12.63 45 13.97 46 12.61 47 13.03 48 12.60 49 13.01 50 12.58 51 12.58 52 12.99 53 12.57 54 12.97 55 12.55 56 12.54 57 13.87 58 12.51 59 12.92 60 12.50 61 12.90 62 12.48 63 12.47 64 12.87 65 12.45 66 12.85 67 12.42 68 12.41 69 13.26 70 12.39 71 15.26 *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-FRE1 $1,153,121,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 19, 2006 - -------------------------------------------------------------------------------- ASSUMED MONTHLY EXCESS INTEREST PERIOD STATIC LIBOR FORWARD LIBOR - ------ ------------ ------------- 1 3.23 3.23 2 2.54 2.41 3 2.54 2.34 4 2.71 2.53 5 2.54 2.33 6 2.71 2.43 7 2.54 2.33 8 2.55 2.31 9 3.06 2.88 10 2.55 2.39 11 2.72 2.57 12 2.55 2.40 13 2.73 2.56 14 2.56 2.37 15 2.56 2.35 16 2.73 2.50 17 2.57 2.31 18 2.74 2.47 19 2.57 2.28 20 2.57 2.27 21 2.92 2.63 22 2.59 2.28 23 4.56 4.27 24 4.39 4.11 25 4.57 4.31 26 4.40 4.17 27 4.40 4.19 28 4.58 4.40 29 5.31 5.14 30 5.48 5.34 31 5.32 5.19 32 5.33 5.20 33 5.84 5.73 34 5.35 5.23 35 5.54 5.40 36 5.38 5.23 37 5.56 5.39 38 5.21 5.01 39 5.13 4.91 40 5.34 5.11 41 5.19 5.02 42 5.36 5.19 43 5.19 5.00 44 5.19 4.98 45 5.70 5.51 46 5.18 4.96 47 5.35 5.18 48 5.17 5.00 49 5.34 5.18 50 5.16 4.99 51 5.16 4.99 52 5.33 5.17 53 5.15 4.98 54 5.32 5.15 55 5.14 4.97 56 5.14 4.96 57 5.64 5.50 58 5.13 4.95 59 5.29 5.13 60 5.12 4.94 61 5.29 5.11 62 5.11 4.92 63 5.11 4.91 64 5.27 5.08 65 5.09 4.92 66 5.26 5.09 67 5.08 4.89 68 5.07 4.88 69 5.41 5.23 70 5.06 4.85 71 5.22 5.05 Assumptions: 1. Run at pricing prepayment assumption 2. Excess (30/360) 3. Static Indices: 1mL = 5.18375%; 6mL = 5.41813% 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-FRE1 $1,153,121,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 19, 2006 - -------------------------------------------------------------------------------- BREAKEVEN (LAST CDR PRIOR TO 1ST DOLLAR LOSS) CDR BE BOND RATE WAL CUM LOSS - ---- ------ ----- -------- M-1 39.80 4.67 25.05 M-2 31.59 5.50 21.86 M-3 27.30 6.63 19.92 M-4 23.76 7.25 18.16 M-5 20.66 7.78 16.48 M-6 18.05 8.36 14.94 M-7 15.70 8.88 13.46 M-8 13.73 9.50 12.13 M-9 12.22 10.22 11.06 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 7. 10% optional clean-up call is not exercised 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.