Carrington Mortgage Loan Trust, Series 2006-NC2 Inactive
Filed: 5 Jun 06, 12:00am
(Filed pursuant to Rule 433; SEC File No. 333-130210) (CCM CARRINGTON CAPITAL MANAGEMENT LOGO) MBS NEW ISSUE TERM SHEET $901,125,000 (APPROXIMATE) - -------------------------------------------------------------------------------- CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 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-NC2 Issuing Entity JUNE 5, 2006 Citigroup Global Markets Inc. (CITIGROUP LOGO) CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 STATEMENT REGARDING THIS FREE WRITING PROSPECTUS The information in this free writing prospectus, if conveyed prior to the time of your contractual commitment to purchase any of the Offered Certificates described herein, supersedes any information contained in any prior similar materials relating to the Offered Certificates. The information in this free writing prospectus is preliminary, and is subject to completion or change. 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 offered when, as and if issued. The depositor is not obligated to issue such Offered Certificates or any similar security and the underwriter's obligation to deliver such Offered Certificates is subject to the terms and conditions of the underwriting agreement with the depositor and the availability of such Offered Certificates when, as and if issued by the issuing entity. You are advised that the terms of the Offered Certificates, and the characteristics of the mortgage loan pool backing them, may change (due, among other things, to the possibility that mortgage loans that comprise the pool may become delinquent or defaulted or may be removed or replaced and that similar or different mortgage loans may be added to the pool, and that one or more classes of Offered Certificates may be split, combined or eliminated), at any time prior to issuance or availability of a final prospectus. You are advised that Offered Certificates may not be issued that have the characteristics described in these materials. The underwriter's obligation to sell such Offered Certificates to you is conditioned on the mortgage loans and Offered Certificates having the characteristics described in these materials. If for any reason the issuing entity does not deliver such Offered Certificates, the underwriter will notify you, and neither the issuer nor any underwriter will have any obligation to you to deliver all or any portion of the Offered Certificates which you have committed to purchase, and none of the issuing entity nor any underwriter will be liable for any costs or damages whatsoever arising from or related to such non-delivery. THE DEPOSITOR HAS FILED A REGISTRATION STATEMENT (INCLUDING A PROSPECTUS) WITH THE SECURITIES AND EXCHANGE COMMISSION (THE SEC) FOR THE OFFERING TO WHICH THIS COMMUNICATION RELATES. BEFORE YOU INVEST, YOU SHOULD READ THE PROSPECTUS IN THAT REGISTRATION STATEMENT AND OTHER DOCUMENTS THE DEPOSITOR HAS FILED WITH THE SEC FOR MORE COMPLETE INFORMATION ABOUT THE DEPOSITOR AND THE OFFERING. YOU MAY GET THESE DOCUMENTS AT NO CHARGE BY VISITING EDGAR ON THE SEC WEB SITE AT WWW.SEC.GOV. ALTERNATIVELY, THE DEPOSITOR, ANY UNDERWRITER OR ANY DEALER PARTICIPATING IN THE OFFERING WILL ARRANGE TO SEND YOU THE PROSPECTUS AT NO CHARGE IF YOU REQUEST IT BY CALLING TOLL-FREE 1-800-248-3580. The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. 1 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 $901,125,000 (APPROXIMATE) - -------------------------------------------------------------------------------- CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 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-NC2 Issuing Entity TRANSACTION HIGHLIGHTS PRINCIPAL DISTRIBUTION OFFERED EXPECTED RATINGS AVG LIFE(2) WINDOW (2) INITIAL CREDIT CLASSES BALANCE(3) DESCRIPTION(4) BENCHMARK (MOODY'S/S&P/FITCH) CALL(1) / MAT CALL(1) / MAT SUPPORT (%) - ------------------------------------------------------------------------------------------------------------------------------ A-1 362,485,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 1.00 / 1.00 1 - 21 / 1 - 21 25.40 A-2 199,812,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 2.00 / 2.00 21 - 29 / 21 - 29 25.40 A-3 99,408,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 3.00 / 3.01 29 - 70 / 29 - 74 25.40 A-4 41,841,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 5.84 / 8.55 70 - 70 / 74 - 166 25.40 M-1 41,496,000 FLT/MEZZ 1M LIBOR Aa1 / AA+ / AA+ 5.22 / 5.69 54 - 70 / 54 - 144 21.00 M-2 48,098,000 FLT/MEZZ 1M LIBOR Aa2 / AA / AA 4.67 / 5.12 47 - 70 / 47 - 138 15.90 M-3 17,919,000 FLT/MEZZ 1M LIBOR Aa3 / AA- / AA- 4.45 / 4.88 45 - 70 / 45 - 128 14.00 M-4 17,919,000 FLT/MEZZ 1M LIBOR A1 / A+ / A+ 4.37 / 4.79 43 - 70 / 43 - 124 12.10 M-5 17,919,000 FLT/MEZZ 1M LIBOR A2 / A / A 4.30 / 4.71 42 - 70 / 42 - 120 10.20 M-6 16,976,000 FLT/MEZZ 1M LIBOR A3 / A- / A- 4.25 / 4.63 40 - 70 / 40 - 114 8.40 M-7 16,504,000 FLT/MEZZ 1M LIBOR Baa1 / BBB+ / BBB+ 4.21 / 4.56 39 - 70 / 39 - 108 6.65 M-8 12,260,000 FLT/MEZZ 1M LIBOR Baa2 / BBB / BBB 4.17 / 4.48 39 - 70 / 39 - 101 5.35 M-9 8,488,000 FLT/MEZZ 1M LIBOR Baa3 / BBB- / BBB- 4.16 / 4.42 38 - 70 / 38 - 94 4.45 M-10(5) 10,845,000 FLT/MEZZ 1M LIBOR Ba1 / BB+ / BB+ 4.14 / 4.32 38 - 70 / 38 - 88 3.30 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. On any Distribution Date after the date on which the Optional Termination is in effect and not exercised the related margin shall increase to 2.0 times the related margin for each Class A Certificate, and 1.5 times for any Mezzanine Certificate. 5. The Class M-10 Certificates are not offered hereby. PRICING PREPAYMENT ASSUMPTION 2-YEAR AND SHORTER FIXED RATE PERIOD ADJUSTABLE-RATE MORTGAGE LOANS:2.0% CPR in month 1, building to 30.0% CPR 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% CPR 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. FIXED-RATE MORTGAGE LOANS: 4.0% CPR growing to 23.0% CPR over 12 months and remaining at 23.0% CPR thereafter. The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. 2 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- TRANSACTION OVERVIEW - -------------------------------------------------------------------------------- ISSUING ENTITY: Carrington Mortgage Loan Trust, Series 2006-NC2. DEPOSITOR: 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: Barclays Capital Inc. Northeast Securities, Inc. CAP CONTRACTS PROVIDER: Swiss Re Financial Products Corporation. RESPONSIBLE PARTY: NC Capital Corporation. The responsible party makes certain representations and warranties with respect to the Mortgage Loans and has certain obligations with respect to the repurchase and substitution of the Mortgage Loans. OFFERED CERTIFICATES: Approximately $703,546,000 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 $197,579,000 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 and Class M-9 Certificates (together with the Class M-10 Certificates, the "Class M Certificates" or the "Mezzanine Certificates"). The Class A Certificates and the Mezzanine 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, balloon 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 June 1, 2006, the Mortgage Loans will consist of approximately 4,468 adjustable-rate and fixed-rate, interest-only, balloon and fully-amortizing, first and second lien, closed-end, subprime mortgage loans, with a scheduled principal balance of approximately $943,090,876. As of the Cut-off Date, none of the Mortgage Loans were 30 to 59 days delinquent in the payment of principal and/or interest. Further, no Mortgage Loan that is 60 or more The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. 3 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- TRANSACTION OVERVIEW - -------------------------------------------------------------------------------- days delinquent in the payment of principal and/or interest as of the Cut-off Date will be included in the mortgage pool as of the Closing Date. For purposes of categorizing Mortgage Loans as delinquent, the Cut-off Date shall mean the close of business on May 31, 2006. To Carrington Securities, LP's knowledge, approximately 33.59% of the first lien Mortgage Loans are secured by mortgaged properties with respect to which second-lien mortgage loans were originated at the same time as the first-lien Mortgage Loan. These second-lien mortgage loans may or may not be part of the mortgage pool. The owners of the mortgaged properties may obtain second-lien mortgage loans at any time without Carrington Securities, LP's knowledge and, thus, more mortgaged properties than described above may also secure second-lien mortgage loans. EXPECTED PRICING DATE: On or about June 8, 2006. CLOSING DATE: On or about June 21, 2006. CUT-OFF DATE: June 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 July 2006. RECORD DATE: The business day immediately preceding each Distribution Date. DELAY DAYS: Zero days on all Class A and Mezzanine 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 for 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. 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 offering. 4 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- TRANSACTION OVERVIEW - -------------------------------------------------------------------------------- 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, each Offered Certificate will represent beneficial ownership of a REMIC regular interest and an interest in an 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. 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 sum of (i) the "Servicing Fee", calculated at the "Servicing Fee Rate" of 0.50% per annum, and (ii) 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 due to prepayments in full on the Mortgage Loans. The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. 5 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- 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. OVERCOLLATERALIZATION TARGET The Overcollateralization Target Amount with AMOUNT: respect to any Distribution Date is (a) prior to the Stepdown Date, an amount equal to 3.30% 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) 6.60% 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, Mezzanine Certificates and Class P Certificates to zero, the Overcollateralization Target Amount will be zero. OVERCOLLATERALIZATION FLOOR An amount equal to 0.50% of the aggregate AMOUNT: principal balance of the Mortgage Loans as of the Cut-off Date. OVERCOLLATERALIZATION INCREASE An Overcollateralization Increase Amount with AMOUNT: 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 An Overcollateralization Reduction Amount with REDUCTION AMOUNT: 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 July 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 50.80%. The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. 6 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT - -------------------------------------------------------------------------------- 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. TARGETED ON AND AFTER CLASS INITIAL STEPDOWN DATE --------------------------------------- A 25.40 50.80 M-1 21.00 42.00 M-2 15.90 31.80 M-3 14.00 28.00 M-4 12.10 24.20 M-5 10.20 20.40 M-6 8.40 16.80 M-7 6.65 13.30 M-8 5.35 10.70 M-9 4.45 8.90 M-10 3.30 6.60 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 Rolling Three-Month Delinquency Average plus the aggregate principal balance 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 30.75% 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 ---------------------------------------- July 2009 through June 2010 3.20% July 2010 through June 2011 5.00% July 2011 through June 2012 6.45% July 2012 and thereafter 7.20% 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. 7 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 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 Mezzanine 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 balance 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 On each Distribution Date, the Interest PRIORITY: 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. The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. 8 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- PRINCIPAL WATERFALL PRIOR TO STEPDOWN DATE OR IF A TRIGGER EVENT IS IN EFFECT - -------------------------------------------------------------------------------- PRINCIPAL DISTRIBUTION On each Distribution Date (a) prior to the PRIORITY: 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 each class of Class A Certificates has 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 and the Class CE 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 On each Distribution Date (a) on or after the PRIORITY: 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 each class of Class A Certificates has 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 and the Class CE Certificates are reduced to zero, principal distributions on the Class A Certificates will be allocated concurrently on a pro rata basis. 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. 9 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- EXCESS CASHFLOW WATERFALL - -------------------------------------------------------------------------------- MONTHLY EXCESS CASHFLOW With respect to any Distribution Date, any Net DISTRIBUTIONS: 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) Concurrently, on a pro rata basis to the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates, and then 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; and 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. 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. 10 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- ALLOCATION OF LOSSES - -------------------------------------------------------------------------------- ALLOCATION OF LOSSES: Any Realized Losses on the Mortgage Loans will be allocated or covered on any Distribution Date as follows: o first, by Net Monthly Excess Cash Flow; o second, by the Class CE Certificates, until the Certificate Principal Balance of the Class CE Certificates has been reduced to zero; o third, to the Class M-10 Certificates, until the Certificate Principal Balance of the Class M-10 Certificates has been reduced to zero; o fourth, to the Class M-9 Certificates, until the Certificate Principal Balance of the Class M-9 Certificates has been reduced to zero; o fifth, to the Class M-8 Certificates, until the Certificate Principal Balance of the Class M-8 Certificates has been reduced to zero; o sixth, to the Class M-7 Certificates, until the Certificate Principal Balance of the Class M-7 Certificates has been reduced to zero; o seventh, to the Class M-6 Certificates, until the Certificate Principal Balance of the Class M-6 Certificates has been reduced to zero; o eighth, to the Class M-5 Certificates, until the Certificate Principal Balance of the Class M-5 Certificates has been reduced to zero; o ninth, to the Class M-4 Certificates, until the Certificate Principal Balance of the Class M-4 Certificates has been reduced to zero; o tenth, to the Class M-3 Certificates, until the Certificate Principal Balance of the Class M-3 Certificates has been reduced to zero; o eleventh, to the Class M-2 Certificates, until the Certificate Principal Balance of the Class M-2 Certificates has been reduced to zero; o twelfth, to the Class M-1 Certificates, until the Certificate Principal Balance of the Class M-1 Certificates has been reduced to zero; and o 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 Mezzanine Certificates, such amounts with respect to such certificates will no longer accrue interest and such amounts will not be reinstated thereafter (except in the case of Subsequent Recoveries). However, the amount of any Realized Losses allocated to the certificates may be distributed to the holders of the Class A and Mezzanine Certificates from Net Monthly Excess Cashflow, according to the priorities set forth under "Monthly Excess Cashflow Distributions" above. 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. 11 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- CAP CONTRACTS: The holders of the Class A Certificates and the holders of the Mezzanine Certificates may benefit from a series of interest rate cap payments from Swiss Re Financial Products Corporation pursuant to two separate cap contracts. The cap contracts are intended to partially mitigate, for the first 33 Distribution Dates with respect to the Class A Certificates, beginning with the Distribution Date in July 2006, and for the first 40 Distribution Dates with respect to the Mezzanine Certificates beginning with the Distribution Date in July 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, over (ii) the Class A Monthly Strike Rate for that Distribution Date, calculated on an actual/360-day basis. With respect to the Mezzanine 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, over (ii) the Class M Monthly Strike Rate for that Distribution Date, calculated on an actual/360-day basis. 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. 12 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- CLASS A CAP CONTRACT NOTIONAL With respect to any Distribution Date specified BALANCE: below and the cap contract relating to the Class A Certificates, the lesser of (1) the aggregate Certificate Principal Balance of the Class A Certificates immediately prior to that Distribution Date, and (2) the amount specified below for that Distribution Date: DISTRIBUTION DATE NOTIONAL ---------------------------------- July 2006 703,546,000.00 August 2006 697,503,457.27 September 2006 689,428,286.04 October 2006 679,315,914.98 November 2006 667,175,462.34 December 2006 653,029,059.63 January 2007 636,912,190.77 February 2007 618,874,207.93 March 2007 598,977,813.86 April 2007 577,300,908.69 May 2007 553,942,007.75 June 2007 531,141,487.20 July 2007 508,998,672.31 August 2007 487,494,524.90 September 2007 466,610,559.49 October 2007 446,328,827.15 November 2007 426,631,899.95 December 2007 407,502,855.77 January 2008 388,925,263.59 February 2008 370,865,831.81 March 2008 353,267,946.76 April 2008 314,955,844.87 May 2008 278,460,183.42 June 2008 244,597,884.22 July 2008 213,143,838.24 August 2008 183,945,381.27 September 2008 169,315,672.25 October 2008 155,741,438.96 November 2008 142,626,717.67 December 2008 129,977,175.41 January 2009 117,756,116.78 February 2009 105,947,521.60 March 2009 94,515,003.09 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. 13 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- CLASS A MONTHLY STRIKE RATE With respect to each Distribution Date and the AND CLASS A CEILING RATE: 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 MONTHLY STRIKE CLASS A DISTRIBUTION DATE RATE CEILING RATE ----------------------------------------------- July 2006 7.092 11.395 August 2006 7.792 11.395 September 2006 7.796 11.394 October 2006 8.064 11.393 November 2006 7.806 11.392 December 2006 8.076 11.391 January 2007 7.820 11.390 February 2007 7.829 11.389 March 2007 8.692 11.387 April 2007 7.853 11.385 May 2007 8.134 11.383 June 2007 7.883 11.380 July 2007 8.168 11.378 August 2007 7.918 11.375 September 2007 7.936 11.372 October 2007 8.226 11.369 November 2007 7.977 11.366 December 2007 8.271 11.362 January 2008 8.023 11.358 February 2008 8.049 11.354 March 2008 8.644 11.350 April 2008 8.155 11.344 May 2008 9.854 11.340 June 2008 9.706 11.334 July 2008 10.184 11.327 August 2008 10.030 11.319 September 2008 10.150 11.314 October 2008 10.633 11.308 November 2008 11.793 11.793 December 2008 12.459 12.459 January 2009 12.286 12.286 February 2009 12.565 12.565 March 2009 14.310 14.310 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. 14 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- CLASS M CAP CONTRACT NOTIONAL With respect to any Distribution Date specified BALANCE: below and the cap contract relating to the Mezzanine Certificates, the lesser of (1) the aggregate Certificate Principal Balance of the Mezzanine Certificates immediately prior to that Distribution Date, and (2) the amount specified below for that Distribution Date: DISTRIBUTION DATE NOTIONAL ---------------------------------- July 2006 208,424,000.00 August 2006 208,424,000.00 September 2006 208,424,000.00 October 2006 208,424,000.00 November 2006 208,424,000.00 December 2006 208,424,000.00 January 2007 208,424,000.00 February 2007 208,424,000.00 March 2007 208,424,000.00 April 2007 208,424,000.00 May 2007 208,424,000.00 June 2007 208,424,000.00 July 2007 208,424,000.00 August 2007 208,424,000.00 September 2007 208,424,000.00 October 2007 208,424,000.00 November 2007 208,424,000.00 December 2007 208,424,000.00 January 2008 208,424,000.00 February 2008 208,424,000.00 March 2008 208,424,000.00 April 2008 208,424,000.00 May 2008 208,424,000.00 June 2008 208,424,000.00 July 2008 208,424,000.00 August 2008 208,424,000.00 September 2008 208,424,000.00 October 2008 208,424,000.00 November 2008 208,424,000.00 December 2008 208,424,000.00 January 2009 208,424,000.00 February 2009 208,424,000.00 March 2009 208,424,000.00 April 2009 208,424,000.00 May 2009 208,424,000.00 June 2009 208,424,000.00 July 2009 208,424,000.00 August 2009 208,424,000.00 September 2009 202,401,016.96 October 2009 194,039,491.51 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. 15 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- CLASS M MONTHLY STRIKE RATE With respect to each Distribution Date and the AND CEILING RATE: cap contract relating to the Mezzanine 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 MONTHLY CEILING DISTRIBUTION DATE STRIKE RATE RATE --------------------------------------------- July 2006 6.281 10.887 August 2006 6.948 10.887 September 2006 6.948 10.887 October 2006 7.200 10.887 November 2006 6.947 10.887 December 2006 7.199 10.887 January 2007 6.947 10.887 February 2007 6.947 10.887 March 2007 7.757 10.887 April 2007 6.947 10.887 May 2007 7.199 10.887 June 2007 6.947 10.887 July 2007 7.199 10.887 August 2007 6.947 10.887 September 2007 6.947 10.887 October 2007 7.199 10.887 November 2007 6.947 10.887 December 2007 7.199 10.887 January 2008 6.947 10.887 February 2008 6.947 10.887 March 2008 7.469 10.887 April 2008 6.950 10.887 May 2008 8.395 10.887 June 2008 8.144 10.887 July 2008 8.424 10.887 August 2008 8.121 10.887 September 2008 8.118 10.887 October 2008 8.409 10.887 November 2008 9.231 10.887 December 2008 9.602 10.887 January 2009 9.267 10.887 February 2009 9.261 10.887 March 2009 10.314 10.887 April 2009 9.258 10.887 May 2009 10.751 10.887 June 2009 10.438 10.887 July 2009 10.800 10.887 August 2009 10.426 10.887 September 2009 10.471 10.940 October 2009 10.870 10.975 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. 16 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DISTRIBUTIONS OF NET WAC RATE CARRYOVER AMOUNTS - -------------------------------------------------------------------------------- DISTRIBUTION OF NET WAC RATE On the Closing Date, the Trustee will establish CARRYOVER AMOUNTS: a reserve account from which distributions in respect of the Net WAC Rate Carryover Amount on the Class A or Mezzanine Certificates will be made. The reserve account will be an asset of the trust but not of any REMIC. On each Distribution Date, to the extent 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: (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 cap contract with respect to the Class A Certificates and only up to the related Net WAC Rate 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 cap contract with respect to the Mezzanine Certificates and only up to the related Net WAC Rate 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 cap contract with respect to the Class A Certificates; (D) to the Mezzanine 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 cap contract with respect to the Mezzanine Certificates; (E) to the Class A Certificates and Mezzanine Certificates from Net Monthly Excess Cash Flow, any related unpaid Net WAC Rate 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 Rate Carryover Amount, (ii) sequentially to the Mezzanine Certificates any such remaining undistributed Net WAC Rate Carryover Amount for each class. 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. 17 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- AVAILABLE DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the sum of the following amounts, net of certain expenses of the trust including amounts reimbursable to the servicer and the trustee: o the aggregate amount of scheduled monthly payments on the Mortgage Loans due during the related Due Period and received on or prior to the related Determination Date, after deduction of the servicing fee and the trustee fee in respect of the Mortgage Loans for that Distribution Date; o unscheduled payments in respect of the Mortgage Loans, including mortgagor prepayments, insurance proceeds, liquidation proceeds and Subsequent Recoveries from the Mortgage Loans, amounts received in respect of REO Property and proceeds from repurchases of and substitutions for the Mortgage Loans occurring during the related Prepayment Period; o all payments of Compensating Interest made by the servicer with respect to the Mortgage Loans; and o all Advances made for that Distribution Date in respect of the Mortgage Loans. 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 in the manner described under "Allocation of Losses" above (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. CLASS A PRINCIPAL DISTRIBUTION The Class A Principal Distribution Amount is an AMOUNT: 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. 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. 18 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-1 PRINCIPAL The Class M-1 Principal Distribution Amount is DISTRIBUTION AMOUNT: 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 The Class M-2 Principal Distribution Amount is DISTRIBUTION AMOUNT: 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 aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. 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. 19 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-3 PRINCIPAL The Class M-3 Principal Distribution Amount is DISTRIBUTION AMOUNT: 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 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 The Class M-4 Principal Distribution Amount is DISTRIBUTION AMOUNT: 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. 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. 20 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-5 PRINCIPAL The Class M-5 Principal Distribution Amount is DISTRIBUTION AMOUNT: 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. 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. 21 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-6 PRINCIPAL The Class M-6 Principal Distribution Amount is DISTRIBUTION AMOUNT: 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. 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. 22 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-7 PRINCIPAL The Class M-7 Principal Distribution Amount is DISTRIBUTION AMOUNT: 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. 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. 23 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-8 PRINCIPAL The Class M-8 Principal Distribution Amount is DISTRIBUTION AMOUNT: 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. 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. 24 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-9 PRINCIPAL The Class M-9 Principal Distribution Amount is DISTRIBUTION AMOUNT: 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. 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. 25 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-10 PRINCIPAL DISTRIBUTION AMOUNT: The Class M-10 Principal Distribution 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. 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 applicable Servicing Fee Rate and the Trustee Fee Rate. 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. 26 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- FORMULA RATE: The Formula Rate for any class of Class A and Mezzanine Certificates is One-Month LIBOR plus the related margin. The related margin shall increase on any Distribution Date following the date on which the Optional Termination is in effect and not exercised by an amount equal to (i) 2.0 times the related margin for each Class A Certificate, and (ii) 1.5 times the related margin for any Mezzanine Certificate. 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 undistributed 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. INTEREST DISTRIBUTION AMOUNT: The Interest Distribution Amount for the Class A Certificates and Mezzanine Certificates 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 and shortfalls resulting from the application of the Relief Act. 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 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: o the Available Distribution Amount for the related Distribution Date over o the sum for the related Distribution Date of the aggregate 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. 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. 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. 27 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- 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 and (ii) the undistributed portion of any related Net WAC Carryover Amount from the prior Distribution Date together with interest accrued on such undistributed portion for the most recently ended Interest Accrual Period at the Formula Rate applicable for such class for such Interest Accrual Period. The ratings on each class of Certificates do not address the likelihood of the distribution of any Net WAC Rate Carryover Amount. PASS-THROUGH RATES: With respect to each class of Class A Certificates and Mezzanine Certificates and any Distribution Date, the lesser of (i) the Formula Rate and (ii) the Net WAC Pass-Through Rate. PREPAYMENT INTEREST SHORTFALLS: With respect to any principal prepayments on the Mortgage Loans and any Distribution Date, any interest shortfall resulting from principal prepayments occurring between the first day of the related Prepayment Period and the last day of the prior calendar month. 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 payments on the Mortgage Loans actually received on or prior to the related Determination Date or advanced on or prior to the related Distribution 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, 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, Subsequent Recoveries 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 (v) the amount of any Overcollateralization Reduction Amount for such Distribution Date. 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. 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. 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. 28 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- SUBORDINATION PERCENTAGE: With respect to each class of Class A Certificates and Mezzanine Certificates, the applicable approximate percentage set forth in the table below. CLASS PERCENTAGE ------------------ A 49.20 M-1 58.00 M-2 68.20 M-3 72.00 M-4 75.80 M-5 79.60 M-6 83.20 M-7 86.70 M-8 89.30 M-9 91.10 M-10 93.40 30 TO 59 DAYS DELINQUENT Any Mortgage Loan for which a payment due on any due date remains unpaid as of the close of business on the last day of the month of the next following monthly due date. The determination as to whether a loan falls into this category is made as of the close of business on the last business day of each month. Grace periods and partial payments do not affect these determinations. 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. 29 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 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: $943,090,875.57 NUMBER OF MORTGAGE LOANS: 4,468 AVERAGE SCHEDULED PRINCIPAL BALANCE: $ 211,076.74 WEIGHTED AVERAGE GROSS COUPON: 8.315% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 623 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 80.82% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 87.29% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 358 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 359 WEIGHTED AVERAGE ROLL TERM(1) (MONTHS): 24 WEIGHTED AVERAGE GROSS MARGIN(1): 6.207% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.500% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.500% INTEREST ONLY LOANS: 13.88% SILENT SECONDS: 33.59% (1) Includes adjustable-rate Mortgage Loans only. (2) The original 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. The combined loan-to-value of a mortgage 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) either (x) for junior lien Mortgage Loans the outstanding balance of the senior lien mortgage loan at the date of origination of such Mortgage Loan, or (y) for first-lien Mortgage Loans the outstanding balance of any junior lien 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. 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. 30 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED WEIGHTED AVERAGE WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE ORIGINAL LOAN AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT -TO- VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------------------- 2/1 ARM 1,507 $246,471,399.99 26.13% $163,551.03 609 81.24% 8.624% 2/1 ARM 5Y-IO 366 120,953,968.15 12.83 330,475.32 650 81.79 7.882 3/1 ARM 46 7,366,790.14 0.78 160,147.61 615 76.73 8.247 3/1 ARM 5Y-IO 29 9,947,384.28 1.05 343,013.25 666 81.23 7.557 40/30 2/1 ARM 1,786 442,428,561.08 46.91 247,720.36 622 80.64 8.279 40/30 3/1 ARM 31 6,525,020.37 0.69 210,484.53 630 78.36 8.233 40/30 Fixed 111 28,693,714.84 3.04 258,501.94 628 82.31 8.011 Fixed 592 80,704,036.72 8.56 136,324.39 623 79.00 8.431 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ================================================================================================================================= DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE WEIGHTED WEIGHTED AVERAGE WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE ORIGINAL LOAN AVERAGE CURRENT GROSS MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT -TO- VALUE GROSS RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------------------- 5.500--5.999 20 $ 6,811,872.79 0.72% $340,593.64 659 75.90% 5.799% 6.000--6.499 61 18,103,563.35 1.92 296,779.73 661 75.91 6.303 6.500--6.999 233 65,032,881.34 6.90 279,111.08 636 76.87 6.839 7.000--7.499 467 119,436,742.25 12.66 255,753.20 640 79.20 7.265 7.500--7.999 898 214,586,789.46 22.75 238,960.79 630 79.57 7.772 8.000--8.499 642 141,713,377.25 15.03 220,737.35 624 80.08 8.249 8.500--8.999 772 156,064,351.75 16.55 202,155.90 614 81.47 8.749 9.000--9.499 446 84,150,019.03 8.92 188,677.17 606 82.87 9.241 9.500--9.999 448 74,603,100.88 7.91 166,524.78 597 84.19 9.748 10.000--10.499 176 30,014,683.92 3.18 170,537.98 598 86.12 10.239 10.500--10.999 151 18,376,937.48 1.95 121,701.57 613 88.06 10.752 11.000--11.499 65 8,066,151.85 0.86 124,094.64 603 87.25 11.208 11.500--11.999 53 3,871,736.20 0.41 73,051.63 606 90.94 11.764 12.000--12.499 24 1,512,825.08 0.16 63,034.38 652 95.99 12.192 12.500--12.999 7 510,153.06 0.05 72,879.01 634 96.56 12.607 13.000--13.499 3 165,509.64 0.02 55,169.88 640 100.00 13.179 13.500--13.999 2 70,180.24 0.01 35,090.12 621 100.00 13.641 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ================================================================================================================================= 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. 31 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED WEIGHTED AVERAGE WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE ORIGINAL LOAN AVERAGE ORIGINAL MORTGAGE LOAN MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT -TO- VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------------------- 1--50,000 76 $ 2,849,874.79 0.30% $ 37,498.35 626 87.17% 10.888% 50,001--100,000 973 73,920,049.26 7.84 75,971.27 603 81.22 9.106 100,001--150,000 867 107,887,283.43 11.44 124,437.47 607 79.92 8.581 150,001--200,000 654 114,318,659.76 12.12 174,799.17 613 79.71 8.461 200,001--250,000 530 118,397,763.53 12.55 223,392.01 617 79.93 8.230 250,001--300,000 401 109,619,831.83 11.62 273,366.16 619 80.29 8.197 300,001--350,000 280 90,961,396.40 9.65 324,862.13 629 80.70 8.231 350,001--400,000 212 79,366,835.52 8.42 374,371.87 630 80.94 8.034 400,001--450,000 155 66,242,252.57 7.02 427,369.37 640 81.98 8.039 450,001--500,000 108 51,315,124.63 5.44 475,140.04 628 82.26 8.167 500,001--550,000 64 33,523,444.66 3.55 523,803.82 642 82.98 8.119 550,001--600,000 61 35,088,770.23 3.72 575,225.74 639 82.62 8.156 600,001--650,000 33 20,596,495.72 2.18 624,136.23 651 82.31 8.373 650,001--700,000 26 17,479,120.39 1.85 672,273.86 651 81.39 7.739 700,001--750,000 17 12,290,318.83 1.30 722,959.93 659 80.53 7.573 750,001--800,000 5 3,906,002.93 0.41 781,200.59 625 80.29 7.493 800,001--850,000 3 2,447,293.91 0.26 815,764.64 682 86.62 9.063 850,001--900,000 1 882,000.00 0.09 882,000.00 645 90.00 8.250 950,001--1,000,000 2 1,998,357.18 0.21 999,178.59 621 77.83 8.008 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ================================================================================================================================= 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. 32 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED WEIGHTED AVERAGE WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE ORIGINAL LOAN AVERAGE CURRENT UNPAID PRINCIPAL MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT -TO- VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------------------- 1--50,000 77 $ 2,899,861.36 0.31% $ 37,660.54 624 86.95% 10.885% 50,001--100,000 973 73,969,434.49 7.84 76,022.03 603 81.21 9.101 100,001--150,000 866 107,787,911.63 11.43 124,466.41 607 79.93 8.583 150,001--200,000 654 114,318,659.76 12.12 174,799.17 613 79.71 8.461 200,001--250,000 531 118,642,114.15 12.58 223,431.48 617 79.91 8.229 250,001--300,000 400 109,375,481.21 11.60 273,438.70 619 80.32 8.198 300,001--350,000 281 91,310,938.43 9.68 324,949.96 629 80.65 8.227 350,001--400,000 211 79,017,293.49 8.38 374,489.54 630 81.00 8.038 400,001--450,000 155 66,242,252.57 7.02 427,369.37 640 81.98 8.039 450,001--500,000 108 51,315,124.63 5.44 475,140.04 628 82.26 8.167 500,001--550,000 64 33,523,444.66 3.55 523,803.82 642 82.98 8.119 550,001--600,000 61 35,088,770.23 3.72 575,225.74 639 82.62 8.156 600,001--650,000 33 20,596,495.72 2.18 624,136.23 651 82.31 8.373 650,001--700,000 26 17,479,120.39 1.85 672,273.86 651 81.39 7.739 700,001--750,000 17 12,290,318.83 1.30 722,959.93 659 80.53 7.573 750,001--800,000 5 3,906,002.93 0.41 781,200.59 625 80.29 7.493 800,001--850,000 3 2,447,293.91 0.26 815,764.64 682 86.62 9.063 850,001--900,000 1 882,000.00 0.09 882,000.00 645 90.00 8.250 950,001--1,000,000 2 1,998,357.18 0.21 999,178.59 621 77.83 8.008 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ================================================================================================================================= DISTRIBUTION BY REMAINING TERM TO MATURITY WEIGHTED WEIGHTED AVERAGE WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE ORIGINAL LOAN AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT -TO- VALUE GROSS REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------------------- 121--180 17 $ 1,832,669.14 0.19% $107,804.07 620 66.23% 8.334% 181--240 10 1,357,010.77 0.14 135,701.08 643 72.60 8.081 241--300 1 65,147.14 0.01 65,147.14 511 75.00 12.150 301--360 4,440 939,836,048.52 99.65 211,674.79 623 80.86 8.315 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ================================================================================================================================= 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. 33 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY ORIGINAL TERM TO MATURITY WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 121--180 17 $ 1,832,669.14 0.19% $107,804.07 620 66.23% 8.334% 181--240 10 1,357,010.77 0.14 135,701.08 643 72.60 8.081 241--300 1 65,147.14 0.01 65,147.14 511 75.00 12.150 301--360 4,440 939,836,048.52 99.65 211,674.79 623 80.86 8.315 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ===================================================================================================================== DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE COMBINED LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 5.01--10.00 2 $ 154,228.47 0.02% $ 77,114.24 556 9.03% 9.549% 10.01--15.00 2 129,937.06 0.01 64,968.53 574 12.06 9.706 15.01--20.00 2 109,938.15 0.01 54,969.08 543 17.69 8.900 20.01--25.00 5 512,317.12 0.05 102,463.42 586 22.66 7.308 25.01--30.00 9 1,128,639.80 0.12 125,404.42 619 27.54 8.124 30.01--35.00 8 1,120,159.12 0.12 140,019.89 586 33.77 8.387 35.01--40.00 16 2,023,325.07 0.21 126,457.82 569 37.86 8.182 40.01--45.00 27 3,944,194.54 0.42 146,081.28 596 42.73 8.191 45.01--50.00 31 6,848,648.61 0.73 220,924.15 618 48.33 7.980 50.01--55.00 58 10,710,020.86 1.14 184,655.53 591 53.16 7.881 55.01--60.00 96 18,351,679.00 1.95 191,163.32 595 58.26 7.725 60.01--65.00 144 29,743,578.28 3.15 206,552.63 581 63.36 8.070 65.01--70.00 169 36,062,147.11 3.82 213,385.49 593 68.54 8.048 70.01--75.00 293 62,324,621.13 6.61 212,712.02 591 74.06 8.336 75.01--80.00 544 117,272,782.88 12.43 215,574.97 597 79.24 8.195 80.01--85.00 423 83,355,468.69 8.84 197,057.85 587 84.42 8.472 85.01--90.00 775 171,653,741.84 18.20 221,488.70 622 89.57 8.668 90.01--95.00 384 83,013,964.05 8.80 216,182.20 637 93.05 8.675 95.01--100.00 1,480 314,631,483.79 33.36 212,588.84 656 81.10 8.141 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ===================================================================================================================== 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. 34 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE ORIGINAL LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 5.01--10.00 2 $ 154,228.47 0.02% $ 77,114.24 556 9.03% 9.549% 10.01--15.00 2 129,937.06 0.01 64,968.53 574 12.06 9.706 15.01--20.00 2 109,938.15 0.01 54,969.08 543 17.69 8.900 20.01--25.00 5 512,317.12 0.05 102,463.42 586 22.66 7.308 25.01--30.00 10 1,211,005.70 0.13 121,100.57 621 27.42 8.053 30.01--35.00 9 1,278,006.79 0.14 142,000.75 587 33.62 8.475 35.01--40.00 16 2,023,325.07 0.21 126,457.82 569 37.86 8.182 40.01--45.00 25 3,703,980.97 0.39 148,159.24 595 43.54 8.177 45.01--50.00 32 6,960,428.60 0.74 217,513.39 618 48.35 7.960 50.01--55.00 58 10,710,020.86 1.14 184,655.53 591 53.16 7.881 55.01--60.00 97 18,439,624.17 1.96 190,099.22 595 58.27 7.728 60.01--65.00 145 30,037,737.98 3.19 207,156.81 582 63.40 8.066 65.01--70.00 173 37,220,391.17 3.95 215,146.77 597 68.58 8.019 70.01--75.00 308 64,360,004.44 6.82 208,961.05 591 74.08 8.340 75.01--80.00 1,808 410,023,384.83 43.48 226,782.85 640 79.78 8.039 80.01--85.00 480 91,969,130.20 9.75 191,602.35 588 84.45 8.519 85.01--90.00 832 180,009,177.26 19.09 216,357.18 620 89.72 8.703 90.01--95.00 299 70,280,265.81 7.45 235,051.06 643 94.74 8.673 95.01--100.00 165 13,957,970.92 1.48 84,593.76 667 99.92 10.832 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ===================================================================================================================== 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. 35 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY STATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- CA 945 $320,376,813.79 33.97% $339,023.08 635 80.10% 8.108% FL 553 99,831,555.66 10.59 180,527.23 618 80.49 8.523 NY 199 60,881,046.72 6.46 305,934.91 628 78.76 8.149 TX 338 41,006,496.86 4.35 121,321.00 611 80.27 8.498 MA 137 34,418,666.17 3.65 251,231.14 622 78.76 8.314 NJ 140 34,032,529.54 3.61 243,089.50 612 81.14 8.483 AZ 158 32,706,966.50 3.47 207,006.12 624 79.84 8.237 MD 135 32,051,624.58 3.40 237,419.44 606 81.32 8.408 IL 134 25,038,877.37 2.65 186,857.29 612 82.25 8.253 WA 84 18,998,259.83 2.01 226,169.76 626 79.94 8.124 PA 132 17,557,157.82 1.86 133,008.77 613 83.06 8.347 VA 81 17,208,544.43 1.82 212,451.17 594 79.52 8.302 NV 66 16,902,676.26 1.79 256,101.16 631 80.51 8.162 GA 112 16,744,089.06 1.78 149,500.80 620 84.58 8.667 MI 124 14,040,558.55 1.49 113,230.31 609 82.67 8.606 HI 34 11,834,261.74 1.25 348,066.52 671 81.50 7.393 CT 54 10,982,490.91 1.16 203,379.46 603 81.79 8.486 OH 114 10,560,062.51 1.12 92,632.13 604 84.36 8.886 Other 928 127,918,197.27 13.56 137,842.88 610 83.23 8.650 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ===================================================================================================================== DISTRIBUTION BY OCCUPANCY TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Investment Property 348 $ 63,240,237.98 6.71% $181,724.82 656 86.17% 9.383% Primary Residence 4,003 856,380,815.43 90.81 213,934.75 619 80.35 8.227 Second Home 117 23,469,822.16 2.49 200,596.77 670 83.25 8.647 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ===================================================================================================================== 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. 36 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY PROPERTY TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- One Family 3,335 $677,964,348.96 71.89% $203,287.66 619 80.68% 8.311% Pud-Detached 441 105,846,202.26 11.22 240,014.06 631 81.32 8.161 2-4 Unit 279 77,611,917.58 8.23 278,178.92 634 80.59 8.419 Condo 303 59,818,701.53 6.34 197,421.46 633 81.67 8.500 Pud-Attached 109 21,745,935.52 2.31 199,504.00 619 81.11 8.304 Modular Home 1 103,769.72 0.01 103,769.72 590 80.00 9.000 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ===================================================================================================================== DISTRIBUTION BY LOAN PURPOSE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Cash Out 2,092 $456,647,624.97 48.42% $218,282.80 599 78.57% 8.272% Purchase 2,017 407,823,744.39 43.24 202,193.23 650 83.10 8.413 Rate/Term 359 78,619,506.21 8.34 218,995.84 618 82.06 8.060 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ===================================================================================================================== DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Full Documentation 2,622 $490,182,731.51 51.98% $186,949.94 607 80.73% 7.963% Limited Documentation 59 15,785,645.72 1.67 267,553.32 618 80.53 7.950 Stated Documentation 1,787 437,122,498.34 46.35 244,612.48 641 80.92 8.723 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ===================================================================================================================== 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. 37 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY CREDIT SCORE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS CREDIT SCORE RANGE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 476--500 4 $ 433,706.10 0.05% $108,426.53 500 72.57% 9.818% 501--525 234 33,935,879.02 3.60 145,025.12 513 73.97 9.329 526--550 431 72,332,604.00 7.67 167,825.07 538 75.93 8.846 551--575 505 93,449,984.60 9.91 185,049.47 563 78.74 8.694 576--600 605 134,762,226.07 14.29 222,747.48 589 80.84 8.366 601--625 781 161,249,326.79 17.10 206,465.21 613 82.05 8.129 626--650 753 161,379,306.10 17.11 214,315.15 638 82.25 8.190 651--675 547 130,039,800.87 13.79 237,732.73 662 81.84 8.123 676--700 296 76,377,380.53 8.10 258,031.69 686 82.05 7.918 701--725 131 31,969,847.37 3.39 244,044.64 713 82.75 8.140 726--750 89 23,304,224.97 2.47 261,845.22 738 81.96 8.216 751--775 50 12,426,661.87 1.32 248,533.24 762 83.82 8.515 776--800 35 9,709,791.44 1.03 277,422.61 785 80.82 7.974 801--825 7 1,720,135.84 0.18 245,733.69 811 78.22 7.481 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ===================================================================================================================== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE PREPAYMENT PENALTY TERMS MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 0 1,357 $291,366,285.87 30.89% $214,713.55 624 81.11% 8.754% 12 191 57,260,972.84 6.07 299,795.67 627 80.05 8.279 24 2,483 515,607,454.65 54.67 207,655.04 620 81.04 8.130 36 437 78,856,162.21 8.36 180,448.88 628 78.82 7.931 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ===================================================================================================================== DISTRIBUTION BY LIEN TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- First Lien 4,324 $933,557,823.54 98.99% $215,901.44 622 80.62% 8.283% Second Lien 144 9,533,052.03 1.01 66,201.75 664 99.94 11.463 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 4,468 $943,090,875.57 100.00% $211,076.74 623 80.82% 8.315% ===================================================================================================================== 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. 38 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 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: $833,693,124.01 NUMBER OF MORTGAGE LOANS: 3,765 AVERAGE SCHEDULED PRINCIPAL BALANCE: $ 221,432.44 WEIGHTED AVERAGE GROSS COUPON: 8.314% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 622 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 80.94% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 87.85% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 358 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 360 WEIGHTED AVERAGE ROLL TERM(1) (MONTHS): 24 WEIGHTED AVERAGE GROSS MARGIN(1): 6.207% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.500% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.500% INTEREST ONLY LOANS: 15.70% SILENT SECONDS: 35.81% (1) Includes adjustable-rate Mortgage Loans only. (2) The original 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. The combined loan-to-value of a mortgage 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) either (x) for junior lien Mortgage Loans the outstanding balance of the senior lien mortgage loan at the date of origination of such Mortgage Loan, or (y) for first-lien Mortgage Loans the outstanding balance of any junior lien 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. 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. 39 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 2/1 ARM 1,507 $246,471,399.99 29.56% $163,551.03 609 81.24% 8.624% 2/1 ARM 5Y-IO 366 120,953,968.15 14.51 330,475.32 650 81.79 7.882 3/1 ARM 46 7,366,790.14 0.88 160,147.61 615 76.73 8.247 3/1 ARM 5Y-IO 29 9,947,384.28 1.19 343,013.25 666 81.23 7.557 40/30 2/1 ARM 1,786 442,428,561.08 53.07 247,720.36 622 80.64 8.279 40/30 3/1 ARM 31 6,525,020.37 0.78 210,484.53 630 78.36 8.233 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE CURRENT GROSS MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 5.500--5.999 20 $ 6,811,872.79 0.82% $340,593.64 659 75.90% 5.799% 6.000--6.499 42 13,145,334.50 1.58 312,984.15 655 77.31 6.305 6.500--6.999 196 55,461,358.57 6.65 282,966.12 636 78.33 6.846 7.000--7.499 393 103,280,381.64 12.39 262,799.95 642 79.67 7.265 7.500--7.999 772 189,357,582.25 22.71 245,281.84 630 79.55 7.774 8.000--8.499 561 125,316,223.24 15.03 223,380.08 625 79.81 8.252 8.500--8.999 686 143,853,704.65 17.25 209,699.28 615 81.75 8.751 9.000--9.499 399 78,286,023.83 9.39 196,205.57 607 82.91 9.241 9.500--9.999 399 69,413,514.04 8.33 173,968.71 599 84.59 9.751 10.000--10.499 159 27,946,175.52 3.35 175,762.11 600 86.84 10.238 10.500--10.999 88 13,435,971.48 1.61 152,681.49 599 85.85 10.733 11.000--11.499 36 5,857,825.52 0.70 162,717.38 577 83.01 11.198 11.500--11.999 11 1,288,983.14 0.15 117,180.29 570 79.18 11.773 12.000--12.499 2 188,196.49 0.02 94,098.25 588 77.14 12.076 12.500--12.999 1 49,976.35 0.01 49,976.35 502 64.94 12.900 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== 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. 40 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE ORIGINAL MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 1--50,000 12 $ 589,935.70 0.07% $ 49,161.31 577 62.54% 9.906% 50,001--100,000 720 55,095,638.95 6.61 76,521.72 599 81.37 8.991 100,001--150,000 725 90,217,346.96 10.82 124,437.72 605 80.03 8.559 150,001--200,000 583 101,925,143.83 12.23 174,828.72 612 79.79 8.489 200,001--250,000 476 106,335,589.06 12.75 223,394.09 618 80.45 8.263 250,001--300,000 365 99,722,124.67 11.96 273,211.30 620 80.72 8.232 300,001--350,000 255 82,859,327.48 9.94 324,938.54 626 80.51 8.263 350,001--400,000 195 72,953,451.83 8.75 374,120.27 630 81.43 8.087 400,001--450,000 141 60,212,160.46 7.22 427,036.60 637 81.72 8.050 450,001--500,000 104 49,401,540.85 5.93 475,014.82 628 82.05 8.187 500,001--550,000 58 30,399,488.48 3.65 524,129.11 641 82.43 8.138 550,001--600,000 55 31,642,702.26 3.80 575,321.86 637 82.58 8.220 600,001--650,000 28 17,480,652.01 2.10 624,309.00 655 82.48 8.470 650,001--700,000 22 14,765,419.05 1.77 671,155.41 657 83.42 7.836 700,001--750,000 15 10,858,948.40 1.30 723,929.89 663 79.61 7.717 750,001--800,000 5 3,906,002.93 0.47 781,200.59 625 80.29 7.493 800,001--850,000 3 2,447,293.91 0.29 815,764.64 682 86.62 9.063 850,001--900,000 1 882,000.00 0.11 882,000.00 645 90.00 8.250 950,001--1,000,000 2 1,998,357.18 0.24 999,178.59 621 77.83 8.008 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== 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. 41 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE CURRENT UNPAID MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 1--50,000 12 $ 589,935.70 0.07% $ 49,161.31 577 62.54% 9.906% 50,001--100,000 720 55,095,638.95 6.61 76,521.72 599 81.37 8.991 100,001--150,000 725 90,217,346.96 10.82 124,437.72 605 80.03 8.559 150,001--200,000 583 101,925,143.83 12.23 174,828.72 612 79.79 8.489 200,001--250,000 477 106,579,939.68 12.78 223,438.03 618 80.43 8.262 250,001--300,000 364 99,477,774.05 11.93 273,290.59 619 80.74 8.232 300,001--350,000 255 82,859,327.48 9.94 324,938.54 626 80.51 8.263 350,001--400,000 195 72,953,451.83 8.75 374,120.27 630 81.43 8.087 400,001--450,000 141 60,212,160.46 7.22 427,036.60 637 81.72 8.050 450,001--500,000 104 49,401,540.85 5.93 475,014.82 628 82.05 8.187 500,001--550,000 58 30,399,488.48 3.65 524,129.11 641 82.43 8.138 550,001--600,000 55 31,642,702.26 3.80 575,321.86 637 82.58 8.220 600,001--650,000 28 17,480,652.01 2.10 624,309.00 655 82.48 8.470 650,001--700,000 22 14,765,419.05 1.77 671,155.41 657 83.42 7.836 700,001--750,000 15 10,858,948.40 1.30 723,929.89 663 79.61 7.717 750,001--800,000 5 3,906,002.93 0.47 781,200.59 625 80.29 7.493 800,001--850,000 3 2,447,293.91 0.29 815,764.64 682 86.62 9.063 850,001--900,000 1 882,000.00 0.11 882,000.00 645 90.00 8.250 950,001--1,000,000 2 1,998,357.18 0.24 999,178.59 621 77.83 8.008 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== DISTRIBUTION BY REMAINING TERM TO MATURITY WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 301--360 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== 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. 42 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY ORIGINAL TERM TO MATURITY - --------------------------------------------------------------------------------------------------------------------- WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 301--360 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS COMBINED LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 1 $ 49,969.32 0.01% $ 49,969.32 564 14.29% 8.475% 15.01--20.00 1 49,972.41 0.01 49,972.41 556 17.42 8.990 20.01--25.00 3 244,730.94 0.03 81,576.98 577 23.46 7.780 25.01--30.00 6 779,185.84 0.09 129,864.31 613 27.94 8.285 30.01--35.00 3 522,147.24 0.06 174,049.08 587 33.73 9.119 35.01--40.00 13 1,649,772.96 0.20 126,905.61 558 37.97 8.293 40.01--45.00 18 2,967,929.49 0.36 164,884.97 589 43.17 8.268 45.01--50.00 25 5,807,485.48 0.70 232,299.42 614 48.42 8.159 50.01--55.00 43 7,946,065.74 0.95 184,792.23 584 53.32 7.948 55.01--60.00 73 14,124,686.18 1.69 193,488.85 588 58.16 7.859 60.01--65.00 111 24,568,045.40 2.95 221,333.74 575 63.40 8.106 65.01--70.00 138 30,689,022.69 3.68 222,384.22 590 68.63 8.135 70.01--75.00 243 54,166,360.14 6.50 222,906.83 589 74.09 8.345 75.01--80.00 448 100,890,811.67 12.10 225,202.70 595 79.23 8.239 80.01--85.00 362 73,172,008.67 8.78 202,132.62 587 84.41 8.527 85.01--90.00 698 155,126,898.10 18.61 222,244.84 620 89.58 8.735 90.01--95.00 333 73,220,425.17 8.78 219,881.16 638 92.97 8.719 95.01--100.00 1,246 287,717,606.57 34.51 230,913.01 656 80.51 8.024 - ------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ======================================================================================================================== 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. 43 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 1 $ 49,969.32 0.01% $ 49,969.32 564 14.29% 8.475% 15.01--20.00 1 49,972.41 0.01 49,972.41 556 17.42 8.990 20.01--25.00 3 244,730.94 0.03 81,576.98 577 23.46 7.780 25.01--30.00 6 779,185.84 0.09 129,864.31 613 27.94 8.285 30.01--35.00 4 679,994.91 0.08 169,998.73 589 33.46 9.115 35.01--40.00 13 1,649,772.96 0.20 126,905.61 558 37.97 8.293 40.01--45.00 17 2,810,081.82 0.34 165,298.93 589 43.77 8.222 45.01--50.00 25 5,807,485.48 0.70 232,299.42 614 48.42 8.159 50.01--55.00 43 7,946,065.74 0.95 184,792.23 584 53.32 7.948 55.01--60.00 73 14,124,686.18 1.69 193,488.85 588 58.16 7.859 60.01--65.00 113 24,973,985.09 3.00 221,008.72 577 63.40 8.095 65.01--70.00 141 31,789,902.41 3.81 225,460.30 596 68.68 8.092 70.01--75.00 258 56,201,743.45 6.74 217,836.21 590 74.11 8.349 75.01--80.00 1,624 377,083,284.22 45.23 232,194.14 641 79.79 8.036 80.01--85.00 412 80,848,937.20 9.70 196,235.28 588 84.47 8.578 85.01--90.00 752 163,166,689.12 19.57 216,976.98 618 89.74 8.771 90.01--95.00 256 61,497,197.29 7.38 240,223.43 644 94.76 8.719 95.01--100.00 23 3,989,439.63 0.48 173,453.90 672 99.74 9.601 - ------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ======================================================================================================================== 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. 44 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY STATE - ------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------ CA 833 $295,903,878.15 35.49% $355,226.74 634 80.02% 8.094% FL 462 85,798,406.22 10.29 185,710.84 620 81.04 8.564 NY 158 48,764,081.50 5.85 308,633.43 627 78.94 8.202 AZ 147 30,950,286.93 3.71 210,546.17 625 79.75 8.236 NJ 122 30,637,965.75 3.67 251,130.87 610 81.41 8.495 MA 115 29,477,939.02 3.54 256,329.90 619 78.98 8.312 MD 113 28,979,797.31 3.48 256,458.38 606 81.03 8.362 TX 223 27,543,824.45 3.30 123,514.91 612 80.96 8.603 IL 114 22,394,584.39 2.69 196,443.72 613 82.28 8.208 WA 76 18,016,226.20 2.16 237,055.61 627 80.16 8.095 PA 114 15,290,964.39 1.83 134,131.27 615 83.06 8.349 NV 54 15,120,394.14 1.81 280,007.30 630 80.32 8.093 VA 69 15,047,527.88 1.80 218,080.11 590 80.84 8.350 GA 91 14,179,472.45 1.70 155,818.38 622 84.73 8.608 MI 113 12,883,306.82 1.55 114,011.56 610 82.48 8.629 CT 49 10,201,427.72 1.22 208,192.40 607 81.99 8.464 HI 24 10,055,556.56 1.21 418,981.52 674 82.07 7.351 CO 54 9,559,134.69 1.15 177,021.01 626 83.48 8.204 Other 834 112,888,349.44 13.54 135,357.73 607 83.44 8.727 - ------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ======================================================================================================================== DISTRIBUTION BY OCCUPANCY TYPE - ------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------ Investment Property 308 $ 57,600,806.45 6.91% $187,015.61 656 86.23% 9.435% Primary Residence 3,362 754,699,670.50 90.52 224,479.38 619 80.47 8.221 Second Home 95 21,392,647.06 2.57 225,185.76 671 83.20 8.581 - ------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ======================================================================================================================== 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. 45 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY PROPERTY TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- One Family 2,802 $599,254,225.35 71.88% $213,866.60 619 80.83% 8.307% Pud-Detached 368 93,541,535.64 11.22 254,188.96 631 81.61 8.162 2-4 Unit 238 67,532,419.92 8.10 283,749.66 632 80.47 8.469 Condo 263 54,041,025.75 6.48 205,479.19 633 81.70 8.482 Pud-Attached 94 19,323,917.35 2.32 205,573.59 619 80.49 8.273 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== DISTRIBUTION BY LOAN PURPOSE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Purchase 1,760 $376,959,122.16 45.22% $214,181.32 649 82.76% 8.342% Cash Out 1,710 389,126,358.09 46.68 227,559.27 598 78.97 8.320 Rate/Term 295 67,607,643.76 8.11 229,178.45 617 82.13 8.126 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Full Documentation 2,138 $414,854,997.12 49.76% $194,038.82 605 80.95% 7.954% Limited Documentation 53 15,035,510.69 1.80 283,688.88 618 80.56 7.941 Stated Documentation 1,574 403,802,616.20 48.44 256,545.50 640 80.95 8.698 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== 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. 46 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY CREDIT SCORE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS CREDIT SCORE RANGE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 476--500 4 $ 433,706.10 0.05% $108,426.53 500 72.57% 9.818% 501--525 195 29,913,305.09 3.59 153,401.56 514 74.24 9.309 526--550 356 62,973,288.38 7.55 176,891.26 539 76.22 8.847 551--575 455 85,325,751.47 10.23 187,529.12 563 78.98 8.739 576--600 536 122,376,142.93 14.68 228,313.70 588 81.39 8.399 601--625 640 137,382,789.03 16.48 214,660.61 613 82.20 8.109 626--650 627 142,821,320.98 17.13 227,785.20 638 82.23 8.178 651--675 463 118,696,804.29 14.24 256,364.59 662 81.65 8.089 676--700 235 64,440,272.90 7.73 274,213.93 686 82.11 7.934 701--725 104 26,433,990.74 3.17 254,172.99 713 82.70 8.146 726--750 70 20,451,830.36 2.45 292,169.01 738 81.97 8.156 751--775 44 11,822,192.18 1.42 268,686.19 762 83.59 8.416 776--800 30 9,036,363.24 1.08 301,212.11 784 80.73 7.889 801--825 6 1,585,366.32 0.19 264,227.72 810 81.20 7.537 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE PREPAYMENT MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PENALTY TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 0 1,156 $267,814,124.30 32.12% $231,673.12 625 81.20% 8.726% 12 146 43,795,694.87 5.25 299,970.51 628 80.64 8.382 24 2,408 508,961,281.03 61.05 211,362.66 620 80.88 8.106 36 55 13,122,023.81 1.57 238,582.25 646 79.23 7.784 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== DISTRIBUTION BY INITIAL INTEREST RATE CAP WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS INITIAL CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 1.000 1 $ 95,000.00 0.01% $ 95,000.00 802 100.00% 7.350% 1.500 3,764 833,598,124.01 99.99 221,466.03 622 80.94 8.315 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== 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. 47 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY PERIODIC INTEREST RATE CAP WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PERIODIC CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 1.00 1 $ 95,000.00 0.01% $ 95,000.00 802 100.00% 7.350% 1.50 3,764 833,598,124.01 99.99 221,466.03 622 80.94 8.315 TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== DISTRIBUTION BY GROSS MARGIN WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS ARM MARGIN (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 5.000--5.999 586 $137,465,866.87 16.49% $234,583.39 619 80.56% 8.165% 6.000--6.999 3,058 674,215,501.34 80.87 220,475.97 625 81.33 8.316 7.000--7.999 121 22,011,755.80 2.64 181,915.34 568 71.48 9.197 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== DISTRIBUTION BY MAXIMUM MORTGAGE RATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS MAXIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 12.000--12.999 20 $ 6,811,872.79 0.82% $340,593.64 659 75.90% 5.799% 13.000--13.999 239 68,701,693.07 8.24 287,454.78 639 78.17 6.743 14.000--14.999 1,164 292,542,963.89 35.09 251,325.57 634 79.58 7.594 15.000--15.999 1,247 269,169,927.89 32.29 215,853.99 619 80.85 8.519 16.000--16.999 798 147,699,537.87 17.72 185,087.14 603 83.70 9.481 17.000--17.999 247 41,382,147.00 4.96 167,539.06 600 86.52 10.398 18.000--18.999 47 7,146,808.66 0.86 152,059.76 576 82.32 11.302 19.000 >= 3 238,172.84 0.03 79,390.95 570 74.58 12.249 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== 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. 48 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY MINIMUM MORTGAGE RATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS MINIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 5.000--5.999 5 $ 1,721,636.61 0.21% $344,327.32 684 75.03% 5.681% 6.000--6.999 250 72,874,092.63 8.74 291,496.37 640 78.05 6.681 7.000--7.999 1,168 293,460,800.51 35.20 251,250.69 634 79.57 7.591 8.000--8.999 1,247 269,169,927.89 32.29 215,853.99 619 80.85 8.519 9.000--9.999 798 147,699,537.87 17.72 185,087.14 603 83.70 9.481 10.000--10.999 247 41,382,147.00 4.96 167,539.06 600 86.52 10.398 11.000--11.999 47 7,146,808.66 0.86 152,059.76 576 82.32 11.302 12.000 >= 3 238,172.84 0.03 79,390.95 570 74.58 12.249 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE INITIAL MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS INTEREST RATE ADJUSTMENT DATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 2007-12-01 1 $ 542,552.87 0.07% $542,552.87 564 73.00% 7.600% 2008-01-01 8 1,991,038.02 0.24 248,879.75 627 86.43 8.812 2008-02-01 64 15,252,511.53 1.83 238,320.49 610 83.63 8.550 2008-03-01 211 51,345,744.15 6.16 243,344.76 629 81.89 8.336 2008-04-01 1,872 413,397,507.37 49.59 220,832.00 621 81.17 8.294 2008-05-01 1,503 327,324,575.28 39.26 217,780.82 622 80.50 8.350 2008-12-01 2 424,147.58 0.05 212,073.79 628 81.19 7.945 2009-01-01 1 69,156.42 0.01 69,156.42 623 95.00 8.975 2009-02-01 2 447,107.30 0.05 223,553.65 664 80.00 9.624 2009-03-01 7 912,092.75 0.11 130,298.96 625 83.82 8.918 2009-04-01 46 11,777,085.67 1.41 256,023.60 640 79.36 7.726 2009-05-01 48 10,209,605.07 1.22 212,700.11 641 78.04 8.054 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== DISTRIBUTION BY LIEN TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- First Lien 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% - --------------------------------------------------------------------------------------------------------------------- TOTAL: 3,765 $833,693,124.01 100.00% $221,432.44 622 80.94% 8.314% ===================================================================================================================== 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. 49 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (FIXED RATE COLLATERAL) COLLATERAL SUMMARY Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. SCHEDULED PRINICPAL BALANCE: $109,397,751.56 NUMBER OF MORTGAGE LOANS: 703 AVERAGE SCHEDULED PRINCIPAL BALANCE: $ 155,615.58 WEIGHTED AVERAGE GROSS COUPON: 8.321% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 624 WEIGHTED AVERAGE ORIGINAL LTV RATIO(1): 79.87% WEIGHTED AVERAGE COMBINED LTV RATIO(1): 83.08% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 354 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS) : 355 (1) The original 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. The combined loan-to-value of a mortgage 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) either (x) for junior lien Mortgage Loans the outstanding balance of the senior lien mortgage loan at the date of origination of such Mortgage Loan, or (y) for first-lien Mortgage Loans the outstanding balance of any junior lien 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. 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. 50 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 40/30 Fixed 111 $ 28,693,714.84 26.23% $258,501.94 628 82.31% 8.011% Fixed 592 80,704,036.72 73.77 136,324.39 623 79.00 8.431 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS CURRENT GROSS MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 6.000--6.499 19 $ 4,958,228.85 4.53% $260,959.41 679 72.19% 6.299% 6.500--6.999 37 9,571,522.77 8.75 258,689.80 641 68.37 6.799 7.000--7.499 74 16,156,360.61 14.77 218,329.20 630 76.15 7.268 7.500--7.999 126 25,229,207.21 23.06 200,231.80 626 79.74 7.759 8.000--8.499 81 16,397,154.01 14.99 202,434.00 618 82.14 8.223 8.500--8.999 86 12,210,647.10 11.16 141,984.27 608 78.15 8.721 9.000--9.499 47 5,863,995.20 5.36 124,765.86 592 82.30 9.237 9.500--9.999 49 5,189,586.84 4.74 105,909.94 572 78.82 9.708 10.000--10.499 17 2,068,508.40 1.89 121,676.96 574 76.33 10.263 10.500--10.999 63 4,940,966.00 4.52 78,428.03 651 94.05 10.806 11.000--11.499 29 2,208,326.33 2.02 76,149.18 669 98.52 11.233 11.500--11.999 42 2,582,753.06 2.36 61,494.12 625 96.80 11.759 12.000--12.499 22 1,324,628.59 1.21 60,210.39 661 98.67 12.209 12.500--12.999 6 460,176.71 0.42 76,696.12 649 100.00 12.575 13.000--13.499 3 165,509.64 0.15 55,169.88 640 100.00 13.179 13.500--13.999 2 70,180.24 0.06 35,090.12 621 100.00 13.641 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== 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. 51 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE ORIGINAL MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 1--50,000 64 $ 2,259,939.09 2.07% $ 35,311.55 639 93.59% 11.144% 50,001--100,000 253 18,824,410.31 17.21 74,404.78 614 80.77 9.441 100,001--150,000 142 17,669,936.47 16.15 124,436.17 618 79.37 8.693 150,001--200,000 71 12,393,515.93 11.33 174,556.56 616 79.04 8.229 200,001--250,000 54 12,062,174.47 11.03 223,373.60 608 75.32 7.939 250,001--300,000 36 9,897,707.16 9.05 274,936.31 616 76.01 7.849 300,001--350,000 25 8,102,068.92 7.41 324,082.76 651 82.56 7.903 350,001--400,000 17 6,413,383.69 5.86 377,257.86 627 75.38 7.439 400,001--450,000 14 6,030,092.11 5.51 430,720.87 662 84.66 7.927 450,001--500,000 4 1,913,583.78 1.75 478,395.95 629 87.82 7.651 500,001--550,000 6 3,123,956.18 2.86 520,659.36 653 88.36 7.935 550,001--600,000 6 3,446,067.97 3.15 574,344.66 657 82.94 7.573 600,001--650,000 5 3,115,843.71 2.85 623,168.74 627 81.37 7.831 650,001--700,000 4 2,713,701.34 2.48 678,425.34 616 70.36 7.208 700,001--750,000 2 1,431,370.43 1.31 715,685.22 623 87.51 6.487 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE CURRENT UNPAID PRINCIPAL MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 1--50,000 65 $ 2,309,925.66 2.11% $ 35,537.32 637 93.18% 11.135% 50,001--100,000 253 18,873,795.54 17.25 74,599.98 615 80.73 9.421 100,001--150,000 141 17,570,564.67 16.06 124,613.93 617 79.43 8.707 150,001--200,000 71 12,393,515.93 11.33 174,556.56 616 79.04 8.229 200,001--250,000 54 12,062,174.47 11.03 223,373.60 608 75.32 7.939 250,001--300,000 36 9,897,707.16 9.05 274,936.31 616 76.01 7.849 300,001--350,000 26 8,451,610.95 7.73 325,061.96 650 81.93 7.873 350,001--400,000 16 6,063,841.66 5.54 378,990.10 628 75.85 7.454 400,001--450,000 14 6,030,092.11 5.51 430,720.87 662 84.66 7.927 450,001--500,000 4 1,913,583.78 1.75 478,395.95 629 87.82 7.651 500,001--550,000 6 3,123,956.18 2.86 520,659.36 653 88.36 7.935 550,001--600,000 6 3,446,067.97 3.15 574,344.66 657 82.94 7.573 600,001--650,000 5 3,115,843.71 2.85 623,168.74 627 81.37 7.831 650,001--700,000 4 2,713,701.34 2.48 678,425.34 616 70.36 7.208 700,001--750,000 2 1,431,370.43 1.31 715,685.22 623 87.51 6.487 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== 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. 52 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY REMAINING TERM TO MATURITY WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 121--180 17 $ 1,832,669.14 1.68% $107,804.07 620 66.23% 8.334% 181--240 10 1,357,010.77 1.24 135,701.08 643 72.60 8.081 241--300 1 65,147.14 0.06 65,147.14 511 75.00 12.150 301--360 675 106,142,924.51 97.02 157,248.78 624 80.20 8.321 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== DISTRIBUTION BY ORIGINAL TERM TO MATURITY WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 121--180 17 $ 1,832,669.14 1.68% $107,804.07 620 66.23% 8.334% 181--240 10 1,357,010.77 1.24 135,701.08 643 72.60 8.081 241--300 1 65,147.14 0.06 65,147.14 511 75.00 12.150 301--360 675 106,142,924.51 97.02 157,248.78 624 80.20 8.321 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== 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. 53 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE COMBINED LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 5.01--10.00 2 $ 154,228.47 0.14% $ 77,114.24 556 9.03% 9.549% 10.01--15.00 1 79,967.74 0.07 79,967.74 580 10.67 10.475 15.01--20.00 1 59,965.74 0.05 59,965.74 532 17.91 8.825 20.01--25.00 2 267,586.18 0.24 133,793.09 595 21.92 6.877 25.01--30.00 3 349,453.96 0.32 116,484.65 631 26.66 7.766 30.01--35.00 5 598,011.88 0.55 119,602.38 585 33.81 7.748 35.01--40.00 3 373,552.11 0.34 124,517.37 617 37.41 7.688 40.01--45.00 9 976,265.05 0.89 108,473.89 618 41.37 7.958 45.01--50.00 6 1,041,163.13 0.95 173,527.19 639 47.85 6.983 50.01--55.00 15 2,763,955.12 2.53 184,263.67 610 52.70 7.689 55.01--60.00 23 4,226,992.82 3.86 183,782.30 618 58.61 7.278 60.01--65.00 33 5,175,532.88 4.73 156,834.33 609 63.13 7.899 65.01--70.00 31 5,373,124.42 4.91 173,326.59 607 67.97 7.547 70.01--75.00 50 8,158,260.99 7.46 163,165.22 598 73.84 8.276 75.01--80.00 96 16,381,971.21 14.97 170,645.53 605 79.31 7.924 80.01--85.00 61 10,183,460.02 9.31 166,941.97 586 84.42 8.074 85.01--90.00 77 16,526,843.74 15.11 214,634.33 637 89.49 8.038 90.01--95.00 51 9,793,538.88 8.95 192,030.17 631 93.57 8.350 95.01--100.00 234 26,913,877.22 24.60 115,016.57 659 87.40 9.389 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== 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. 54 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE ORIGINAL LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 5.01--10.00 2 $ 154,228.47 0.14% $ 77,114.24 556 9.03% 9.549% 10.01--15.00 1 79,967.74 0.07 79,967.74 580 10.67 10.475 15.01--20.00 1 59,965.74 0.05 59,965.74 532 17.91 8.825 20.01--25.00 2 267,586.18 0.24 133,793.09 595 21.92 6.877 25.01--30.00 4 431,819.86 0.39 107,954.97 634 26.49 7.634 30.01--35.00 5 598,011.88 0.55 119,602.38 585 33.81 7.748 35.01--40.00 3 373,552.11 0.34 124,517.37 617 37.41 7.688 40.01--45.00 8 893,899.15 0.82 111,737.39 615 42.80 8.039 45.01--50.00 7 1,152,943.12 1.05 164,706.16 642 48.04 6.960 50.01--55.00 15 2,763,955.12 2.53 184,263.67 610 52.70 7.689 55.01--60.00 24 4,314,937.99 3.94 179,789.08 618 58.63 7.301 60.01--65.00 32 5,063,752.89 4.63 158,242.28 607 63.43 7.924 65.01--70.00 32 5,430,488.76 4.96 169,702.77 606 67.99 7.590 70.01--75.00 50 8,158,260.99 7.46 163,165.22 598 73.84 8.276 75.01--80.00 184 32,940,100.61 30.11 179,022.29 631 79.67 8.085 80.01--85.00 68 11,120,193.00 10.16 163,532.25 588 84.32 8.087 85.01--90.00 80 16,842,488.14 15.40 210,531.10 636 89.54 8.042 90.01--95.00 43 8,783,068.52 8.03 204,257.41 634 94.60 8.352 95.01--100.00 142 9,968,531.29 9.11 70,200.92 665 99.99 11.325 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== 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. 55 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY STATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- CA 112 $ 24,472,935.64 22.37% $218,508.35 649 81.12% 8.274% FL 91 14,033,149.44 12.83 154,210.43 605 77.15 8.267 TX 115 13,462,672.41 12.31 117,066.72 611 78.85 8.283 NY 41 12,116,965.22 11.08 295,535.74 628 78.02 7.936 MA 22 4,940,727.15 4.52 224,578.51 638 77.45 8.327 NJ 18 3,394,563.79 3.10 188,586.88 629 78.76 8.373 MD 22 3,071,827.27 2.81 139,628.51 609 84.04 8.837 IL 20 2,644,292.98 2.42 132,214.65 608 82.01 8.631 GA 21 2,564,616.61 2.34 122,124.60 611 83.78 8.990 PA 18 2,266,193.43 2.07 125,899.64 598 83.09 8.332 VA 12 2,161,016.55 1.98 180,084.71 616 70.31 7.970 NV 12 1,782,282.12 1.63 148,523.51 633 82.08 8.750 HI 10 1,778,705.18 1.63 177,870.52 653 78.25 7.628 AZ 11 1,756,679.57 1.61 159,698.14 620 81.31 8.259 MN 9 1,421,687.18 1.30 157,965.24 647 75.56 7.992 OR 10 1,376,288.46 1.26 137,628.85 629 86.89 8.449 OH 16 1,311,611.58 1.20 81,975.72 627 83.21 8.221 TN 13 1,201,139.78 1.10 92,395.37 624 78.43 8.613 Other 130 13,640,397.20 12.47 104,926.13 610 82.40 8.622 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== DISTRIBUTION BY OCCUPANCY TYPE - --------------------------------------------------------------------------------------------------------------------- WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Investment Property 40 $ 5,639,431.53 5.15% $140,985.79 662 85.54% 8.846% Primary Residence 641 101,681,144.93 92.95 158,628.93 621 79.48 8.271 Second Home 22 2,077,175.10 1.90 94,417.05 663 83.70 9.327 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== 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. 56 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY PROPERTY TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- One Family 533 $ 78,710,123.61 71.95% $147,673.78 621 79.50% 8.344% Pud-Detached 73 12,304,666.62 11.25 168,557.08 629 79.07 8.158 2-4 Unit 41 10,079,497.66 9.21 245,841.41 644 81.41 8.082 Condo 40 5,777,675.78 5.28 144,441.89 633 81.40 8.665 Pud-Attached 15 2,422,018.17 2.21 161,467.88 615 86.00 8.547 Modular Home 1 103,769.72 0.09 103,769.72 590 80.00 9.000 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== DISTRIBUTION BY LOAN PURPOSE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Cash Out 382 $ 67,521,266.88 61.72% $176,757.24 610 76.25% 7.995% Purchase 257 30,864,622.23 28.21 120,095.81 655 87.15 9.272 Rate/Term 64 11,011,862.45 10.07 172,060.35 626 81.64 7.653 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Full Documentation 484 $ 75,327,734.39 68.86% $155,635.81 613 79.54% 8.011% Limited Documentation 6 750,135.03 0.69 125,022.51 627 80.07 8.119 Stated Documentation 213 33,319,882.14 30.46 156,431.37 650 80.61 9.025 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== 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. 57 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY CREDIT SCORE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS CREDIT SCORE RANGE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 501--525 39 $ 4,022,573.93 3.68% $103,142.92 511 71.94% 9.478% 526--550 75 9,359,315.62 8.56 124,790.87 538 74.04 8.842 551--575 50 8,124,233.13 7.43 162,484.66 564 76.28 8.219 576--600 69 12,386,083.14 11.32 179,508.45 589 75.39 8.042 601--625 141 23,866,537.76 21.82 169,266.23 613 81.19 8.241 626--650 126 18,557,985.12 16.96 147,285.60 639 82.43 8.282 651--675 84 11,342,996.58 10.37 135,035.67 662 83.82 8.482 676--700 61 11,937,107.63 10.91 195,690.29 686 81.77 7.832 701--725 27 5,535,856.63 5.06 205,031.73 712 82.99 8.109 726--750 19 2,852,394.61 2.61 150,126.03 739 81.91 8.641 751--775 6 604,469.69 0.55 100,744.95 765 88.30 10.447 776--800 5 673,428.20 0.62 134,685.64 788 82.06 9.112 801--825 1 134,769.52 0.12 134,769.52 821 43.13 6.825 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE PREPAYMENT PENALTY TERMS MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 0 201 $ 23,552,161.57 21.53% $117,174.93 617 80.12% 9.072% 12 45 13,465,277.97 12.31 299,228.40 624 78.15 7.943 24 75 6,646,173.62 6.08 88,615.65 654 93.66 9.990 36 382 65,734,138.40 60.09 172,078.90 624 78.74 7.960 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== DISTRIBUTION BY LIEN TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- First Lien 559 $ 99,864,699.53 91.29% $178,648.84 620 77.95% 8.021% Second Lien 144 9,533,052.03 8.71 66,201.75 664 99.94 11.463 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 703 $109,397,751.56 100.00% $155,615.58 624 79.87% 8.321% ===================================================================================================================== 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. 58 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) COLLATERAL SUMMARY Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. SCHEDULED PRINCIPAL BALANCE: $130,901,352.43 NUMBER OF MORTGAGE LOANS: 395 AVERAGE SCHEDULED PRINCIPAL BALANCE: $ 331,395.83 WEIGHTED AVERAGE GROSS COUPON: 7.857% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 651 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 81.75% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 93.16% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 358 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 360 WEIGHTED AVERAGE ROLL TERM(1) (MONTHS): 25 WEIGHTED AVERAGE GROSS MARGIN(1): 6.135% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.500% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.500% INTEREST ONLY LOANS: 100.00% SILENT SECONDS: 57.12% (1) Includes adjustable-rate Mortgage Loans only. (2) The original 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. The combined loan-to-value of a mortgage 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) either (x) for junior lien Mortgage Loans the outstanding balance of the senior lien mortgage loan at the date of origination of such Mortgage Loan, or (y) for first-lien Mortgage Loans the outstanding balance of any junior lien 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. 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. 59 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 2/1 ARM 5Y-IO 366 $120,953,968.15 92.40% $330,475.32 650 81.79% 7.882% 3/1 ARM 5Y-IO 29 9,947,384.28 7.60 343,013.25 666 81.23 7.557 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE CURRENT GROSS MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 5.500--5.999 1 $ 515,087.99 0.39% $515,087.99 639 81.76% 5.850% 6.000--6.499 5 1,822,449.83 1.39 364,489.97 669 81.95 6.400 6.500--6.999 14 5,627,363.00 4.30 401,954.50 649 79.23 6.881 7.000--7.499 100 32,809,591.18 25.06 328,095.91 659 80.92 7.252 7.500--7.999 140 45,916,382.76 35.08 327,974.16 649 81.34 7.734 8.000--8.499 64 21,179,477.51 16.18 330,929.34 644 81.07 8.230 8.500--8.999 40 13,380,749.76 10.22 334,518.74 648 84.16 8.715 9.000--9.499 16 5,666,223.95 4.33 354,139.00 662 84.57 9.192 9.500--9.999 12 3,076,287.45 2.35 256,357.29 655 86.89 9.647 10.000--10.499 3 907,739.00 0.69 302,579.67 651 93.39 10.330 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== 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. 60 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE ORIGINAL MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 50,001--100,000 9 $ 690,054.38 0.53% $ 76,672.71 650 85.94% 8.029% 100,001--150,000 30 3,715,692.94 2.84 123,856.43 648 79.46 7.996 150,001--200,000 44 7,753,507.15 5.92 176,216.07 635 81.51 8.184 200,001--250,000 53 11,925,343.96 9.11 225,006.49 648 79.58 7.854 250,001--300,000 58 15,976,973.84 12.21 275,465.07 642 81.32 7.921 300,001--350,000 42 13,643,390.99 10.42 324,842.64 658 81.75 7.851 350,001--400,000 43 16,085,151.95 12.29 374,073.30 651 81.51 7.570 400,001--450,000 36 15,371,826.91 11.74 426,995.19 662 82.33 7.824 450,001--500,000 23 10,987,144.95 8.39 477,701.95 650 85.36 7.852 500,001--550,000 16 8,379,937.95 6.40 523,746.12 659 80.85 7.766 550,001--600,000 20 11,468,427.49 8.76 573,421.37 652 83.34 7.740 600,001--650,000 5 3,147,399.97 2.40 629,479.99 660 77.34 7.982 650,001--700,000 6 4,058,999.99 3.10 676,500.00 655 81.66 7.910 700,001--750,000 5 3,599,499.99 2.75 719,900.00 648 80.58 8.091 750,001--800,000 2 1,595,999.97 1.22 797,999.99 634 70.99 7.245 800,001--850,000 2 1,620,000.00 1.24 810,000.00 676 90.00 9.325 850,001--900,000 1 882,000.00 0.67 882,000.00 645 90.00 8.250 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE CURRENT UNPAID MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 50,001--100,000 9 $ 690,054.38 0.53% $ 76,672.71 650 85.94% 8.029% 100,001--150,000 30 3,715,692.94 2.84 123,856.43 648 79.46 7.996 150,001--200,000 44 7,753,507.15 5.92 176,216.07 635 81.51 8.184 200,001--250,000 53 11,925,343.96 9.11 225,006.49 648 79.58 7.854 250,001--300,000 58 15,976,973.84 12.21 275,465.07 642 81.32 7.921 300,001--350,000 42 13,643,390.99 10.42 324,842.64 658 81.75 7.851 350,001--400,000 43 16,085,151.95 12.29 374,073.30 651 81.51 7.570 400,001--450,000 36 15,371,826.91 11.74 426,995.19 662 82.33 7.824 450,001--500,000 23 10,987,144.95 8.39 477,701.95 650 85.36 7.852 500,001--550,000 16 8,379,937.95 6.40 523,746.12 659 80.85 7.766 550,001--600,000 20 11,468,427.49 8.76 573,421.37 652 83.34 7.740 600,001--650,000 5 3,147,399.97 2.40 629,479.99 660 77.34 7.982 650,001--700,000 6 4,058,999.99 3.10 676,500.00 655 81.66 7.910 700,001--750,000 5 3,599,499.99 2.75 719,900.00 648 80.58 8.091 750,001--800,000 2 1,595,999.97 1.22 797,999.99 634 70.99 7.245 800,001--850,000 2 1,620,000.00 1.24 810,000.00 676 90.00 9.325 850,001--900,000 1 882,000.00 0.67 882,000.00 645 90.00 8.250 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== 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. 61 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY REMAINING TERM TO MATURITY WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 301--360 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY ORIGINAL TERM TO MATURITY WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 301--360 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE COMBINED LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 35.01--40.00 1 $ 127,000.00 0.10% $127,000.00 603 38.98% 6.935% 45.01--50.00 2 759,999.98 0.58 379,999.99 679 48.42 7.660 50.01--55.00 3 675,999.99 0.52 225,333.33 625 53.41 7.524 55.01--60.00 4 1,096,000.00 0.84 274,000.00 657 58.37 7.557 60.01--65.00 2 999,999.98 0.76 499,999.99 598 62.52 7.375 65.01--70.00 9 2,683,057.33 2.05 298,117.48 626 69.28 7.793 70.01--75.00 10 3,060,699.98 2.34 306,070.00 645 73.85 7.404 75.01--80.00 28 9,445,728.40 7.22 337,347.44 632 79.01 7.768 80.01--85.00 24 8,099,128.89 6.19 337,463.70 632 84.10 7.530 85.01--90.00 40 16,906,149.24 12.92 422,653.73 637 89.72 8.198 90.01--95.00 43 13,068,614.16 9.98 303,921.26 641 93.75 8.061 95.01--100.00 229 73,978,974.48 56.52 323,052.29 663 79.96 7.829 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== 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. 62 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE ORIGINAL LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 35.01--40.00 1 $ 127,000.00 0.10% $127,000.00 603 38.98% 6.935% 45.01--50.00 2 759,999.98 0.58 379,999.99 679 48.42 7.660 50.01--55.00 3 675,999.99 0.52 225,333.33 625 53.41 7.524 55.01--60.00 4 1,096,000.00 0.84 274,000.00 657 58.37 7.557 60.01--65.00 3 1,359,999.98 1.04 453,333.33 623 62.63 7.375 65.01--70.00 9 2,683,057.33 2.05 298,117.48 626 69.28 7.793 70.01--75.00 10 3,060,699.98 2.34 306,070.00 645 73.85 7.404 75.01--80.00 256 83,616,452.89 63.88 326,626.77 659 79.88 7.823 80.01--85.00 24 8,099,128.89 6.19 337,463.70 632 84.10 7.530 85.01--90.00 42 17,147,399.23 13.10 408,271.41 637 89.70 8.198 90.01--95.00 40 12,180,614.16 9.31 304,515.35 639 94.75 8.082 95.01--100.00 1 95,000.00 0.07 95,000.00 802 100.00 7.350 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY STATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- CA 193 $ 78,105,998.42 59.67% $404,694.29 655 81.34% 7.833% FL 37 9,379,844.94 7.17 253,509.32 643 82.07 8.074 WA 21 6,021,274.94 4.60 286,727.38 649 81.56 7.967 AZ 18 4,859,751.28 3.71 269,986.18 639 84.28 8.048 NV 10 3,737,022.59 2.85 373,702.26 648 83.52 7.902 NY 8 3,095,191.86 2.36 386,898.98 655 78.43 7.611 MD 9 2,429,514.00 1.86 269,946.00 648 82.56 7.584 CO 8 1,987,174.36 1.52 248,396.80 675 81.02 7.884 NJ 6 1,858,510.95 1.42 309,751.83 664 80.36 7.729 MA 6 1,727,200.00 1.32 287,866.67 654 82.84 7.411 UT 8 1,649,330.00 1.26 206,166.25 642 83.74 8.130 VA 6 1,550,044.90 1.18 258,340.82 613 81.52 7.850 CT 4 1,406,169.89 1.07 351,542.47 660 84.66 7.665 MN 8 1,405,739.27 1.07 175,717.41 656 82.92 8.073 HI 4 1,372,115.99 1.05 343,029.00 687 81.05 7.115 MI 7 1,276,053.00 0.97 182,293.29 649 83.19 8.358 TN 5 1,122,720.00 0.86 224,544.00 643 80.00 8.219 GA 3 1,089,410.00 0.83 363,136.67 610 85.16 8.179 Other 34 6,828,286.04 5.22 200,831.94 630 83.28 7.797 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== 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. 63 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Investment Property 1 $ 208,639.00 0.16% $208,639.00 723 95.00% 10.425% Primary Residence 380 126,904,268.46 96.95 333,958.60 651 81.74 7.840 Second Home 14 3,788,444.97 2.89 270,603.21 651 81.24 8.298 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY PROPERTY TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- One Family 280 $ 93,485,326.06 71.42% $333,876.16 649 81.66% 7.852% Pud-Detached 45 15,263,366.92 11.66 339,185.93 650 83.26 7.844 Condo 37 10,248,769.80 7.83 276,993.78 655 82.13 8.022 2-4 Unit 24 9,086,575.67 6.94 378,607.32 668 80.04 7.803 Pud-Attached 9 2,817,313.98 2.15 313,034.89 658 80.59 7.672 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY LOAN PURPOSE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Purchase 228 $ 73,079,031.31 55.83% $320,522.07 661 80.87% 7.858% Cash Out 129 43,963,950.50 33.59 340,805.82 636 83.63 7.882 Rate/Term 38 13,858,370.62 10.59 364,693.96 646 80.42 7.769 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== 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. 64 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Full Documentation 229 $ 73,065,377.79 55.82% $319,062.79 640 82.55% 7.594% Limited Documentation 10 3,077,762.97 2.35 307,776.30 654 81.34 7.824 Stated Documentation 156 54,758,211.67 41.83 351,014.18 667 80.70 8.210 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY CREDIT SCORE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS CREDIT SCORE RANGE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 576--600 50 $ 16,432,725.57 12.55% $328,654.51 591 82.73% 7.782% 601--625 81 24,950,271.78 19.06 308,028.05 613 81.89 7.878 626--650 94 27,122,941.19 20.72 288,541.93 637 82.70 7.944 651--675 77 28,595,468.91 21.85 371,369.73 663 82.18 7.886 676--700 46 17,749,357.89 13.56 385,855.61 686 79.18 7.742 701--725 18 5,878,303.78 4.49 326,572.43 714 79.89 7.981 726--750 15 5,662,403.35 4.33 377,493.56 737 81.95 7.905 751--775 5 1,800,879.97 1.38 360,175.99 758 82.05 7.647 776--800 6 2,094,799.99 1.60 349,133.33 782 80.00 7.466 801--825 3 614,200.00 0.47 204,733.33 811 83.09 7.465 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE PREPAYMENT PENALTY MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 0 72 $ 24,835,762.04 18.97% $344,941.14 654 80.61% 8.278% 12 26 10,603,360.80 8.10 407,821.57 656 80.62 7.991 24 277 88,206,045.30 67.38 318,433.38 648 82.23 7.755 36 20 7,256,184.29 5.54 362,809.21 674 81.55 7.463 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== 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. 65 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY INITIAL INTEREST RATE CAP WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS INITIAL CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 1.000 1 $ 95,000.00 0.07% $ 95,000.00 802 100.00% 7.350% 1.500 394 130,806,352.43 99.93 331,995.82 651 81.74 7.857 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY PERIODIC INTEREST RATE CAP WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PERIODIC CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 1.000 1 $ 95,000.00 0.07% $ 95,000.00 802 100.00% 7.350% 1.500 394 130,806,352.43 99.93 331,995.82 651 81.74 7.857 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY GROSS MARGIN WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS ARM MARGIN (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 5.000--5.999 69 $ 24,155,184.40 18.45% $350,075.14 642 81.26% 7.775% 6.000--6.999 326 106,746,168.03 81.55 327,442.23 653 81.86 7.876 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== 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. 66 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY MAXIMUM MORTGAGE RATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS MAXIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 12.000--12.999 1 $ 515,087.99 0.39% $515,087.99 639 81.76% 5.850% 13.000--13.999 20 7,544,812.83 5.76 377,240.64 655 80.15 6.771 14.000--14.999 239 78,630,973.94 60.07 328,999.89 653 81.14 7.533 15.000--15.999 104 34,560,227.27 26.40 332,309.88 645 82.27 8.418 16.000--16.999 28 8,742,511.40 6.68 312,232.55 660 85.39 9.352 17.000--17.999 3 907,739.00 0.69 302,579.67 651 93.39 10.330 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY MINIMUM MORTGAGE RATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS MINIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 6.000--6.999 20 $ 7,964,900.82 6.08% $398,245.04 653 80.02% 6.704% 7.000--7.999 240 78,725,973.94 60.14 328,024.89 653 81.16 7.533 8.000--8.999 104 34,560,227.27 26.40 332,309.88 645 82.27 8.418 9.000--9.999 28 8,742,511.40 6.68 312,232.55 660 85.39 9.352 10.000--10.999 3 907,739.00 0.69 302,579.67 651 93.39 10.330 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE INITIAL INTEREST RATE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS ADJUSTMENT DATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 2008-02-01 10 $ 3,184,241.68 2.43% $318,424.17 647 87.59% 7.888% 2008-03-01 65 23,536,681.70 17.98 362,102.80 652 81.64 7.728 2008-04-01 210 71,476,015.77 54.60 340,361.98 649 82.31 7.886 2008-05-01 81 22,757,029.00 17.38 280,950.98 652 79.54 8.026 2009-04-01 20 6,783,968.28 5.18 339,198.41 652 81.05 7.541 2009-05-01 9 3,163,416.00 2.42 351,490.67 696 81.61 7.591 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== 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. 67 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY LIEN TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- First Lien 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% - --------------------------------------------------------------------------------------------------------------------- TOTAL: 395 $130,901,352.43 100.00% $331,395.83 651 81.75% 7.857% ===================================================================================================================== 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. 68 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (BALLOON COLLATERAL) COLLATERAL SUMMARY Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. SCHEDULED PRINCIPAL BALANCE: $477,647,296.29 NUMBER OF MORTGAGE LOANS: 1,928 AVERAGE SCHEDULED PRINCIPAL BALANCE: $ 247,742.37 WEIGHTED AVERAGE GROSS COUPON: 8.263% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 622 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 80.71% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 87.19% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 358 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 360 WEIGHTED AVERAGE ROLL TERM(1) (MONTHS): 24 WEIGHTED AVERAGE GROSS MARGIN(1): 6.224% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.500% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.500% INTEREST ONLY LOANS: 0.00% SILENT SECONDS: 33.81% (1) Includes adjustable-rate Mortgage Loans only. (2) The original 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. The combined loan-to-value of a mortgage 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) either (x) for junior lien Mortgage Loans the outstanding balance of the senior lien mortgage loan at the date of origination of such Mortgage Loan, or (y) for first-lien Mortgage Loans the outstanding balance of any junior lien 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. 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. 69 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 40/30 2/1 ARM 1,786 $442,428,561.08 92.63% $247,720.36 622 80.64% 8.279% 40/30 3/1 ARM 31 6,525,020.37 1.37 210,484.53 630 78.36 8.233 40/30 Fixed 111 28,693,714.84 6.01 258,501.94 628 82.31 8.011 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE CURRENT GROSS MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 5.500--5.999 18 $ 6,077,513.14 1.27% $337,639.62 662 75.97% 5.795% 6.000--6.499 27 8,054,395.50 1.69 298,310.94 644 77.33 6.282 6.500--6.999 134 38,574,605.18 8.08 287,870.19 635 77.97 6.850 7.000--7.499 201 56,539,031.99 11.84 281,288.72 636 79.70 7.272 7.500--7.999 419 107,717,171.90 22.55 257,081.56 627 78.75 7.790 8.000--8.499 304 74,884,325.72 15.68 246,330.02 622 80.02 8.253 8.500--8.999 345 82,140,536.10 17.20 238,088.51 616 81.76 8.750 9.000--9.499 192 43,108,686.94 9.03 224,524.41 604 82.69 9.244 9.500--9.999 169 35,430,393.68 7.42 209,647.30 608 85.24 9.761 10.000--10.499 62 13,648,126.98 2.86 220,131.08 608 87.60 10.234 10.500--10.999 37 7,404,349.98 1.55 200,117.57 611 86.51 10.749 11.000--11.499 16 3,277,263.33 0.69 204,828.96 581 84.54 11.183 11.500--11.999 3 662,682.11 0.14 220,894.04 598 78.14 11.878 12.000--12.499 1 128,213.74 0.03 128,213.74 629 95.00 12.100 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== 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. 70 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE ORIGINAL MORTGAGE LOAN MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 1--50,000 2 $ 95,546.10 0.02% $ 47,773.05 578 78.39% 9.842% 50,001--100,000 204 16,212,546.38 3.39 79,473.27 607 80.33 8.868 100,001--150,000 325 40,745,911.41 8.53 125,372.04 609 79.31 8.485 150,001--200,000 337 59,115,730.83 12.38 175,417.60 611 79.36 8.457 200,001--250,000 277 61,815,285.48 12.94 223,159.88 616 80.06 8.229 250,001--300,000 226 61,590,744.33 12.89 272,525.42 621 80.29 8.167 300,001--350,000 163 53,084,685.90 11.11 325,672.92 627 80.23 8.194 350,001--400,000 125 46,810,491.57 9.80 374,483.93 625 80.71 8.140 400,001--450,000 89 38,019,331.39 7.96 427,183.50 631 81.68 7.994 450,001--500,000 69 32,702,385.12 6.85 473,947.61 623 81.98 8.273 500,001--550,000 33 17,233,756.48 3.61 522,235.04 634 83.04 8.366 550,001--600,000 29 16,685,450.15 3.49 575,360.35 623 84.16 8.457 600,001--650,000 20 12,492,673.39 2.62 624,633.67 641 82.32 8.436 650,001--700,000 15 10,087,328.52 2.11 672,488.57 662 84.22 7.761 700,001--750,000 8 5,819,775.19 1.22 727,471.90 667 80.14 7.617 750,001--800,000 3 2,310,002.96 0.48 770,000.99 618 86.71 7.665 800,001--850,000 1 827,293.91 0.17 827,293.91 694 80.00 8.550 950,001--1,000,000 2 1,998,357.18 0.42 999,178.59 621 77.83 8.008 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== 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. 71 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE CURRENT UNPAID PRINCIPAL MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 1--50,000 2 $ 95,546.10 0.02% $ 47,773.05 578 78.39% 9.842% 50,001--100,000 204 16,212,546.38 3.39 79,473.27 607 80.33 8.868 100,001--150,000 325 40,745,911.41 8.53 125,372.04 609 79.31 8.485 150,001--200,000 337 59,115,730.83 12.38 175,417.60 611 79.36 8.457 200,001--250,000 278 62,059,636.10 12.99 223,236.10 616 80.02 8.228 250,001--300,000 225 61,346,393.71 12.84 272,650.64 621 80.33 8.168 300,001--350,000 163 53,084,685.90 11.11 325,672.92 627 80.23 8.194 350,001--400,000 125 46,810,491.57 9.80 374,483.93 625 80.71 8.140 400,001--450,000 89 38,019,331.39 7.96 427,183.50 631 81.68 7.994 450,001--500,000 69 32,702,385.12 6.85 473,947.61 623 81.98 8.273 500,001--550,000 33 17,233,756.48 3.61 522,235.04 634 83.04 8.366 550,001--600,000 29 16,685,450.15 3.49 575,360.35 623 84.16 8.457 600,001--650,000 20 12,492,673.39 2.62 624,633.67 641 82.32 8.436 650,001--700,000 15 10,087,328.52 2.11 672,488.57 662 84.22 7.761 700,001--750,000 8 5,819,775.19 1.22 727,471.90 667 80.14 7.617 750,001--800,000 3 2,310,002.96 0.48 770,000.99 618 86.71 7.665 800,001--850,000 1 827,293.91 0.17 827,293.91 694 80.00 8.550 950,001--1,000,000 2 1,998,357.18 0.42 999,178.59 621 77.83 8.008 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== DISTRIBUTION BY REMAINING TERM TO MATURITY WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 301--360 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== DISTRIBUTION BY ORIGINAL TERM TO MATURITY WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 301--360 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== THE MORTGAGE LOANS (BALLOON COLLATERAL) The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. 72 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE COMBINED LOAN-TO-VALUE RATIO MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 20.01--25.00 1 $ 94,918.87 0.02% $ 94,918.87 599 24.48% 6.825% 25.01--30.00 4 444,701.74 0.09 111,175.44 577 28.44 8.787 30.01--35.00 3 522,147.24 0.11 174,049.08 587 33.73 9.119 35.01--40.00 6 865,825.85 0.18 144,304.31 554 37.80 8.433 40.01--45.00 14 2,600,323.90 0.54 185,737.42 586 42.87 8.090 45.01--50.00 18 4,117,833.34 0.86 228,768.52 601 48.11 8.092 50.01--55.00 22 4,707,421.25 0.99 213,973.69 586 53.02 7.945 55.01--60.00 43 9,067,526.94 1.90 210,872.72 587 58.15 7.729 60.01--65.00 61 14,765,037.17 3.09 242,049.79 577 63.38 7.959 65.01--70.00 78 18,880,237.45 3.95 242,054.33 589 68.72 8.071 70.01--75.00 138 34,430,733.24 7.21 249,498.07 593 74.11 8.127 75.01--80.00 220 57,635,543.75 12.07 261,979.74 597 79.17 8.079 80.01--85.00 166 41,775,996.56 8.75 251,662.63 592 84.40 8.362 85.01--90.00 360 91,364,645.48 19.13 253,790.68 619 89.67 8.698 90.01--95.00 163 40,315,579.45 8.44 247,334.84 641 92.91 8.723 95.01--100.00 631 156,058,824.06 32.67 247,319.85 656 80.66 8.055 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE ORIGINAL LOAN-TO-VALUE RATIO MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- 20.01--25.00 1 $ 94,918.87 0.02% $ 94,918.87 599 24.48% 6.825% 25.01--30.00 4 444,701.74 0.09 111,175.44 577 28.44 8.787 30.01--35.00 4 679,994.91 0.14 169,998.73 589 33.46 9.115 35.01--40.00 6 865,825.85 0.18 144,304.31 554 37.80 8.433 40.01--45.00 13 2,442,476.23 0.51 187,882.79 585 43.53 8.024 45.01--50.00 18 4,117,833.34 0.86 228,768.52 601 48.11 8.092 50.01--55.00 22 4,707,421.25 0.99 213,973.69 586 53.02 7.945 55.01--60.00 44 9,155,472.11 1.92 208,078.91 587 58.17 7.735 60.01--65.00 61 14,765,037.17 3.09 242,049.79 577 63.38 7.959 65.01--70.00 80 19,268,479.85 4.03 240,856.00 591 68.74 8.072 70.01--75.00 147 35,631,286.56 7.46 242,389.70 594 74.13 8.148 75.01--80.00 808 205,288,814.28 42.98 254,070.31 641 79.76 8.001 80.01--85.00 188 46,212,813.39 9.68 245,812.84 591 84.45 8.422 85.01--90.00 393 97,378,752.12 20.39 247,783.08 618 89.74 8.724 90.01--95.00 127 34,259,465.93 7.17 269,759.57 647 94.74 8.768 95.01--100.00 12 2,334,002.69 0.49 194,500.22 676 99.55 9.580 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== 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. 73 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY STATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- CA 554 $191,697,126.40 40.13% $346,023.69 625 79.50% 8.144% FL 285 51,801,451.90 10.85 181,759.48 617 81.01 8.520 NY 101 35,776,368.18 7.49 354,221.47 634 79.66 8.115 MD 73 20,459,691.60 4.28 280,269.75 610 82.10 8.346 AZ 96 19,999,750.93 4.19 208,330.74 626 79.04 8.257 MA 69 19,296,961.95 4.04 279,666.12 622 81.01 8.232 NJ 59 15,999,018.01 3.35 271,169.80 619 82.22 8.206 IL 46 9,688,737.68 2.03 210,624.73 611 83.98 8.396 NV 35 9,347,791.11 1.96 267,079.75 619 80.00 8.206 WA 40 9,114,451.60 1.91 227,861.29 624 80.40 8.164 HI 18 7,848,316.04 1.64 436,017.56 678 82.92 7.326 VA 36 7,697,534.66 1.61 213,820.41 585 81.46 8.371 GA 50 7,313,429.54 1.53 146,268.59 631 84.43 8.519 MN 32 5,754,972.96 1.20 179,842.91 611 84.00 8.653 CO 31 5,312,803.74 1.11 171,380.77 619 84.21 8.061 OR 30 5,060,537.08 1.06 168,684.57 616 81.97 8.279 TX 36 5,004,809.90 1.05 139,022.50 636 82.22 8.380 MI 36 4,604,877.35 0.96 127,913.26 608 81.24 8.347 Other 301 45,868,665.66 9.60 152,387.59 610 82.96 8.638 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== DISTRIBUTION BY OCCUPANCY TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Investment Property 163 $ 37,722,496.17 7.90% $231,426.36 659 86.31% 9.307% Primary Residence 1,711 427,643,736.22 89.53 249,937.89 617 80.14 8.162 Second Home 54 12,281,063.90 2.57 227,427.11 674 83.45 8.574 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== 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. 74 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY PROPERTY TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- One Family 1,397 $336,986,263.22 70.55% $241,221.38 618 80.41% 8.245% Pud-Detached 201 54,669,873.26 11.45 271,989.42 634 81.09 8.144 2-4 Unit 123 40,752,492.08 8.53 331,321.07 633 81.71 8.363 Condo 155 33,631,796.84 7.04 216,979.33 629 81.55 8.480 Pud-Attached 52 11,606,870.89 2.43 223,209.06 619 81.86 8.367 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== DISTRIBUTION BY LOAN PURPOSE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Cash Out 934 $238,275,080.12 49.89% $255,112.51 598 78.56% 8.202% Purchase 841 203,339,820.94 42.57 241,783.38 652 82.86 8.384 Rate/Term 153 36,032,395.23 7.54 235,505.85 613 82.82 7.979 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------- Full Documentation 1,006 $218,138,956.33 45.67% $216,837.93 604 80.55% 7.848% Limited Documentation 30 9,602,406.89 2.01 320,080.23 610 80.17 7.856 Stated Documentation 892 249,905,933.07 52.32 280,163.60 639 80.88 8.640 - --------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ===================================================================================================================== 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. 75 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY CREDIT SCORE WEIGHTED AVERAGE NUMBER PERCENTAGE WEIGHTED ORIGINAL WEIGHTED OF OF AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE PRINCIPAL PRINCIPAL CREDIT VALUE GROSS CREDIT SCORE RANGE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------- 476--500 2 $ 287,319.46 0.06% $143,659.73 500 66.24% 9.925% 501--525 45 8,883,110.96 1.86 197,402.47 514 68.67 9.000 526--550 188 39,763,035.69 8.32 211,505.51 538 75.18 8.675 551--575 260 56,626,675.00 11.86 217,794.90 563 78.92 8.629 576--600 281 71,976,760.76 15.07 256,145.06 589 80.97 8.387 601--625 319 76,576,166.20 16.03 240,050.68 613 82.12 8.089 626--650 320 81,020,659.49 16.96 253,189.56 638 82.07 8.147 651--675 245 65,950,073.38 13.81 269,183.97 661 81.32 8.085 676--700 123 35,557,560.00 7.44 289,085.85 687 82.75 7.865 701--725 67 18,378,034.28 3.85 274,299.02 713 82.51 8.051 726--750 39 10,808,625.78 2.26 277,144.25 738 82.75 8.190 751--775 23 6,450,829.99 1.35 280,470.87 761 83.99 8.452 776--800 14 4,565,297.31 0.96 326,092.67 786 82.36 8.157 801--825 2 803,147.99 0.17 401,574.00 811 80.00 7.470 - ------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ========================================================================================================================= DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM WEIGHTED AVERAGE NUMBER PERCENTAGE WEIGHTED ORIGINAL WEIGHTED OF OF AVERAGE AVERAGE LOAN-TO- AVERAGE PREPAYMENT PENALTY TERMS MORTGAGE PRINCIPAL PRINCIPAL CREDIT VALUE GROSS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------- 0 587 $156,786,101.34 32.82% $267,097.28 630 81.31% 8.673% 12 73 21,857,833.76 4.58 299,422.38 624 81.91 8.455 24 1,184 278,736,606.73 58.36 235,419.43 617 80.22 8.040 36 84 20,266,754.46 4.24 241,270.89 624 81.50 7.939 - ------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ========================================================================================================================= DISTRIBUTION BY INITIAL INTEREST RATE CAP WEIGHTED AVERAGE NUMBER PERCENTAGE WEIGHTED ORIGINAL WEIGHTED OF OF AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE PRINCIPAL PRINCIPAL CREDIT VALUE GROSS INITIAL CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------- Fixed 111 $ 28,693,714.84 6.01% $258,501.94 628 82.31% 8.011% 1.500 1,817 448,953,581.45 93.99 247,085.08 622 80.61 8.279 - ------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ========================================================================================================================= THE MORTGAGE LOANS (BALLOON COLLATERAL) The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. 76 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 DISTRIBUTION BY PERIODIC INTEREST RATE CAP WEIGHTED AVERAGE NUMBER PERCENTAGE WEIGHTED ORIGINAL WEIGHTED OF OF AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE PRINCIPAL PRINCIPAL CREDIT VALUE GROSS PERIODIC CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------- Fixed 111 $ 28,693,714.84 6.01% $258,501.94 628 82.31% 8.011% 1.500 1,817 448,953,581.45 93.99 247,085.08 622 80.61 8.279 - ------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ========================================================================================================================= DISTRIBUTION BY GROSS MARGIN WEIGHTED AVERAGE NUMBER PERCENTAGE WEIGHTED ORIGINAL WEIGHTED OF OF AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE PRINCIPAL PRINCIPAL CREDIT VALUE GROSS ARM MARGIN (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------- Fixed 111 $ 28,693,714.84 6.01% $258,501.94 628 82.31% 8.011% 5.000--5.999 311 79,355,580.93 16.61 255,162.64 616 80.07 8.142 6.000--6.999 1,447 356,587,001.66 74.65 246,431.93 625 81.03 8.284 7.000--7.999 59 13,010,998.86 2.72 220,525.40 573 72.50 8.974 - ------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ========================================================================================================================= DISTRIBUTION BY MAXIMUM MORTGAGE RATE WEIGHTED AVERAGE NUMBER PERCENTAGE WEIGHTED ORIGINAL WEIGHTED OF OF AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE PRINCIPAL PRINCIPAL CREDIT VALUE GROSS MAXIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------- Fixed 111 $ 28,693,714.84 6.01% $258,501.94 628 82.31% 8.011% 12.000--12.999 18 6,077,513.14 1.27 337,639.62 662 75.97 5.795 13.000--13.999 158 45,678,503.47 9.56 289,104.45 636 78.01 6.751 14.000--14.999 560 148,664,815.10 31.12 265,472.88 630 78.79 7.617 15.000--15.999 616 147,762,381.80 30.94 239,874.00 619 80.79 8.520 16.000--16.999 349 76,119,234.00 15.94 218,106.69 606 83.79 9.478 17.000--17.999 96 20,582,974.76 4.31 214,405.99 609 87.15 10.416 18.000--18.999 19 3,939,945.44 0.82 207,365.55 584 83.46 11.300 19.000 >= 1 128,213.74 0.03 128,213.74 629 95.00 12.100 - ------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ========================================================================================================================= 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. 77 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC2 $901,125,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JUNE 5, 2006 THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY MINIMUM MORTGAGE RATE WEIGHTED AVERAGE NUMBER PERCENTAGE WEIGHTED ORIGINAL WEIGHTED OF OF AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE PRINCIPAL PRINCIPAL CREDIT VALUE GROSS MINIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------- Fixed 111 $ 28,693,714.84 6.01% $258,501.94 628 82.31% 8.011% 5.000--5.999 4 1,502,364.95 0.31 375,591.24 691 77.21 5.663 6.000--6.999 170 49,644,211.73 10.39 292,024.77 637 77.84 6.670 7.000--7.999 562 149,274,255.03 31.25 265,612.55 630 78.77 7.612 8.000--8.999 616 147,762,381.80 30.94 239,874.00 619 80.79 8.520 9.000--9.999 349 76,119,234.00 15.94 218,106.69 606 83.79 9.478 10.000--10.999 96 20,582,974.76 4.31 214,405.99 609 87.15 10.416 11.000--11.999 19 3,939,945.44 0.82 207,365.55 584 83.46 11.300 12.000 >= 1 128,213.74 0.03 128,213.74 629 95.00 12.100 - ------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ========================================================================================================================= DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE WEIGHTED AVERAGE NUMBER PERCENTAGE WEIGHTED ORIGINAL WEIGHTED OF OF AVERAGE AVERAGE LOAN-TO- AVERAGE INITIAL INTEREST RATE MORTGAGE PRINCIPAL PRINCIPAL CREDIT VALUE GROSS ADJUSTMENT DATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------- Fixed 111 $ 28,693,714.84 6.01% $258,501.94 628 82.31% 8.011% 2007-12-01 1 542,552.87 0.11 542,552.87 564 73.00 7.600 2008-01-01 6 1,766,050.89 0.37 294,341.82 636 86.14 8.796 2008-02-01 32 9,558,857.23 2.00 298,714.29 611 83.27 8.504 2008-03-01 55 13,257,127.66 2.78 241,038.68 625 81.16 8.650 2008-04-01 864 212,209,299.77 44.43 245,612.62 619 80.81 8.277 2008-05-01 828 205,094,672.66 42.94 247,698.88 624 80.29 8.245 2009-03-01 1 75,943.16 0.02 75,943.16 551 80.00 10.125 2009-04-01 8 1,388,511.01 0.29 173,563.88 643 80.35 8.043 2009-05-01 22 5,060,566.20 1.06 230,025.74 628 77.79 8.256 - ------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ========================================================================================================================= DISTRIBUTION BY LIEN TYPE WEIGHTED AVERAGE NUMBER PERCENTAGE WEIGHTED ORIGINAL WEIGHTED OF OF AVERAGE AVERAGE LOAN-TO- AVERAGE MORTGAGE PRINCIPAL PRINCIPAL CREDIT VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------- First Lien 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% - ------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,928 $477,647,296.29 100.00% $247,742.37 622 80.71% 8.263% ========================================================================================================================= 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. 78