Carrington Mortgage Loan Trust, Series 2006-NC1 Inactive
Filed: 24 Jan 06, 12:00am
s- -------------------------------------------------------------------------------- (Filed pursuant to Rule 433; SEC File No. 333-124562) [CARRINGTON CAPITAL MANAGEMENT LOGO] MBS NEW ISSUE TERM SHEET $1,378,474,000 (APPROXIMATE) - -------------------------------------------------------------------------------- CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC1 ASSET-BACKED PASS-THROUGH CERTIFICATES - -------------------------------------------------------------------------------- CARRINGTON SECURITIES, LP Sponsor NEW CENTURY MORTGAGE CORPORATION & HOME123 CORPORATION Originators NEW CENTURY MORTGAGE CORPORATION Servicer STANWICH ASSET ACCEPTANCE COMPANY, L.L.C. Depositor CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC1 Issuing Entity JANUARY 23, 2006 - -------------------------------------------------------------------------------- Citigroup Global Markets Inc. [CITIGROUP LOGO] CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 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. 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 issuer 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 issuer and the availability of such Offered Certificates when, as and if issued by the issuer. 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 issuer 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 issuer 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 1-800-248-3580. 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- $1,378,474,000 (APPROXIMATE) - -------------------------------------------------------------------------------- CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC1 ASSET-BACKED PASS-THROUGH CERTIFICATES - -------------------------------------------------------------------------------- CARRINGTON SECURITIES, LP Sponsor NEW CENTURY MORTGAGE CORPORATION & HOME123 CORPORATION Originators NEW CENTURY MORTGAGE CORPORATION Servicer STANWICH ASSET ACCEPTANCE COMPANY, L.L.C. Depositor CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC1 Issuing Entity TRANSACTION HIGHLIGHTS - ----------------------------------------------------------------------------------------------------------------------------------- AVG DISTRIBUTION INITIAL OFFERED EXPECTED RATINGS LIFE(1)(2) WINDOW(1)(2) SUBORDINATION CLASSES BALANCE(3) DESCRIPTION BENCHMARK (S&P/MOODY'S/FITCH) CALL / MAT CALL / MAT LEVEL - ----------------------------------------------------------------------------------------------------------------------------------- A-1 591,325,000 FLT/SEN 1M LIBOR AAA / AAA / AAA 1.00 / 1.00 1-21 / 1-21 23.45% - ----------------------------------------------------------------------------------------------------------------------------------- A-2 191,613,000 FLT/SEN 1M LIBOR AAA / AAA / AAA 2.00 / 2.00 21-27 / 21-27 23.45% - ----------------------------------------------------------------------------------------------------------------------------------- A-3 254,245,000 FLT/SEN 1M LIBOR AAA / AAA / AAA 3.00 / 3.00 27-69 / 27-69 23.45% - ----------------------------------------------------------------------------------------------------------------------------------- A-4 83,010,000 FLT/SEN 1M LIBOR AAA / AAA / AAA 5.96 / 8.20 69-71 / 69-166 23.45% - ----------------------------------------------------------------------------------------------------------------------------------- M-1 53,412,000 FLT/MEZZ 1M LIBOR AA+ / Aa1 / AA+ 5.02 / 5.47 52-71 / 52-141 19.80% - ----------------------------------------------------------------------------------------------------------------------------------- M-2 49,754,000 FLT/MEZZ 1M LIBOR AA / Aa2 / AA 4.68 / 5.13 47-71 / 47-136 16.40% - ----------------------------------------------------------------------------------------------------------------------------------- M-3 29,267,000 FLT/MEZZ 1M LIBOR AA / Aa3 / AA- 4.52 / 4.95 45-71 / 45-130 14.40% - ----------------------------------------------------------------------------------------------------------------------------------- M-4 27,072,000 FLT/MEZZ 1M LIBOR AA- / A1 / A+ 4.44 / 4.86 43-71 / 43-126 12.55% - ----------------------------------------------------------------------------------------------------------------------------------- M-5 24,877,000 FLT/MEZZ 1M LIBOR A+ / A2 / A 4.38 / 4.78 42-71 / 42-121 10.85% - ----------------------------------------------------------------------------------------------------------------------------------- M-6 22,682,000 FLT/MEZZ 1M LIBOR A / A3 / A- 4.33 / 4.71 41-71 / 41-117 9.30% - ----------------------------------------------------------------------------------------------------------------------------------- M-7 20,487,000 FLT/MEZZ 1M LIBOR A- / Baa1 / BBB+ 4.29 / 4.65 40-71 / 40-112 7.90% - ----------------------------------------------------------------------------------------------------------------------------------- M-8 16,097,000 FLT/MEZZ 1M LIBOR BBB+ / Baa2 / BBB 4.27 / 4.61 40-71 / 40-106 6.80% - ----------------------------------------------------------------------------------------------------------------------------------- M-9 14,633,000 FLT/MEZZ 1M LIBOR BBB+ / Baa3 / BBB- 4.24 / 4.54 39-71 / 39-102 5.80% - ----------------------------------------------------------------------------------------------------------------------------------- M-10(4) 14,633,000 FLT/MEZZ 1M LIBOR BBB / Ba1 / BBB- 4.23 / 4.50 39-71 / 39-97 4.80% - ----------------------------------------------------------------------------------------------------------------------------------- 1. Certificates are priced to the 10% optional clean-up call. 2. Based on the pricing prepayment assumption described herein. 3. Certificate sizes subject to a variance of +/- 5%. 4. The Class M-10 Certificates are not offered hereby. - ----------------------------------------------------------------------------------------------------------------------------------- PRICING PREPAYMENT ASSUMPTION - ----------------------------- 2-YEAR FIXED RATE PERIOD ADJUSTABLE-RATE MORTGAGE LOANS: 2.0% CPR in month 1, building to 30.0% by month 12; 30.0% CPR for months 13-22; 60.0% CPR for months 23-27; 35.0% CPR for months 28 and thereafter. 3-YEAR AND LONGER FIXED RATE PERIOD ADJUSTABLE-RATE MORTGAGE LOANS: 2.0% CPR in month 1, building to 30.0% by month 12; 30.0% CPR for months 13-34; 60.0% CPR for months 35-39; 35.0% CPR for months 40 and thereafter. 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- FIXED-RATE MORTGAGE LOANS: 4.0% CPR growing to 23.0% CPR over 12 months and remaining at 23.0% CPR thereafter. - -------------------------------------------------------------------------------- TRANSACTION OVERVIEW - -------------------------------------------------------------------------------- ISSUING ENTITY: Carrington Mortgage Loan Trust, Series 2006-NC1. - -------------------------------------------------------------------------------- DEPOSITOR & ISSUER: Stanwich Asset Acceptance Company, L.L.C. - -------------------------------------------------------------------------------- SPONSOR: Carrington Securities, LP. - -------------------------------------------------------------------------------- ORIGINATORS: New Century Mortgage Corporation & Home123 Corporation. - -------------------------------------------------------------------------------- SERVICER: New Century Mortgage Corporation. - -------------------------------------------------------------------------------- TRUSTEE: Wells Fargo Bank, N.A. - -------------------------------------------------------------------------------- CUSTODIAN: Deutsche Bank National Trust Company. - -------------------------------------------------------------------------------- LEAD MANAGER: Citigroup Global Markets Inc. - -------------------------------------------------------------------------------- CO-MANAGERS: Bear Stearns & Co. Northeast Securities. - -------------------------------------------------------------------------------- CAP CONTRACTS PROVIDER: Swiss Re Financial Products. - -------------------------------------------------------------------------------- OFFERED CERTIFICATES: Approximately $1,120,193,000 senior floating-rate certificates consisting of the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates (together the "Class A Certificates") and approximately $272,914,000 mezzanine floating rate certificates consisting of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates (together the "Class M Certificates" or the "Mezzanine Certificates"). The Class A Certificates and the Class M Certificates (other than the Class M-10 Certificates) are referred to herein as the "Offered Certificates". The Offered Certificates and the Class M-10 Certificates are backed by adjustable-rate and fixed-rate, interest-only and fully-amortizing, first lien and second lien, closed-end, subprime, mortgage loans (the "Mortgage Loans"). - -------------------------------------------------------------------------------- NON-OFFERED CERTIFICATES: The Class M-10, Class CE, Class P and Class R Certificates will not be offered pursuant to the prospectus. - -------------------------------------------------------------------------------- MORTGAGE LOANS: As of February 1, 2006, the Mortgage Loans will consist of approximately 6,911 adjustable-rate and fixed-rate, interest-only and fully-amortizing, first and second lien, closed-end, subprime mortgage loans, with an unpaid principal balance of approximately $1,463,348,009. - -------------------------------------------------------------------------------- EXPECTED PRICING DATE: On or about January 26, 2006. - -------------------------------------------------------------------------------- CLOSING DATE: On or about February 8, 2006. - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TRANSACTION OVERVIEW - -------------------------------------------------------------------------------- CUT-OFF DATE: February 1, 2006. - -------------------------------------------------------------------------------- DISTRIBUTION DATE: The 25th day of each month (or if such 25th day is not a business day, the next succeeding business day) commencing in March 2006. - -------------------------------------------------------------------------------- RECORD DATE: The business day immediately preceding each Distribution Date. - -------------------------------------------------------------------------------- DELAY DAYS: Zero days on all Class A and M Certificates. - -------------------------------------------------------------------------------- DUE PERIOD: The Due Period with respect to any Distribution Date commences on the second day of the month immediately preceding the month in which such Distribution Date occurs and ends on the first day of the month in which such Distribution Date occurs. - -------------------------------------------------------------------------------- INTEREST ACCRUAL PERIOD: The Interest Accrual Period for any Distribution Date and the Class A Certificates and Mezzanine Certificates is the period commencing on the Distribution Date of the month immediately preceding the month in which the Distribution Date occurs or, in the case of the first Distribution Date, commencing on the Closing Date, and ending on the day preceding the Distribution Date. All distributions of interest on the Class A Certificates and Mezzanine Certificates will be based on a 360-day year and the actual number of days in the applicable Interest Accrual Period. - -------------------------------------------------------------------------------- PREPAYMENT PERIOD: The Prepayment Period with respect to any Distribution Date is the calendar month immediately preceding the month in which the Distribution Date occurs. - -------------------------------------------------------------------------------- ERISA CONSIDERATIONS: Subject to the considerations in the Prospectus Supplement, it is expected that the Offered Certificates will be eligible for purchase by certain ERISA plans as of the Closing Date. However, investors should consult with their counsel with respect to the consequences under ERISA and the Internal Revenue Code of an ERISA Plan's acquisition and ownership of such Certificates. - -------------------------------------------------------------------------------- LEGAL INVESTMENT: The Offered Certificates will not constitute "mortgage related securities" for the purposes of the Secondary Mortgage Market Enhancement Act of 1984 ("SMMEA"). - -------------------------------------------------------------------------------- TAX STATUS: For federal income tax purposes, the Offered Certificates will represent ownership of REMIC regular interests and ownership interests in the interest rate cap agreement. - -------------------------------------------------------------------------------- FORM OF REGISTRATION: Book-entry form through DTC, Clearstream and Euroclear. - -------------------------------------------------------------------------------- MINIMUM DENOMINATIONS: Class A and Class M-1 Certificates: $100,000 and integral multiples of $1 in excess thereof. Class M-2, Class M-3, Class M 4, Class M 5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates: $250,000 and integral multiples of $1 in excess thereof. - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TRANSACTION OVERVIEW - -------------------------------------------------------------------------------- OPTIONAL TERMINATION: At its option, the majority holder of the Class CE Certificates, in accordance with the terms of the Pooling and Servicing Agreement, may purchase all of the Mortgage Loans, together with any properties in respect of such Mortgage Loans acquired on behalf of the trust, and thereby effect termination and early retirement of the certificates, after the aggregate principal balance of (i) the Mortgage Loans remaining in the trust at the time of such purchase, and (ii) properties acquired in respect of such Mortgage Loans has been reduced to less than 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. - -------------------------------------------------------------------------------- ADMINISTRATIVE FEE RATES: The "Servicing Fee", calculated at the "Servicing Fee Rate" of 0.500% per annum, and the "Trustee Fee" calculated at the "Trustee Fee Rate" of 0.0025% per annum. Administrative Fees will be paid monthly on the stated principal balance of the Mortgage Loans. - -------------------------------------------------------------------------------- PRINCIPAL & INTEREST ADVANCES: The Servicer is required to advance delinquent payments of principal and interest on the Mortgage Loans to the extent such amounts are deemed recoverable. The Servicer is entitled to be reimbursed for such advances, and therefore these advances are not a form of credit enhancement. - -------------------------------------------------------------------------------- SERVICING ADVANCES: The Servicer will pay all out-of-pocket costs related to its obligations, including, but not limited to: (i) expenses in connection with a foreclosed Mortgage Loan prior to the liquidation of such loan, (ii) the costs of any judicial proceedings, including foreclosures and (iii) the cost of managing and liquidating property acquired in relation to the Mortgage Loans, as long as it deems all such costs to be recoverable. The Servicer is entitled to be reimbursed for these advances, and therefore these advances are not a form of credit enhancement. - -------------------------------------------------------------------------------- COMPENSATING INTEREST: The Servicer is required to pay Compensating Interest up to the amount of the Servicing Fee to cover prepayment interest shortfalls ("Prepayment Interest Shortfalls") due to partial and/or full prepayments on the Mortgage Loans. - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT: 1. Excess Spread 2. Overcollateralization 3. Subordination - -------------------------------------------------------------------------------- OVERCOLLATERALIZATION AMOUNT: The Overcollateralization Amount with respect to any Distribution Date is the excess, if any, of (a) the aggregate principal balance of the Mortgage Loans (including Mortgage Loans related to any REO Property) as of the last day of the related Due Period over (b) the sum of the aggregate Certificate Principal Balance of the Class A Certificates, the Mezzanine Certificates and the Class P Certificates, after giving effect to distributions to be made on such Distribution Date. - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT - -------------------------------------------------------------------------------- OVERCOLLATERALIZATION TARGET The Overcollateralization Target Amount AMOUNT: with respect to any Distribution Date is (a) prior to the Stepdown Date, an amount equal to approximately 4.80% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date; (b) on or after the Stepdown Date, provided a Trigger Event is not in effect, the greater of (i) approximately 9.60% of the then current aggregate outstanding principal balance of the Mortgage Loans as of the last day of the related Due Period and (ii) the Overcollateralization Floor Amount; or (c) on or after the Stepdown Date and if a Trigger Event is in effect, the Overcollateralization Target Amount for the immediately preceding Distribution Date. Notwithstanding the foregoing, on and after any Distribution Date following the reduction of the aggregate Certificate Principal Balance of the Class A Certificates and the Mezzanine Certificates to zero, the Overcollateralization Target Amount shall be zero. - -------------------------------------------------------------------------------- OVERCOLLATERALIZATION FLOOR AMOUNT: An amount equal to approximately 0.50% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. - -------------------------------------------------------------------------------- OVERCOLLATERALIZATION INCREASE An Overcollateralization Increase Amount AMOUNT: with respect to any Distribution Date equals the lesser of (a) the Net Monthly Excess Cashflow for such Distribution Date and (b) the amount, if any, by which the Overcollateralization Target Amount exceeds the Overcollateralization Amount on such Distribution Date (calculated for this purpose only after assuming that 100% of the Principal Remittance Amount on such Distribution Date has been distributed). - -------------------------------------------------------------------------------- OVERCOLLATERALIZATION REDUCTION An Overcollateralization Reduction Amount AMOUNT: with respect to any Distribution Date is the lesser of (a) the Principal Remittance Amount on such Distribution Date and (b) the excess, if any, of (i) the Overcollateralization Amount for such Distribution Date (calculated for this purpose only after assuming that 100% of the Principal Remittance Amount on such Distribution Date has been distributed) over (ii) the Overcollateralization Target Amount for such Distribution Date. - -------------------------------------------------------------------------------- STEPDOWN DATE: The later to occur of (x) the Distribution Date occurring in March 2009 and (y) the first Distribution Date on which the Credit Enhancement Percentage (calculated for this purpose only prior to any distribution of the Principal Distribution Amount to the holders of the Certificates then entitled to distributions of principal on the related Distribution Date) is greater than or equal to approximately 46.90%. - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT PERCENTAGE: The Credit Enhancement Percentage for any Distribution Date is the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the Mezzanine Certificates and the Class CE Certificates, calculated after taking into account payments of principal on the Mortgage Loans and distribution of the Principal Distribution Amount to the holders of the certificates then entitled to distributions of principal on the related Distribution Date, by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT - -------------------------------------------------------------------------------- ------------------------------------------------------- TARGETED ON AND AFTER CLASS INITIAL STEPDOWN DATE ------------------------------------------------------- A-1, A-2, A-3, A-4 23.45% 46.90% ------------------------------------------------------- M-1 19.80% 39.60% ------------------------------------------------------- M-2 16.40% 32.80% ------------------------------------------------------- M-3 14.40% 28.80% ------------------------------------------------------- M-4 12.55% 25.10% ------------------------------------------------------- M-5 10.85% 21.70% ------------------------------------------------------- M-6 9.30% 18.60% ------------------------------------------------------- M-7 7.90% 15.80% ------------------------------------------------------- M-8 6.80% 13.60% ------------------------------------------------------- M-9 5.80% 11.60% ------------------------------------------------------- M-10 4.80% 9.60% ------------------------------------------------------- - -------------------------------------------------------------------------------- TRIGGER EVENT: With respect to any Distribution Date on or after the Stepdown Date, a Trigger Event is in effect if: 1) the percentage obtained by dividing (i) the aggregate principal amount of the Rolling Three-Month Delinquency Average plus the aggregate principal amount of the Mortgage Loans that, as of the last day of the previous calendar month, are in foreclosure, have been converted to REO Properties or have been discharged due to bankruptcy, by (ii) the aggregate principal balance of the Mortgage Loans (including Mortgage Loans related to REO Property) as of the last day of the previous calendar month, exceeds 34.12% of the then Credit Enhancement Percentage for the prior Distribution Date; or 2) the aggregate amount of Realized Losses incurred since the Cut-Off Date through the last day of the related Due Period (reduced by the aggregate amount of Subsequent Recoveries received since the Cut-Off Date through the last day of the related Due Period) divided by the aggregate principal balance of the Mortgage Loans as of the Cut-Off Date exceeds the applicable percentages set forth below with respect to such Distribution Date. ------------------------------------------------------- DISTRIBUTION DATE OCCURRING IN PERCENTAGE ------------------------------------------------------- March 2009 through February 2010 3.00% ------------------------------------------------------- March 2010 through February 2011 4.75% ------------------------------------------------------- March 2011 through February 2012 6.10% ------------------------------------------------------- March 2012 and thereafter 6.85% ------------------------------------------------------- - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT - -------------------------------------------------------------------------------- SUBSEQUENT RECOVERIES: Subsequent Recoveries are unanticipated amounts received on a liquidated Mortgage Loan that resulted in a Realized Loss in a prior month. If Subsequent Recoveries are received, they will be included as part of the Principal Remittance Amount for the following Distribution Date and distributed in accordance with the priorities described in this term sheet. In addition, after giving effect to all distributions on a Distribution Date, the amount of such Subsequent Recoveries will increase the Certificate Principal Balance first, of the Class A Certificates then outstanding, if a Realized Loss has been allocated to the Class A Certificates, on a pro-rata basis by the amount of such Subsequent Recoveries, and second, of the class of Mezzanine Certificates then outstanding with the highest distribution priority to which a Realized Loss was allocated. Thereafter, such class of Class A and Class M Certificates will accrue interest on the increased Certificate Principal Balance. - -------------------------------------------------------------------------------- REO PROPERTY: REO Property is mortgaged property acquired by the Servicer through foreclosure or deed-in-lieu of foreclosure. - -------------------------------------------------------------------------------- ROLLING THREE-MONTH With respect to any Distribution Date, the DELINQUENCY AVERAGE: average aggregate principal amount of the Mortgage Loans delinquent 60 days or more for each of the three (or one and two, in the case of the first and second Distribution Dates, respectively) immediately preceding months. - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION OF INTEREST - -------------------------------------------------------------------------------- INTEREST DISTRIBUTION PRIORITY: On each Distribution Date, the Interest Remittance Amount will be distributed in the following order of priority: 1) To the holders of each class of Class A Certificates, on a pro rata basis based on the entitlement of each such class, the Senior Interest Distribution Amount allocable to such class of Class A Certificates; and 2) Sequentially to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates in that order, the Interest Distribution Amount allocable to each such class. - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL WATERFALL PRIOR TO STEPDOWN DATE OR IF A TRIGGER EVENT IS IN EFFECT - -------------------------------------------------------------------------------- PRINCIPAL DISTRIBUTION PRIORITY: On each Distribution Date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, the Principal Distribution Amount will be distributed in the following order of priority: 1) Sequentially, to the holders of the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates, in that order, until the aggregate Certificate Principal Balance of the Class A Certificates have been reduced to zero; and; 2) Sequentially, to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero. Nothwithstanding the foregoing, if the Mezzanine Certificates are reduced to zero, principal distributions on the Class A Certificates will be allocated concurrently on a pro rata basis. - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL WATERFALL ON OR AFTER STEPDOWN DATE AND WHEN NO TRIGGER EVENT IS IN EFFECT - -------------------------------------------------------------------------------- PRINCIPAL DISTRIBUTION PRIORITY: On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the Principal Distribution Amount will be distributed in the following order of priority: 1) Sequentially, to the holders of the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates, in that order, up to an amount equal to the Class A Principal Distribution Amount, until the aggregate Certificate Principal Balances of the Class A Certificates have been reduced to zero; and; 2) Sequentially, to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates in that order, up to an amount equal to the related class Principal Distribution Amount until the Certificate Principal Balance of each such class has been reduced to zero. Nothwithstanding the foregoing, if the Mezzanine Certificates are reduced to zero, principal distributions on the Class A Certificates will be allocated concurrently on a pro rata basis. - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- EXCESS CASHFLOW WATERFALL - -------------------------------------------------------------------------------- MONTHLY EXCESS CASHFLOW With respect to any Distribution Date, any DISTRIBUTIONS: Net Monthly Excess Cashflow shall be paid as follows: 1) To the holders of the class or classes of Class A Certificates and Mezzanine Certificates then entitled to receive distributions in respect of principal, in an amount equal to the Overcollateralization Increase Amount, distributable as part of the Principal Distribution Amount; 2) Sequentially to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates, in that order, in each case up to the related Interest Carry Forward Amount related to such certificates for such Distribution Date; 3) Pro rata to the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates, and sequentially to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates, in that order, in each case up to the related Allocated Realized Loss Amount for such class of certificates for such Distribution Date; 4) To the reserve account, for distribution to the holders of the Class A Certificates and Mezzanine Certificates, the aggregate amount of any Net WAC Rate Carryover Amounts for such classes, after taking into account amounts, if any, received under the cap contracts; 5) To the holders of the Class CE Certificates as provided in the Pooling and Servicing Agreement; 6) To the holders of the Residual Certificates, any remaining amounts; provided that if such Distribution Date is the Distribution Date immediately following the expiration of the latest prepayment charge term or any Distribution Date thereafter, then any such remaining amounts will be distributed first, to the holders of the Class P Certificates, until the Certificate Principal Balance thereof has been reduced to zero; and second, to the holders of the Residual Certificates. - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- ALLOCATION OF LOSSES - -------------------------------------------------------------------------------- LOSS ALLOCATION: Any Realized Losses on the Mortgage Loans will be allocated or covered on any Distribution Date first, by Net Monthly Excess Cash Flow; second, by the Class CE Certificates, until the Certificate Principal Balance of the Class CE Certificates has been reduced to zero; third, to the Class M-10 Certificates, until the Certificate Principal Balance of the Class M-10 Certificates has been reduced to zero; fourth, to the Class M-9 Certificates, until the Certificate Principal Balance of the Class M-9 Certificates has been reduced to zero; fifth, to the Class M-8 Certificates, until the Certificate Principal Balance of the Class M-8 Certificates has been reduced to zero; sixth, to the Class M-7 Certificates, until the Certificate Principal Balance of the Class M-7 Certificates has been reduced to zero; seventh, to the Class M-6 Certificates, until the Certificate Principal Balance of the Class M-6 Certificates has been reduced to zero; eighth, to the Class M-5 Certificates, until the Certificate Principal Balance of the Class M-5 Certificates has been reduced to zero; ninth, to the Class M-4 Certificates, until the Certificate Principal Balance of the Class M-4 Certificates has been reduced to zero; tenth, to the Class M-3 Certificates, until the Certificate Principal Balance of the Class M-3 Certificates has been reduced to zero; eleventh, to the Class M-2 Certificates, until the Certificate Principal Balance of the Class M-2 Certificates has been reduced to zero; twelfth, to the Class M-1 Certificates, until the Certificate Principal Balance of the Class M-1 Certificates has been reduced to zero; and thirteenth, concurrently, to the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates on a pro rata basis based on the Certificate Principal Balance of each such class, until their respective Certificate Principal Balances have been reduced to zero. Once Realized Losses are allocated to the Class A and Class M Certificates, such amounts with respect to such certificates will no longer accrue interest. However, the amount of any Realized Losses allocated to the certificates may be distributed to the holders of those certificates from Net Monthly Excess Cashflow, as described in the Pooling and Servicing Agreement. - -------------------------------------------------------------------------------- 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. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- CAP CONTRACTS: The holders of the Class A Certificates and the holders of the Class M Certificates may benefit from a series of interest rate cap payments from Swiss Re Financial Products Corporation pursuant to two separate cap contracts, in each case refered to as the Class A Cap Contract and the Class M Cap Contract, respectively. The cap contracts are intended to partially mitigate for the first 31 Distribution Dates for the Class A Certificates and 38 Distribution Dates for the Class M Certificates following the Distribution Date in March 2006, the interest rate risk that could result from the difference between (a) One Month LIBOR plus the related margin and (b) the Net WAC Pass-Through Rate. With respect to the Class A Certificates and each Distribution Date, payments under the related cap contract will be made based on (a) an amount equal to the Class A Cap Contract Notional Balance for that Distribution Date and (b) the positive excess of (i) the lesser of (x) One-Month LIBOR and (y) the Class A Ceiling Rate per annum, over (ii) the Class A Monthly Strike Rate for that Distribution Date, calculated on an actual/360-day basis. With respect to the Class M Certificates and each Distribution Date, payments under the related cap contract will be made based on (a) an amount equal to the Class M Cap Contract Notional Balance for that Distribution Date and (b) the positive excess of (i) the lesser of (x) One-Month LIBOR and (y) the Class M Ceiling Rate per annum, over (ii) the Class M Monthly Strike Rate for that Distribution Date, calculated on an actual/360-day basis. - -------------------------------------------------------------------------------- 12 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- CLASS A CAP CONTRACT With respect to any Distribution Date BALANCE: specified below and the cap contract relating to the Class A Certificates, the amount specified below for that Distribution Date: - -------------------------------------- ---------------------------------- DISTRIBUTION DISTRIBUTION DATE NOTIONAL DATE NOTIONAL - -------------------------------------- ---------------------------------- April 2006 1,106,598,343.33 August 2007 634,140,522.65 - -------------------------------------- ---------------------------------- May 2006 1,089,840,528.76 September 2007 606,233,019.95 - -------------------------------------- ---------------------------------- June 2006 1,069,940,412.94 October 2007 577,175,226.96 - -------------------------------------- ---------------------------------- July 2006 1,046,938,846.01 November 2007 535,633,080.75 - -------------------------------------- ---------------------------------- August 2006 1,020,897,441.79 December 2007 496,342,780.72 - -------------------------------------- ---------------------------------- September 2006 991,898,855.40 January 2008 459,236,972.10 - -------------------------------------- ---------------------------------- October 2006 960,046,857.82 February 2008 424,172,549.09 - -------------------------------------- ---------------------------------- November 2006 925,467,271.69 March 2008 392,167,033.72 - -------------------------------------- ---------------------------------- December 2006 889,225,271.35 April 2008 369,770,746.11 - -------------------------------------- ---------------------------------- January 2007 853,995,953.69 May 2008 348,097,718.18 - -------------------------------------- ---------------------------------- February 2007 819,778,271.80 June 2008 327,099,093.88 - -------------------------------------- ---------------------------------- March 2007 786,543,051.26 July 2008 306,750,160.93 - -------------------------------------- ---------------------------------- April 2007 754,261,962.10 August 2008 287,029,225.48 - -------------------------------------- ---------------------------------- May 2007 722,907,494.29 September 2008 267,908,244.64 - -------------------------------------- ---------------------------------- June 2007 692,452,933.93 October 2008 243,831,588.94 - -------------------------------------- ---------------------------------- July 2007 662,872,340.15 - -------------------------------------- - -------------------------------------------------------------------------------- 13 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- CLASS A MONTHLY STRIKE RATE With respect to each Distribution Date and AND CLASS A CEILING RATE: the cap contract relating to the Class A Certificates, the Class A Monthly Strike Rate is the per annum rate set forth next to such Distribution Date in the applicable table below, in each case, subject to the related Class A Ceiling Rate: - ---------------------------------------- -------------------------------------- CLASS A CLASS A CLASS A MONTHLY CLASS A DISTRIBUTION MONTHLY CEILING DISTRIBUTION STRIKE CEILING DATE STRIKE RATE RATE DATE RATE RATE - ---------------------------------------- -------------------------------------- April 2006 6.759 9.827 August 2007 7.013 9.772 - ---------------------------------------- -------------------------------------- May 2006 6.996 9.825 September 2007 7.040 9.766 - ---------------------------------------- -------------------------------------- June 2006 6.771 9.824 October 2007 7.316 9.759 - ---------------------------------------- -------------------------------------- July 2006 7.011 9.822 November 2007 7.196 9.748 - ---------------------------------------- -------------------------------------- August 2006 6.788 9.820 December 2007 8.045 9.746 - ---------------------------------------- -------------------------------------- September 2006 6.799 9.818 January 2008 7.844 9.746 - ---------------------------------------- -------------------------------------- October 2006 7.045 9.815 February 2008 7.917 9.745 - ---------------------------------------- -------------------------------------- November 2006 6.827 9.812 March 2008 8.566 9.745 - ---------------------------------------- -------------------------------------- December 2006 7.078 9.809 April 2008 8.069 9.745 - ---------------------------------------- -------------------------------------- January 2007 6.861 9.805 May 2008 8.499 9.744 - ---------------------------------------- -------------------------------------- February 2007 6.879 9.801 June 2008 8.795 9.744 - ---------------------------------------- -------------------------------------- March 2007 7.659 9.797 July 2008 9.203 9.743 - ---------------------------------------- -------------------------------------- April 2007 6.919 9.792 August 2008 9.009 9.743 - ---------------------------------------- -------------------------------------- May 2007 7.179 9.788 September 2008 9.132 9.743 - ---------------------------------------- -------------------------------------- June 2007 6.963 9.783 October 2008 9.653 9.742 - ---------------------------------------- -------------------------------------- July 2007 7.228 9.777 - ---------------------------------------- - -------------------------------------------------------------------------------- 14 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- CLASS M CAP CONTRACT With respect to any Distribution Date NOTIONAL BALANCE: specified below and the cap contract relating to the Class M Certificates, the amount specified below for that Distribution Date: - -------------------------------------- ---------------------------------- DISTRIBUTION DISTRIBUTION DATE NOTIONAL DATE NOTIONAL - -------------------------------------- ---------------------------------- April 2006 272,914,000.00 November 2007 272,914,000.00 - -------------------------------------- ---------------------------------- May 2006 272,914,000.00 December 2007 272,914,000.00 - -------------------------------------- ---------------------------------- June 2006 272,914,000.00 January 2008 272,914,000.00 - -------------------------------------- ---------------------------------- July 2006 272,914,000.00 February 2008 272,914,000.00 - -------------------------------------- ---------------------------------- August 2006 272,914,000.00 March 2008 272,914,000.00 - -------------------------------------- ---------------------------------- September 2006 272,914,000.00 April 2008 272,914,000.00 - -------------------------------------- ---------------------------------- October 2006 272,914,000.00 May 2008 272,914,000.00 - -------------------------------------- ---------------------------------- November 2006 272,914,000.00 June 2008 272,914,000.00 - -------------------------------------- ---------------------------------- December 2006 272,914,000.00 July 2008 272,914,000.00 - -------------------------------------- ---------------------------------- January 2007 272,914,000.00 August 2008 272,914,000.00 - -------------------------------------- ---------------------------------- February 2007 272,914,000.00 September 2008 272,914,000.00 - -------------------------------------- ---------------------------------- March 2007 272,914,000.00 October 2008 272,914,000.00 - -------------------------------------- ---------------------------------- April 2007 272,914,000.00 November 2008 272,914,000.00 - -------------------------------------- ---------------------------------- May 2007 272,914,000.00 December 2008 272,914,000.00 - -------------------------------------- ---------------------------------- June 2007 272,914,000.00 January 2009 272,914,000.00 - -------------------------------------- ---------------------------------- July 2007 272,914,000.00 February 2009 272,914,000.00 - -------------------------------------- ---------------------------------- August 2007 272,914,000.00 March 2009 272,914,000.00 - -------------------------------------- ---------------------------------- September 2007 272,914,000.00 April 2009 272,914,000.00 - -------------------------------------- ---------------------------------- October 2007 272,914,000.00 May 2009 272,914,000.00 - -------------------------------------- ---------------------------------- - -------------------------------------------------------------------------------- 15 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- CLASS M MONTHLY STRIKE With respect to each Distribution Date and RATE AND CEILING RATE: the cap contract relating to the Class M Certificates, the Class M Monthly Strike Rate is the per annum rate set forth next to such Distribution Date in the applicable table below, in each case, subject to the related Class M Ceiling Rate: - --------------------------------------------- -------------------------------------------- CLASS M CLASS M CLASS M CLASS M MONTHLY CEILING MONTHLY CEILING DISTRIBUTION DATE STRIKE RATE RATE DISTRIBUTION DATE STRIKE RATE RATE - --------------------------------------------- -------------------------------------------- April 2006 5.488 8.469 November 2007 5.553 8.469 - --------------------------------------------- -------------------------------------------- May 2006 5.705 8.469 December 2007 6.240 8.469 - --------------------------------------------- -------------------------------------------- June 2006 5.488 8.469 January 2008 5.993 8.469 - --------------------------------------------- -------------------------------------------- July 2006 5.705 8.469 February 2008 5.979 8.469 - --------------------------------------------- -------------------------------------------- August 2006 5.488 8.469 March 2008 6.450 8.469 - --------------------------------------------- -------------------------------------------- September 2006 5.488 8.469 April 2008 5.965 8.469 - --------------------------------------------- -------------------------------------------- October 2006 5.706 8.469 May 2008 6.254 8.469 - --------------------------------------------- -------------------------------------------- November 2006 5.489 8.469 June 2008 6.420 8.469 - --------------------------------------------- -------------------------------------------- December 2006 5.706 8.469 July 2008 6.666 8.469 - --------------------------------------------- -------------------------------------------- January 2007 5.489 8.469 August 2008 6.413 8.469 - --------------------------------------------- -------------------------------------------- February 2007 5.489 8.469 September 2008 6.408 8.469 - --------------------------------------------- -------------------------------------------- March 2007 6.187 8.469 October 2008 6.664 8.469 - --------------------------------------------- -------------------------------------------- April 2007 5.489 8.469 November 2008 6.754 8.469 - --------------------------------------------- -------------------------------------------- May 2007 5.706 8.469 December 2008 7.882 8.469 - --------------------------------------------- -------------------------------------------- June 2007 5.488 8.469 January 2009 7.611 8.469 - --------------------------------------------- -------------------------------------------- July 2007 5.706 8.469 February 2009 7.617 8.469 - --------------------------------------------- -------------------------------------------- August 2007 5.488 8.469 March 2009 8.469 8.469 - --------------------------------------------- -------------------------------------------- September 2007 5.488 8.469 April 2009 7.610 8.469 - --------------------------------------------- -------------------------------------------- October 2007 5.706 8.469 May 2009 8.211 8.469 - --------------------------------------------- -------------------------------------------- 16 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTIONS OF NET WAC RATE CARRYOVER AMOUNTS - -------------------------------------------------------------------------------- DISTRIBUTION OF NET WAC RATE On each Distribution Date, to the extent CARRYOVER AMOUNTS: required following the distribution of the Available Distribution Amount, the trustee will withdraw from amounts in the reserve account to distribute to the holders of the Class A Certificates and Mezzanine Certificates any Net WAC Rate Carryover Amounts in the following order of priority, in each case to the extent of amounts remaining in the reserve account in the following order of priority: (A) concurrently, to the Class A Certificates, on a pro rata basis based on the outstanding balance of each such class immediately prior to the Distribution Date, but only to the extent of amounts paid under the Class A Cap Contract and only up to the related Net WAC Carryover Amount; (B) concurrently, to the Mezzanine Certificates, on a pro rata basis based on the outstanding balance of each such class immediately prior to the Distribution Date, but only to the extent of amounts paid under the Class M Cap Contract and only up to the related Net WAC Carryover Amount; (C) to the Class A Certificates, any related unpaid Net WAC Rate Carryover Amount (after taking into account distributions pursuant to (A) above), distributed on a pro rata basis based on the remaining undistributed Net WAC Rate Carryover Amount, but only to the extent of amounts remaining under the Class A Cap Contract; (D) to the Class M Certificates, any related unpaid Net WAC Rate Carryover Amount (after taking into account distributions pursuant to (B) above), distributed on a pro rata basis based on the remaining undistributed Net WAC Rate Carryover Amount, but only to the extent of amounts remaining under the Class M Cap Contract; (E) to the Class A Certificates and Class M Certificates from Net Monthly Excess Cash Flow, any related unpaid Net WAC Carryover Amount (after taking into account distributions pursuant to (A) through (D) above), distributed in the following order of priority: (i) to the Class A Certificates, on a pro rata basis based first on the outstanding certificate principal balance immediately prior to the Distribution Date, and second on such remaining undistributed Net WAC Carryover Amount, (ii) sequentially to the Class M Certificates any such remaining undistributed Net WAC Carryover Amount for each class. - -------------------------------------------------------------------------------- 17 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- AVAILABLE DISTRIBUTION AMOUNT: For any Distribution Date an amount equal to the sum of the following amounts, net of amounts reimbursable therefrom and payable to the servicer and the trustee: (i) the aggregate amount of scheduled monthly payments on the Mortgage Loans due on the related Due Date and received on or prior to the related Determination Date, after deduction of the servicing fee and the trustee fee; (ii) unscheduled payments in respect of the Mortgage Loans, including prepayments, insurance proceeds, liquidation proceeds, Subsequent Recoveries and proceeds from repurchases of and substitutions for the Mortgage Loans occurring during the related Prepayment Period; (iii) all payments of Compensating Interest made by the servicer with respect to the Mortgage Loans; and (iv) all Advances with respect to the Mortgage Loans received for the Distribution Date. In addition, certificateholders will be entitled to amounts, if any, available under the cap contracts related to interest rate risk that could result from the difference between (a) One Month LIBOR plus the related margin and (b) the Net WAC Pass-Through Rate. - -------------------------------------------------------------------------------- DETERMINATION DATE: The Determination Date with respect to any Distribution Date will be the 15th day of the calendar month in which such Distribution Date occurs or, if such 15th day is not a business day, the business day immediately preceding such 15th day. - -------------------------------------------------------------------------------- EXPENSE ADJUSTED MORTGAGE RATE: The Expense Adjusted Mortgage Rate for any Mortgage Loan and any Distribution Date will be a per annum rate equal to the then applicable mortgage rate for such Mortgage Loan as of the first day of the related Due Period minus the sum of the Servicing Fee Rate and the Trustee Fee Rate. - -------------------------------------------------------------------------------- NET WAC PASS-THROUGH RATE: The Net WAC Pass-Through Rate for any Distribution Date and the Class A Certificates and Mezzanine Certificates is a rate per annum (adjusted for the actual number of days in the related Interest Accrual Period) equal to the weighted average of the Expense Adjusted Mortgage Rates on the then outstanding Mortgage Loans, weighted based on their principal balances as of the first day of the related Due Period. - -------------------------------------------------------------------------------- PASS-THROUGH RATES: With respect to each class of Class A and Class M Certificates and any Distribution Date, the lesser of (i) the Formula Rate and (ii) the Net WAC Pass-Through Rate. - -------------------------------------------------------------------------------- FORMULA RATE: The Formula Rate for any class of Class A and Class M Certificates is One-Month LIBOR plus the related margin. - -------------------------------------------------------------------------------- 18 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- INTEREST CARRY FORWARD AMOUNT: The Interest Carry Forward Amount with respect to any class of Class A Certificates and Mezzanine Certificates and any Distribution Date is equal to the amount, if any, by which the Interest Distribution Amount for that class of certificates for the immediately preceding Distribution Date exceeded the actual amount distributed on the certificates in respect of interest on the immediately preceding Distribution Date, together with any Interest Carry Forward Amount with respect to that class of certificates remaining unpaid from the previous Distribution Date, plus interest accrued thereon at the related Pass-Through Rate on the certificates for the most recently ended Interest Accrual Period. The Interest Carry Forward Amount with respect to each class of Class A Certificates, if any, is distributed as part of the Senior Interest Distribution Amount on each Distribution Date. The Interest Carry Forward Amount with respect to each class of Mezzanine Certificates, if any, will be carried forward to succeeding Distribution Dates and, subject to available funds will be distributed in the manner set forth in "Excess Cashflow Waterfall" in this term sheet. - -------------------------------------------------------------------------------- INTEREST DISTRIBUTION AMOUNT: The Interest Distribution Amount for the Class A Certificates and Mezzanine Certificates of any class on any Distribution Date is equal to interest accrued during the related Interest Accrual Period on the Certificate Principal Balance of that class immediately prior to the Distribution Date at the Pass-Through Rate for that class, reduced (to not less than zero) by the allocable share, if any, for that class of Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the servicer or excess interest and shortfalls resulting from the application of the Relief Act. - -------------------------------------------------------------------------------- SENIOR INTEREST DISTRIBUTION AMOUNT: The Senior Interest Distribution Amount for any Distribution Date is equal to the sum of the Interest Distribution Amount for that Distribution Date for the Class A Certificates and the Interest Carry Forward Amount, if any, for that Distribution Date for the Class A Certificates. - -------------------------------------------------------------------------------- INTEREST REMITTANCE AMOUNT: The Interest Remittance Amount for any Distribution Date is that portion of the Available Distribution Amount for that Distribution Date that represents interest received or advanced on the Mortgage Loans. - -------------------------------------------------------------------------------- NET WAC RATE CARRYOVER AMOUNT: For any Distribution Date and any Class A Certificates or Mezzanine Certificates, an amount equal to the sum of (i) the excess of (x) the amount of interest such class would have accrued for such Distribution Date had the applicable Pass-Through Rate not been subject to the Net WAC Pass-Through Rate, over (y) the amount of interest such class of Certificates accrued for such Distribution Date at the Net WAC Pass-Through Rate, (ii) the undistributed portion of any such amounts from the prior Distribution Date and (iii) accrued interest on the amounts described in clause (ii) at the then applicable Pass-Through Rate, without giving effect to the Net WAC Pass-Through Rate. The ratings on each class of Certificates do not address the likelihood of the Distribution of any Net WAC Pass-Through Rate Carryover Amount. - -------------------------------------------------------------------------------- 19 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- NET MONTHLY EXCESS CASH FLOW: The Net Monthly Excess Cash Flow for any Distribution Date is equal to the sum of (a) any Overcollateralization Reduction Amount and (b) the excess of: (i) the Available Distribution Amount for the related Distribution Date, over (ii) the sum for the related Distribution Date of (a) the Senior Interest Distribution Amount distributable to the holders of the Class A Certificates, (b) the Interest Distribution Amount distributable to the holders of the Mezzanine Certificates and (c) the Principal Remittance Amount. - -------------------------------------------------------------------------------- PRINCIPAL DISTRIBUTION AMOUNT: The Principal Distribution Amount for any Distribution Date will be an amount, not less than zero, equal to the sum of (i) the principal portion of all scheduled monthly distributions on the Mortgage Loans due during the related Due Period, whether or not received on or prior to the related Determination Date; (ii) the principal portion of all proceeds received in respect of the repurchase of a Mortgage Loan or, in the case of a substitution, certain amounts representing a principal adjustment, as required by the Pooling and Servicing Agreement during the related Prepayment Period; (iii) the principal portion of all other unscheduled collections, including insurance proceeds, liquidation proceeds and all full and partial principal prepayments, received during the related Prepayment Period net of reimbursements, including reimbursements to the Trustee and the Servicer, to the extent applied as recoveries of principal on the Mortgage Loans, and (iv) the amount of any Overcollateralization Increase Amount for such Distribution Date minus any Overcollateralization Reduction Amount. - -------------------------------------------------------------------------------- PRINCIPAL REMITTANCE AMOUNT: The Principal Remittance Amount for any Distribution Date is the sum of the amounts described in clauses (i) through (iii) of the definition of Principal Distribution Amount. - -------------------------------------------------------------------------------- CERTIFICATE PRINCIPAL BALANCE: With respect to any class of Class A Certificates and Mezzanine Certificates and any date of determination, an amount equal to its initial certificate principal balance, reduced by the aggregate of (a) all amounts allocable to principal previously distributed with respect to that class of certificates and (b) with respect to any Class A Certificate and Mezzanine Certificate, any reductions in its certificate principal balance in connection with the allocation of Realized Losses (taking into account any increases in the certificate principal balance thereof due to the receipt of Subsequent Recoveries). The Certificate Principal Balance of the Class CE Certificates as of any date of determination is equal to the excess, if any, of the then aggregate principal balance of the Mortgage Loans over the then aggregate Certificate Principal Balance of the Class A Certificates, the Mezzanine Certificates and the Class P Certificates. - -------------------------------------------------------------------------------- 20 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS A PRINCIPAL DISTRIBUTION The Class A Principal Distribution Amount AMOUNT: is an amount equal to the excess of: o the aggregate Certificate Principal Balance of the Class A Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any of, the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- CLASS M-1 PRINCIPAL DISTRIBUTION The Class M-1 Principal Distribution Amount AMOUNT: is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date and (ii) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- CLASS M-2 PRINCIPAL DISTRIBUTION The Class M-2 Principal Distribution Amount AMOUNT: is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date and (iii) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggrengate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 21 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-3 PRINCIPAL DISTRIBUTION The Class M-3 Principal Distribution Amount AMOUNT: is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date and (iv) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- CLASS M-4 PRINCIPAL DISTRIBUTION The Class M-4 Principal Distribution Amount AMOUNT: is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date and (v) the Certificate Principal Balance of the Class M-4 Certificate immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 22 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-5 PRINCIPAL DISTRIBUTION The Class M-5 Principal Distribution Amount AMOUNT: is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date and (vi) the Certificate Principal Balance of the Class M-5 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 23 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-6 PRINCIPAL DISTRIBUTION The Class M-6 Principal Distribution Amount AMOUNT: is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date and (vii) the Certificate Principal Balance of the Class M-6 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 24 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-7 PRINCIPAL DISTRIBUTION The Class M-7 Principal Distribution Amount AMOUNT: is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date, (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date and (viii) the Certificate Principal Balance of the Class M-7 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 25 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-8 PRINCIPAL DISTRIBUTION The Class M-8 Principal Distribution Amount AMOUNT: is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date, (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date, (viii) the Certificate Principal Balance of the Class M-7 Certificates after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related Distribution Date and (ix) the Certificate Principal Balance of the Class M-8 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 26 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-9 PRINCIPAL DISTRIBUTION The Class M-9 Principal Distribution Amount AMOUNT: is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date, (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date, (viii) the Certificate Principal Balance of the Class M-7 Certificates after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related Distribution Date, (ix) the Certificate Principal Balance of the Class M-8 Certificates after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related Distribution Date and (x) the Certificate Principal Balance of the Class M-9 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 27 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-10 PRINCIPAL DISTRIBUTION The Class M-10 Principal Distribution AMOUNT: Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date and (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date (viii) the Certificate Principal Balance of the Class M-7 Certificates after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related Distribution Date, (ix) the Certificate Principal Balance of the Class M-8 Certificates after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related Distribution Date, (x) the Certificate Principal Balance of the Class M-9 Certificates after taking into account the distribution of the Class M-9 Principal Distribution Amount on the related Distribution Date and (xi) the Certificate Principal Balance of the Class M-10 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 28 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- SUBORDINATION PERCENTAGE: With respect to each class of Class A and Class M Certificates, the applicable approximate percentage set forth in the table below. ----------------------------------- Class Percentage ----------------------------------- A 53.10% ----------------------------------- M-1 60.40% ----------------------------------- M-2 67.20% ----------------------------------- M-3 71.20% ----------------------------------- M-4 74.90% ----------------------------------- M-5 78.30% ----------------------------------- M-6 81.40% ----------------------------------- M-7 84.20% ----------------------------------- M-8 86.40% ----------------------------------- M-9 88.40% ----------------------------------- M-10 90.40% ----------------------------------- 29 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. SCHEDULED PRINCIPAL BALANCE: $1,463,348,009.01 NUMBER OF MORTGAGE LOANS: 6,911 AVERAGE SCHEDULED PRINCIPAL BALANCE: $211,741.86 WEIGHTED AVERAGE GROSS COUPON: 7.240% INITIAL WEIGHTED AVERAGE NET COUPON(1): 6.736% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 630 WEIGHTED AVERAGE ORIGINAL LTV RATIO(3): 81.17% WEIGHTED AVERAGE COMBINED LTV RATIO: 88.02% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 355 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 359 WEIGHTED AVERAGE ROLL TERM (2) (MONTHS): 28 WEIGHTED AVERAGE GROSS MARGIN(2): 6.015% WEIGHTED AVERAGE INITIAL RATE CAP(2): 1.498% WEIGHTED AVERAGE PERIODIC RATE CAP(2): 1.498% INTEREST ONLY LOANS: 52.61% SILENT SECONDS: 35.13% - -------------------------------------------------------------------------------- (1) The initial weighted average net coupon has been prepared assuming the Administrative Fee Rate is 0.5040%. (2) Includes adjustable-rate Mortgage Loans only. (3) The loan-to-value ("OLTV") of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. 30 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY PRODUCT TYPE - -------------------------------------------------------------------------------- % OF AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL POOL BY UNPAID PRINCIPAL GROSS ORIGINAL CREDIT PRODUCT TYPE LOANS BALANCE PRINCIPAL BALANCE BALANCE COUPON LTV SCORE - ------------------------------------------------------------------------------------------------------------------------------------ 2/6M ARMS 193 $27,119,683.43 1.85% $140,516.49 8.259% 79.51% 602 2/6M ARMS-2Y-IO 249 64,939,624.18 4.44 260,801.70 6.926 82.19 626 2/6M ARMS-5Y-IO 1,559 464,501,885.61 31.74 297,948.61 7.072 81.15 647 3/6M ARMS 2,656 472,085,946.88 32.26 177,743.20 7.537 82.48 613 3/6M ARMS-3Y-IO 184 49,102,883.12 3.36 266,863.50 6.565 80.45 630 3/6M ARMS-5Y-IO 662 172,984,736.46 11.82 261,306.25 7.057 81.81 644 5/6M ARMS-7Y-IO 50 13,303,575.83 0.91 266,071.52 7.070 78.79 650 FIX-5Y-IO 15 4,999,398.33 0.34 333,293.22 7.245 76.80 649 FIXED 1,118 185,079,625.02 12.65 165,545.28 7.042 76.70 620 FIXED 2NDS 225 9,230,650.15 0.63 41,025.11 10.908 99.55 639 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 - ------------------------------------------------------------------------------------------------------------------------------------ - -------------------------------------------------------------------------------- DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. CURRENT GROSS NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT MORTGAGE RATE (%) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 5.000 - 5.499 10 $3,041,508.41 0.21% $304,150.84 5.352% 76.44% 657 5.500 - 5.999 337 97,800,242.40 6.68 290,208.43 5.815 77.56 648 6.000 - 6.499 828 221,163,095.18 15.11 267,105.19 6.275 78.22 643 6.500 - 6.999 1525 379,357,066.69 25.92 248,758.73 6.756 80.97 639 7.000 - 7.499 1,146 256,924,605.85 17.56 224,192.5 7.237 81.14 633 7.500 - 7.999 1,116 229,396,337.81 15.68 205,552.27 7.726 82.45 624 8.000 - 8.499 641 112,391,070.28 7.68 175,337.08 8.226 82.84 618 8.500 - 8.999 558 86,063,372.93 5.88 154,235.44 8.727 84.36 599 9.000 - 9.499 281 39,580,082.51 2.70 140,854.39 9.229 84.34 592 9.500 - 9.999 215 20,584,166.91 1.41 95,740.31 9.721 85.22 585 10.000 - 10.499 72 6,074,846.87 0.42 84,372.87 10.237 83.90 572 10.500 - 10.999 60 4,619,872.44 0.32 76,997.87 10.709 86.22 579 11.000 - 11.499 35 2,034,865.40 0.14 58,139.01 11.274 92.34 606 11.500 - 11.999 59 3,025,012.36 0.21 51,271.40 11.741 96.77 609 12.000 - 12.499 21 891,506.17 0.06 42,452.67 12.151 97.95 599 12.500 - 12.999 3 214,529.79 0.01 71,509.93 12.613 100.00 617 13.000 - 13.499 3 158,737.65 0.01 52,912.55 13.251 100.00 625 13.500 - 13.799 1 27,089.36 0.00 27,089.36 13.700 100.00 640 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 31 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. CURRENT UNPAID NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PRINCIPAL BALANCE ($) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ----------------------------------------------------------------------------------------------------------------------------------- 14,987.75 - 25,000.00 68 $1,500,652.33 0.10% $22,068.42 10.546% 98.35% 624 25,000.01 - 50,000.00 160 6,470,714.22 0.44 40,441.96 9.609 80.26 603 50,000.01 - 75,000.00 523 32,829,300.82 2.24 62,771.13 8.689 80.09 598 75,000.01 - 100,000.00 770 67,801,749.14 4.63 88,054.22 7.958 79.59 602 100,000.01 - 125,000.00 728 82,072,053.81 5.61 112,736.34 7.686 80.69 605 125,000.01 - 150,000.00 687 94,529,421.88 6.46 137,597.41 7.486 80.25 613 150,000.01 - 175,000.00 582 94,129,036.06 6.43 161,733.74 7.375 81.09 617 175,000.01 - 200,000.00 490 92,340,355.90 6.31 188,449.71 7.262 79.91 624 200,000.01 - 225,000.00 416 88,645,156.47 6.06 213,089.32 7.174 80.32 626 225,000.01 - 250,000.00 273 64,897,590.74 4.43 237,720.11 7.228 80.11 629 250,000.01 - 275,000.00 328 85,863,274.01 5.87 261,778.27 6.986 80.61 635 275,000.01 - 300,000.00 318 91,512,068.39 6.25 287,773.80 7.046 80.61 636 300,000.01 - 325,000.00 258 80,649,408.85 5.51 312,594.61 7.076 82.45 636 325,000.01 - 350,000.00 228 77,089,121.33 5.27 338,110.18 7.029 81.32 629 350,000.01 - 375,000.00 201 72,660,507.99 4.97 361,495.06 7.139 82.15 636 375,000.01 - 400,000.00 166 64,494,070.32 4.41 388,518.50 7.078 81.89 642 400,000.01 - 417,000.00 73 29,795,686.64 2.04 408,160.09 6.879 82.70 644 417,000.01 - 425,000.00 51 21,490,542.14 1.47 421,383.18 7.115 80.93 637 425,000.01 - 450,000.00 110 48,313,235.17 3.30 439,211.23 7.035 83.89 643 450,000.01 - 500,000.00 196 93,513,358.69 6.39 477,108.97 6.953 82.63 639 500,000.01 - 600,000.00 163 87,977,933.25 6.01 539,741.92 6.974 81.95 652 600,000.01 - 700,000.00 79 51,182,242.64 3.50 647,876.49 6.953 82.40 655 700,000.01 - 800,000.00 31 22,827,743.56 1.56 736,378.82 6.875 82.85 672 800,000.01 - 900,000.00 7 5,876,826.10 0.40 839,546.59 7.061 76.78 637 900,000.01 - 1,000,000.00 5 4,885,958.56 0.33 977,191.71 7.210 65.80 684 - ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 32 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE(1) - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. ORIGINAL NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PRINCIPAL BALANCE ($) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 15,000.00 - 25,000.00 68 $1,500,652.33 0.10% $22,068.42 10.546% 98.35% 624 25,000.01 - 50,000.00 157 6,321,957.45 0.43 40,267.24 9.649 80.76 603 50,000.01 - 75,000.00 519 32,454,036.07 2.22 62,531.86 8.708 80.50 598 75,000.01 - 100,000.00 777 68,325,770.66 4.67 87,935.35 7.952 79.36 603 100,000.01 - 125,000.00 727 81,947,310.45 5.60 112,719.82 7.686 80.67 605 125,000.01 - 150,000.00 682 93,756,065.69 6.41 137,472.24 7.493 80.22 613 150,000.01 - 175,000.00 584 94,327,423.47 6.45 161,519.56 7.365 81.07 617 175,000.01 - 200,000.00 493 92,840,084.75 6.34 188,316.60 7.265 79.95 624 200,000.01 - 225,000.00 414 88,171,376.56 6.03 212,974.34 7.174 80.28 627 225,000.01 - 250,000.00 272 64,572,887.07 4.41 237,400.32 7.231 80.22 629 250,000.01 - 275,000.00 331 86,587,353.36 5.92 261,593.21 6.986 80.53 634 275,000.01 - 300,000.00 318 91,487,002.74 6.25 287,694.98 7.051 80.78 636 300,000.01 - 325,000.00 257 80,299,782.17 5.49 312,450.51 7.075 82.32 637 325,000.01 - 350,000.00 227 76,688,652.63 5.24 337,835.47 7.033 81.19 630 350,000.01 - 375,000.00 202 72,960,485.99 4.99 361,190.52 7.139 82.29 636 375,000.01 - 400,000.00 167 64,844,439.80 4.43 388,290.06 7.070 81.82 643 400,000.01 - 417,000.00 74 30,194,887.71 2.06 408,039.02 6.882 82.80 642 417,000.01 - 425,000.00 51 21,490,542.14 1.47 421,383.18 7.115 80.93 637 425,000.01 - 450,000.00 110 48,313,235.17 3.30 439,211.23 7.035 83.89 643 450,000.01 - 500,000.00 196 93,513,358.69 6.39 477,108.97 6.953 82.63 639 500,000.01 - 600,000.00 163 87,977,933.25 6.01 539,741.92 6.974 81.95 652 600,000.01 - 700,000.00 79 51,182,242.64 3.50 647,876.49 6.953 82.40 655 700,000.01 - 800,000.00 31 22,827,743.56 1.56 736,378.82 6.875 82.85 672 800,000.01 - 900,000.00 7 5,876,826.10 0.40 839,546.59 7.061 76.78 637 900,000.01 - 1,000,000.00 5 4,885,958.56 0.33 977,191.71 7.210 65.80 684 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 (1) All weighted averages based on Unpaid Principal Balance. 33 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY REMAINING TERM TO MATURITY - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. REMAINING TERM NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT (MONTHS) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 116 - 120 6 $338,551.06 0.02% $56,425.18 7.283% 59.18% 605 121 - 180 48 4,962,919.99 0.34 103,394.17 7.505 74.61 626 181 - 240 76 8,586,967.93 0.59 112,986.42 7.129 76.09 622 241 - 300 10 970,685.30 0.07 97,068.53 7.388 76.34 603 301 - 358 6,771 1,448,488,884.73 98.98 213,925.40 7.239 81.23 630 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL TERM TO MATURITY - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. ORIGINAL TERM NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT (MONTHS) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 120 - 120 6 $338,551.06 0.02% $56,425.18 7.283% 59.18% 605 121 - 180 48 4,962,919.99 0.34 103,394.17 7.505 74.61 626 181 - 240 76 8,586,967.93 0.59 112,986.42 7.129 76.09 622 241 - 300 10 970,685.30 0.07 97,068.53 7.388 76.34 603 301 - 360 6,771 1,448,488,884.73 98.98 213,925.40 7.239 81.23 630 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 34 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY COMBINED LTV - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT COMBINED LTV (%) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------------------- 13.38 - 25.00 17 $1,264,121.26 0.09% $74,360.07 7.492% 19.76% 597 25.01 - 30.00 9 962,417.38 0.07 106,935.26 6.925 28.12 577 30.01 - 35.00 17 1,444,873.85 0.10 84,992.58 7.754 32.75 613 35.01 - 40.00 24 3,099,428.31 0.21 129,142.85 6.841 37.19 629 40.01 - 45.00 28 3,472,600.44 0.24 124,021.44 7.243 42.77 624 45.01 - 50.00 55 8,915,612.65 0.61 162,102.05 6.811 47.73 625 50.01 - 55.00 70 11,455,537.78 0.78 163,650.54 6.962 52.71 619 55.01 - 60.00 110 20,748,964.50 1.42 188,626.95 6.926 58.02 610 60.01 - 65.00 186 36,440,015.58 2.49 195,914.06 6.922 63.35 609 65.01 - 70.00 281 57,540,227.88 3.93 204,769.49 7.095 68.62 607 70.01 - 75.00 403 84,609,013.94 5.78 209,947.93 7.057 73.78 606 75.01 - 80.00 894 179,859,342.32 12.29 201,184.95 7.206 79.27 609 80.01 - 85.00 768 157,980,645.40 10.80 205,703.97 7.373 84.32 601 85.01 - 90.00 1,126 266,193,120.73 18.19 236,405.97 7.447 89.39 633 90.01 - 95.00 570 121,841,413.95 8.33 213,756.87 7.520 92.61 643 95.01 - 100.00 2,353 507,520,673.04 34.68 215,690.89 7.132 80.82 652 - ---------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL LTV - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT ORIGINAL LTV (%) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 13.38 - 25.00 17 $1,264,121.26 0.09% $74,360.07 7.492% 19.76% 597 25.01 - 30.00 10 1,023,288.02 0.07 102,328.80 6.976 28.22 576 30.01 - 35.00 17 1,444,873.85 0.10 84,992.58 7.754 32.75 613 35.01 - 40.00 24 3,099,428.31 0.21 129,142.85 6.841 37.19 629 40.01 - 45.00 29 3,618,577.49 0.25 124,778.53 7.207 42.86 627 45.01 - 50.00 55 8,915,612.65 0.61 162,102.05 6.811 47.73 625 50.01 - 55.00 70 11,455,537.78 0.78 163,650.54 6.962 52.71 619 55.01 - 60.00 111 20,867,541.70 1.43 187,995.87 6.923 58.02 610 60.01 - 65.00 189 37,023,081.79 2.53 195,889.32 6.924 63.35 609 65.01 - 70.00 285 58,866,966.07 4.02 206,550.76 7.082 68.58 608 70.01 - 75.00 423 86,442,346.21 5.91 204,355.43 7.064 73.80 607 75.01 - 80.00 2,951 669,489,379.85 45.75 226,868.65 7.072 79.79 641 80.01 - 85.00 832 170,485,738.40 11.65 204,910.74 7.367 84.39 604 85.01 - 90.00 1,149 268,395,280.95 18.34 233,590.32 7.467 89.61 631 90.01 - 95.00 477 102,759,918.85 7.02 215,429.60 7.551 94.61 644 95.01 - 100.00 272 18,196,315.83 1.24 66,898.22 9.895 99.90 653 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 35 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY STATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT STATE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- CALIFORNIA 1,442 $485,224,715.28 33.16% $336,494.25 6.918% 80.09% 643 NEW YORK 370 111,031,053.22 7.59 300,083.93 7.128 80.24 640 FLORIDA 590 103,750,825.04 7.09 175,848.86 7.434 80.83 622 NEW JERSEY 338 86,424,199.31 5.91 255,692.90 7.504 81.79 637 ILLINOIS 385 71,092,582.40 4.86 184,656.06 7.353 83.08 622 ARIZONA 284 52,188,617.91 3.57 183,762.74 7.182 80.81 633 TEXAS 506 51,064,770.44 3.49 100,918.52 7.853 80.70 601 MASSACHUSETTS 190 50,250,554.85 3.43 264,476.60 7.223 80.26 629 MARYLAND 164 37,011,370.59 2.53 225,679.09 7.095 81.55 617 HAWAII 91 33,123,528.20 2.26 363,994.82 6.792 79.32 655 NEVADA 130 32,599,106.33 2.23 250,762.36 7.099 80.16 629 WASHINGTON 163 32,358,909.48 2.21 198,520.92 6.986 81.80 625 GEORGIA 211 31,239,362.89 2.13 148,053.85 7.856 83.38 604 MICHIGAN 203 25,821,928.45 1.76 127,201.62 7.827 83.98 610 OHIO 206 22,996,912.32 1.57 111,635.50 8.002 86.60 603 WISCONSIN 158 19,846,433.85 1.36 125,610.34 7.822 83.33 611 PENNSYLVANIA 145 18,066,375.51 1.23 124,595.69 7.548 81.65 612 MINNESOTA 95 18,024,694.05 1.23 189,733.62 7.304 83.64 617 OTHERS 1,240 181,232,068.89 12.38 146,154.89 7.533 82.58 616 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 36 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY OCCUPANCY TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT OCCUPANCY TYPE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- INVESTOR 350 $52,021,453.40 3.55% $148,632.72 8.185% 83.85% 654 OWNER OCCUPIED 6,333 1,364,427,082.83 93.24 215,447.19 7.187 81.06 628 SECOND HOME 228 46,899,472.78 3.20 205,699.44 7.723 81.14 666 - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 - -------------------------------------------------------------------------------- DISTRIBUTION BY PROPERTY TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PROPERTY TYPE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- ONE FAMILY 5,127 $1,045,579,152.03 71.45% $203,935.86 7.241% 81.02% 627 PUD DETACHED 746 167,263,425.66 11.43 224,213.71 7.278 81.62 627 2-4 UNIT 399 112,748,218.75 7.70 282,576.99 7.210 81.35 649 CONDO 503 111,729,341.68 7.64 222,125.93 7.166 81.39 641 PUD ATTACHED 133 25,353,869.09 1.73 190,630.59 7.421 82.42 629 MODULAR HOME 3 674,001.80 0.05 224,667.27 7.140 79.13 609 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 - -------------------------------------------------------------------------------- DISTRIBUTION BY LOAN PURPOSE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT LOAN PURPOSE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- CASH OUT REFINANCE 3,334 $699,942,368.00 47.83% $209,940.72 7.194% 79.84% 614 PURCHASE 2,793 620,550,998.00 42.41 222,180.81 7.306 82.38 650 RATE/TERM REFINANCE 784 142,854,643.01 9.76 182,212.55 7.180 82.38 622 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 37 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY DOCUMENTATION TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT DOCUMENTATION TYPE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- FULL DOCUMENTATION 4,536 $865,739,272.19 59.16% $190,859.63 7.007% 81.27% 616 LIMITED DOCUMENTATION 109 28,999,253.61 1.98 266,048.20 7.036 82.62 633 STATED DOCUMENTATION 2,266 568,609,483.21 38.86 250,930.93 7.605 80.93 652 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 - -------------------------------------------------------------------------------- DISTRIBUTION BY CREDIT SCORE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT CREDIT SCORE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 500 - 500 16 $1,918,833.82 0.13% $119,927.11 8.377% 78.38% 500 501 - 525 362 49,150,453.80 3.36 135,774.73 8.598 76.92 513 526 - 550 386 55,023,549.79 3.76 142,548.06 8.109 77.58 537 551 - 575 502 82,995,488.53 5.67 165,329.66 7.636 79.36 564 576 - 600 1,091 206,244,850.35 14.09 189,042.03 7.368 81.01 590 601 - 625 1,454 304,136,514.16 20.78 209,172.29 7.123 81.83 613 626 - 650 1,240 282,831,123.50 19.33 228,089.62 7.085 81.39 637 651 - 675 864 220,929,813.52 15.10 255,705.80 7.067 81.63 662 676 - 700 456 120,514,582.43 8.24 264,286.36 6.994 81.95 687 701 - 725 293 77,303,132.87 5.28 263,833.22 6.970 82.07 711 726 - 750 121 29,054,767.28 1.99 240,122.04 7.192 82.99 736 751 - 775 71 20,811,650.31 1.42 293,121.84 6.986 81.64 762 776 - 800 45 10,464,726.04 0.72 232,549.47 7.035 80.37 787 801 - 816 10 1,968,522.61 0.13 196,852.26 7.623 83.84 813 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 38 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. PREPAYMENT PENALTY TERM NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT (MONTHS) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 0 2,378 $465,611,823.27 31.82% $195,799.76 7.627% 81.51% 630 12 306 78,295,271.58 5.35 255,866.90 7.183 80.70 633 24 1,813 481,046,236.53 32.87 265,331.63 7.009 81.43 642 36 2,414 438,394,677.63 29.96 181,605.09 7.092 80.59 617 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 - -------------------------------------------------------------------------------- DISTRIBUTION BY LIEN TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT LIEN TYPE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- FIRST LIEN 6,686 $1,454,117,358.86 99.37% $217,486.89 7.217% 81.05% 630 SECOND LIEN 225 9,230,650.15 0.63 41,025.11 10.908 99.55 639 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 6,911 $1,463,348,009.01 100.00% $211,741.86 7.240% 81.17% 630 39 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- COLLATERAL SUMMARY Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. SCHEDULED PRINCIPAL BALANCE: $1,264,038,335.51 NUMBER OF MORTGAGE LOANS: 5,553 AVERAGE SCHEDULED PRINCIPAL BALANCE: $227,631.61 WEIGHTED AVERAGE GROSS COUPON: 7.242% INITIAL WEIGHTED AVERAGE NET COUPON(1): 6.738% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 631 WEIGHTED AVERAGE ORIGINAL LTV RATIO(3): 81.70% WEIGHTED AVERAGE COMBINED LTV RATIO: 89.34% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 357 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 360 WEIGHTED AVERAGE ROLL TERM (2) (MONTHS): 28 WEIGHTED AVERAGE GROSS MARGIN(2): 6.015% WEIGHTED AVERAGE INITIAL RATE CAP(2): 1.498% WEIGHTED AVERAGE PERIODIC RATE CAP(2): 1.498% WEIGHTED AVERAGE GROSS MAXIMUM LIFETIME RATE(2): 14.236% WEIGHTED AVERAGE GROSS MINIMUM LIFETIME RATE(2): 7.258% INTEREST ONLY LOANS: 60.51% SILENT SECONDS: 39.10% - -------------------------------------------------------------------------------- (1) The initial weighted average net coupon has been prepared assuming the Administrative Fee Rate is 0.5040%. (2) Includes adjustable-rate Mortgage Loans only. (3) The loan-to-value ("OLTV") of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. 40 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- DISTRIBUTION BY PRODUCT TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PRODUCT TYPE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 2/6M ARMS 193 $27,119,683.43 2.15% $140,516.49 8.259% 79.51% 602 2/6M ARMS-2Y-IO 249 64,939,624.18 5.14 260,801.70 6.926 82.19 626 2/6M ARMS-5Y-IO 1,559 464,501,885.61 36.75 297,948.61 7.072 81.15 647 3/6M ARMS 2,656 472,085,946.88 37.35 177,743.20 7.537 82.48 613 3/6M ARMS-3Y-IO 184 49,102,883.12 3.88 266,863.50 6.565 80.45 630 3/6M ARMS-5Y-IO 662 172,984,736.46 13.69 261,306.25 7.057 81.81 644 5/6M ARMS-7Y-IO 50 13,303,575.83 1.05 266,071.52 7.070 78.79 650 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. CURRENT GROSS NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT MORTGAGE RATE (%) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 5.000 - 5.499 10 $3,041,508.41 0.24% $304,150.84 5.352% 76.44% 657 5.500 - 5.999 306 90,754,457.38 7.18 296,583.19 5.803 78.09 649 6.000 - 6.499 582 164,275,700.89 13.00 282,260.65 6.271 80.12 645 6.500 - 6.999 1,227 323,993,728.14 25.63 264,053.57 6.757 81.57 640 7.000 - 7.499 995 232,768,862.05 18.41 233,938.55 7.237 81.40 635 7.500 - 7.999 977 210,888,529.89 16.68 215,853.15 7.728 82.62 625 8.000 - 8.499 550 101,738,745.77 8.05 184,979.54 8.226 83.01 620 8.500 - 8.999 470 77,368,606.08 6.12 164,614.06 8.722 84.63 602 9.000 - 9.499 219 34,373,425.11 2.72 156,956.28 9.231 84.77 594 9.500 - 9.999 133 16,383,934.18 1.30 123,187.48 9.714 85.01 583 10.000 - 10.499 44 4,252,164.06 0.34 96,640.09 10.232 83.01 562 10.500 - 10.999 28 2,937,104.25 0.23 104,896.58 10.688 81.24 550 11.000 - 11.499 7 754,806.08 0.06 107,829.44 11.242 79.34 547 11.500 - 11.999 4 415,214.75 0.03 103,803.69 11.781 84.27 572 12.000 - 12.199 1 91,548.47 0.01 91,548.47 12.100 80.00 515 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- 41 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. CURRENT UNPAID NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PRINCIPAL BALANCE ($) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ------------------------------------------------------------------------------------------------------------------------------------ 49,417.99 - 50,000.00 30 $1,496,940.27 0.12% $49,898.01 9.014% 56.04% 556 50,000.01 - 75,000.00 326 20,628,136.62 1.63 63,276.49 8.585 79.39 594 75,000.01 - 100,000.00 550 48,549,383.18 3.84 88,271.61 7.989 80.39 602 100,000.01 - 125,000.00 592 66,798,173.01 5.28 112,834.75 7.727 81.31 604 125,000.01 - 150,000.00 552 76,012,913.17 6.01 137,704.55 7.549 81.44 613 150,000.01 - 175,000.00 499 80,697,858.95 6.38 161,719.16 7.424 81.74 616 175,000.01 - 200,000.00 411 77,393,317.97 6.12 188,304.91 7.337 80.31 625 200,000.01 - 225,000.00 356 75,871,651.25 6.00 213,122.62 7.238 81.05 627 225,000.01 - 250,000.00 236 56,056,096.28 4.43 237,525.83 7.298 80.92 631 250,000.01 - 275,000.00 289 75,670,132.84 5.99 261,834.37 7.028 81.13 636 275,000.01 - 300,000.00 288 82,873,166.61 6.56 287,754.05 7.085 81.09 638 300,000.01 - 325,000.00 230 71,899,482.07 5.69 312,606.44 7.087 82.73 638 325,000.01 - 350,000.00 197 66,572,178.40 5.27 337,929.84 7.060 81.55 630 350,000.01 - 375,000.00 186 67,189,383.47 5.32 361,233.24 7.170 82.93 636 375,000.01 - 400,000.00 152 59,071,067.59 4.67 388,625.44 7.126 82.54 642 400,000.01 - 417,000.00 70 28,579,649.35 2.26 408,280.71 6.892 82.90 644 417,000.01 - 425,000.00 43 18,123,270.59 1.43 421,471.41 7.186 81.15 642 425,000.01 - 450,000.00 102 44,765,068.73 3.54 438,873.22 7.073 83.97 643 450,000.01 - 500,000.00 181 86,348,686.94 6.83 477,064.57 6.960 82.90 639 500,000.01 - 600,000.00 150 80,959,770.36 6.40 539,731.80 7.007 82.41 651 600,000.01 - 700,000.00 72 46,586,175.45 3.69 647,030.21 6.973 83.29 654 700,000.01 - 800,000.00 30 22,048,047.75 1.74 734,934.93 6.879 82.95 671 800,000.01 - 900,000.00 7 5,876,826.10 0.46 839,546.59 7.061 76.78 637 900,000.01 - 1,000,000.00 4 3,970,958.56 0.31 992,739.64 7.345 64.75 690 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - ------------------------------------------------------------------------------------------------------------------------------------ 42 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE(1) - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. ORIGINAL NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PRINCIPAL BALANCE ($) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 50,000.00 - 50,000.00 29 $1,446,961.16 0.11% $49,895.21 9.058% 55.73% 553 50,000.01 - 75,000.00 322 20,303,762.35 1.61 63,055.16 8.608 79.79 594 75,000.01 - 100,000.00 555 48,923,736.56 3.87 88,150.88 7.983 80.21 602 100,000.01 - 125,000.00 591 66,673,429.65 5.27 112,814.60 7.727 81.29 604 125,000.01 - 150,000.00 550 75,688,120.89 5.99 137,614.77 7.554 81.44 613 150,000.01 - 175,000.00 499 80,622,554.89 6.38 161,568.25 7.415 81.70 616 175,000.01 - 200,000.00 414 77,918,157.67 6.16 188,208.11 7.343 80.37 625 200,000.01 - 225,000.00 353 75,197,888.05 5.95 213,025.18 7.236 80.99 628 225,000.01 - 250,000.00 236 55,980,388.68 4.43 237,205.04 7.296 80.91 631 250,000.01 - 275,000.00 291 76,145,216.12 6.02 261,667.41 7.030 81.15 635 275,000.01 - 300,000.00 289 83,147,554.13 6.58 287,707.80 7.087 81.14 638 300,000.01 - 325,000.00 228 71,250,402.22 5.64 312,501.76 7.090 82.75 638 325,000.01 - 350,000.00 198 66,871,294.46 5.29 337,733.81 7.055 81.49 631 350,000.01 - 375,000.00 186 67,164,751.44 5.31 361,100.81 7.176 82.98 636 375,000.01 - 400,000.00 152 59,046,462.34 4.67 388,463.57 7.121 82.48 643 400,000.01 - 417,000.00 71 28,978,850.42 2.29 408,152.82 6.895 83.00 642 417,000.01 - 425,000.00 43 18,123,270.59 1.43 421,471.41 7.186 81.15 642 425,000.01 - 450,000.00 102 44,765,068.73 3.54 438,873.22 7.073 83.97 643 450,000.01 - 500,000.00 181 86,348,686.94 6.83 477,064.57 6.960 82.90 639 500,000.01 - 600,000.00 150 80,959,770.36 6.40 539,731.80 7.007 82.41 651 600,000.01 - 700,000.00 72 46,586,175.45 3.69 647,030.21 6.973 83.29 654 700,000.01 - 800,000.00 30 22,048,047.75 1.74 734,934.93 6.879 82.95 671 800,000.01 - 900,000.00 7 5,876,826.10 0.46 839,546.59 7.061 76.78 637 900,000.01 - 1,000,000.00 4 3,970,958.56 0.31 992,739.64 7.345 64.75 690 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- (1) All weighted averages based on Unpaid Principal Balance. - -------------------------------------------------------------------------------------------------------------------------------- 43 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY REMAINING TERM TO MATURITY - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. REMAINING TERM NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT (MONTHS) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 352 - 358 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL TERM TO MATURITY - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. ORIGINAL TERM NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT (MONTHS) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 360 - 360 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- 44 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY COMBINED LTV - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT COMBINED LTV (%) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 14.00 - 25.00 10 $677,556.60 0.05% $67,755.66 7.796% 20.39% 591 25.01 - 30.00 4 608,199.51 0.05 152,049.88 6.750 28.43 573 30.01 - 35.00 13 1,160,357.01 0.09 89,258.23 7.635 32.79 619 35.01 - 40.00 15 2,135,800.60 0.17 142,386.71 6.822 37.41 623 40.01 - 45.00 9 1,167,771.89 0.09 129,752.43 8.321 42.30 587 45.01 - 50.00 32 5,564,510.41 0.44 173,890.95 6.919 47.90 623 50.01 - 55.00 38 6,495,769.91 0.51 170,941.31 7.115 52.78 614 55.01 - 60.00 68 13,239,683.67 1.05 194,701.23 7.083 58.07 603 60.01 - 65.00 126 25,156,427.51 1.99 199,654.19 6.976 63.45 603 65.01 - 70.00 189 40,815,454.01 3.23 215,954.78 7.230 68.65 602 70.01 - 75.00 299 63,496,469.42 5.02 212,362.77 7.137 73.87 601 75.01 - 80.00 633 140,147,196.93 11.09 221,401.57 7.231 79.31 609 80.01 - 85.00 628 135,799,400.27 10.74 216,241.08 7.383 84.36 601 85.01 - 90.00 968 238,287,787.22 18.85 246,165.07 7.471 89.43 633 90.01 - 95.00 484 107,831,304.73 8.53 222,791.95 7.555 92.61 643 95.01 - 100.00 2,037 481,454,645.82 38.09 236,354.76 7.059 80.47 653 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL LTV - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT ORIGINAL LTV (%) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 14.00 - 25.00 10 $677,556.60 0.05% $67,755.66 7.796% 20.39% 591 25.01 - 30.00 5 669,070.15 0.05 133,814.03 6.844 28.55 571 30.01 - 35.00 13 1,160,357.01 0.09 89,258.23 7.635 32.79 619 35.01 - 40.00 15 2,135,800.60 0.17 142,386.71 6.822 37.41 623 40.01 - 45.00 9 1,167,771.89 0.09 129,752.43 8.321 42.30 587 45.01 - 50.00 32 5,564,510.41 0.44 173,890.95 6.919 47.90 623 50.01 - 55.00 38 6,495,769.91 0.51 170,941.31 7.115 52.78 614 55.01 - 60.00 68 13,239,683.67 1.05 194,701.23 7.083 58.07 603 60.01 - 65.00 129 25,739,493.72 2.04 199,530.96 6.977 63.45 603 65.01 - 70.00 190 41,605,500.36 3.29 218,976.32 7.217 68.60 604 70.01 - 75.00 319 65,329,801.69 5.17 204,795.62 7.144 73.88 602 75.01 - 80.00 2,596 612,652,172.82 48.47 235,998.53 7.069 79.82 643 80.01 - 85.00 686 147,259,230.09 11.65 214,663.60 7.378 84.43 604 85.01 - 90.00 989 241,081,017.94 19.07 243,762.40 7.489 89.61 632 90.01 - 95.00 404 90,626,189.93 7.17 224,322.25 7.584 94.64 646 95.01 - 100.00 50 8,634,408.72 0.68 172,688.17 8.803 99.87 668 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- 45 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY STATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT STATE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- CALIFORNIA 1,255 $439,079,094.31 34.74% $349,863.82 6.921% 80.70% 644 NEW YORK 315 98,694,453.24 7.81 313,315.72 7.156 80.83 640 FLORIDA 440 81,525,944.33 6.45 185,286.24 7.514 82.08 623 NEW JERSEY 296 77,773,679.01 6.15 262,748.92 7.545 82.57 638 ILLINOIS 352 67,423,417.35 5.33 191,543.80 7.342 83.31 623 ARIZONA 240 46,230,269.29 3.66 192,626.12 7.179 81.24 634 MASSACHUSETTS 159 43,173,826.61 3.42 271,533.50 7.258 81.09 630 MARYLAND 147 33,705,091.45 2.67 229,286.34 7.131 81.91 617 NEVADA 117 30,035,430.61 2.38 256,713.08 7.114 80.45 631 GEORGIA 181 28,630,955.28 2.27 158,182.07 7.800 83.50 606 WASHINGTON 132 27,335,534.92 2.16 207,087.39 6.957 81.78 627 TEXAS 240 26,644,705.62 2.11 111,019.61 8.025 81.27 601 HAWAII 70 26,608,056.73 2.11 380,115.10 6.803 80.36 657 MICHIGAN 175 22,920,958.70 1.81 130,976.91 7.819 83.81 609 OHIO 160 17,998,736.75 1.42 112,492.10 8.120 87.59 599 WISCONSIN 141 17,985,037.18 1.42 127,553.46 7.833 83.52 611 MINNESOTA 83 15,994,104.73 1.27 192,700.06 7.349 83.39 617 COLORADO 83 15,438,943.28 1.22 186,011.36 7.083 83.05 627 OTHERS 967 146,840,096.12 11.62 151,851.19 7.585 82.77 615 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- 46 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY OCCUPANCY TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT OCCUPANCY TYPE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- INVESTOR 287 $45,019,204.04 3.56% $156,861.34 8.227% 84.73% 654 OWNER OCCUPIED 5,060 1,173,915,684.54 92.87 231,999.15 7.187 81.91 629 SECOND HOME 206 45,103,446.93 3.57 218,948.77 7.701 81.13 666 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY PROPERTY TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PROPERTY TYPE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- ONE FAMILY 4,051 $892,749,463.46 70.63% $220,377.55 7.246% 81.67% 629 PUD DETACHED 602 143,434,809.94 11.35 238,263.80 7.275 81.83 629 2-4 UNIT 343 102,194,172.59 8.08 297,942.19 7.218 81.71 650 CONDO 445 102,003,030.80 8.07 229,220.29 7.154 81.56 642 PUD ATTACHED 109 22,982,856.92 1.82 210,851.90 7.393 82.65 629 MODULAR HOME 3 674,001.80 0.05 224,667.27 7.140 79.13 609 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY LOAN PURPOSE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT LOAN PURPOSE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- CASH OUT REFINANCE 2,466 $554,140,811.45 43.84% $224,712.41 7.244% 81.02% 613 PURCHASE 2,451 586,817,432.71 46.42 239,419.60 7.255 82.17 650 RATE/TERM REFINANCE 636 123,080,091.35 9.74 193,522.16 7.168 82.55 624 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- 47 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY DOCUMENTATION TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT DOCUMENTATION TYPE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- FULL DOCUMENTATION 3,429 $709,341,702.77 56.12% $206,865.47 6.981% 81.97% 616 LIMITED DOCUMENTATION 89 24,701,753.92 1.95 277,547.80 7.070 82.40 628 STATED DOCUMENTATION 2,035 529,994,878.82 41.93 260,439.74 7.600 81.31 652 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CREDIT SCORE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT CREDIT SCORE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 500 - 500 15 $1,822,488.29 0.14% $121,499.22 8.359% 77.81% 500 501 - 525 304 42,320,786.39 3.35 139,213.11 8.549 76.89 513 526 - 550 308 46,019,027.31 3.64 149,412.43 8.132 78.18 537 551 - 575 372 66,497,533.83 5.26 178,756.81 7.670 80.27 564 576 - 600 819 175,132,688.61 13.86 213,837.23 7.336 81.20 589 601 - 625 1,148 255,720,129.59 20.23 222,752.73 7.149 82.33 614 626 - 650 1,016 242,898,136.70 19.22 239,072.97 7.106 82.24 637 651 - 675 727 199,447,400.67 15.78 274,343.05 7.063 82.10 662 676 - 700 391 109,099,871.42 8.63 279,027.80 7.016 82.53 687 701 - 725 247 69,146,691.23 5.47 279,946.12 6.962 82.59 711 726 - 750 100 26,003,484.19 2.06 260,034.84 7.240 83.07 736 751 - 775 65 19,087,328.14 1.51 293,651.20 7.000 82.17 762 776 - 800 32 9,014,287.70 0.71 281,696.49 6.934 80.17 788 801 - 816 9 1,828,481.44 0.14 203,164.60 7.632 83.76 812 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- 48 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. PREPAYMENT PENALTY TERM NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT (MONTHS) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 0 1,933 $418,620,641.74 33.12% $216,565.26 7.610% 81.90% 632 12 251 65,014,218.10 5.14 259,020.79 7.258 81.88 633 24 1,732 475,094,664.82 37.59 274,304.08 6.978 81.30 642 36 1,637 305,308,810.85 24.15 186,505.08 7.144 82.02 614 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY LIEN TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT LIEN TYPE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- FIRST LIEN 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- 49 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY MAXIMUM MORTGAGE RATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT MAXIMUM MORTGAGE RATE ( %) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 11.950 - 11.999 1 $84,243.94 0.01% $84,243.94 5.950% 73.48% 619 12.000 - 12.499 15 3,803,798.45 0.30 253,586.56 5.541 76.47 655 12.500 - 12.999 309 91,406,119.44 7.23 295,812.68 5.811 78.09 649 13.000 - 13.499 588 165,717,080.63 13.11 281,831.77 6.284 80.06 644 13.500 - 13.999 1,232 325,162,681.98 25.72 263,930.75 6.763 81.59 640 14.000 - 14.499 994 231,733,794.28 18.33 233,132.59 7.242 81.48 635 14.500 - 14.999 972 209,654,618.52 16.59 215,694.05 7.731 82.61 625 15.000 - 15.499 540 100,570,143.76 7.96 186,241.01 8.226 83.01 621 15.500 - 15.999 467 76,854,560.46 6.08 164,570.79 8.723 84.66 602 16.000 - 16.499 219 34,373,425.11 2.72 156,956.28 9.231 84.77 594 16.500 - 16.999 132 16,227,031.33 1.28 122,932.06 9.714 84.97 583 17.000 - 17.499 44 4,252,164.06 0.34 96,640.09 10.232 83.01 562 17.500 - 17.999 28 2,937,104.25 0.23 104,896.58 10.688 81.24 550 18.000 - 18.499 7 754,806.08 0.06 107,829.44 11.242 79.34 547 18.500 - 18.999 4 415,214.75 0.03 103,803.69 11.781 84.27 572 19.000 - 19.100 1 91,548.47 0.01 91,548.47 12.100 80.00 515 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY MINIMUM MORTGAGE RATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT MINIMUM MORTGAGE RATE (%) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 5.500 - 5.999 262 $78,009,543.32 6.17% $297,746.35 5.790% 78.37% 652 6.000 - 6.499 632 178,546,889.09 14.13 282,510.90 6.230 79.79 644 6.500 - 6.999 1,227 324,356,610.03 25.66 264,349.32 6.755 81.57 640 7.000 - 7.499 996 233,001,579.28 18.43 233,937.33 7.235 81.40 635 7.500 - 7.999 976 210,633,002.89 16.66 215,812.50 7.728 82.63 625 8.000 - 8.499 553 102,658,380.92 8.12 185,639.03 8.209 82.99 620 8.500 - 8.999 471 77,624,133.08 6.14 164,807.08 8.719 84.61 602 9.000 - 9.499 219 34,373,425.11 2.72 156,956.28 9.231 84.77 594 9.500 - 9.999 133 16,383,934.18 1.30 123,187.48 9.714 85.01 583 10.000 - 10.499 44 4,252,164.06 0.34 96,640.09 10.232 83.01 562 10.500 - 10.999 28 2,937,104.25 0.23 104,896.58 10.688 81.24 550 11.000 - 11.499 7 754,806.08 0.06 107,829.44 11.242 79.34 547 11.500 - 11.999 4 415,214.75 0.03 103,803.69 11.781 84.27 572 12.000 - 12.100 1 91,548.47 0.01 91,548.47 12.100 80.00 515 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- 50 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY GROSS MARGIN - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT MARGIN (%) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 2.500 - 2.999 5 $1,022,175.98 0.08% $204,435.20 7.405% 84.29% 618 3.000 - 3.499 3 534,403.08 0.04 178,134.36 8.269 82.20 699 3.500 - 3.999 45 6,657,525.99 0.53 147,945.02 7.109 80.90 615 4.000 - 4.499 2 319,119.99 0.03 159,560.00 6.607 80.00 628 5.000 - 5.499 164 35,443,166.51 2.80 216,116.87 7.163 82.87 627 5.500 - 5.999 3,059 679,479,703.68 53.75 222,124.78 6.977 82.11 628 6.000 - 6.499 2,025 499,049,505.56 39.48 246,444.20 7.528 81.59 641 6.500 - 6.999 152 28,253,932.82 2.24 185,881.14 7.984 77.20 572 7.000 - 7.499 93 12,033,794.86 0.95 129,395.64 8.909 71.04 558 7.500 - 7.999 1 69,844.89 0.01 69,844.89 10.825 42.42 603 8.000 - 8.499 3 919,635.15 0.07 306,545.05 6.431 80.00 608 8.500 - 8.650 1 255,527.00 0.02 255,527.00 7.838 80.00 625 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- 51 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY INITIAL INTEREST RATE CAP - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT INITIAL RATE CAP (%) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 1.000 - 1.499 36 $5,982,143.81 0.47% $166,170.66 7.579% 81.06% 629 1.500 - 1.500 5,517 1,258,056,191.70 99.53 228,032.66 7.240 81.70 632 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY PERIODIC INTEREST RATE CAP - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PERIODIC RATE CAP (%) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 1.000 - 1.499 37 $6,112,378.84 0.48% $165,199.43 7.588% 81.25% 628 1.500 - 1.500 5,516 1,257,925,956.67 99.52 228,050.39 7.240 81.70 632 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- 52 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY NEXT RATE ADJUSTMENT DATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT NEXT RATE ADJUSTMENT DATE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 6/1/2007 2 $298,938.97 0.02% $149,469.49 7.648% 66.51% 538 7/1/2007 1 100,955.36 0.01 100,955.36 6.850 80.00 653 8/1/2007 8 1,484,810.99 0.12 185,601.37 7.158 78.76 630 9/1/2007 75 18,894,280.88 1.49 251,923.75 7.215 82.15 626 10/1/2007 946 278,603,471.58 22.04 294,506.84 6.969 81.22 645 11/1/2007 512 139,499,573.26 11.04 272,460.10 7.107 81.42 644 12/1/2007 457 117,679,162.18 9.31 257,503.64 7.443 80.75 640 7/1/2008 1 140,403.35 0.01 140,403.35 8.600 84.94 660 8/1/2008 9 1,860,135.15 0.15 206,681.68 7.453 85.36 617 9/1/2008 189 39,051,159.95 3.09 206,619.89 7.064 81.91 620 10/1/2008 1,561 325,517,492.30 25.75 208,531.39 7.229 82.45 622 11/1/2008 1,095 216,553,596.69 17.13 197,765.84 7.352 82.42 624 12/1/2008 647 111,050,779.02 8.79 171,639.53 7.789 80.89 620 8/1/2010 1 121,513.55 0.01 121,513.55 7.425 80.00 623 9/1/2010 11 3,119,399.93 0.25 283,581.81 6.963 81.44 661 10/1/2010 17 4,889,184.36 0.39 287,599.08 6.988 77.45 645 11/1/2010 17 4,180,027.99 0.33 245,884.00 7.196 78.76 649 12/1/2010 4 993,450.00 0.08 248,362.50 7.235 76.97 647 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 5,553 $1,264,038,335.51 100.00% $227,631.61 7.242% 81.70% 631 - -------------------------------------------------------------------------------------------------------------------------------- 53 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- COLLATERAL SUMMARY Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. SCHEDULED PRINCIPAL BALANCE: $199,309,673.50 NUMBER OF MORTGAGE LOANS: 1,358 AVERAGE SCHEDULED PRINCIPAL BALANCE: $146,767.06 WEIGHTED AVERAGE GROSS COUPON: 7.226% INITIAL WEIGHTED AVERAGE NET COUPON(1): 6.722% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 622 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 77.76% WEIGHTED AVERAGE COMBINED LTV RATIO: 79.63% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 346 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 350 INTEREST ONLY LOANS: 2.51% SILENT SECONDS: 9.94% - -------------------------------------------------------------------------------- (1) The initial weighted average net coupon has been prepared assuming the Administrative Fee Rate is 0.5040%. (2) The loan-to-value ("OLTV") of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. 54 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY PRODUCT TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PRODUCT TYPE OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- FIX-5Y-IO 15 $4,999,398.33 2.51% $333,293.22 7.245% 76.80% 649 FIXED 1,118 185,079,625.02 92.86 165,545.28 7.042 76.70 620 FIXED 2NDS 225 9,230,650.15 4.63 41,025.11 10.908 99.55 639 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. CURRENT GROSS NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT MORTGAGE RATE (%) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 5.500 - 5.999 31 $7,045,785.02 3.54% $227,283.39 5.966% 70.67% 639 6.000 - 6.499 246 56,887,394.29 28.54 231,249.57 6.286 72.72 639 6.500 - 6.999 298 55,363,338.55 27.78 185,783.02 6.751 77.51 631 7.000 - 7.499 151 24,155,743.80 12.12 159,971.81 7.238 78.66 611 7.500 - 7.999 139 18,507,807.92 9.29 133,149.70 7.700 80.40 605 8.000 - 8.499 91 10,652,324.51 5.34 117,058.51 8.228 81.17 598 8.500 - 8.999 88 8,694,766.85 4.36 98,804.17 8.770 81.95 578 9.000 - 9.499 62 5,206,657.40 2.61 83,978.35 9.214 81.47 575 9.500 - 9.999 82 4,200,232.73 2.11 51,222.35 9.750 86.04 591 10.000 - 10.499 28 1,822,682.81 0.91 65,095.81 10.248 85.99 597 10.500 - 10.999 32 1,682,768.19 0.84 52,586.51 10.745 94.92 631 11.000 - 11.499 28 1,280,059.32 0.64 45,716.40 11.293 100.00 641 11.500 - 11.999 55 2,609,797.61 1.31 47,450.87 11.734 98.76 615 12.000 - 12.499 20 799,957.70 0.40 39,997.89 12.157 100.00 608 12.500 - 12.999 3 214,529.79 0.11 71,509.93 12.613 100.00 617 13.000 - 13.499 3 158,737.65 0.08 52,912.55 13.251 100.00 625 13.500 - 13.799 1 27,089.36 0.01 27,089.36 13.700 100.00 640 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - -------------------------------------------------------------------------------------------------------------------------------- 55 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. CURRENT NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PRINCIPAL BALANCE ($) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 14,987.75 - 25,000.00 68 $1,500,652.33 0.75% $22,068.42 10.546% 98.35% 624 25,000.01 - 50,000.00 130 4,973,773.95 2.50 38,259.80 9.788 87.55 618 50,000.01 - 75,000.00 197 12,201,164.20 6.12 61,934.84 8.865 81.28 605 75,000.01 - 100,000.00 220 19,252,365.96 9.66 87,510.75 7.878 77.57 604 100,000.01 - 125,000.00 136 15,273,880.80 7.66 112,307.95 7.510 77.96 610 125,000.01 - 150,000.00 135 18,516,508.71 9.29 137,159.32 7.225 75.37 611 150,000.01 - 175,000.00 83 13,431,177.11 6.74 161,821.41 7.079 77.19 620 175,000.01 - 200,000.00 79 14,947,037.93 7.50 189,203.01 6.876 77.81 614 200,000.01 - 225,000.00 60 12,773,505.22 6.41 212,891.75 6.790 75.98 621 225,000.01 - 250,000.00 37 8,841,494.46 4.44 238,959.31 6.784 74.97 619 250,000.01 - 275,000.00 39 10,193,141.17 5.11 261,362.59 6.678 76.70 630 275,000.01 - 300,000.00 30 8,638,901.78 4.33 287,963.39 6.669 76.04 624 300,000.01 - 325,000.00 28 8,749,926.78 4.39 312,497.39 6.986 80.18 622 325,000.01 - 350,000.00 31 10,516,942.93 5.28 339,256.22 6.833 79.85 625 350,000.01 - 375,000.00 15 5,471,124.52 2.75 364,741.63 6.759 72.59 635 375,000.01 - 400,000.00 14 5,423,002.73 2.72 387,357.34 6.549 74.79 646 400,000.01 - 417,000.00 3 1,216,037.29 0.61 405,345.76 6.575 78.06 642 417,000.01 - 425,000.00 8 3,367,271.55 1.69 420,908.94 6.730 79.74 613 425,000.01 - 450,000.00 8 3,548,166.44 1.78 443,520.81 6.565 82.99 645 450,000.01 - 500,000.00 15 7,164,671.75 3.59 477,644.78 6.867 79.36 637 500,000.01 - 600,000.00 13 7,018,162.89 3.52 539,858.68 6.583 76.69 661 600,000.01 - 700,000.00 7 4,596,067.19 2.31 656,581.03 6.749 73.34 663 700,000.01 - 800,000.00 1 779,695.81 0.39 779,695.81 6.775 80.00 711 900,000.01 - 915,000.00 1 915,000.00 0.46 915,000.00 6.625 70.38 655 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - -------------------------------------------------------------------------------------------------------------------------------- 56 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE(1) - -------------------------------------------------------------------------------- % OF POOL BY UNPAID UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. ORIGINAL NUMBER PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PRINCIPAL BALANCE ($) OF LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - -------------------------------------------------------------------------------------------------------------------------------- 15,000.00 - 25,000.00 68 $1,500,652.33 0.75% $22,068.42 10.546% 98.35% 624 25,000.01 - 50,000.00 128 4,874,996.29 2.45 38,085.91 9.824 88.19 618 50,000.01 - 75,000.00 197 12,150,273.72 6.10 61,676.52 8.877 81.68 604 75,000.01 - 100,000.00 222 19,402,034.10 9.73 87,396.55 7.874 77.22 604 100,000.01 - 125,000.00 136 15,273,880.80 7.66 112,307.95 7.510 77.96 610 125,000.01 - 150,000.00 132 18,067,944.80 9.07 136,878.37 7.238 75.09 611 150,000.01 - 175,000.00 85 13,704,868.58 6.88 161,233.75 7.073 77.33 620 175,000.01 - 200,000.00 79 14,921,927.08 7.49 188,885.15 6.854 77.79 614 200,000.01 - 225,000.00 61 12,973,488.51 6.51 212,680.14 6.812 76.19 620 225,000.01 - 250,000.00 36 8,592,498.39 4.31 238,680.51 6.807 75.77 620 250,000.01 - 275,000.00 40 10,442,137.24 5.24 261,053.43 6.661 76.00 629 275,000.01 - 300,000.00 29 8,339,448.61 4.18 287,567.19 6.684 77.27 621 300,000.01 - 325,000.00 29 9,049,379.95 4.54 312,047.58 6.961 78.91 624 325,000.01 - 350,000.00 29 9,817,358.17 4.93 338,529.59 6.884 79.12 625 350,000.01 - 375,000.00 16 5,795,734.55 2.91 362,233.41 6.699 74.21 635 375,000.01 - 400,000.00 15 5,797,977.46 2.91 386,531.83 6.546 75.12 644 400,000.01 - 417,000.00 3 1,216,037.29 0.61 405,345.76 6.575 78.06 642 417,000.01 - 425,000.00 8 3,367,271.55 1.69 420,908.94 6.730 79.74 613 425,000.01 - 450,000.00 8 3,548,166.44 1.78 443,520.81 6.565 82.99 645 450,000.01 - 500,000.00 15 7,164,671.75 3.59 477,644.78 6.867 79.36 637 500,000.01 - 600,000.00 13 7,018,162.89 3.52 539,858.68 6.583 76.69 661 600,000.01 - 700,000.00 7 4,596,067.19 2.31 656,581.03 6.749 73.34 663 700,000.01 - 800,000.00 1 779,695.81 0.39 779,695.81 6.775 80.00 711 900,000.01 - 915,000.00 1 915,000.00 0.46 915,000.00 6.625 70.38 655 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - -------------------------------------------------------------------------------------------------------------------------------- (1) All weighted averages based on Unpaid Principal Balance. - -------------------------------------------------------------------------------------------------------------------------------- 57 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY REMAINING TERM TO MATURITY - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. REMAINING TERM NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT (MONTHS) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ---------------------------------------------------------------------------------------------------------------- 116 - 120 6 $338,551.06 0.17% $56,425.18 7.283% 59.18% 605 121 - 180 48 4,962,919.99 2.49 103,394.17 7.505 74.61 626 181 - 240 76 8,586,967.93 4.31 112,986.42 7.129 76.09 622 241 - 300 10 970,685.30 0.49 97,068.53 7.388 76.34 603 301 - 358 1,218 184,450,549.22 92.54 151,437.23 7.222 77.97 622 - ---------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - ---------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL TERM TO MATURITY - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. ORIGINAL TERM NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT (MONTHS) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ---------------------------------------------------------------------------------------------------------------- 120 - 120 6 $338,551.06 0.17% $56,425.18 7.283% 59.18% 605 121 - 180 48 4,962,919.99 2.49 103,394.17 7.505 74.61 626 181 - 240 76 8,586,967.93 4.31 112,986.42 7.129 76.09 622 241 - 300 10 970,685.30 0.49 97,068.53 7.388 76.34 603 301 - 360 1,218 184,450,549.22 92.54 151,437.23 7.222 77.97 622 - ---------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - ---------------------------------------------------------------------------------------------------------------- 58 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY COMBINED LTV - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT COMBINED LTV (%) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ------------------------------------------------------------------------------------------------------------- 13.38 - 25.00 7 $586,564.66 0.29% $83,794.95 7.142% 19.03% 604 25.01 - 30.00 5 354,217.87 0.18 70,843.57 7.225 27.59 586 30.01 - 35.00 4 284,516.84 0.14 71,129.21 8.239 32.58 592 35.01 - 40.00 9 963,627.71 0.48 107,069.75 6.882 36.71 643 40.01 - 45.00 19 2,304,828.55 1.16 121,306.77 6.697 43.01 643 45.01 - 50.00 23 3,351,102.24 1.68 145,700.10 6.630 47.45 629 50.01 - 55.00 32 4,959,767.87 2.49 154,992.75 6.760 52.63 625 55.01 - 60.00 42 7,509,280.83 3.77 178,792.40 6.650 57.93 622 60.01 - 65.00 60 11,283,588.07 5.66 188,059.80 6.803 63.12 623 65.01 - 70.00 92 16,724,773.87 8.39 181,791.02 6.765 68.53 618 70.01 - 75.00 104 21,112,544.52 10.59 203,005.24 6.818 73.53 622 75.01 - 80.00 261 39,712,145.39 19.92 152,153.81 7.116 79.14 608 80.01 - 85.00 140 22,181,245.13 11.13 158,437.47 7.310 84.07 602 85.01 - 90.00 158 27,905,333.51 14.00 176,616.03 7.243 89.06 628 90.01 - 95.00 86 14,010,109.22 7.03 162,908.25 7.253 92.58 636 95.01 - 100.00 316 26,066,027.22 13.08 82,487.43 8.482 87.41 643 - ------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - ------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL LTV - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT ORIGINAL LTV (%) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ------------------------------------------------------------------------------------------------------------- 13.38 - 25.00 7 $586,564.66 0.29% $83,794.95 7.142% 19.03% 604 25.01 - 30.00 5 354,217.87 0.18 70,843.57 7.225 27.59 586 30.01 - 35.00 4 284,516.84 0.14 71,129.21 8.239 32.58 592 35.01 - 40.00 9 963,627.71 0.48 107,069.75 6.882 36.71 643 40.01 - 45.00 20 2,450,805.60 1.23 122,540.28 6.676 43.13 647 45.01 - 50.00 23 3,351,102.24 1.68 145,700.10 6.630 47.45 629 50.01 - 55.00 32 4,959,767.87 2.49 154,992.75 6.760 52.63 625 55.01 - 60.00 43 7,627,858.03 3.83 177,392.05 6.645 57.95 622 60.01 - 65.00 60 11,283,588.07 5.66 188,059.80 6.803 63.12 623 65.01 - 70.00 95 17,261,465.71 8.66 181,699.64 6.758 68.53 618 70.01 - 75.00 104 21,112,544.52 10.59 203,005.24 6.818 73.53 622 75.01 - 80.00 355 56,837,207.03 28.52 160,104.81 7.101 79.45 621 80.01 - 85.00 146 23,226,508.31 11.65 159,085.67 7.297 84.11 602 85.01 - 90.00 160 27,314,263.01 13.70 170,714.14 7.273 89.61 626 90.01 - 95.00 73 12,133,728.92 6.09 166,215.46 7.301 94.37 633 95.01 - 100.00 222 9,561,907.11 4.80 43,071.65 10.882 99.93 640 - ------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - ------------------------------------------------------------------------------------------------------------- 59 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY STATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT STATE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ------------------------------------------------------------------------------------------------------------- CALIFORNIA 187 $46,145,620.97 23.15% $246,768.03 6.880% 74.27% 637 TEXAS 266 24,420,064.82 12.25 91,804.75 7.665 80.07 600 FLORIDA 150 22,224,880.71 11.15 148,165.87 7.143 76.23 619 NEW YORK 55 12,336,599.98 6.19 224,301.82 6.905 75.51 636 NEW JERSEY 42 8,650,520.30 4.34 205,964.77 7.138 74.70 626 MASSACHUSETTS 31 7,076,728.24 3.55 228,281.56 7.014 75.18 626 HAWAII 21 6,515,471.47 3.27 310,260.55 6.743 75.05 650 ARIZONA 44 5,958,348.62 2.99 135,417.01 7.210 77.50 623 PENNSYLVANIA 52 5,866,145.74 2.94 112,810.50 7.302 78.25 611 WASHINGTON 31 5,023,374.56 2.52 162,044.34 7.142 81.92 616 OHIO 46 4,998,175.57 2.51 108,655.99 7.579 83.04 616 CONNECTICUT 17 3,742,557.42 1.88 220,150.44 7.145 79.49 613 ILLINOIS 33 3,669,165.05 1.84 111,186.82 7.560 78.84 608 TENNESSEE 33 3,521,359.18 1.77 106,707.85 7.453 82.36 613 MARYLAND 17 3,306,279.14 1.66 194,487.01 6.725 77.86 623 MICHIGAN 28 2,900,969.75 1.46 103,606.06 7.891 85.34 619 VIRGINIA 19 2,709,468.29 1.36 142,603.59 7.172 81.74 631 GEORGIA 30 2,608,407.61 1.31 86,946.92 8.466 82.00 580 [OTHERS] 256 27,635,536.08 13.87 107,951.31 7.578 81.74 613 - ------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - -------------------------------------------------------------------------------------------------------------- 60 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY OCCUPANCY TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT OCCUPANCY TYPE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ------------------------------------------------------------------------------------------------------------- INVESTOR 63 $7,002,249.36 3.51% $111,146.82 7.915% 78.20% 656 OWNER OCCUPIED 1,273 190,511,398.29 95.59 149,655.46 7.191 77.71 620 SECOND HOME 22 1,796,025.85 0.90 81,637.54 8.280 81.22 665 - ------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - ------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY PROPERTY TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PROPERTY TYPE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ------------------------------------------------------------------------------------------------------------- ONE FAMILY 1,076 $152,829,688.57 76.68% $142,035.03 7.210% 77.20% 620 PUD DETACHED 144 23,828,615.72 11.96 165,476.50 7.297 80.34 620 2-4 UNIT 56 10,554,046.16 5.30 188,465.11 7.138 77.84 645 CONDO 58 9,726,310.88 4.88 167,695.02 7.286 79.55 626 PUD ATTACHED 24 2,371,012.17 1.19 98,792.17 7.695 80.22 624 - ------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - ------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY LOAN PURPOSE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT LOAN PURPOSE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------- CASH OUT REFINANCE 868 $145,801,556.55 73.15% $167,974.14 7.000% 75.35% 618 PURCHASE 342 33,733,565.29 16.93 98,636.16 8.188 86.09 644 RATE/TERM REFINANCE 148 19,774,551.66 9.92 133,611.84 7.253 81.33 611 - --------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - --------------------------------------------------------------------------------------------------------------- 61 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY DOCUMENTATION TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT DOCUMENTATION TYPE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ---------------------------------------------------------------------------------------------------------------------- FULL DOCUMENTATION 1,107 $156,397,569.42 78.47% $141,280.55 7.125% 78.10% 615 LIMITED DOCUMENTATION 20 4,297,499.69 2.16 214,874.98 6.840 83.89 666 STATED DOCUMENTATION 231 38,614,604.39 19.37 167,162.79 7.681 75.73 645 - ---------------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - ---------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CREDIT SCORE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT CREDIT SCORE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------- 500 - 500 1 $96,345.53 0.05% $96,345.53 8.700% 89.20% 500 501 - 525 58 6,829,667.41 3.43 117,752.89 8.902 77.09 512 526 - 550 78 9,004,522.48 4.52 115,442.60 7.987 74.49 539 551 - 575 130 16,497,954.70 8.28 126,907.34 7.499 75.72 564 576 - 600 272 31,112,161.74 15.61 114,382.95 7.552 79.94 590 601 - 625 306 48,416,384.57 24.29 158,223.48 6.987 79.22 613 626 - 650 224 39,932,986.80 20.04 178,272.26 6.955 76.22 637 651 - 675 137 21,482,412.85 10.78 156,805.93 7.100 77.24 663 676 - 700 65 11,414,711.01 5.73 175,610.94 6.787 76.45 688 701 - 725 46 8,156,441.64 4.09 177,313.95 7.034 77.73 713 726 - 750 21 3,051,283.09 1.53 145,299.19 6.785 82.23 737 751 - 775 6 1,724,322.17 0.87 287,387.03 6.833 75.83 757 776 - 800 13 1,450,438.34 0.73 111,572.18 7.658 81.61 786 801 - 816 1 140,041.17 0.07 140,041.17 7.500 85.00 816 - ------------------------------------------------------------------------------------------------------------------ TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - ------------------------------------------------------------------------------------------------------------------ 62 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. PREPAYMENT PENALTY TERM NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT (MONTHS) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ---------------------------------------------------------------------------------------------------------------------- 0 445 $46,991,181.53 23.58% $105,598.16 7.783% 78.07% 611 12 55 13,281,053.48 6.66 241,473.70 6.813 74.88 635 24 81 5,951,571.71 2.99 73,476.19 9.417 92.06 642 36 777 133,085,866.78 66.77 171,281.68 6.973 77.30 623 - ---------------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - ---------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY LIEN TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT LIEN TYPE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ---------------------------------------------------------------------------------------------------------------- FIRST LIEN 1,133 $190,079,023.35 95.37% $167,766.13 7.048% 76.70% 621 SECOND LIEN 225 9,230,650.15 4.63 41,025.11 10.908 99.55 639 - ---------------------------------------------------------------------------------------------------------------- TOTAL: 1,358 $199,309,673.50 100.00% $146,767.06 7.226% 77.76% 622 - ---------------------------------------------------------------------------------------------------------------- 63 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. SCHEDULED PRINCIPAL BALANCE: $769,832,103.53 NUMBER OF MORTGAGE LOANS: 2,719 AVERAGE SCHEDULED PRINCIPAL BALANCE: $283,130.60 WEIGHTED AVERAGE GROSS COUPON: 7.025% INITIAL WEIGHTED AVERAGE NET COUPON(1): 6.521% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 644 WEIGHTED AVERAGE ORIGINAL LTV RATIO(3): 81.27% WEIGHTED AVERAGE COMBINED LTV RATIO: 90.96% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 357 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 360 WEIGHTED AVERAGE ROLL TERM2 (MONTHS): 25 WEIGHTED AVERAGE GROSS MARGIN(2): 6.023% WEIGHTED AVERAGE INITIAL RATE CAP(2): 1.499% WEIGHTED AVERAGE PERIODIC RATE CAP(2): 1.499% WEIGHTED AVERAGE GROSS MAXIMUM LIFETIME RATE(2): 14.022% WEIGHTED AVERAGE GROSS MINIMUM LIFETIME RATE(2): 7.044% INTEREST ONLY LOANS: 100.00% SILENT SECONDS: 49.11% (1) The initial weighted average net coupon has been prepared assuming the Administrative Fee Rate is 0.5040%. (2) Includes adjustable-rate Mortgage Loans only. (3) The loan-to-value ("OLTV") of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. 64 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY PRODUCT TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PRODUCT TYPE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ---------------------------------------------------------------------------------------------------------------- 2/6M ARMS-2Y-IO 249 $64,939,624.18 8.44% $260,801.70 6.926% 82.19% 626 2/6M ARMS-5Y-IO 1,559 464,501,885.61 60.34 297,948.61 7.072 81.15 647 3/6M ARMS-3Y-IO 184 49,102,883.12 6.38 266,863.50 6.565 80.45 630 3/6M ARMS-5Y-IO 662 172,984,736.46 22.47 261,306.25 7.057 81.81 644 5/6M ARMS-7Y-IO 50 13,303,575.83 1.73 266,071.52 7.070 78.79 650 FIX-5Y-IO 15 4,999,398.33 0.65 333,293.22 7.245 76.80 649 - ---------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - ---------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. CURRENT GROSS NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - ---------------------------------------------------------------------------------------------------------------- 5.000 - 5.499 6 $2,184,861.39 0.28% $364,143.57 5.359% 79.11% 653 5.500 - 5.999 207 66,110,766.98 8.59 319,375.69 5.800 78.17 651 6.000 - 6.499 383 114,835,900.06 14.92 299,832.64 6.274 79.40 648 6.500 - 6.999 803 237,902,543.25 30.90 296,267.18 6.754 81.41 645 7.000 - 7.499 552 147,591,226.84 19.17 267,375.41 7.237 81.31 641 7.500 - 7.999 444 119,521,928.01 15.53 269,193.53 7.719 82.36 642 8.000 - 8.499 193 48,933,445.01 6.36 253,541.17 8.230 83.14 643 8.500 - 8.999 88 23,030,945.23 2.99 261,715.29 8.718 85.61 633 9.000 - 9.499 28 6,464,839.93 0.84 230,887.14 9.250 86.97 621 9.500 - 9.999 13 3,125,703.98 0.41 240,438.77 9.721 89.40 615 10.000 - 10.499 2 129,942.85 0.02 64,971.43 10.225 92.23 626 - ---------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - ---------------------------------------------------------------------------------------------------------------- 65 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. CURRENT UNPAID NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PRINCIPAL BALANCE ($) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 54,150.00 - 75,000.00 9 $570,690.14 0.07% $63,410.02 7.992% 76.21% 628 75,000.01 - 100,000.00 94 8,484,507.11 1.10 90,260.71 7.306 78.82 638 100,000.01 - 125,000.00 181 20,537,685.01 2.67 113,467.87 7.352 79.59 627 125,000.01 - 150,000.00 222 30,512,530.26 3.96 137,443.83 7.277 80.25 629 150,000.01 - 175,000.00 224 36,318,855.61 4.72 162,137.75 7.166 79.97 634 175,000.01 - 200,000.00 210 39,693,675.37 5.16 189,017.50 7.093 79.33 641 200,000.01 - 225,000.00 215 45,984,024.16 5.97 213,879.18 7.059 79.61 636 225,000.01 - 250,000.00 145 34,501,839.60 4.48 237,943.72 7.147 78.29 638 250,000.01 - 275,000.00 192 50,330,172.72 6.54 262,136.32 6.920 80.46 642 275,000.01 - 300,000.00 181 52,017,151.67 6.76 287,387.58 6.933 80.21 647 300,000.01 - 325,000.00 147 45,990,762.71 5.97 312,862.33 6.961 82.36 644 325,000.01 - 350,000.00 134 45,285,581.88 5.88 337,952.10 6.909 81.49 638 350,000.01 - 375,000.00 127 45,853,070.91 5.96 361,047.80 7.097 82.45 642 375,000.01 - 400,000.00 110 42,755,801.54 5.55 388,689.10 7.096 82.32 652 400,000.01 - 417,000.00 56 22,865,226.97 2.97 408,307.62 6.838 82.70 649 417,000.01 - 425,000.00 35 14,755,867.13 1.92 421,596.20 7.125 80.85 644 425,000.01 - 450,000.00 79 34,686,592.06 4.51 439,070.79 6.951 83.15 644 450,000.01 - 500,000.00 140 66,911,865.55 8.69 477,941.90 6.895 83.14 642 500,000.01 - 600,000.00 128 68,849,999.69 8.94 537,890.62 7.002 82.39 654 600,000.01 - 700,000.00 55 35,554,877.66 4.62 646,452.32 6.945 83.60 661 700,000.01 - 800,000.00 24 17,605,249.71 2.29 733,552.07 6.946 83.54 672 800,000.01 - 900,000.00 7 5,876,826.10 0.76 839,546.59 7.061 76.78 637 900,000.01 - 1,000,000.00 4 3,889,249.97 0.51 972,312.49 7.257 65.57 658 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- 66 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE(1) - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. ORIGINAL NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PRINCIPAL BALANCE ($) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 54,150.00 - 75,000.00 9 $570,690.14 0.07% $63,410.02 7.992% 76.21% 628 75,000.01 - 100,000.00 94 8,484,507.11 1.10 90,260.71 7.306 78.82 638 100,000.01 - 125,000.00 181 20,537,685.01 2.67 113,467.87 7.352 79.59 627 125,000.01 - 150,000.00 222 30,512,530.26 3.96 137,443.83 7.277 80.25 629 150,000.01 - 175,000.00 224 36,318,855.61 4.72 162,137.75 7.166 79.97 634 175,000.01 - 200,000.00 210 39,693,675.37 5.16 189,017.50 7.093 79.33 641 200,000.01 - 225,000.00 215 45,984,024.16 5.97 213,879.18 7.059 79.61 636 225,000.01 - 250,000.00 145 34,501,839.60 4.48 237,943.72 7.147 78.29 638 250,000.01 - 275,000.00 192 50,330,172.72 6.54 262,136.32 6.920 80.46 642 275,000.01 - 300,000.00 181 52,017,151.67 6.76 287,387.58 6.933 80.21 647 300,000.01 - 325,000.00 147 45,990,762.71 5.97 312,862.33 6.961 82.36 644 325,000.01 - 350,000.00 134 45,285,581.88 5.88 337,952.10 6.909 81.49 638 350,000.01 - 375,000.00 127 45,853,070.91 5.96 361,047.80 7.097 82.45 642 375,000.01 - 400,000.00 110 42,755,801.54 5.55 388,689.10 7.096 82.32 652 400,000.01 - 417,000.00 56 22,865,226.97 2.97 408,307.62 6.838 82.70 649 417,000.01 - 425,000.00 35 14,755,867.13 1.92 421,596.20 7.125 80.85 644 425,000.01 - 450,000.00 79 34,686,592.06 4.51 439,070.79 6.951 83.15 644 450,000.01 - 500,000.00 140 66,911,865.55 8.69 477,941.90 6.895 83.14 642 500,000.01 - 600,000.00 128 68,849,999.69 8.94 537,890.62 7.002 82.39 654 600,000.01 - 700,000.00 55 35,554,877.66 4.62 646,452.32 6.945 83.60 661 700,000.01 - 800,000.00 24 17,605,249.71 2.29 733,552.07 6.946 83.54 672 800,000.01 - 900,000.00 7 5,876,826.10 0.76 839,546.59 7.061 76.78 637 900,000.01 - 1,000,000.00 4 3,889,249.97 0.51 972,312.49 7.257 65.57 658 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 (1) All weighted averages based on Unpaid Principal Balance. - --------------------------------------------------------------------------------------------------------------------- 67 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY REMAINING TERM TO MATURITY - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. REMAINING TERM NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT (MONTHS) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 352 - 358 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL TERM TO MATURITY - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. ORIGINAL TERM NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT (MONTHS) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 360 - 360 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- 68 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY COMBINED LTV - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT COMBINED LTV (%) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 31.31 - 35.00 4 $437,998.23 0.06% $109,499.56 7.050% 33.03% 677 35.01 - 40.00 10 1,699,998.95 0.22 169,999.90 6.451 37.29 646 40.01 - 45.00 2 476,999.99 0.06 238,500.00 7.780 41.28 593 45.01 - 50.00 16 4,046,979.63 0.53 252,936.23 6.816 47.80 636 50.01 - 55.00 19 3,968,241.70 0.52 208,854.83 6.738 52.89 647 55.01 - 60.00 31 8,411,891.61 1.09 271,351.34 6.741 57.92 624 60.01 - 65.00 58 13,231,008.35 1.72 228,120.83 6.604 63.34 624 65.01 - 70.00 75 20,292,753.73 2.64 270,570.05 6.816 68.57 624 70.01 - 75.00 96 30,218,777.98 3.93 314,778.94 6.590 73.71 630 75.01 - 80.00 229 69,437,207.96 9.02 303,219.25 6.788 79.23 631 80.01 - 85.00 183 57,929,190.30 7.52 316,552.95 6.926 84.24 626 85.01 - 90.00 447 144,521,614.82 18.77 323,314.57 7.297 89.35 637 90.01 - 95.00 158 47,428,538.34 6.16 300,180.62 7.370 92.15 647 95.01 - 100.00 1,391 367,730,901.94 47.77 264,364.42 7.010 80.10 655 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL LTV - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT ORIGINAL LTV (%) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 31.31 - 35.00 4 $437,998.23 0.06% $109,499.56 7.050% 33.03% 677 35.01 - 40.00 10 1,699,998.95 0.22 169,999.90 6.451 37.29 646 40.01 - 45.00 2 476,999.99 0.06 238,500.00 7.780 41.28 593 45.01 - 50.00 16 4,046,979.63 0.53 252,936.23 6.816 47.80 636 50.01 - 55.00 19 3,968,241.70 0.52 208,854.83 6.738 52.89 647 55.01 - 60.00 31 8,411,891.61 1.09 271,351.34 6.741 57.92 624 60.01 - 65.00 59 13,513,758.34 1.76 229,046.75 6.620 63.37 624 65.01 - 70.00 76 21,142,753.71 2.75 278,194.13 6.805 68.44 627 70.01 - 75.00 100 30,920,027.98 4.02 309,200.28 6.596 73.71 630 75.01 - 80.00 1,613 436,673,832.63 56.72 270,721.53 6.977 79.86 651 80.01 - 85.00 208 65,124,413.01 8.46 313,098.14 6.926 84.33 631 85.01 - 90.00 449 143,807,144.83 18.68 320,283.17 7.311 89.59 637 90.01 - 95.00 132 39,608,062.92 5.15 300,061.08 7.402 94.54 647 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- 69 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY STATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT STATE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- CALIFORNIA 1,133 $403,984,131.61 52.48% $356,561.46 6.916% 80.82% 647 FLORIDA 213 44,334,439.96 5.76 208,142.91 7.326 82.65 639 ARIZONA 194 38,567,890.03 5.01 198,803.56 7.196 81.60 640 NEW YORK 91 33,737,113.98 4.38 370,737.52 6.838 80.25 659 NEW JERSEY 85 26,923,900.13 3.50 316,751.77 7.205 82.72 649 NEVADA 101 26,117,458.21 3.39 258,588.70 7.099 80.39 636 MASSACHUSETTS 85 24,934,431.98 3.24 293,346.26 7.129 81.32 635 HAWAII 53 21,482,854.01 2.79 405,336.87 6.806 81.19 666 WASHINGTON 87 17,649,057.75 2.29 202,862.73 6.848 81.51 630 MARYLAND 66 17,046,194.77 2.21 258,275.68 6.967 81.07 633 ILLINOIS 69 14,896,786.95 1.94 215,895.46 7.073 81.73 631 COLORADO 67 12,639,613.60 1.64 188,650.95 7.087 82.53 632 GEORGIA 63 11,082,475.03 1.44 175,912.30 7.424 83.69 626 OREGON 48 9,111,260.10 1.18 189,817.92 7.069 81.42 646 VIRGINIA 22 6,679,279.97 0.87 303,603.64 7.082 82.56 633 MICHIGAN 38 6,294,591.58 0.82 165,647.15 7.566 83.47 632 MINNESOTA 25 5,787,283.52 0.75 231,491.34 7.060 81.49 627 CONNECTICUT 17 4,604,629.95 0.60 270,860.59 7.827 83.68 624 OTHERS 262 43,958,710.40 5.71 167,781.34 7.392 82.17 634 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- 70 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY OCCUPANCY TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT OCCUPANCY TYPE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- OWNER OCCUPIED 2,598 $739,753,810.60 96.09% $284,739.73 7.002% 81.28% 643 SECOND HOME 121 30,078,292.93 3.91 248,580.93 7.595 81.05 670 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY PROPERTY TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PROPERTY TYPE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- ONE FAMILY 1,915 $540,683,550.58 70.23% $282,341.28 7.005% 81.18% 642 PUD DETACHED 346 97,457,463.47 12.66 281,668.97 7.116 81.34 641 CONDO 256 67,460,577.53 8.76 263,517.88 7.003 81.62 652 2-4 UNIT 133 47,917,266.76 6.22 360,280.20 7.000 81.22 656 PUD ATTACHED 69 16,313,245.19 2.12 236,423.84 7.306 82.46 640 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY LOAN PURPOSE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT LOAN PURPOSE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- CASH OUT REFINANCE 987 $295,459,550.68 38.38% $299,351.12 6.966% 81.30% 631 PURCHASE 1,475 409,436,045.43 53.19 277,583.76 7.083 81.25 654 RATE/TERM REFINANCE 257 64,936,507.42 8.44 252,671.24 6.933 81.29 636 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- 71 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY DOCUMENTATION TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT DOCUMENTATION TYPE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- FULL DOCUMENTATION 1,586 $413,453,683.00 53.71% $260,689.59 6.718% 81.60% 631 LIMITED DOCUMENTATION 69 20,767,419.50 2.70 300,977.09 7.009 82.21 636 STATED DOCUMENTATION 1,064 335,611,001.03 43.60 315,423.87 7.404 80.81 660 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY CREDIT SCORE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT CREDIT SCORE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 504 - 525 2 $435,185.16 0.06% $217,592.58 6.644% 79.77% 506 551 - 575 68 16,411,513.05 2.13 241,345.78 7.100 79.28 568 576 - 600 433 111,931,317.91 14.54 258,501.89 7.166 80.58 590 601 - 625 651 170,458,993.74 22.14 261,841.77 7.055 81.42 614 626 - 650 600 166,359,161.41 21.61 277,265.27 7.014 81.55 637 651 - 675 450 139,354,881.41 18.10 309,677.51 6.994 81.29 662 676 - 700 235 75,264,240.49 9.78 320,273.36 6.953 81.69 687 701 - 725 157 50,570,763.08 6.57 322,106.77 6.922 81.72 711 726 - 750 50 16,760,591.11 2.18 335,211.82 6.966 81.26 736 751 - 775 51 16,198,426.20 2.10 317,616.20 6.863 80.72 763 776 - 800 18 4,958,629.98 0.64 275,479.44 6.638 79.82 787 801 - 813 4 1,128,399.99 0.15 282,100.00 7.549 80.00 811 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- 72 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. PREPAYMENT PENALTY TERM NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT (MONTHS) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 0 632 $178,220,998.70 23.15% $281,995.25 7.393% 81.16% 649 12 74 22,996,120.63 2.99 310,758.39 7.374 81.73 647 24 1,543 446,712,232.52 58.03 289,508.90 6.937 81.35 644 36 470 121,902,751.68 15.83 259,367.56 6.744 81.05 636 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY LIEN TYPE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT LIEN TYPE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- FIRST LIEN 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,719 $769,832,103.53 100.00% $283,130.60 7.025% 81.27% 644 - --------------------------------------------------------------------------------------------------------------------- 73 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY MAXIMUM MORTGAGE RATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. MAXIMUM MORTGAGE NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT RATE (%) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 12.000 - 12.499 6 $2,184,861.39 0.29% $364,143.57 5.359% 79.11% 653 12.500 - 12.999 208 66,249,966.98 8.66 318,509.46 5.801 78.18 651 13.000 - 13.499 384 114,895,200.05 15.02 299,206.25 6.278 79.51 648 13.500 - 13.999 800 236,361,443.25 30.90 295,451.80 6.756 81.43 645 14.000 - 14.499 547 146,454,926.85 19.15 267,742.10 7.238 81.35 642 14.500 - 14.999 438 117,666,429.68 15.38 268,644.82 7.718 82.38 642 15.000 - 15.499 191 48,349,445.01 6.32 253,138.46 8.231 83.17 642 15.500 - 15.999 88 23,030,945.23 3.01 261,715.29 8.718 85.61 633 16.000 - 16.499 27 6,383,839.93 0.83 236,438.52 9.252 86.93 621 16.500 - 16.999 13 3,125,703.98 0.41 240,438.77 9.721 89.40 615 17.000 - 17.350 2 129,942.85 0.02 64,971.43 10.225 92.23 626 - --------------------------------------------------------------------------------------------------------------------- TOTAL 2,704 $764,832,705.20 100.00% $282,852.33 7.024% 81.30% 644 - --------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY MINIMUM MORTGAGE RATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. MINIMUM MORTGAGE NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT RATE (%) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 5.575 - 5.999 174 $55,722,329.25 7.290% $320,243.27 5.787% 78.33% 654 6.000 - 6.499 417 125,566,699.20 16.420 301,119.18 6.226 79.30 647 6.500 - 6.999 799 236,228,643.24 30.890 295,655.37 6.753 81.43 645 7.000 - 7.499 549 147,197,091.68 19.250 268,118.56 7.234 81.36 642 7.500 - 7.999 439 117,858,902.68 15.410 268,471.30 7.718 82.38 642 8.000 - 8.499 195 49,333,080.16 6.450 252,990.15 8.197 83.11 642 8.500 - 8.999 89 23,286,472.23 3.040 261,645.76 8.709 85.55 633 9.000 - 9.499 27 6,383,839.93 0.830 236,438.52 9.252 86.93 621 9.500 - 9.999 13 3,125,703.98 0.410 240,438.77 9.721 89.40 615 10.000 - 10.350 2 129,942.85 0.020 64,971.43 10.225 92.23 626 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,704 $764,832,705.20 100.00% $282,852.33 7.024% 81.30% 644 - --------------------------------------------------------------------------------------------------------------------- 74 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY GROSS MARGIN - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT MARGIN (%) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 2.500 - 2.999 5 $1,022,175.98 0.13% $204,435.20 7.405% 84.29% 618 3.000 - 3.499 1 359,761.70 0.05 359,761.70 8.100 80.00 755 3.500 - 3.999 6 953,359.95 0.12 158,893.33 7.290 80.00 629 4.000 - 4.499 2 319,119.99 0.04 159,560.00 6.607 80.00 628 5.000 - 5.499 16 4,869,856.23 0.64 304,366.01 6.927 82.70 634 5.500 - 5.999 1,667 443,425,646.56 57.98 266,002.19 6.820 81.62 637 6.000 - 6.499 974 304,206,711.12 39.77 312,327.22 7.313 80.83 655 6.500 - 6.999 27 8,024,411.52 1.05 297,200.43 7.366 80.15 613 7.000 - 7.499 2 476,500.00 0.06 238,250.00 6.299 86.55 660 8.000 - 8.499 3 919,635.15 0.12 306,545.05 6.431 80.00 608 8.500 - 8.650 1 255,527.00 0.03 255,527.00 7.838 80.00 625 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,704 $764,832,705.20 100.00% $282,852.33 7.024% 81.30% 644 - --------------------------------------------------------------------------------------------------------------------- 75 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY INITIAL INTEREST RATE CAP - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT INITIAL RATE CAP (%) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 1.000 - 1.499 7 $1,280,499.99 0.17% $182,928.57 7.372% 79.33% 657 1.500 - 1.500 2,697 763,552,205.21 99.83 283,111.68 7.023 81.30 644 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,704 $764,832,705.20 100.00% $282,852.33 7.024% 81.30% 644 - --------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY PERIODIC INTEREST RATE CAP - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT PERIODIC RATE CAP (%) LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 1.000 - 1.499 7 $1,280,499.99 0.17% $182,928.57 7.372% 79.33% 657 1.500 - 1.500 2,697 763,552,205.21 99.83 283,111.68 7.023 81.30 644 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,704 $764,832,705.20 100.00% $282,852.33 7.024% 81.30% 644 - --------------------------------------------------------------------------------------------------------------------- 76 - -------------------------------------------------------------------------------- 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-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (IO COLLATERAL) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DISTRIBUTION BY NEXT RATE ADJUSTMENT DATE - -------------------------------------------------------------------------------- % OF POOL BY UNPAID AVG. WTD. AVG. WTD. AVG. WTD. AVG. NEXT RATE ADJUSTMENT NUMBER OF UNPAID PRINCIPAL PRINCIPAL PRINCIPAL GROSS ORIGINAL CREDIT DATE LOANS BALANCE BALANCE BALANCE COUPON LTV SCORE - --------------------------------------------------------------------------------------------------------------------- 6/1/2007 1 $100,000.00 0.01% $100,000.00 6.350% 35.09% 607 8/1/2007 5 1,064,108.00 0.14 212,821.60 7.057 77.70 649 9/1/2007 60 17,033,158.01 2.23 283,885.97 7.062 82.67 634 10/1/2007 907 271,609,398.86 35.51 299,459.09 6.941 81.21 646 11/1/2007 479 134,637,862.32 17.60 281,081.13 7.074 81.55 646 12/1/2007 356 104,996,982.60 13.73 294,935.34 7.323 80.94 643 8/1/2008 3 833,200.00 0.11 277,733.33 7.150 86.45 660 9/1/2008 55 13,778,290.22 1.80 250,514.37 6.628 81.06 630 10/1/2008 434 115,640,751.46 15.12 266,453.34 6.848 81.24 639 11/1/2008 281 72,010,223.90 9.42 256,264.14 7.044 81.78 642 12/1/2008 73 19,825,154.00 2.59 271,577.45 7.398 82.21 654 8/1/2010 1 121,513.55 0.02 121,513.55 7.425 80.00 623 9/1/2010 11 3,119,399.93 0.41 283,581.81 6.963 81.44 661 10/1/2010 17 4,889,184.36 0.64 287,599.08 6.988 77.45 645 11/1/2010 17 4,180,027.99 0.55 245,884.00 7.196 78.76 649 12/1/2010 4 993,450.00 0.13 248,362.50 7.235 76.97 647 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 2,704 $764,832,705.20 100.00% $282,852.33 7.024% 81.30% 644 - --------------------------------------------------------------------------------------------------------------------- 77 - -------------------------------------------------------------------------------- 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.