Carrington Mortgage Loan Trust, Series 2006-NC1 Inactive
Filed: 24 Jan 06, 12:00am
- -------------------------------------------------------------------------------- (Filed pursuant to Rule 433; SEC File No. 333-124562 [CARRINGTON CAPITAL MANAGEMENT LOGO] COMPUTATIONAL MATERIALS $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. The information in this free writing prospectus may be based on preliminary assumptions about the mortgage loans and the structure. Any such assumptions are subject to change. The information in this free writing prospectus may reflect parameters, metrics or scenarios specifically requested by you. If so, prior to the time of your commitment to purchase, you should request updated information based on any parameters, metrics or scenarios specifically required by you. IMPORTANT NOTICE REGARDING THE CONDITIONS FOR THIS OFFERING OF ASSET-BACKED SECURITIES The Offered Certificates referred to in these materials are being sold when, as and if issued. The 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 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO OPTIONAL REDEMPTION - -------------------------------------------------------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION - -------------------------------------------------------------------------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC - -------------------------------------------------------------------------------------------------------------------------------- A1 - -------------------------------------------------------------------------------------------------------------------------------- WAL 14.71 1.67 1.00 0.73 0.60 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 1 - 259 1 - 36 1 - 21 1 - 15 1 - 11 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 9/25/2027 2/25/2009 11/25/2007 5/25/2007 1/25/2007 - -------------------------------------------------------------------------------------------------------------------------------- A2 - -------------------------------------------------------------------------------------------------------------------------------- WAL 22.95 3.72 2.00 1.47 1.11 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 259 - 294 36 - 56 21 - 27 15 - 20 11 - 15 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 8/25/2030 10/25/2010 5/25/2008 10/25/2007 5/25/2007 - -------------------------------------------------------------------------------------------------------------------------------- A3 - -------------------------------------------------------------------------------------------------------------------------------- WAL 26.77 7.58 3.00 1.90 1.50 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 294 - 344 56 - 144 27 - 69 20 - 26 15 - 21 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 10/25/2034 2/25/2018 11/25/2011 4/25/2008 11/25/2007 - -------------------------------------------------------------------------------------------------------------------------------- A4 - -------------------------------------------------------------------------------------------------------------------------------- WAL 28.79 12.37 5.96 2.38 1.85 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 344 - 345 144 - 148 69 - 71 26 - 30 21 - 23 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 11/25/2034 6/25/2018 1/25/2012 8/25/2008 1/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- M1 - -------------------------------------------------------------------------------------------------------------------------------- WAL 26.84 8.18 5.02 2.66 2.01 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 281 - 345 47 - 148 52 - 71 30 - 32 23 - 25 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 11/25/2034 6/25/2018 1/25/2012 10/25/2008 3/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- M2 - -------------------------------------------------------------------------------------------------------------------------------- WAL 26.84 8.18 4.68 2.81 2.20 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 281 - 345 47 - 148 47 - 71 32 - 34 25 - 27 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 11/25/2034 6/25/2018 1/25/2012 12/25/2008 5/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- M3 - -------------------------------------------------------------------------------------------------------------------------------- WAL 26.84 8.18 4.52 2.94 2.36 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 281 - 345 47 - 148 45 - 71 34 - 35 27 - 29 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 11/25/2034 6/25/2018 1/25/2012 1/25/2009 7/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- M4 - -------------------------------------------------------------------------------------------------------------------------------- WAL 26.84 8.18 4.44 3.23 2.51 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 281 - 345 47 - 148 43 - 71 35 - 42 29 - 31 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 11/25/2034 6/25/2018 1/25/2012 8/25/2009 9/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- 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 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO OPTIONAL REDEMPTION - -------------------------------------------------------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION - -------------------------------------------------------------------------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC - -------------------------------------------------------------------------------------------------------------------------------- M5 - -------------------------------------------------------------------------------------------------------------------------------- WAL 26.84 8.18 4.38 3.55 2.66 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 281 - 345 47 - 148 42 - 71 42 - 42 31 - 32 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 11/25/2034 6/25/2018 1/25/2012 8/25/2009 10/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- M6 - -------------------------------------------------------------------------------------------------------------------------------- WAL 26.84 8.18 4.33 3.55 2.76 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 281 - 345 47 - 148 41 - 71 42 - 42 32 - 33 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 11/25/2034 6/25/2018 1/25/2012 8/25/2009 11/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- M7 - -------------------------------------------------------------------------------------------------------------------------------- WAL 26.84 8.18 4.29 3.55 2.80 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 281 - 345 47 - 148 40 - 71 42 - 42 33 - 33 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 11/25/2034 6/25/2018 1/25/2012 8/25/2009 11/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- M8 - -------------------------------------------------------------------------------------------------------------------------------- WAL 26.84 8.18 4.27 3.55 2.80 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 281 - 345 47 - 148 40 - 71 42 - 42 33 - 33 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 11/25/2034 6/25/2018 1/25/2012 8/25/2009 11/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- M9 - -------------------------------------------------------------------------------------------------------------------------------- WAL 26.84 8.18 4.24 3.55 2.80 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window 281 - 345 47 - 148 39 - 71 42 - 42 33 - 33 - -------------------------------------------------------------------------------------------------------------------------------- Principal Window End 11/25/2034 6/25/2018 1/25/2012 8/25/2009 11/25/2008 - -------------------------------------------------------------------------------------------------------------------------------- 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 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ PERCENTAGE OF PREPAYMENT ASSUMPTION - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ 0PPC 50PPC 100PPC 150PPC 200PPC - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ A1 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 14.71 1.67 1.00 0.73 0.60 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 1 - 259 1 - 36 1 - 21 1 - 15 1 - 11 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 9/25/2027 2/25/2009 11/25/2007 5/25/2007 1/25/2007 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ A2 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 22.95 3.72 2.00 1.47 1.11 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 259 - 294 36 - 56 21 - 27 15 - 20 11 - 15 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 8/25/2030 10/25/2010 5/25/2008 10/25/2007 5/25/2007 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ A3 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 26.77 7.58 3.00 1.90 1.50 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 294 - 344 56 - 144 27 - 69 20 - 26 15 - 21 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 10/25/2034 2/25/2018 11/25/2011 4/25/2008 11/25/2007 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ A4 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 29.26 16.45 8.20 2.38 1.85 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 344 - 357 144 - 300 69 - 166 26 - 30 21 - 23 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 11/25/2035 2/25/2031 12/25/2019 8/25/2008 1/25/2008 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ M1 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 26.94 9.02 5.47 2.66 2.01 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 281 - 356 47 - 270 52 - 141 30 - 32 23 - 25 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 10/25/2035 8/25/2028 11/25/2017 10/25/2008 3/25/2008 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ M2 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 26.94 9.00 5.13 2.81 2.20 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 281 - 356 47 - 262 47 - 136 32 - 34 25 - 27 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 10/25/2035 12/25/2027 6/25/2017 12/25/2008 5/25/2008 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ M3 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 26.93 8.98 4.95 2.94 2.36 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 281 - 355 47 - 253 45 - 130 34 - 35 27 - 29 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 9/25/2035 3/25/2027 12/25/2016 1/25/2009 7/25/2008 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ M4 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 26.93 8.96 4.86 4.81 2.51 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 281 - 355 47 - 247 43 - 126 35 - 103 29 - 31 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 9/25/2035 9/25/2026 8/25/2016 9/25/2014 9/25/2008 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ 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 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ PERCENTAGE OF PREPAYMENT ASSUMPTION - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ 0PPC 50PPC 100PPC 150PPC 200PPC - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ M5 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 26.93 8.94 4.78 6.14 2.66 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 281 - 355 47 - 240 42 - 121 65 - 84 31 - 32 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 9/25/2035 2/25/2026 3/25/2016 2/25/2013 10/25/2008 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ M6 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 26.93 8.91 4.71 5.06 2.76 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 281 - 354 47 - 232 41 - 117 55 - 70 32 - 33 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 8/25/2035 6/25/2025 11/25/2015 12/25/2011 11/25/2008 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ M7 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 26.93 8.87 4.65 4.53 2.89 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 281 - 354 47 - 224 40 - 112 50 - 67 33 - 35 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 8/25/2035 10/25/2024 6/25/2015 9/25/2011 1/25/2009 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ M8 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 26.93 8.83 4.61 4.22 3.00 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 281 - 353 47 - 215 40 - 106 47 - 64 35 - 36 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 7/25/2035 1/25/2024 12/25/2014 6/25/2011 2/25/2009 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ M9 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ WAL 26.92 8.77 4.54 4.01 4.98 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window 281 - 353 47 - 207 39 - 102 45 - 61 36 - 72 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ Principal Window End 7/25/2035 5/25/2023 8/25/2014 3/25/2011 2/25/2012 - ---------------------------------- ----------------- ----------------- ------------------ ------------------- ------------------ 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 - -------------------------------------------------------------------------------- NET WAC RATE - ------------- ------------------- ----------- ------------------- PERIOD NET WAC RATE PERIOD NET WAC RATE - ------------- ------------------- ----------- ------------------- 1 - 37 9.26 - ------------- ------------------- ----------- ------------------- 2 6.52 38 8.36 - ------------- ------------------- ----------- ------------------- 3 6.74 39 8.89 - ------------- ------------------- ----------- ------------------- 4 6.52 40 8.89 - ------------- ------------------- ----------- ------------------- 5 6.74 41 9.19 - ------------- ------------------- ----------- ------------------- 6 6.52 42 8.89 - ------------- ------------------- ----------- ------------------- 7 6.52 43 8.88 - ------------- ------------------- ----------- ------------------- 8 6.74 44 9.17 - ------------- ------------------- ----------- ------------------- 9 6.52 45 8.98 - ------------- ------------------- ----------- ------------------- 10 6.74 46 9.41 - ------------- ------------------- ----------- ------------------- 11 6.52 47 9.10 - ------------- ------------------- ----------- ------------------- 12 6.52 48 9.09 - ------------- ------------------- ----------- ------------------- 13 7.22 49 10.05 - ------------- ------------------- ----------- ------------------- 14 6.52 50 9.07 - ------------- ------------------- ----------- ------------------- 15 6.74 51 9.37 - ------------- ------------------- ----------- ------------------- 16 6.52 52 9.06 - ------------- ------------------- ----------- ------------------- 17 6.74 53 9.35 - ------------- ------------------- ----------- ------------------- 18 6.52 54 9.04 - ------------- ------------------- ----------- ------------------- 19 6.52 55 9.03 - ------------- ------------------- ----------- ------------------- 20 6.74 56 9.32 - ------------- ------------------- ----------- ------------------- 21 6.58 57 9.03 - ------------- ------------------- ----------- ------------------- 22 7.27 58 9.32 - ------------- ------------------- ----------- ------------------- 23 7.02 59 9.01 - ------------- ------------------- ----------- ------------------- 24 7.01 60 9.00 - ------------- ------------------- ----------- ------------------- 25 7.48 61 9.96 - ------------- ------------------- ----------- ------------------- 26 7.00 62 8.98 - ------------- ------------------- ----------- ------------------- 27 7.28 63 9.28 - ------------- ------------------- ----------- ------------------- 28 7.44 64 8.98 - ------------- ------------------- ----------- ------------------- 29 7.69 65 9.27 - ------------- ------------------- ----------- ------------------- 30 7.44 66 8.96 - ------------- ------------------- ----------- ------------------- 31 7.43 67 8.95 - ------------- ------------------- ----------- ------------------- 32 7.69 68 9.24 - ------------- ------------------- ----------- ------------------- 33 7.75 69 8.94 - ------------- ------------------- ----------- ------------------- 34 8.64 70 9.22 - ------------- ------------------- ----------- ------------------- 35 8.37 71 8.92 - ------------- ------------------- ----------- ------------------- 36 8.37 - ------------- ------------------- Assumptions: Static Indices: 1mL=4.48% 6mL=4.72% 10% Optional Cleanup Call Based On Pricing Prepayment Assumption 6 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- CLASS A EFFECTIVE MAXIMUM RATE* - ------------- ------------------- ----------- ------------------- PERIOD CLASS A AFC PERIOD CLASS A AFC - ------------- ------------------- ----------- ------------------- 1 - 37 190.58 - ------------- ------------------- ----------- ------------------- 2 10.00 38 164.57 - ------------- ------------------- ----------- ------------------- 3 10.00 39 27.74 - ------------- ------------------- ----------- ------------------- 4 10.00 40 26.79 - ------------- ------------------- ----------- ------------------- 5 10.00 41 27.09 - ------------- ------------------- ----------- ------------------- 6 10.00 42 25.66 - ------------- ------------------- ----------- ------------------- 7 10.00 43 25.12 - ------------- ------------------- ----------- ------------------- 8 10.00 44 25.41 - ------------- ------------------- ----------- ------------------- 9 10.00 45 24.45 - ------------- ------------------- ----------- ------------------- 10 10.00 46 25.62 - ------------- ------------------- ----------- ------------------- 11 10.00 47 24.32 - ------------- ------------------- ----------- ------------------- 12 10.00 48 23.85 - ------------- ------------------- ----------- ------------------- 13 10.00 49 25.90 - ------------- ------------------- ----------- ------------------- 14 10.00 50 22.96 - ------------- ------------------- ----------- ------------------- 15 10.00 51 23.59 - ------------- ------------------- ----------- ------------------- 16 10.00 52 22.86 - ------------- ------------------- ----------- ------------------- 17 10.00 53 23.22 - ------------- ------------------- ----------- ------------------- 18 10.00 54 22.08 - ------------- ------------------- ----------- ------------------- 19 10.00 55 21.70 - ------------- ------------------- ----------- ------------------- 20 10.00 56 22.05 - ------------- ------------------- ----------- ------------------- 21 10.00 57 21.19 - ------------- ------------------- ----------- ------------------- 22 10.00 58 21.86 - ------------- ------------------- ----------- ------------------- 23 10.00 59 20.83 - ------------- ------------------- ----------- ------------------- 24 10.00 60 20.50 - ------------- ------------------- ----------- ------------------- 25 10.00 61 22.49 - ------------- ------------------- ----------- ------------------- 26 10.00 62 20.29 - ------------- ------------------- ----------- ------------------- 27 10.00 63 20.95 - ------------- ------------------- ----------- ------------------- 28 10.00 64 20.25 - ------------- ------------------- ----------- ------------------- 29 10.00 65 20.89 - ------------- ------------------- ----------- ------------------- 30 10.00 66 20.19 - ------------- ------------------- ----------- ------------------- 31 10.00 67 20.17 - ------------- ------------------- ----------- ------------------- 32 10.00 68 20.81 - ------------- ------------------- ----------- ------------------- 33 10.35 69 20.13 - ------------- ------------------- ----------- ------------------- 34 12.32 70 20.77 - ------------- ------------------- ----------- ------------------- 35 12.51 71 20.07 - ------------- ------------------- ----------- ------------------- 36 13.28 - ------------- ------------------- Assumptions: Static Indices: 1mL=20.0% 6mL=20.0% 10% Optional Cleanup Call Based On Pricing Prepayment Assumption *Includes any payments made from the applicable Interest Rate Cap Agreement 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 - -------------------------------------------------------------------------------- CLASS M EFFECTIVE MAXIMUM RATE* - ------------- ------------------- ----------- ------------------- PERIOD CLASS M AFC PERIOD CLASS M AFC - ------------- ------------------- ----------- ------------------- 1 - 37 9.57 - ------------- ------------------- ----------- ------------------- 2 9.50 38 9.50 - ------------- ------------------- ----------- ------------------- 3 9.50 39 9.50 - ------------- ------------------- ----------- ------------------- 4 9.50 40 9.75 - ------------- ------------------- ----------- ------------------- 5 9.50 41 10.07 - ------------- ------------------- ----------- ------------------- 6 9.50 42 9.74 - ------------- ------------------- ----------- ------------------- 7 9.50 43 9.73 - ------------- ------------------- ----------- ------------------- 8 9.50 44 10.05 - ------------- ------------------- ----------- ------------------- 9 9.50 45 10.00 - ------------- ------------------- ----------- ------------------- 10 9.50 46 11.00 - ------------- ------------------- ----------- ------------------- 11 9.50 47 10.64 - ------------- ------------------- ----------- ------------------- 12 9.50 48 10.63 - ------------- ------------------- ----------- ------------------- 13 9.50 49 11.75 - ------------- ------------------- ----------- ------------------- 14 9.50 50 10.60 - ------------- ------------------- ----------- ------------------- 15 9.50 51 11.19 - ------------- ------------------- ----------- ------------------- 16 9.50 52 11.18 - ------------- ------------------- ----------- ------------------- 17 9.50 53 11.55 - ------------- ------------------- ----------- ------------------- 18 9.50 54 11.16 - ------------- ------------------- ----------- ------------------- 19 9.50 55 11.15 - ------------- ------------------- ----------- ------------------- 20 9.50 56 11.50 - ------------- ------------------- ----------- ------------------- 21 9.50 57 11.29 - ------------- ------------------- ----------- ------------------- 22 9.50 58 11.90 - ------------- ------------------- ----------- ------------------- 23 9.50 59 11.50 - ------------- ------------------- ----------- ------------------- 24 9.50 60 11.48 - ------------- ------------------- ----------- ------------------- 25 9.50 61 12.70 - ------------- ------------------- ----------- ------------------- 26 9.50 62 11.45 - ------------- ------------------- ----------- ------------------- 27 9.50 63 11.83 - ------------- ------------------- ----------- ------------------- 28 9.50 64 11.43 - ------------- ------------------- ----------- ------------------- 29 9.50 65 11.79 - ------------- ------------------- ----------- ------------------- 30 9.50 66 11.39 - ------------- ------------------- ----------- ------------------- 31 9.50 67 11.37 - ------------- ------------------- ----------- ------------------- 32 9.50 68 11.73 - ------------- ------------------- ----------- ------------------- 33 9.50 69 11.35 - ------------- ------------------- ----------- ------------------- 34 9.50 70 11.71 - ------------- ------------------- ----------- ------------------- 35 9.50 71 11.31 - ------------- ------------------- ----------- ------------------- 36 9.50 - ------------- ------------------- Assumptions: Static Indices: 1mL=20.0% 6mL=20.0% 10% Optional Cleanup Call Based On Pricing Prepayment Assumption *Includes any payments made from the applicable Interest Rate Cap Agreement 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 - -------------------------------------------------------------------------------- ASSUMED MONTHLY EXCESS INTEREST - ------------- -------------------- -------------------- ----------- -------------------- -------------------- PERIOD STATIC LIBOR FORWARD LIBOR PERIOD STATIC LIBOR FORWARD LIBOR - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 1 - - 37 4.46 4.33 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 2 2.02 1.93 38 3.85 3.70 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 3 2.17 2.01 39 4.09 3.95 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 4 2.03 1.80 40 4.30 4.15 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 5 2.17 1.90 41 4.50 4.35 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 6 2.03 1.73 42 4.36 4.19 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 7 2.03 1.75 43 4.36 4.19 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 8 2.17 1.93 44 4.52 4.34 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 9 2.03 1.79 45 4.48 4.30 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 10 2.17 1.95 46 4.76 4.59 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 11 2.03 1.81 47 4.60 4.41 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 12 2.03 1.84 48 4.60 4.40 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 13 2.46 2.32 49 5.06 4.88 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 14 2.03 1.91 50 4.59 4.39 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 15 2.18 2.08 51 4.73 4.55 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 16 2.03 1.95 52 4.57 4.39 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 17 2.18 2.10 53 4.72 4.54 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 18 2.04 1.97 54 4.56 4.36 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 19 2.04 1.98 55 4.56 4.35 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 20 2.18 2.13 56 4.70 4.51 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 21 2.10 2.06 57 4.55 4.35 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 22 2.69 2.65 58 4.70 4.52 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 23 2.54 2.50 59 4.54 4.35 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 24 2.53 2.49 60 4.53 4.34 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 25 2.81 2.77 61 4.99 4.81 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 26 2.53 2.49 62 4.52 4.32 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 27 2.72 2.69 63 4.67 4.48 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 28 2.98 2.94 64 4.51 4.31 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 29 3.13 3.09 65 4.65 4.46 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 30 2.98 2.93 66 4.48 4.28 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 31 2.98 2.93 67 4.47 4.27 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 32 3.14 3.08 68 4.62 4.42 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 33 3.32 3.24 69 4.45 4.25 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 34 4.12 4.00 70 4.60 4.41 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 35 3.99 3.86 71 4.43 4.23 - ------------- -------------------- -------------------- ----------- -------------------- -------------------- 36 4.00 3.87 - ------------- -------------------- -------------------- - -------------------------------------------------------------------------------- Assumptions: 1. Run at pricing prepayment assumption 2. Excess (30/360) 3. Static Indices: 1mL = 4.48%; 6mL = 4.72% 4. Forward 1mL used for Certificates, Forward 6mL used for collateral 5. 10% optional clean-up call 9 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC1 $1,378,474,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JANUARY 23, 2006 - -------------------------------------------------------------------------------- BREAKEVEN (LAST CDR PRIOR TO 1ST DOLLAR LOSS) - ------------- ----------- ----------- ---------- CDR BE CUM BOND RATE WAL LOSS - ------------- ----------- ----------- ---------- M-1 33.58 5.37 22.36 - ------------- ----------- ----------- ---------- M-2 26.77 6.20 19.39 - ------------- ----------- ----------- ---------- M-3 23.25 7.45 17.64 - ------------- ----------- ----------- ---------- M-4 20.24 8.03 16.01 - ------------- ----------- ----------- ---------- M-5 17.68 8.63 14.51 - ------------- ----------- ----------- ---------- M-6 15.44 9.20 13.11 - ------------- ----------- ----------- ---------- M-7 13.40 9.76 11.74 - ------------- ----------- ----------- ---------- M-8 11.86 10.54 10.65 - ------------- ----------- ----------- ---------- M-9 10.60 11.03 9.72 - ------------- ----------- ----------- ---------- ASSUMPTIONS: 1. Trigger event is always in effect 2. 40% loss severity 3. 6 months lag 4. Pricing prepayment assumption 5. Certificates use 1-month LIBOR forward and collateral uses 6-month LIBOR forward 6. P&I advance 10 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering.