Carrington Mortgage Loan Trust, Series 2006-FRE2 Inactive
Filed: 2 Oct 06, 12:00am
- -------------------------------------------------------------------------------- Free Writing Prospectus for Carrington Mortgage Loan Trust, Series 2006-FRE2 (filed pursuant to Rule 433; SEC file No. 333-134218) SUBJECT TO REVISION Dated October 2, 2006 [CCM Carrington Capital Management LOGO] COMPUTATIONAL MATERIALS $946,460,000 (APPROXIMATE) CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-FRE2 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-FRE2 Issuing Entity OCTOBER 2, 2006 - -------------------------------------------------------------------------------- Barclays Capital Inc. [BARCLAYS CAPITAL LOGO] CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 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 described herein, 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 by information contained in a preliminary prospectus relating to the Offered Certificates. 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 conveyed to you a preliminary prospectus relating to the Offered Certificates and 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. 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 issuing entity. 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 issuing entity does not deliver such Offered Certificates, the underwriter will notify you, and neither the issuer 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 issuing entity 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO OPTIONAL REDEMPTION PERCENTAGE OF PREPAYMENT ASSUMPTION* 0PPC 50PPC 100PPC 150PPC 200PPC ---------- ---------- ---------- ---------- ---------- CLASS A-1 WAL (years) 16.34 1.52 0.97 0.75 0.63 Principal Window (months) 1 - 283 1 - 31 1 - 19 1 - 14 1 - 11 Principal Window End 05/25/2030 05/25/2009 05/25/2008 12/25/2007 09/25/2007 CLASS A-2 WAL (years) 25.96 3.69 2.00 1.51 1.18 Principal Window (months) 283 - 341 31 - 63 19 - 28 14 - 22 11 - 17 Principal Window End 03/25/2035 01/25/2012 02/25/2009 08/25/2008 03/25/2008 CLASS A-3 WAL (years) 29.59 7.21 3.00 1.96 1.60 Principal Window (months) 341 - 359 63 - 117 ~28 - 56 22 - 25 17 - 21 Principal Window End 09/25/2036 07/25/2016 06/25/2011 11/25/2008 07/25/2008 CLASS A-4 WAL (years) 29.94 11.95 5.78 2.28 1.91 Principal Window (months) 359 - 359 117 - 151 56 - 73 25 - 30 21 - 24 Principal Window End 09/25/2036 05/25/2019 11/25/2012 04/25/2009 10/25/2008 CLASS A-5 WAL (years) 20.09 2.36 1.37 1.05 0.85 Principal Window (months) 1 - 341 1 - 63 1 - 28 1 - 22 1 - 17 Principal Window End 03/25/2035 01/25/2012 02/25/2009 08/25/2008 03/25/2008 CLASS M-1 WAL (years) 29.34 8.36 4.65 2.71 2.08 Principal Window (months) 323 - 359 49 - 151 45 - 73 30 - 34 24 - 26 Principal Window End 09/25/2036 05/25/2019 11/25/2012 08/25/2009 12/25/2008 CLASS M-2 WAL (years) 29.34 8.36 4.50 3.23 2.22 Principal Window (months) 323 - 359 49 - 151 43 - 73 ~34 - 44 26 - 28 Principal Window End 09/25/2036 05/25/2019 11/25/2012 06/25/2010 02/25/2009 CLASS M-3 WAL (years) 29.34 8.36 4.43 3.69 2.38 Principal Window (months) 323 - 359 49 - 151 42 - 73 44 - 44 28 - 29 Principal Window End 09/25/2036 05/25/2019 11/25/2012 06/25/2010 03/25/2009 * 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO OPTIONAL REDEMPTION PERCENTAGE OF PREPAYMENT ASSUMPTION* 0PPC 50PPC 100PPC 150PPC 200PPC ---------- ---------- ---------- ---------- ---------- CLASS M-4 WAL (years) 29.34 8.36 4.39 3.69 2.52 Principal Window (months) 323 - 359 49 - 151 41 - 73 44 - 44 29 - 31 Principal Window End 09/25/2036 05/25/2019 11/25/2012 06/25/2010 05/25/2009 CLASS M-5 WAL (years) 29.34 8.36 4.35 3.69 2.66 Principal Window (months) 323 - 359 49 - 151 40 - 73 44 - 44 31 - 32 Principal Window End 09/25/2036 05/25/2019 11/25/2012 06/25/2010 06/25/2009 CLASS M-6 WAL (years) 29.34 8.36 4.33 3.69 2.69 Principal Window (months) 323 - 359 49 - 151 39 - 73 44 - 44 32 - 32 Principal Window End 09/25/2036 05/25/2019 11/25/2012 06/25/2010 06/25/2009 CLASS M-7 WAL (years) 29.34 8.36 4.32 3.67 2.69 Principal Window (months) 323 - 359 49 - 151 38 - 73 43 - 44 32 - 32 Principal Window End 09/25/2036 05/25/2019 11/25/2012 06/25/2010 06/25/2009 CLASS M-8 WAL (years) 29.34 8.36 4.29 3.55 2.69 Principal Window (months) 323 - 359 49 - 151 38 - 73 41 - 44 32 - 32 Principal Window End 09/25/2036 05/25/2019 11/25/2012 06/25/2010 06/25/2009 CLASS M-9 WAL (years) 29.34 8.36 4.29 3.46 2.69 Principal Window (months) 323 - 359 49 - 151 38 - 73 40 - 44 32 - 32 Principal Window End 09/25/2036 05/25/2019 11/25/2012 06/25/2010 06/25/2009 * 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY PERCENTAGE OF PREPAYMENT ASSUMPTION* 0PPC 50PPC 100PPC 150PPC 200PPC ---------- ---------- ---------- ---------- ---------- CLASS A-1 WAL (years) 16.34 1.52 0.97 0.75 0.63 Principal Window (months) 1 - 283 1 - 31 1 - 19 1 - 14 1 - 11 Principal Window End 05/25/2030 05/25/2009 05/25/2008 12/25/2007 09/25/2007 CLASS A-2 WAL (years) 25.96 3.69 2.00 1.51 1.18 Principal Window (months) 283 - 341 31 - 63 19 - 28 14 - 22 11 - 17 Principal Window End 03/25/2035 01/25/2012 02/25/2009 08/25/2008 03/25/2008 CLASS A-3 WAL (years) 29.59 7.21 3.00 1.96 1.60 Principal Window (months) 341 - 359 63 - 117 ~28 - 56 22 - 25 17 - 21 Principal Window End 09/25/2036 07/25/2016 06/25/2011 11/25/2008 07/25/2008 CLASS A-4 WAL (years) 29.94 14.61 7.14 2.28 1.91 Principal Window (months) 359 - 359 117 - 317 56 - 167 25 - 30 21 - 24 Principal Window End 09/25/2036 03/25/2033 09/25/2020 04/25/2009 10/25/2008 CLASS A-5 WAL (years) 20.09 2.36 1.37 1.05 0.85 Principal Window (months) 1 - 341 1 - 63 1 - 28 1 - 22 1 - 17 Principal Window End 03/25/2035 01/25/2012 02/25/2009 08/25/2008 03/25/2008 CLASS M-1 WAL (years) 29.34 9.24 5.10 2.71 2.08 Principal Window (months) 323 - 359 49 - 278 45 - 141 30 - 34 24 - 26 Principal Window End 09/25/2036 12/25/2029 07/25/2018 08/25/2009 12/25/2008 CLASS M-2 WAL (years) 29.34 9.22 4.93 4.56 2.22 Principal Window (months) 323 - 359 49 - 267 43 - 133 ~34 - 103 26 - 28 Principal Window End 09/25/2036 01/25/2029 11/25/2017 05/25/2015 02/25/2009 CLASS M-3 WAL (years) 29.34 9.19 4.84 5.72 2.38 Principal Window (months) 323 - 359 49 - 256 42 - 127 61 - 78 28 - 29 Principal Window End 09/25/2036 02/25/2028 05/25/2017 04/25/2013 03/25/2009 * 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY PERCENTAGE OF PREPAYMENT ASSUMPTION* 0PPC 50PPC 100PPC 150PPC 200PPC ---------- ---------- ---------- ---------- ---------- CLASS M-4 WAL (years) 29.34 9.16 4.78 4.84 2.52 Principal Window (months) 323 - 359 49 - 248 41 - 122 53 - 75 29 - 31 Principal Window End 09/25/2036 06/25/2027 12/25/2016 01/25/2013 05/25/2009 CLASS M-5 WAL (years) 29.34 9.13 4.73 4.39 2.67 Principal Window (months) 323 - 359 49 - 239 40 - 118 49 - 72 31 - 33 Principal Window End 09/25/2036 09/25/2026 08/25/2016 10/25/2012 07/25/2009 CLASS M-6 WAL (years) 29.34 9.08 4.68 4.09 2.85 Principal Window (months) 323 - 359 49 - 229 39 - 112 45 - 68 33 - 35 Principal Window End 09/25/2036 11/25/2025 02/25/2016 06/25/2012 09/25/2009 CLASS M-7 WAL (years) 29.34 9.01 4.63 3.88 4.04 Principal Window (months) 323 - 359 49 - 218 38 - 106 43 - 64 ~35 - 71 Principal Window End 09/25/2036 12/25/2024 08/25/2015 02/25/2012 09/25/2012 CLASS M-8 WAL (years) 29.34 8.90 4.55 3.71 4.41 Principal Window (months) 323 - 359 49 - 204 38 - 99 41 - 60 48 - 58 Principal Window End 09/25/2036 10/25/2023 01/25/2015 10/25/2011 08/25/2011 CLASS M-9 WAL (years) 29.34 8.77 4.48 3.58 3.87 Principal Window (months) 323 - 359 49 - 189 38 - 91 40 - 56 44 - 48 Principal Window End 09/25/2036 07/25/2022 05/25/2014 06/25/2011 10/25/2010 * 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- NET WAC RATE PERIOD NET WAC RATE (%) - ------ ---------------- 1 6.32 2 8.01 3 7.75 4 7.75 5 8.58 6 7.75 7 8.01 8 7.75 9 8.01 10 7.75 11 7.75 12 8.01 13 7.75 14 8.01 15 7.75 16 7.75 17 8.28 18 7.75 19 8.01 20 7.75 21 8.01 22 7.77 23 7.87 24 9.27 25 8.97 26 9.26 27 8.95 28 8.97 29 10.04 30 10.07 31 10.40 32 10.06 33 10.39 34 10.05 35 10.07 36 10.49 37 10.15 38 10.48 39 10.14 40 10.14 41 11.22 42 10.15 43 10.49 44 10.15 45 10.48 46 10.14 47 10.13 48 10.47 49 10.13 50 10.46 51 10.12 52 10.11 53 11.19 54 10.10 55 10.43 56 10.09 57 10.42 58 10.07 59 10.07 60 10.41 61 10.06 62 10.39 63 10.05 64 10.04 65 10.73 66 10.04 67 10.37 68 10.03 69 10.35 70 10.01 71 10.01 72 10.33 73 9.99 Assumptions: Static Indices: 1mL= 5.32625% 6mL=5.37750% 10% Optional Cleanup Call Based On Pricing Prepayment Assumption Calculated without regard to any net swap payments due to the Swap Counterparty 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- CLASS A EFFECTIVE MAXIMUM RATE* PERIOD CLASS A AFC (%) - ------ --------------- 1 12.50 2 12.50 3 12.50 4 12.50 5 12.50 6 12.50 7 12.50 8 12.50 9 12.50 10 12.50 11 12.50 12 12.50 13 12.50 14 12.50 15 12.50 16 12.50 17 12.50 18 12.50 19 12.50 20 12.50 21 12.50 22 12.50 23 12.50 24 12.50 25 12.50 26 12.50 27 12.50 28 12.50 29 12.50 30 12.50 31 12.50 32 12.50 33 12.50 34 12.50 35 12.50 36 12.50 37 12.50 38 12.50 39 12.50 40 12.50 41 12.50 42 12.50 43 12.50 44 12.50 45 12.50 46 12.50 47 12.50 48 12.50 49 12.50 50 12.50 51 12.50 52 12.50 53 12.50 54 12.50 55 12.50 56 12.50 57 12.50 58 12.50 59 12.50 60 12.50 61 12.50 62 12.50 63 12.50 64 12.50 65 12.50 66 12.50 67 12.50 68 12.50 69 12.50 70 12.50 71 12.50 72 12.50 73 12.50 * Assumptions: Static Indices: 1mL=20.0% 6mL=20.0% * 10% Optional Cleanup Call Based On Pricing Prepayment Assumption * Includes any payments made from the Swap Agreement (assumes swap rate of 5.12%) * The Class A Effective Maximum Rate is the lesser of (i) 12.50%, or (ii) 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- CLASS M EFFECTIVE MAXIMUM RATE* PERIOD CLASS M AFC (%) - ------ --------------- 1 12.50 2 12.50 3 12.50 4 12.50 5 12.50 6 12.50 7 12.50 8 12.50 9 12.50 10 12.50 11 12.50 12 12.50 13 12.50 14 12.50 15 12.50 16 12.50 17 12.50 18 12.50 19 12.50 20 12.50 21 12.50 22 12.50 23 12.50 24 12.50 25 12.50 26 12.50 27 12.50 28 12.50 29 12.50 30 12.50 31 12.50 32 12.50 33 12.50 34 12.50 35 12.50 36 12.50 37 12.50 38 12.50 39 12.50 40 12.50 41 12.50 42 12.50 43 12.50 44 12.50 45 12.50 46 12.50 47 12.50 48 12.50 49 12.50 50 12.50 51 12.50 52 12.50 53 12.50 54 12.50 55 12.50 56 12.50 57 12.50 58 12.50 59 12.50 60 12.50 61 12.50 62 12.50 63 12.50 64 12.50 65 12.50 66 12.50 67 12.50 68 12.50 69 12.50 70 12.50 71 12.50 72 12.50 73 12.50 * Assumptions: Static Indices: 1mL=20.0% 6mL=20.0% * 10% Optional Cleanup Call Based On Pricing Prepayment Assumption * Includes any payments made from the Swap Agreement (assumes swap rate of 5.12%) * The Class M Effective Maximum Rate is the lesser of (i) 12.50%, or (ii) 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- ASSUMED MONTHLY EXCESS INTEREST STATIC FORWARD PERIOD LIBOR (%) LIBOR (%) - ------ --------- --------- 1 1.31 1.31 2 2.81 2.81 3 2.80 2.80 4 2.80 2.80 5 2.84 2.84 6 2.80 2.80 7 2.81 2.82 8 2.79 2.80 9 2.80 2.83 10 2.78 2.81 11 2.77 2.81 12 2.79 2.84 13 2.76 2.82 14 2.79 2.85 15 2.74 2.82 16 2.74 2.82 17 2.82 2.91 18 2.72 2.82 19 2.77 2.87 20 2.71 2.82 21 2.76 2.88 22 2.72 2.85 23 2.81 2.95 24 4.01 4.17 25 3.91 4.10 26 3.98 4.19 27 3.88 4.11 28 3.89 4.13 29 4.28 4.49 30 5.02 4.96 31 5.11 5.05 32 5.00 4.96 33 5.11 5.05 34 4.99 4.95 35 5.01 4.95 36 5.21 5.11 37 5.09 5.00 38 5.08 4.97 39 4.99 4.88 40 5.00 4.88 41 5.35 5.20 42 5.03 4.95 43 5.14 5.06 44 5.02 4.94 45 5.06 5.08 46 4.87 4.90 47 4.87 4.90 48 5.05 5.10 49 4.87 4.92 50 5.04 5.08 51 4.86 4.91 52 4.85 4.89 53 5.39 5.40 54 4.84 4.89 55 5.01 5.05 56 4.82 4.86 57 4.99 5.02 58 4.81 4.83 59 4.80 4.82 60 4.98 5.02 61 4.79 4.83 62 4.97 4.99 63 4.78 4.80 64 4.77 4.78 65 5.13 5.13 66 4.77 4.80 67 4.94 4.97 68 4.75 4.78 69 4.93 4.95 70 4.74 4.76 71 4.73 4.76 72 4.91 4.94 73 4.72 4.76 Assumptions: 1. Run at pricing prepayment assumption 2. Excess (30/360) 3. Static Indices: 1mL = 5.32625%; 6mL = 5.37750% 4. Forward 1mL used for Certificates, Forward 6mL used for collateral 5. 10% optional clean-up call 6. Takes into account net swap payments (assumes swap rate of 5.12%) 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- BREAKEVEN (LAST CDR PRIOR TO 1ST DOLLAR LOSS) WAL BOND CDR BE RATE (%) (YEARS) CUM LOSS (%) - ---- --------------- ------- ------------ M-1 30.43 5.52 21.86 M-2 24.81 6.61 19.17 M-3 21.87 7.83 17.60 M-4 19.35 8.38 16.14 M-5 17.06 8.82 14.72 M-6 15.03 9.35 13.38 M-7 13.19 9.86 12.09 M-8 11.65 10.44 10.95 M-9 10.44 11.24 10.02 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 8. Assumes swap rate of 5.12% 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.