Carrington Mortgage Loan Trust, Series 2007-RFC1 Inactive
Filed: 17 Jan 07, 12:00am
Free Writing Prospectus for
Carrington Mortgage Loan Trust, Series 2007-RFC1
(filed pursuant to Rule 433; SEC file No. 333-134218)
SUBJECT TO REVISION Dated January 17, 2007
MBS New Issue Free Writing Prospectus
$846,634,000 (Approximate)
Carrington Mortgage Loan Trust, Series 2007-RFC1 Asset-Backed Pass-Through Certificates |
Carrington Securities, LP
Sponsor
Residential Funding Company, LLC
Seller & Servicer
Homecomings Financial, LLC
Subservicer
Stanwich Asset Acceptance Company, L.L.C.
Depositor
Carrington Mortgage Loan Trust, Series 2007-RFC1
Issuing Entity
January 17, 2007
Carrington Mortgage Loan Trust, Series 2007-RFC1 Asset Backed Pass-Through Certificates | $846,634,000 (approximate) January 17, 2007 |
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.
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.
1
Carrington Mortgage Loan Trust, Series 2007-RFC1 Asset Backed Pass-Through Certificates | $846,634,000 (approximate) January 17, 2007 |
Weighted Average Life Sensitivity | |||||
To Optional Redemption | |||||
Percentage of Prepayment Assumption* | |||||
0PPC | 50PPC | 100PPC | 150PPC | 200PPC | |
Class A-1 | |||||
| WAL | 16.47 | 1.69 | 1.00 | 0.72 | 0.57 |
| Principal Window | 1 - 289 | 1 - 39 | 1 - 21 | 1 - 16 | 1 - 12 |
| Principal Window End | 02/25/2031 | 04/25/2010 | 10/25/2008 | 05/25/2008 | 01/25/2008 |
Class A-2 | |||||
| WAL | 25.73 | 4.26 | 2.00 | 1.52 | 1.14 |
| Principal Window | 289 - 333 | 39 - 71 | 21 - 28 | 16 - 20 | 12 - 16 |
| Principal Window End | 10/25/2034 | 12/25/2012 | 05/25/2009 | 09/25/2008 | 05/25/2008 |
Class A-3 | |||||
| WAL | 29.14 | 8.72 | 3.00 | 1.81 | 1.50 |
| Principal Window | 333 - 356 | 71 - 155 | 28 - 74 | 20 - 24 | 16 - 20 |
| Principal Window End | 09/25/2036 | 12/25/2019 | 03/25/2013 | 01/25/2009 | 09/25/2008 |
Class A-4 | |||||
| WAL | 29.67 | 12.92 | 6.17 | 2.06 | 1.73 |
| Principal Window | 356 - 356 | 155 - 155 | 74 - 74 | 24 - 26 | 20 - 22 |
| Principal Window End | 09/25/2036 | 12/25/2019 | 03/25/2013 | 03/25/2009 | 11/25/2008 |
Class M-1 | |||||
| WAL | 28.54 | 8.46 | 5.20 | 3.62 | 2.34 |
| Principal Window | 306 - 356 | 48 - 155 | 52 - 74 | 26 - 44 | 22 - 33 |
| Principal Window End | 09/25/2036 | 12/25/2019 | 03/25/2013 | 09/25/2010 | 10/25/2009 |
Class M-2 | |||||
| WAL | 28.54 | 8.46 | 4.70 | 3.43 | 2.73 |
| Principal Window | 306 - 356 | 48 - 155 | 46 - 74 | 36 - 44 | 31 - 33 |
| Principal Window End | 09/25/2036 | 12/25/2019 | 03/25/2013 | 09/25/2010 | 10/25/2009 |
Class M-3 | |||||
| WAL | 28.54 | 8.46 | 4.53 | 3.12 | 2.57 |
| Principal Window | 306 - 356 | 48 - 155 | 44 - 74 | 34 - 44 | 29 - 33 |
| Principal Window End | 09/25/2036 | 12/25/2019 | 03/25/2013 | 09/25/2010 | 10/25/2009 |
Class M-4 | |||||
| WAL | 28.54 | 8.46 | 4.46 | 3.01 | 2.44 |
| Principal Window | 306 - 356 | 48 - 155 | 42 - 74 | 32 - 44 | 27 - 33 |
| Principal Window End | 09/25/2036 | 12/25/2019 | 03/25/2013 | 09/25/2010 | 10/25/2009 |
* 85% CPR maximum in any given period.
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.
2
Carrington Mortgage Loan Trust, Series 2007-RFC1 Asset Backed Pass-Through Certificates | $846,634,000 (approximate) January 17, 2007 |
Weighted Average Life Sensitivity | |||||
To Optional Redemption | |||||
Percentage of Prepayment Assumption* | |||||
0PPC | 50PPC | 100PPC | 150PPC | 200PPC | |
Class M-5 | |||||
| WAL | 28.54 | 8.46 | 4.40 | 2.94 | 2.35 |
| Principal Window | 306 - 356 | 48 - 155 | 41 - 74 | 31 - 44 | 26 - 33 |
| Principal Window End | 09/25/2036 | 12/25/2019 | 03/25/2013 | 09/25/2010 | 10/25/2009 |
Class M-6 | |||||
| WAL | 28.54 | 8.46 | 4.37 | 2.89 | 2.30 |
| Principal Window | 306 - 356 | 48 - 155 | 40 - 74 | 31 - 44 | 25 - 33 |
| Principal Window End | 09/25/2036 | 12/25/2019 | 03/25/2013 | 09/25/2010 | 10/25/2009 |
Class M-7 | |||||
| WAL | 28.54 | 8.46 | 4.33 | 2.85 | 2.26 |
| Principal Window | 306 - 356 | 48 - 155 | 39 - 74 | 30 - 44 | 24 - 33 |
| Principal Window End | 09/25/2036 | 12/25/2019 | 03/25/2013 | 09/25/2010 | 10/25/2009 |
Class M-8 | |||||
| WAL | 28.54 | 8.46 | 4.30 | 2.81 | 2.22 |
| Principal Window | 306 - 356 | 48 - 155 | 39 - 74 | 29 - 44 | 24 - 33 |
| Principal Window End | 09/25/2036 | 12/25/2019 | 03/25/2013 | 09/25/2010 | 10/25/2009 |
Class M-9 | |||||
| WAL | 28.54 | 8.46 | 4.29 | 2.80 | 2.22 |
| Principal Window | 306 - 356 | 48 - 155 | 38 - 74 | 28 - 44 | 24 - 33 |
| Principal Window End | 09/25/2036 | 12/25/2019 | 03/25/2013 | 09/25/2010 | 10/25/2009 |
* 85% CPR maximum in any given period.
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.
3
Carrington Mortgage Loan Trust, Series 2007-RFC1 Asset Backed Pass-Through Certificates | $846,634,000 (approximate) January 17, 2007 |
Weighted Average Life Sensitivity | |||||
To Maturity | |||||
Percentage of Prepayment Assumption* | |||||
0PPC | 50PPC | 100PPC | 150PPC | 200PPC | |
Class A-1 | |||||
| WAL | 16.47 | 1.69 | 1.00 | 0.72 | 0.57 |
| Principal Window | 1 - 289 | 1 - 39 | 1 - 21 | 1 - 16 | 1 - 12 |
| Principal Window End | 02/25/2031 | 04/25/2010 | 10/25/2008 | 05/25/2008 | 01/25/2008 |
Class A-2 | |||||
| WAL | 25.73 | 4.26 | 2.00 | 1.52 | 1.14 |
| Principal Window | 289 - 333 | 39 - 71 | 21 - 28 | 16 - 20 | 12 - 16 |
| Principal Window End | 10/25/2034 | 12/25/2012 | 05/25/2009 | 09/25/2008 | 05/25/2008 |
Class A-3 | |||||
| WAL | 29.14 | 8.72 | 3.00 | 1.81 | 1.50 |
| Principal Window | 333 - 356 | 71 - 155 | 28 - 74 | 20 - 24 | 16 - 20 |
| Principal Window End | 09/25/2036 | 12/25/2019 | 03/25/2013 | 01/25/2009 | 09/25/2008 |
Class A-4 | |||||
| WAL | 29.70 | 17.64 | 8.83 | 2.06 | 1.73 |
| Principal Window | 356 - 357 | 155 - 319 | 74 - 178 | 24 - 26 | 20 - 22 |
| Principal Window End | 10/25/2036 | 08/25/2033 | 11/25/2021 | 03/25/2009 | 11/25/2008 |
Class M-1 | |||||
| WAL | 28.55 | 9.38 | 5.71 | 5.38 | 3.31 |
| Principal Window | 306 - 357 | 48 - 292 | 52 - 155 | 26 - 113 | 22 - 79 |
| Principal Window End | 10/25/2036 | 05/25/2031 | 12/25/2019 | 06/25/2016 | 08/25/2013 |
Class M-2 | |||||
| WAL | 28.55 | 9.35 | 5.19 | 3.75 | 3.10 |
| Principal Window | 306 - 357 | 48 - 280 | 46 - 147 | 36 - 91 | 31 - 63 |
| Principal Window End | 10/25/2036 | 05/25/2030 | 04/25/2019 | 08/25/2014 | 04/25/2012 |
Class M-3 | |||||
| WAL | 28.55 | 9.32 | 5.01 | 3.42 | 2.76 |
| Principal Window | 306 - 357 | 48 - 266 | 44 - 137 | 34 - 85 | 29 - 59 |
| Principal Window End | 10/25/2036 | 03/25/2029 | 06/25/2018 | 02/25/2014 | 12/25/2011 |
Class M-4 | |||||
| WAL | 28.55 | 9.29 | 4.91 | 3.30 | 2.62 |
| Principal Window | 306 - 357 | 48 - 260 | 42 - 133 | 32 - 82 | 27 - 57 |
| Principal Window End | 10/25/2036 | 09/25/2028 | 02/25/2018 | 11/25/2013 | 10/25/2011 |
* 85% CPR maximum in any given period.
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.
4
Carrington Mortgage Loan Trust, Series 2007-RFC1 Asset Backed Pass-Through Certificates | $846,634,000 (approximate) January 17, 2007 |
Weighted Average Life Sensitivity | |||||
To Maturity | |||||
Percentage of Prepayment Assumption* | |||||
0PPC | 50PPC | 100PPC | 150PPC | 200PPC | |
Class M-5 | |||||
| WAL | 28.55 | 9.26 | 4.83 | 3.22 | 2.52 |
| Principal Window | 306 - 357 | 48 - 248 | 41 - 126 | 31 - 77 | 26 - 54 |
| Principal Window End | 10/25/2036 | 09/25/2027 | 07/25/2017 | 06/25/2013 | 07/25/2011 |
Class M-6 | |||||
| WAL | 28.55 | 9.22 | 4.78 | 3.16 | 2.46 |
| Principal Window | 306 - 357 | 48 - 240 | 40 - 121 | 31 - 74 | 25 - 52 |
| Principal Window End | 10/25/2036 | 01/25/2027 | 02/25/2017 | 03/25/2013 | 05/25/2011 |
Class M-7 | |||||
| WAL | 28.55 | 9.16 | 4.71 | 3.09 | 2.40 |
| Principal Window | 306 - 357 | 48 - 231 | 39 - 115 | 30 - 70 | 24 - 50 |
| Principal Window End | 10/25/2036 | 04/25/2026 | 08/25/2016 | 11/25/2012 | 03/25/2011 |
Class M-8 | |||||
| WAL | 28.54 | 9.09 | 4.64 | 3.02 | 2.34 |
| Principal Window | 306 - 357 | 48 - 216 | 39 - 107 | 29 - 65 | 24 - 46 |
| Principal Window End | 10/25/2036 | 01/25/2025 | 12/25/2015 | 06/25/2012 | 11/25/2010 |
Class M-9 | |||||
| WAL | 28.54 | 9.00 | 4.58 | 2.98 | 2.33 |
| Principal Window | 306 - 356 | 48 - 208 | 38 - 102 | 28 - 62 | 24 - 44 |
| Principal Window End | 09/25/2036 | 05/25/2024 | 07/25/2015 | 03/25/2012 | 09/25/2010 |
* 85% CPR maximum in any given period.
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.
5
Carrington Mortgage Loan Trust, Series 2007-RFC1 Asset Backed Pass-Through Certificates | $846,634,000 (approximate) January 17, 2007 |
Net WAC Rate
Period | Net WAC Rate (%) | Period | Net WAC Rate (%) | |
| 1 | 7.73 | 38 | 10.46 | |
| 2 | 8.56 | 39 | 9.53 | |
| 3 | 7.73 | 40 | 9.87 | |
| 4 | 7.99 | 41 | 9.55 | |
| 5 | 7.73 | 42 | 9.86 | |
| 6 | 7.99 | 43 | 9.53 | |
| 7 | 7.73 | 44 | 9.53 | |
| 8 | 7.73 | 45 | 9.90 | |
| 9 | 7.99 | 46 | 9.59 | |
| 10 | 7.73 | 47 | 9.90 | |
| 11 | 7.99 | 48 | 9.57 | |
| 12 | 7.73 | 49 | 9.56 | |
| 13 | 7.73 | 50 | 10.58 | |
| 14 | 8.27 | 51 | 9.55 | |
| 15 | 7.73 | 52 | 9.86 | |
| 16 | 7.99 | 53 | 9.54 | |
| 17 | 7.73 | 54 | 9.85 | |
| 18 | 7.99 | 55 | 9.52 | |
| 19 | 7.73 | 56 | 9.51 | |
| 20 | 7.74 | 57 | 9.82 | |
| 21 | 8.28 | 58 | 9.52 | |
| 22 | 8.57 | 59 | 9.83 | |
| 23 | 8.84 | 60 | 9.50 | |
| 24 | 8.53 | 61 | 9.49 | |
| 25 | 8.52 | 62 | 10.14 | |
| 26 | 9.43 | 63 | 9.47 | |
| 27 | 8.71 | 64 | 9.80 | |
| 28 | 9.37 | 65 | 9.47 | |
| 29 | 9.06 | 66 | 9.78 | |
| 30 | 9.36 | 67 | 9.45 | |
| 31 | 9.05 | 68 | 9.44 | |
| 32 | 9.06 | 69 | 9.75 | |
| 33 | 9.63 | 70 | 9.43 | |
| 34 | 9.47 | 71 | 9.74 | |
| 35 | 9.78 | 72 | 9.41 | |
| 36 | 9.46 | 73 | 9.41 | |
| 37 | 9.46 | 74 | 10.40 |
Assumptions: Static Indices: 1mL= 5.32% 6mL=5.37%
10% Optional Cleanup Call Based On Pricing Prepayment Assumption
Calculated without regard to any net swap payments due to and received from the Swap Counterparty
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.
6
Carrington Mortgage Loan Trust, Series 2007-RFC1 Asset Backed Pass-Through Certificates | $846,634,000 (approximate) January 17, 2007 |
Class A Effective Maximum Rate*
Period | Class A AFC (%) | Period | Class A AFC (%) | |
| 1 | 14.50 | 38 | 14.50 | |
| 2 | 14.50 | 39 | 14.50 | |
| 3 | 14.50 | 40 | 14.50 | |
| 4 | 14.50 | 41 | 14.50 | |
| 5 | 14.50 | 42 | 14.50 | |
| 6 | 14.50 | 43 | 14.50 | |
| 7 | 14.50 | 44 | 14.50 | |
| 8 | 14.50 | 45 | 14.50 | |
| 9 | 14.50 | 46 | 14.50 | |
| 10 | 14.50 | 47 | 14.50 | |
| 11 | 14.50 | 48 | 14.50 | |
| 12 | 14.50 | 49 | 14.50 | |
| 13 | 14.50 | 50 | 14.50 | |
| 14 | 14.50 | 51 | 14.50 | |
| 15 | 14.50 | 52 | 14.50 | |
| 16 | 14.50 | 53 | 14.50 | |
| 17 | 14.50 | 54 | 14.50 | |
| 18 | 14.50 | 55 | 14.50 | |
| 19 | 14.50 | 56 | 14.50 | |
| 20 | 14.50 | 57 | 14.50 | |
| 21 | 14.50 | 58 | 14.50 | |
| 22 | 14.50 | 59 | 14.50 | |
| 23 | 14.50 | 60 | 14.50 | |
| 24 | 14.50 | 61 | 14.50 | |
| 25 | 14.50 | 62 | 14.50 | |
| 26 | 14.50 | 63 | 14.50 | |
| 27 | 14.50 | 64 | 14.50 | |
| 28 | 14.50 | 65 | 14.50 | |
| 29 | 14.50 | 66 | 14.50 | |
| 30 | 14.50 | 67 | 14.50 | |
| 31 | 14.50 | 68 | 14.50 | |
| 32 | 14.50 | 69 | 14.50 | |
| 33 | 14.50 | 70 | 14.50 | |
| 34 | 14.50 | 71 | 14.50 | |
| 35 | 14.50 | 72 | 14.50 | |
| 36 | 14.50 | 73 | 14.50 | |
| 37 | 14.50 | 74 | 14.50 |
| * | 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 |
| * | The Class A Effective Maximum Rate is the lesser of (i) 14.50%, 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). |
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.
7
Carrington Mortgage Loan Trust, Series 2007-RFC1 Asset Backed Pass-Through Certificates | $846,634,000 (approximate) January 17, 2007 |
Class M Effective Maximum Rate*
Period | Class M AFC (%) | Period | Class M AFC (%) | |
| 1 | 14.50 | 38 | 14.50 | |
| 2 | 14.50 | 39 | 14.50 | |
| 3 | 14.50 | 40 | 14.50 | |
| 4 | 14.50 | 41 | 14.50 | |
| 5 | 14.50 | 42 | 14.50 | |
| 6 | 14.50 | 43 | 14.50 | |
| 7 | 14.50 | 44 | 14.50 | |
| 8 | 14.50 | 45 | 14.38 | |
| 9 | 14.50 | 46 | 14.27 | |
| 10 | 14.50 | 47 | 14.88 | |
| 11 | 14.50 | 48 | 14.21 | |
| 12 | 14.50 | 49 | 14.18 | |
| 13 | 14.50 | 50 | 15.23 | |
| 14 | 14.50 | 51 | 14.31 | |
| 15 | 14.50 | 52 | 14.71 | |
| 16 | 14.50 | 53 | 14.49 | |
| 17 | 14.50 | 54 | 14.51 | |
| 18 | 14.50 | 55 | 14.42 | |
| 19 | 14.50 | 56 | 14.40 | |
| 20 | 14.50 | 57 | 14.70 | |
| 21 | 14.50 | 58 | 14.50 | |
| 22 | 14.50 | 59 | 14.50 | |
| 23 | 14.50 | 60 | 14.47 | |
| 24 | 14.50 | 61 | 14.43 | |
| 25 | 14.50 | 62 | 14.61 | |
| 26 | 14.50 | 63 | 14.42 | |
| 27 | 14.50 | 64 | 14.59 | |
| 28 | 14.50 | 65 | 14.39 | |
| 29 | 14.50 | 66 | 14.62 | |
| 30 | 14.50 | 67 | 14.29 | |
| 31 | 14.50 | 68 | 14.24 | |
| 32 | 14.50 | 69 | 15.02 | |
| 33 | 14.50 | 70 | 14.18 | |
| 34 | 14.50 | 71 | 14.84 | |
| 35 | 14.50 | 72 | 14.09 | |
| 36 | 14.50 | 73 | 14.04 | |
| 37 | 14.50 | 74 | 15.53 |
| * | 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 |
| * | The Class M Effective Maximum Rate is the lesser of (i) 14.50%, 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). |
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.
8
Carrington Mortgage Loan Trust, Series 2007-RFC1 Asset Backed Pass-Through Certificates | $846,634,000 (approximate) January 17, 2007 |
Assumed Monthly Excess Interest
Period | Static LIBOR (%) | Forward LIBOR (%) | Period | Static LIBOR (%) | Forward LIBOR (%) | |
| 1 | 2.85 | 2.85 | 38 | 4.69 | 4.65 | |
| 2 | 2.88 | 2.88 | 39 | 4.43 | 4.42 | |
| 3 | 2.84 | 2.84 | 40 | 4.59 | 4.61 | |
| 4 | 2.85 | 2.85 | 41 | 4.48 | 4.49 | |
| 5 | 2.83 | 2.84 | 42 | 4.59 | 4.58 | |
| 6 | 2.85 | 2.85 | 43 | 4.47 | 4.46 | |
| 7 | 2.83 | 2.84 | 44 | 4.46 | 4.45 | |
| 8 | 2.82 | 2.84 | 45 | 4.55 | 4.64 | |
| 9 | 2.84 | 2.87 | 46 | 4.39 | 4.50 | |
| 10 | 2.81 | 2.85 | 47 | 4.56 | 4.66 | |
| 11 | 2.84 | 2.88 | 48 | 4.37 | 4.48 | |
| 12 | 2.80 | 2.87 | 49 | 4.36 | 4.47 | |
| 13 | 2.79 | 2.87 | 50 | 4.89 | 4.97 | |
| 14 | 2.87 | 2.95 | 51 | 4.35 | 4.47 | |
| 15 | 2.78 | 2.87 | 52 | 4.53 | 4.63 | |
| 16 | 2.82 | 2.91 | 53 | 4.34 | 4.46 | |
| 17 | 2.77 | 2.86 | 54 | 4.51 | 4.62 | |
| 18 | 2.82 | 2.91 | 55 | 4.32 | 4.44 | |
| 19 | 2.76 | 2.85 | 56 | 4.32 | 4.43 | |
| 20 | 2.76 | 2.85 | 57 | 4.49 | 4.59 | |
| 21 | 3.10 | 3.20 | 58 | 4.32 | 4.44 | |
| 22 | 3.59 | 3.71 | 59 | 4.49 | 4.60 | |
| 23 | 3.65 | 3.77 | 60 | 4.31 | 4.42 | |
| 24 | 3.54 | 3.69 | 61 | 4.30 | 4.40 | |
| 25 | 3.52 | 3.69 | 62 | 4.64 | 4.73 | |
| 26 | 3.80 | 3.98 | 63 | 4.28 | 4.38 | |
| 27 | 3.71 | 3.93 | 64 | 4.46 | 4.56 | |
| 28 | 4.18 | 4.32 | 65 | 4.28 | 4.38 | |
| 29 | 4.08 | 4.24 | 66 | 4.45 | 4.54 | |
| 30 | 4.19 | 4.33 | 67 | 4.26 | 4.35 | |
| 31 | 4.10 | 4.25 | 68 | 4.25 | 4.34 | |
| 32 | 4.11 | 4.27 | 69 | 4.42 | 4.50 | |
| 33 | 4.48 | 4.55 | 70 | 4.24 | 4.34 | |
| 34 | 4.53 | 4.53 | 71 | 4.41 | 4.49 | |
| 35 | 4.64 | 4.62 | 72 | 4.22 | 4.31 | |
| 36 | 4.54 | 4.53 | 73 | 4.21 | 4.29 | |
| 37 | 4.54 | 4.52 | 74 | 4.73 | 4.79 |
Assumptions:
| 1. | Run at pricing prepayment assumption |
| 2. | Excess (30/360). |
| 3. | Static Indices: 1mL = 5.32%; 6mL = 5.37% |
| 4. | Forward 1mL used for Certificates, Forward 6mL used for collateral |
| 5. | 10% optional clean-up call |
| 6. | Takes into account net swap payments |
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.
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Carrington Mortgage Loan Trust, Series 2007-RFC1 Asset Backed Pass-Through Certificates | $846,634,000 (approximate) January 17, 2007 |
Forward LIBOR Curves |
Period | 1-Month LIBOR (%) | 6-Month LIBOR (%) | Period | 1-Month LIBOR (%) | 6-Month LIBOR (%) | |
| 1 | 5.320000 | 5.370000 | 38 | 4.848035 | 4.958223 | |
| 2 | 5.348289 | 5.342979 | 39 | 4.873752 | 4.980442 | |
| 3 | 5.340417 | 5.306717 | 40 | 4.898374 | 5.000619 | |
| 4 | 5.289126 | 5.261003 | 41 | 4.921537 | 5.018382 | |
| 5 | 5.300301 | 5.216793 | 42 | 4.942880 | 5.033360 | |
| 6 | 5.267212 | 5.165324 | 43 | 4.962039 | 5.045182 | |
| 7 | 5.161416 | 5.102985 | 44 | 4.978650 | 5.053619 | |
| 8 | 5.135432 | 5.055116 | 45 | 4.992350 | 5.059035 | |
| 9 | 5.072030 | 5.013774 | 46 | 5.002777 | 5.062002 | |
| 10 | 5.029530 | 4.986215 | 47 | 5.009566 | 5.063161 | |
| 11 | 4.998005 | 4.969445 | 48 | 5.012355 | 5.063223 | |
| 12 | 4.900995 | 4.961830 | 49 | 5.011619 | 5.062969 | |
| 13 | 4.880144 | 4.974413 | 50 | 5.010479 | 5.063106 | |
| 14 | 4.892460 | 4.993819 | 51 | 5.009786 | 5.063819 | |
| 15 | 4.910040 | 5.013651 | 52 | 5.009587 | 5.065157 | |
| 16 | 4.930945 | 5.031929 | 53 | 5.009929 | 5.067168 | |
| 17 | 4.953234 | 5.046674 | 54 | 5.010860 | 5.069899 | |
| 18 | 4.974971 | 5.055903 | 55 | 5.012425 | 5.073398 | |
| 19 | 4.994214 | 5.057638 | 56 | 5.014672 | 5.077684 | |
| 20 | 5.009026 | 5.050369 | 57 | 5.017648 | 5.082656 | |
| 21 | 5.017465 | 5.034633 | 58 | 5.021401 | 5.088168 | |
| 22 | 5.017594 | 5.011853 | 59 | 5.025977 | 5.094069 | |
| 23 | 5.007473 | 4.983908 | 60 | 5.031422 | 5.100192 | |
| 24 | 4.985162 | 4.953128 | 61 | 5.037613 | 5.106359 | |
| 25 | 4.951502 | 4.922298 | 62 | 5.043882 | 5.112411 | |
| 26 | 4.916549 | 4.894179 | 63 | 5.050041 | 5.118298 | |
| 27 | 4.883585 | 4.869947 | 64 | 5.056071 | 5.124000 | |
| 28 | 4.853338 | 4.850341 | 65 | 5.061950 | 5.129494 | |
| 29 | 4.826534 | 4.836103 | 66 | 5.067656 | 5.134759 | |
| 30 | 4.803900 | 4.827973 | 67 | 5.073170 | 5.139774 | |
| 31 | 4.786162 | 4.826691 | 68 | 5.078471 | 5.144525 | |
| 32 | 4.774047 | 4.832714 | 69 | 5.083536 | 5.149031 | |
| 33 | 4.768283 | 4.845294 | 70 | 5.088346 | 5.153320 | |
| 34 | 4.769595 | 4.863226 | 71 | 5.092880 | 5.157423 | |
| 35 | 4.778712 | 4.885124 | 72 | 5.097117 | 5.161374 | |
| 36 | 4.796361 | 4.909413 | 73 | 5.101081 | 5.165208 | |
| 37 | 4.821587 | 4.934333 | 74 | 5.104940 | 5.168958 |
| * Note 45 day lookback on the adjustable rate collateral. |
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.
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Carrington Mortgage Loan Trust, Series 2007-RFC1 Asset Backed Pass-Through Certificates | $846,634,000 (approximate) January 17, 2007 |
BREAKEVEN (LAST CDR PRIOR TO 1ST DOLLAR LOSS) |
BOND | CDR BE RATE (%) | WAL | Cum Loss (%) |
| M-1 | 37.37 | 4.56 | 23.82 |
| M-2 | 27.72 | 5.75 | 19.89 |
| M-3 | 24.55 | 7.58 | 18.37 |
| M-4 | 20.40 | 7.68 | 16.19 |
| M-5 | 18.21 | 9.05 | 14.93 |
| M-6 | 16.33 | 9.66 | 13.79 |
| M-7 | 13.85 | 9.57 | 12.17 |
| M-8 | 12.78 | 11.46 | 11.43 |
| M-9 | 11.09 | 10.95 | 10.21 |
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. | Takes into account net swap payments |
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.
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