Carrington Mortgage Loan Trust, Series 2006-NC3 Inactive
Filed: 2 Aug 06, 12:00am
- -------------------------------------------------------------------------------- Free Writing Prospectus for Carrington Mortgage Loan Trust, Series 2006-NC3 (filed pursuant to Rule 433; SEC file No. 333-134218) SUBJECT TO REVISION Dated July 31, 2006 [LOGO OMITTED] CCM CARRINGTON CAPITAL MANAGEMENT MBS NEW ISSUE TERM SHEET $1,561,439,000 (APPROXIMATE) - -------------------------------------------------------------------------------- CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 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-NC3 Issuing Entity JULY 31, 2006 - -------------------------------------------------------------------------------- Carrington Investment Services, LLC CIS CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- STATEMENT REGARDING THIS FREE WRITING PROSPECTUS The information in this free writing prospectus, if conveyed prior to the time of your contractual commitment to purchase any of the Offered Certificates described herein, supersedes any information contained in any prior similar materials relating to the Offered Certificates. The information in this free writing prospectus is preliminary, and is subject to completion or change by information contained in a preliminary prospectus relating to the Offered Certificates. This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement. This free writing prospectus is being delivered to you solely to provide you with information about the offering of the Offered Certificates referred to in this free writing prospectus and to solicit an offer to purchase the Offered Certificates, when, as and if issued. Any such offer to purchase made by you will not be accepted and will not constitute a contractual commitment by you to purchase any of the Offered Certificates, until we have conveyed to you a preliminary prospectus relating to the Offered Certificates and we have accepted your offer to purchase Offered Certificates. This free writing prospectus is not an offer to sell or a solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted. IMPORTANT NOTICE REGARDING THE CONDITIONS FOR THIS OFFERING OF ASSET-BACKED SECURITIES The Offered Certificates referred to in these materials are being offered when, as and if issued. The depositor is not obligated to issue such Offered Certificates or any similar security and the underwriter's obligation to deliver such Offered Certificates is subject to the terms and conditions of the underwriting agreement with the depositor and the availability of such Offered Certificates when, as and if issued by the issuing entity. You are advised that the terms of the Offered Certificates, and the characteristics of the mortgage loan pool backing them, may change (due, among other things, to the possibility that mortgage loans that comprise the pool may become delinquent or defaulted or may be removed or replaced and that similar or different mortgage loans may be added to the pool, and that one or more classes of Offered Certificates may be split, combined or eliminated), at any time prior to issuance or availability of a final prospectus. You are advised that Offered Certificates may not be issued that have the characteristics described in these materials. The underwriter's obligation to sell such Offered Certificates to you is conditioned on the mortgage loans and Offered Certificates having the characteristics described in these materials. If for any reason the issuing entity does not deliver such Offered Certificates, the underwriter will notify you, and neither the issuer nor any underwriter will have any obligation to you to deliver all or any portion of the Offered Certificates which you have committed to purchase, and none of the issuing entity nor any underwriter will be liable for any costs or damages whatsoever arising from or related to such non-delivery. THE DEPOSITOR HAS FILED A REGISTRATION STATEMENT (INCLUDING A PROSPECTUS) WITH THE SECURITIES AND EXCHANGE COMMISSION (THE SEC) FOR THE OFFERING TO WHICH THIS COMMUNICATION RELATES. BEFORE YOU INVEST, YOU SHOULD READ THE PROSPECTUS IN THAT REGISTRATION STATEMENT AND OTHER DOCUMENTS THE DEPOSITOR HAS FILED WITH THE SEC FOR MORE COMPLETE INFORMATION ABOUT THE DEPOSITOR AND THE OFFERING. YOU MAY GET THESE DOCUMENTS AT NO CHARGE BY VISITING EDGAR ON THE SEC WEB SITE AT WWW.SEC.GOV. ALTERNATIVELY, THE DEPOSITOR, ANY UNDERWRITER OR ANY DEALER PARTICIPATING IN THE OFFERING WILL ARRANGE TO SEND YOU THE PROSPECTUS AT NO CHARGE IF YOU REQUEST IT BY CALLING TOLL-FREE 1-866-803-9204. 1 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- $1,561,439,000 (APPROXIMATE) - -------------------------------------------------------------------------------- CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 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-NC3 Issuing Entity TRANSACTION HIGHLIGHTS - ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AVG LIFE(2) DISTRIBUTION INITIAL OFFERED EXPECTED RATINGS CALL(1) / WINDOW (2) CREDIT CLASSES BALANCE(3) DESCRIPTION(4) BENCHMARK (MOODY'S/S&P/FITCH) MAT CALL(1) / MAT SUPPORT (%) - ----------------------------------------------------------------------------------------------------------------------------------- A-1 $571,273,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 1.00 / 1.00 1 - 20 / 1 - 20 25.85 - ----------------------------------------------------------------------------------------------------------------------------------- A-2 $345,073,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 2.00 / 2.00 20 - 28 / 20 - 28 25.85 - ----------------------------------------------------------------------------------------------------------------------------------- A-3 $199,331,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 3.00 / 3.00 28 - 70 / 28 - 70 25.85 - ----------------------------------------------------------------------------------------------------------------------------------- A-4 $85,991,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 6.11 / 8.44 70 - 73 / 70 - 174 25.85 - ----------------------------------------------------------------------------------------------------------------------------------- M-1 $91,563,000 FLT/MEZZ 1M LIBOR Aa1 / AA+ / AA+ 5.09 / 5.58 51 - 73 / 51 - 151 20.20 - ----------------------------------------------------------------------------------------------------------------------------------- M-2 $84,271,000 FLT/MEZZ 1M LIBOR Aa2 / AA / AA 4.65 / 5.12 45 - 73 / 45 - 142 15.00 - ----------------------------------------------------------------------------------------------------------------------------------- M-3 $25,119,000 FLT/MEZZ 1M LIBOR Aa3 / AA- / AA- 4.50 / 4.95 43 - 73 / 43 - 132 13.45 - ----------------------------------------------------------------------------------------------------------------------------------- M-4 $42,135,000 FLT/MEZZ 1M LIBOR A1 / A+ / A+ 4.44 / 4.87 41 - 73 / 41 - 129 10.85 - ----------------------------------------------------------------------------------------------------------------------------------- M-5 $30,791,000 FLT/MEZZ 1M LIBOR A2 / A / A 4.38 / 4.78 40 - 73 / 40 - 121 8.95 - ----------------------------------------------------------------------------------------------------------------------------------- M-6 $23,499,000 FLT/MEZZ 1M LIBOR A3 / A- / A- 4.35 / 4.73 39 - 73 / 39 - 115 7.50 - ----------------------------------------------------------------------------------------------------------------------------------- M-7 $23,499,000 FLT/MEZZ 1M LIBOR Baa1 / BBB+ / BBB+ 4.32 / 4.66 39 - 73 / 39 - 109 6.05 - ----------------------------------------------------------------------------------------------------------------------------------- M-8 $17,016,000 FLT/MEZZ 1M LIBOR Baa1 / BBB / BBB 4.30 / 4.60 38 - 73 / 38 - 102 5.00 - ----------------------------------------------------------------------------------------------------------------------------------- M-9 $21,878,000 FLT/MEZZ 1M LIBOR Baa2 / BBB- / BBB- 4.28 / 4.51 38 - 73 / 38 - 95 3.65 - ----------------------------------------------------------------------------------------------------------------------------------- M-10(5) $18,637,000 FLT/MEZZ 1M LIBOR Baa3 / BB+ / BB+ 4.27 / 4.37 37 - 73 / 37 - 85 2.50 - ----------------------------------------------------------------------------------------------------------------------------------- 1. Certificates are priced to the 10% optional clean-up call. 2. Based on the pricing prepayment assumption described herein. 3. Certificate sizes are approximate, subject to a +/- 5% variance in the outstanding principal balance of the Mortgage Loans. 4. For the Interest Accrual Period for each Distribution Date after the date on which the aggregate principal balance of the Mortgage Loans remaining in the mortgage pool is reduced to less than 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, the related margin will 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. 2 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TRANSACTION OVERVIEW - -------------------------------------------------------------------------------- ISSUING ENTITY: Carrington Mortgage Loan Trust, Series 2006-NC3. 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: Bear, Stearns & Co. Inc. CO-MANAGER: Citigroup Global Markets Inc. SELECTED DEALER Carrington Investment Services, LLC. SWAP COUNTERPARTY: 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 $1,201,668,000 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 $359,771,000 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 Preliminary Prospectus or the prospectus. 3 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- MORTGAGE LOANS: As of August 1, 2006, the Mortgage Loans will consist of approximately 7,548 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 $1,620,590,236. No Mortgage Loan that is 30 or more 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. To Carrington Securities, LP's knowledge, approximately 32.60% 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 the Sponsor's knowledge and, thus, more mortgaged properties than described above may also secure second-lien mortgage loans. EXPECTED PRICING DATE: On or about August 3, 2006. CLOSING DATE: On or about August 10, 2006. CUT-OFF DATE: August 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 September 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. 4 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- 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 described in "Certain ERISA Considerations" in the Preliminary Prospectus (specifically, in both the preliminary prospectus supplement and in the prospectus which together comprise the Preliminary Prospectus), the Class A-1 and Class A-2 Certificates are expected to be eligible for purchase by persons investing assets of employee benefit plans, individual retirement accounts or other retirement accounts or arrangements, provided that certain conditions are met. The depositor does not intend to rely on the Underwriter Exemption, as described in "Certain ERISA Considerations" in the Preliminary Prospectus (specifically, in both the preliminary prospectus supplement and in the prospectus which together comprise the Preliminary Prospectus), for the purchase and holding of the Class A-1 and Class A-2 Certificates prior to the termination of the swap agreement described in the Preliminary Prospectus. Fiduciaries of plans subject to ERISA or Section 4975 of the Internal Revenue Code are encouraged to consult with their legal advisors before investing in the Class A-1 or Class A-2 Certificates. Until the swap agreement terminates in January, 2012, the Class A-3 Certificates, the Class A-4 Certificates and the Mezzanine Certificates may not be purchased by or transferred to pension, profit-sharing or other employee benefit plans subject to ERISA, as well as individual retirement accounts, Keogh plans and other plans subject to Section 4975 of the Internal Revenue Code, as well as any entity holding "plan assets" of any of the foregoing (each, a "Benefit Plan"). Each purchaser and transferee of a Class A-3 Certificate, a Class A-4 Certificate or a Mezzanine Certificate or any interest therein will be deemed to have represented, by virtue of its acquisition or holding of such certificate or interest therein, that it is not a Benefit Plan. 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. 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. 5 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- 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 0.500% 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. RIGHTS OF THE HOLDER OF Pursuant to the pooling and servicing agreement, THE CLASS CE CERTIFICATES: the Servicer will provide the holder of the Class CE Certificates (in such capacity, the "CE Holder") with certain supplemental reporting and the CE Holder will have the right to direct the Servicer's actions with respect to defaulted mortgage loans. In addition, the CE Holder will have the right to consent to the appointment of any subservicer. The CE Holder will rely upon mortgage loan data that is provided to it by the Servicer in performing its advisory and monitoring functions. PRINCIPAL & INTEREST The Servicer is required to advance delinquent ADVANCES: 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 principal prepayments in full on the Mortgage Loans. - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT: 1. Excess Spread 2. Overcollateralization 3. Subordination The trust will also enter into the Swap Agreement for the benefit of the Class A Certificates and Class M Certificates. 6 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT - -------------------------------------------------------------------------------- OVERCOLLATERALIZATION The Overcollateralization Amount with respect to AMOUNT: 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 The Overcollateralization Target Amount with TARGET AMOUNT: respect to any Distribution Date is (a) prior to the Stepdown Date, an amount equal to 2.50% 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) 5.00% 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 An amount equal to 0.50% of the aggregate principal FLOOR AMOUNT: balance of the Mortgage Loans as of the Cut-off Date. OVERCOLLATERALIZATION An Overcollateralization Increase Amount with INCREASE AMOUNT: respect to any Distribution Date equals the lesser of (a) the sum of (i) the Net Monthly Excess Cashflow for such Distribution Date and (ii) payments made by the Swap Counterparty and available for distribution pursuant to item (7) under "Payments under the Swap Agreement" below 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 September 2009 and (y) the first Distribution Date on which the Credit Enhancement Percentage with respect to the Class A Certificates (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 51.70%. CREDIT SUPPORT DEPLETION The first Distribution Date on which the DATE: Certificate Principal Balances of the Mezzanine and Class CE Certificates have been reduced to zero. 7 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT The Credit Enhancement Percentage for any PERCENTAGE: Distribution Date and for any class of certificates is the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the classes of certificates with a lower distribution priority than such class, 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 CLASS INITIAL AFTER STEPDOWN DATE ------------------------------------------- A 25.85 51.70 ------------------------------------------- M-1 20.20 40.40 ------------------------------------------- M-2 15.00 30.00 ------------------------------------------- M-3 13.45 26.90 ------------------------------------------- M-4 10.85 21.70 ------------------------------------------- M-5 8.95 17.90 ------------------------------------------- M-6 7.50 15.00 ------------------------------------------- M-7 6.05 12.10 ------------------------------------------- M-8 5.00 10.00 ------------------------------------------- M-9 3.65 7.30 ------------------------------------------- M-10 2.50 5.00 ------------------------------------------- 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 34.00% of the then Credit Enhancement Percentage with respect to the Class A Certificates 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 ------------------------------------------------- September 2009 through August 2010 3.05% ------------------------------------------------- September 2010 through August 2011 4.80% ------------------------------------------------- September 2011 through August 2012 6.20% ------------------------------------------------- September 2012 and thereafter 6.95% ------------------------------------------------- 8 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 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 average DELINQUENCY 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 Remittance PRIORITY: 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. 9 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 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 Stepdown PRIORITY: 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. On or after the occurrence of the Credit Support Depletion Date, all priorities relating to distributions as described in this section in respect of principal among the Class A Certificates will be disregarded, and the Principal Distribution Amount will be distributed to the remaining Class A Certificates on a pro rata basis in accordance with their respective outstanding Certificate Principal Balances. - -------------------------------------------------------------------------------- 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. On or after the occurrence of the Credit Support Depletion Date, all priorities relating to distributions as described in this section in respect of principal among the Class A Certificates will be disregarded, and the Principal Distribution Amount will be distributed to the remaining Class A Certificates on a pro rata basis in accordance with their respective outstanding Certificate Principal Balances. 10 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- EXCESS CASHFLOW WATERFALL - -------------------------------------------------------------------------------- NET MONTHLY EXCESS With respect to any Distribution Date, any Net CASHFLOW 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 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, 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, based on the amount of any Allocated Realized Loss Amounts previously allocated thereto that remain unreimbursed, to the holders of the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates, and then 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, in each case up to the related Allocated Realized Loss Amount for such class of certificates for such Distribution Date; 4) To the holders of the Class A Certificates and the Mezzanine Certificates, any related unpaid Net WAC Rate Carryover Amount distributed to the Class A Certificates, on a pro rata basis based on the remaining Net WAC Rate Carryover Amount for each such class and then to the holders of the Mezzanine Certificates in their order of payment priority; 5) To pay any Swap Termination Payments owed to the Swap Counterparty due to a Swap Counterparty Trigger Event; 6) To the holders of the Class CE Certificates as provided in the pooling and servicing agreement; and 7) 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. 11 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 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 any amounts available from the Swap Agreement for the related Distribution Date; o third, by the Class CE Certificates, until the Certificate Principal Balance of the Class CE Certificates has been reduced to zero; o fourth, to the Class M-10 Certificates, until the Certificate Principal Balance of the Class M-10 Certificates has been reduced to zero; o fifth, to the Class M-9 Certificates, until the Certificate Principal Balance of the Class M-9 Certificates has been reduced to zero; o sixth, to the Class M-8 Certificates, until the Certificate Principal Balance of the Class M-8 Certificates has been reduced to zero; o seventh, to the Class M-7 Certificates, until the Certificate Principal Balance of the Class M-7 Certificates has been reduced to zero; o eighth, to the Class M-6 Certificates, until the Certificate Principal Balance of the Class M-6 Certificates has been reduced to zero; o ninth, to the Class M-5 Certificates, until the Certificate Principal Balance of the Class M-5 Certificates has been reduced to zero; o tenth, to the Class M-4 Certificates, until the Certificate Principal Balance of the Class M-4 Certificates has been reduced to zero; o eleventh, to the Class M-3 Certificates, until the Certificate Principal Balance of the Class M-3 Certificates has been reduced to zero; o twelfth, to the Class M-2 Certificates, until the Certificate Principal Balance of the Class M-2 Certificates has been reduced to zero; o thirteenth, to the Class M-1 Certificates, until the Certificate Principal Balance of the Class M-1 Certificates has been reduced to zero; and o fourteenth, 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 and from payments under the Swap Agreement, according to the priorities set forth under "Payment Under the Swap Agreement" below. 12 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- SWAP AGREEMENT: The Trustee, on behalf of the trust, will enter into an interest rate swap agreement with the Swap Counterparty. On each Distribution Date, the Trustee will deposit into a swap account amounts, if any, received from the Swap Counterparty. From amounts on deposit in a swap account, to the extent such amounts constitute net swap payments (as described below), distributions to cover any Realized Losses allocated to the certificates, distributions of amounts necessary to maintain the required level of overcollateralization, distributions in respect of Prepayment Interest Shortfalls and Net WAC Rate Carryover Amounts, and distributions in respect of the principal portion of Realized Losses previously allocated to the certificates that remain unreimbursed, will be made as described below. The swap account will not be an asset of any REMIC trust. Under the Swap Agreement, on each Distribution Date, the Trustee, on behalf of the trust, will be obligated to pay to the Swap Counterparty the Fixed Swap Payment and the Swap Counterparty will be obligated to pay to the Trustee, on behalf of the trust, the Floating Swap Payment. A net swap payment will be required to be made on each Distribution Date (a) by the Trustee to the Swap Counterparty, to the extent that the Fixed Swap Payment for such Distribution Date exceeds the Floating Swap Payment payable to the trust for such Distribution Date, or (b) by the Swap Counterparty to the Trustee, to the extent that the Floating Swap Payment payable to the trust exceeds the Fixed Swap Payment for such Distribution Date. The Swap Agreement will terminate immediately following the Distribution Date in January 2012, unless terminated earlier upon the occurrence of an "Event of Default" under the Swap Agreement, an early termination event under the Swap Agrement or an "Additional Termination Event" under the Swap Agreement. Upon the occurrence of any Event of Default under the Swap Agreement, the non-defaulting party will have the right to designate an "Early Termination Date" (as defined in the ISDA Master Agreement). With respect to Termination Events (including Additional Termination Events), an Early Termination Date may be designated by one of the parties (as specified in the Swap Agreement) and will occur only upon notice and, in some circumstances, after any affected party has used reasonable efforts to transfer its rights and obligations under the Swap Agreement to a related entity within a specified period after notice has been given of the Termination Event, all as set forth in the Swap Agreement. The occurrence of an Early Termination Date under the Swap Agreement will constitute a "Swap Early Termination." Upon any Swap Early Termination, the trustee, on behalf of the trust, or the Swap Counterparty, may be liable to make a swap termination payment (the "Swap Termination Payment") to the other (regardless, if applicable, of which of the parties has caused the termination). The Swap Termination Payment will be based on the value of the Swap Agreement computed in accordance with the procedures set forth in the Swap Agreement taking into account the present value of the unpaid amounts that would have been owed to and by the Swap Counterparty under the remaining scheduled term of the Swap Agreement. In the event that the Trustee, on behalf of the trust, is required to make a Swap Termination Payment to the Swap Counterparty, that payment will be paid on the related Distribution Date, and on any subsequent Distribution Dates 13 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- until paid in full, prior to distributions to certificateholders, other than in the case of a Swap Termination Payment triggered upon a Swap Counterparty Trigger Event. The trust's obligation to pay amounts in respect of a Swap Termination Payment resulting from a Swap Counterparty Trigger Event will be subordinated to distributions to the holders of the Class A and Mezzanine Certificates. 14 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- SWAP AGREEMENT NOTIONAL With respect to the Swap Agreement and each BALANCE: calculation period specified below, the related notional balance specified in the table below for such calculation period. The first calculation period will end on the day before the Distribution Date in September 2006 and the sixty-fifth calculation period will end on the day before the Distribution Date in January 2012: ----------------------------------------- PERIOD NOTIONAL BALANCE ($) ----------------------------------------- 1 1,553,335,000.00 2 1,522,978,203.30 3 1,489,528,975.52 4 1,453,120,691.85 5 1,413,906,813.41 6 1,372,059,782.98 7 1,327,770,116.87 8 1,281,245,288.33 9 1,232,708,405.57 10 1,182,396,690.29 11 1,130,559,765.85 12 1,077,457,766.83 13 1,023,359,284.97 14 967,949,542.39 15 915,265,043.88 16 865,177,875.32 17 817,566,718.24 18 772,316,444.14 19 729,326,049.33 20 684,206,086.92 21 637,364,402.09 22 589,073,574.10 23 539,737,981.23 24 493,720,445.02 25 451,399,958.21 26 412,239,688.42 27 376,000,940.74 28 349,803,075.88 29 330,869,323.88 30 317,500,792.51 31 308,602,582.12 32 299,953,817.27 33 291,556,833.49 34 283,413,229.45 35 275,523,800.49 36 267,888,355.61 37 260,499,025.41 38 260,499,025.41 39 260,499,025.41 40 260,499,025.41 41 260,499,025.41 42 260,499,025.41 43 260,499,025.41 44 258,278,083.64 45 252,797,703.43 46 247,433,039.67 47 242,181,656.01 48 237,041,391.34 49 232,010,087.28 50 227,085,034.80 51 222,263,996.65 52 217,544,782.62 53 212,925,248.53 54 208,403,336.72 55 203,977,002.64 56 199,644,179.25 57 195,402,897.16 58 191,251,228.35 59 187,187,105.86 60 183,187,383.23 61 179,272,202.83 62 175,440,008.35 63 171,689,048.97 64 168,017,610.68 65 164,424,026.28 15 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- PAYMENTS UNDER THE SWAP Pursuant to the Swap Agreement, amounts payable by AGREEMENT: the trust in respect of Net Swap Payments and Swap Termination Payments (other than Swap Termination Payments resulting from a Swap Counterparty Trigger Event) will be deducted from available funds before distributions to the holders of the Class A and Mezzanine Certificates. On each Distribution Date, such amounts will be distributed by the trust to the Swap Counterparty, first to make any net swap payment owed to the Swap Counterparty pursuant to the Swap Agreement for such Distribution Date, and second to make any Swap Termination Payment not due to a Swap Counterparty Trigger Event owed to the Swap Counterparty pursuant to the Swap Agreement. Payments by the trust to the Swap Counterparty in respect of any Swap Termination Payment triggered by a Swap Counterparty Trigger Event pursuant to the Swap Agreement will be subordinated to distributions to the holders of the Class A Certificates and Mezzanine Certificates and will be paid by the trust to the Swap Counterparty as set forth in the pooling and servicing agreement. Amounts payable by the Swap Counterparty to the Trustee, on behalf of the trust, will be deposited by the Trustee into the swap account. On each Distribution Date, to the extent required, the Trustee will withdraw the following amounts from the swap account to the extent of net swap payments on deposit therein for distribution to the certificates in the following order of priority, in the case of items (2) and (4) through (9), to the extent not covered by Net Monthly Excess Cashflow: 1) To the holders of the Class A Certificates, to pay any unpaid Senior Interest Distribution Amount allocable to such class of Class A Certificates, on a pro rata basis based on the entitlement of each such class (in each case to the extent not covered by the Interest Remittance Amount); 2) To the holders of the Class A Certificates, to pay accrued and unpaid interest to the extent unpaid from interest collections, but only to the extent of Prepayment Interest Shortfalls (not covered by Compensating Interest) allocated to such certificates on such Distribution Date, on a pro rata basis, based on the amount of such Prepayment Interest Shortfalls previously allocated thereto that remain unreimbursed; 3) To the holders of the Mezzanine Certificates, in their order of payment priority, to pay any unpaid Interest Distribution Amount allocable to each such class (in each case to the extent not covered by the Interest Remittance Amount); 4) To the holders of the Mezzanine Certificates, in their order of payment priority, in each case up to the related unpaid Interest Carry Forward Amount related to such certificates for such Distribution Date; 5) To the holders of the Mezzanine Certificates, in their order of payment priority, to pay accrued and unpaid interest to the extent unpaid from interest collections, but only to the extent of Prepayment Interest Shortfalls (not covered by Compensating Interest) allocated to such certificates on such Distribution Date; 16 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DERIVATIVES - -------------------------------------------------------------------------------- 6) To the holders of the Class A Certificates, on a pro rata basis, based on the amount of Net WAC Rate Carryover Amounts previously allocated thereto that remain unreimbursed, and then sequentially to the holders of the Mezzanine Certificates, in their order of payment priority, the amount of any Net WAC Rate Carryover Amounts remaining unpaid as of that Distribution Date; 7) 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, but only to the extent of the principal portion of Realized Losses for such Distribution Date; 8) To the holders of the Class A Certificates, pro rata, and then to the holders of the Mezzanine Certificates, in their order of priority, the principal portion of any Realized Losses previously allocated thereto that remain unreimbursed; and 9) To the holders of the Class CE Certificates any balance remaining, in accordance with the terms of the pooling and servicing agreement. FIXED SWAP PAYMENT: With respect to any Distribution Date on or prior to the Distribution Date in January 2012, an amount equal to the product of (x) a fixed rate equal to 5.535% per annum, (y) the Swap Agreement Notional Balance for that Distribution Date and (z)(i) with respect to the initial Distribution Date, a fraction, the numerator of which is the number of days from and including the Closing Date to and including the day preceding the Distribution Date and the denominator of which is 360 and (ii) with respect to each Distribution Date thereafter, a fraction, the numerator of which is 30 and the denominator of which is 360. FLOATING SWAP PAYMENT: With respect to any Distribution Date on or prior to the Distribution Date in January 2012, an amount equal to the product of (x) one-month LIBOR as determined pursuant to the Swap Agreement, (y) the Swap Agreement Notional Balance for that Distribution Date and (z) a fraction, the numerator of which is equal to the number of days in the related calculation period as provided in the Swap Agreement and the denominator of which is 360. SWAP COUNTERPARTY An "Event of Default" (as defined in the Swap TRIGGER EVENT: Agreement) with respect to which the Swap Counterparty is a "Defaulting Party" (as defined in the Swap Agreement) or a "Termination Event" (as defined in the Swap Agreement) (including an "Additional Termination Event" (as defined in the Swap Agreement)) under the Swap Agreement with respect to which the Swap Counterparty is the sole "Affected Party" (as defined in the Swap Agreement). 17 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- AVAILABLE DISTRIBUTION For any Distribution Date, an amount equal to the AMOUNT: sum of the following amounts, net of certain expenses of the trust including (i) amounts reimbursable to the servicer and the trustee, (ii) any net swap payment owed to the Swap Counterparty and (iii) any Swap Termination Payment owed to the Swap Counterparty not due to a Swap Counterparty Trigger Event: 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 With respect to any class of Class A Certificates BALANCE: 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 The Class A Principal Distribution Amount is an DISTRIBUTION 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. 18 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-1 PRINCIPAL The Class M-1 Principal Distribution Amount is an DISTRIBUTION AMOUNT: 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 an DISTRIBUTION AMOUNT: 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. CLASS M-3 PRINCIPAL The Class M-3 Principal Distribution Amount is an DISTRIBUTION AMOUNT: 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. 19 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-4 PRINCIPAL The Class M-4 Principal Distribution Amount is an DISTRIBUTION AMOUNT: 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. CLASS M-5 PRINCIPAL The Class M-5 Principal Distribution Amount is an DISTRIBUTION AMOUNT: 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. 20 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-6 PRINCIPAL The Class M-6 Principal Distribution Amount is an DISTRIBUTION AMOUNT: 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. 21 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-7 PRINCIPAL The Class M-7 Principal Distribution Amount is an DISTRIBUTION AMOUNT: 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. 22 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-8 PRINCIPAL The Class M-8 Principal Distribution Amount is an DISTRIBUTION AMOUNT: 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. 23 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-9 PRINCIPAL The Class M-9 Principal Distribution Amount is an DISTRIBUTION AMOUNT: 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. 24 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- CLASS M-10 PRINCIPAL The Class M-10 Principal Distribution Amount is an DISTRIBUTION AMOUNT: 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 The Expense Adjusted Mortgage Rate for any Mortgage MORTGAGE RATE: 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. 25 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- FORMULA RATE: The Formula Rate for any class of Class A and Mezzanine Certificates is One-Month LIBOR plus the related margin. For the Interest Accrual Period for each Distribution Date after the date on which the aggregate principal balance of the Mortgage Loans remaining in the mortgage pool is reduced to less than 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, the related margin will increase to 2.0 times the related margin for each Class A Certificate, and 1.5 times for any Mezzanine Certificate. INTEREST CARRY FORWARD The Interest Carry Forward Amount with respect to AMOUNT: 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 The Interest Distribution Amount for the Class A AMOUNT: 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 The Interest Remittance Amount for any Distribution AMOUNT: Date is the excess, if any, of (i) that portion of the Available Distribution Amount (without giving effect to any net swap payment owed to the Swap Counterparty or any Swap Termination Payment owed to the Swap Counterparty not due to a Swap Counterparty Trigger Event) for that Distribution Date that represents interest received or advanced on the Mortgage Loans over (ii) any net swap payment owed to the Swap Counterparty or Swap Termination Payment not due to a Swap Counterparty Trigger Event owed to the Swap Counterparty. NET MONTHLY EXCESS The Net Monthly Excess Cash Flow for any CASH FLOW: 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. 26 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- 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 (which will not be less than zero) equal to the excess, if any, of (a) the product of (i) a per annum rate 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 and (ii) a fraction expressed as a percentage the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period, over (b) the product of (i) a fraction expressed as a percentage the numerator of which is the amount of any net swap payments due to the Swap Counterparty or Swap Termination Payment owed to the Swap Counterparty not due to a Swap Counterparty Trigger Event, and the denominator of which is the aggregate principal balance of the outstanding mortgage loans as of the first day of the related Due Period and (ii) a fraction expressed as a percentage the numerator of which is 360 and the denominator of which is the actual number of days in the related Interest Accrual Period. NET WAC RATE CARRYOVER For any Distribution Date and any Class A AMOUNT: 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 least of (i) the Formula Rate, (ii) the Net WAC Pass-Through Rate and (iii) 12.50%. PRELIMINARY PROSPECTUS: The Offered Certificates will be offered pursuant to a Preliminary Prospectus which includes a Preliminary Prospectus Supplement (together, the "Preliminary Prospectus"). Additional information with respect to the Offered Certificates and the Mortgage Loans is contained in the Preliminary Prospectus. The foregoing is qualified in its entirety by the information appearing in the Preliminary Prospectus, which will be conveyed to you prior to any contractual commitment to purchase any of the Offered Certificates. PREPAYMENT INTEREST With respect to any principal prepayments on the SHORTFALLS: Mortgage Loans and any Distribution Date, any interest shortfall resulting from principal prepayments in full occurring between the first day of the related Prepayment Period and the last day of the prior calendar month. 27 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- DEFINITIONS - -------------------------------------------------------------------------------- PRINCIPAL DISTRIBUTION The Principal Distribution Amount for any AMOUNT: Distribution Date will be an amount, not less than zero, equal to the sum of (i) the principal portion of all monthly payments on the Mortgage Loans due during the related Due Period 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 any portion thereof that represents a recovery of principal for which an advance was made by the Servicer, 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 and (vi) any net swap payment owed to the Swap Counterparty or Swap Termination Payment not due to a Swap Counterparty Trigger Event owed to the Swap Counterparty to the extent not covered by that portion of the Available Distribution Amount (without giving effect to any net swap payment owed to the Swap Counterparty or any Swap Termination Payment owed to the Swap Counterparty not due to a Swap Counterparty Trigger Event) for that Distribution Date that represents interest received or advanced on the Mortgage Loans. PRINCIPAL REMITTANCE The Principal Remittance Amount for any AMOUNT: Distribution Date is the sum of the amounts described in clauses (i) through (iii) of the definition of Principal Distribution Amount. SENIOR INTEREST The Senior Interest Distribution Amount for any DISTRIBUTION AMOUNT: 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. 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 48.30 M-1 59.60 M-2 70.00 M-3 73.10 M-4 78.30 M-5 82.10 M-6 85.00 M-7 87.90 M-8 90.00 M-9 92.70 M-10 95.00 28 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. SCHEDULED PRINCIPAL BALANCE: $1,620,590,236.26 NUMBER OF MORTGAGE LOANS: 7,548 AVERAGE SCHEDULED PRINCIPAL BALANCE: $214,704.59 WEIGHTED AVERAGE GROSS COUPON: 8.192% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 621 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 80.32% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 86.65% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 358 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 359 WEIGHTED AVERAGE ROLL TERM(1) (MONTHS): 25 WEIGHTED AVERAGE GROSS MARGIN(1): 6.190% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.802% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.498% INTEREST ONLY LOANS: 21.59% SILENT SECONDS: 32.60% - -------------------------------------------------------------------------------- (1) Includes adjustable-rate Mortgage Loans only. (2) The original loan-to-value ("OLTV") of a first-lien mortgage 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 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 ("CLTV") of a mortgage 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 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. 29 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY PRODUCT TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 2/1 ARM 1,630 $ 273,512,222.67 16.88% $167,798.91 609 80.32% 8.689% 2/1 ARM 5Y-IO 1,130 343,740,266.94 21.21 304,194.93 649 81.97 7.709 3/1 ARM 236 37,505,279.14 2.31 158,920.67 621 81.56 8.309 3/1 ARM 5Y-IO 24 6,125,910.00 0.38 255,246.25 650 78.50 7.624 40/30 2/1 ARM 2,645 646,592,846.24 39.90 244,458.54 606 80.37 8.350 40/30 3/1 ARM 175 38,362,507.30 2.37 219,214.33 606 78.93 8.102 40/30 Fixed 561 134,405,744.15 8.29 239,582.43 635 77.16 7.614 5/1 ARM 10 1,734,663.69 0.11 173,466.37 638 77.93 7.678 Fixed 1,137 138,610,796.13 8.55 121,909.23 636 79.27 8.259 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT GROSS MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 5.501--6.000 42 $ 12,420,182.43 0.77% $295,718.63 645 75.14% 5.832% 6.001--6.500 258 71,407,837.10 4.41 276,774.56 666 73.59 6.377 6.501--7.000 616 166,603,591.65 10.28 270,460.38 647 76.81 6.820 7.001--7.500 816 211,211,182.28 13.03 258,837.23 638 79.66 7.286 7.501--8.000 1,422 338,657,761.42 20.90 238,155.95 629 79.91 7.788 8.001--8.500 1,095 239,549,180.84 14.78 218,766.38 621 80.53 8.285 8.501--9.000 1,224 239,539,887.70 14.78 195,702.52 603 80.97 8.776 9.001--9.500 709 132,501,965.04 8.18 186,885.71 596 82.52 9.267 9.501--10.000 661 115,511,045.21 7.13 174,751.96 586 83.71 9.754 10.001--10.500 313 48,491,799.18 2.99 154,925.88 590 85.36 10.257 10.501--11.000 198 26,476,786.76 1.63 133,721.15 600 86.48 10.756 11.001--11.500 88 9,573,584.46 0.59 108,790.73 599 85.03 11.265 11.501--12.000 53 4,241,658.04 0.26 80,031.28 611 86.99 11.771 12.001--12.500 41 3,518,979.12 0.22 85,828.76 589 88.81 12.290 12.501--13.000 9 673,172.25 0.04 74,796.92 610 94.71 12.758 13.001--13.500 3 211,622.78 0.01 70,540.93 623 98.88 13.369 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== 30 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL MORTGAGE LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 118 $ 5,109,597.48 0.32% $ 43,301.67 616 79.84% 10.102% 50,000.01--100,000.00 1,438 110,713,463.95 6.83 76,991.28 607 80.48 8.944 100,000.01--150,000.00 1,533 191,281,577.36 11.80 124,775.98 607 79.21 8.570 150,000.01--200,000.00 1,103 192,744,711.20 11.89 174,745.89 613 78.09 8.339 200,000.01--250,000.00 954 213,647,104.59 13.18 223,948.75 612 79.28 8.209 250,000.01--300,000.00 672 184,424,855.24 11.38 274,441.75 617 79.82 8.117 300,000.01--350,000.00 457 148,567,890.79 9.17 325,093.85 622 81.04 8.106 350,000.01--400,000.00 411 154,181,307.70 9.51 375,137.00 626 80.95 7.926 400,000.01--450,000.00 299 127,403,347.34 7.86 426,098.15 637 81.60 7.867 450,000.01--500,000.00 275 131,297,463.87 8.10 477,445.32 632 81.79 7.893 500,000.01--550,000.00 140 73,398,397.92 4.53 524,274.27 648 82.49 7.819 550,000.01--600,000.00 91 52,179,436.47 3.22 573,400.40 648 82.34 7.944 600,000.01--650,000.00 57 35,641,082.35 2.20 625,282.15 635 83.66 7.971 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT UNPAID PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 120 $ 5,206,952.78 0.32% $ 43,391.27 616 80.17% 10.143% 50,000.01--100,000.00 1,436 110,616,108.65 6.83 77,030.72 607 80.46 8.941 100,000.01--150,000.00 1,533 191,281,577.36 11.80 124,775.98 607 79.21 8.570 150,000.01--200,000.00 1,103 192,744,711.20 11.89 174,745.89 613 78.09 8.339 200,000.01--250,000.00 955 213,895,313.59 13.20 223,974.15 612 79.26 8.207 250,000.01--300,000.00 671 184,176,646.24 11.36 274,480.84 617 79.84 8.120 300,000.01--350,000.00 458 148,917,653.34 9.19 325,147.71 622 80.98 8.105 350,000.01--400,000.00 410 153,831,545.15 9.49 375,198.89 626 81.01 7.926 400,000.01--450,000.00 299 127,403,347.34 7.86 426,098.15 637 81.60 7.867 450,000.01--500,000.00 275 131,297,463.87 8.10 477,445.32 632 81.79 7.893 500,000.01--550,000.00 140 73,398,397.92 4.53 524,274.27 648 82.49 7.819 550,000.01--600,000.00 91 52,179,436.47 3.22 573,400.40 648 82.34 7.944 600,000.01--650,000.00 57 35,641,082.35 2.20 625,282.15 635 83.66 7.971 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== 31 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY REMAINING TERM TO MATURITY - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 61--120 3 $ 184,253.26 0.01% $ 61,417.75 624 69.01% 7.434% 121--180 48 4,245,026.37 0.26 88,438.05 613 67.89 7.958 181--240 39 3,691,376.40 0.23 94,650.68 620 72.89 8.008 241--300 3 430,326.19 0.03 143,442.06 656 75.42 6.933 301--360 7,455 1,612,039,254.04 99.47 216,235.98 621 80.38 8.194 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL TERM TO MATURITY - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 61--120 3 $ 184,253.26 0.01% $ 61,417.75 624 69.01% 7.434% 121--180 48 4,245,026.37 0.26 88,438.05 613 67.89 7.958 181--240 39 3,691,376.40 0.23 94,650.68 620 72.89 8.008 241--300 3 430,326.19 0.03 143,442.06 656 75.42 6.933 301--360 7,455 1,612,039,254.04 99.47 216,235.98 621 80.38 8.194 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== 32 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 7 $ 539,277.90 0.03% $ 77,039.70 570 14.17% 9.215% 15.01--20.00 7 882,817.48 0.05 126,116.78 609 17.94 7.941 20.01--25.00 6 753,097.90 0.05 125,516.32 600 23.89 8.576 25.01--30.00 17 2,016,626.46 0.12 118,625.09 603 27.69 7.911 30.01--35.00 35 4,837,303.43 0.30 138,208.67 596 32.60 8.091 35.01--40.00 38 6,443,930.42 0.40 169,577.12 600 37.67 7.885 40.01--45.00 64 9,397,736.16 0.58 146,839.63 601 42.79 7.661 45.01--50.00 77 13,580,942.24 0.84 176,375.87 597 48.16 7.766 50.01--55.00 87 15,240,013.17 0.94 175,172.57 602 52.70 7.923 55.01--60.00 152 35,248,343.42 2.18 231,897.00 613 58.31 7.661 60.01--65.00 285 58,063,730.08 3.58 203,732.39 587 63.45 7.820 65.01--70.00 331 70,503,962.18 4.35 213,002.91 584 68.56 8.060 70.01--75.00 491 105,224,542.59 6.49 214,306.60 587 73.95 8.102 75.01--80.00 3,092 680,833,105.35 42.01 220,191.82 639 79.82 7.972 80.01--85.00 922 204,140,811.50 12.60 221,410.86 590 84.41 8.385 85.01--90.00 1,172 262,223,189.71 16.18 223,739.92 619 89.66 8.549 90.01--95.00 525 130,360,901.06 8.04 248,306.48 645 94.70 8.506 95.01--100.00 240 20,299,905.21 1.25 84,582.94 666 99.94 10.788 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== 33 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS COMBINED LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 7 $ 539,277.90 0.03% $ 77,039.70 570 14.17% 9.215% 15.01--20.00 7 882,817.48 0.05 126,116.78 609 17.94 7.941 20.01--25.00 6 753,097.90 0.05 125,516.32 600 23.89 8.576 25.01--30.00 17 2,016,626.46 0.12 118,625.09 603 27.69 7.911 30.01--35.00 35 4,837,303.43 0.30 138,208.67 596 32.60 8.091 35.01--40.00 37 6,285,747.90 0.39 169,885.08 598 37.62 7.894 40.01--45.00 64 9,397,736.16 0.58 146,839.63 601 42.79 7.661 45.01--50.00 74 12,919,230.69 0.80 174,584.20 593 48.11 7.796 50.01--55.00 87 15,483,580.29 0.96 177,972.19 604 52.59 7.903 55.01--60.00 150 34,971,779.37 2.16 233,145.20 613 58.32 7.664 60.01--65.00 281 57,504,761.36 3.55 204,643.28 587 63.43 7.824 65.01--70.00 330 69,777,284.27 4.31 211,446.32 584 68.54 8.068 70.01--75.00 482 104,371,840.22 6.44 216,539.09 587 73.95 8.096 75.01--80.00 918 183,397,888.55 11.32 199,779.84 595 79.32 8.176 80.01--85.00 838 188,990,516.19 11.66 225,525.68 590 84.36 8.359 85.01--90.00 1,121 256,468,974.99 15.83 228,785.88 620 89.52 8.511 90.01--95.00 620 145,176,572.80 8.96 234,155.76 640 93.68 8.541 95.01--100.00 2,474 526,815,200.30 32.51 212,940.66 654 80.87 8.030 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== DISTRIBUTION BY STATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ CA 1,592 $ 533,087,301.24 32.89% $334,853.83 633 79.15% 7.806% FL 965 186,404,369.56 11.50 193,165.15 613 79.10 8.399 NY 326 104,967,445.33 6.48 321,986.03 633 80.59 7.974 NJ 277 70,942,004.78 4.38 256,108.32 626 80.71 8.391 IL 370 68,213,152.50 4.21 184,359.87 610 81.63 8.414 AZ 328 65,770,012.89 4.06 200,518.33 615 80.11 8.192 TX 585 65,539,893.43 4.04 112,034.01 618 81.37 8.373 MA 225 62,357,155.51 3.85 277,142.91 613 80.12 8.287 MD 225 54,626,864.26 3.37 242,786.06 597 79.55 8.396 WA 148 33,177,112.82 2.05 224,169.68 609 82.64 8.170 NV 140 31,120,186.78 1.92 222,287.05 632 79.59 8.249 GA 195 27,830,040.44 1.72 142,718.16 614 83.64 8.766 VA 134 27,200,312.81 1.68 202,987.41 596 79.83 8.444 PA 210 26,331,722.86 1.62 125,389.16 612 82.47 8.674 OR 97 18,821,762.65 1.16 194,038.79 615 81.17 8.425 Other 1,731 244,200,898.40 15.07 141,075.04 612 82.37 8.567 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== 34 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Investment Property 477 $ 82,231,370.66 5.07% $172,392.81 650 87.43% 9.324% Primary Residence 6,859 1,494,441,127.45 92.22 217,880.32 618 79.90 8.122 Second Home 212 43,917,738.15 2.71 207,159.14 667 81.33 8.474 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== DISTRIBUTION BY PROPERTY TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ One Family 5,610 $1,163,669,821.27 71.81% $207,427.78 618 80.03% 8.163% Pud-Detached 806 185,385,834.96 11.44 230,007.24 621 81.07 8.233 2-4 Unit 418 125,251,903.28 7.73 299,645.70 639 81.10 8.229 Condo 529 109,553,652.50 6.76 207,095.75 635 80.62 8.334 Pud-Attached 183 36,444,450.19 2.25 199,150.00 621 82.32 8.383 Modular Home 2 284,574.06 0.02 142,287.03 605 65.84 7.876 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== DISTRIBUTION BY LOAN PURPOSE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Cash Out 3,625 $ 806,707,639.25 49.78% $222,540.04 601 77.93% 8.134% Purchase 3,199 661,170,967.81 40.80 206,680.52 646 82.92 8.322 Rate/Term 724 152,711,629.20 9.42 210,927.66 621 81.72 7.941 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== 35 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY DOCUMENTATION TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Full Documentation 4,942 $ 964,464,850.50 59.51% $195,156.79 607 80.30% 7.950% Limited Documentation 112 29,058,168.44 1.79 259,447.93 622 81.73 7.788 Stated Documentation 2,494 627,067,217.32 38.69 251,430.32 642 80.30 8.584 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== DISTRIBUTION BY CREDIT SCORE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CREDIT SCORE RANGE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 476--500 20 $ 3,926,633.72 0.24% $196,331.69 500 66.67% 9.044% 501--525 517 93,615,565.30 5.78 181,074.59 513 75.25 9.276 526--550 647 121,964,750.64 7.53 188,508.12 538 75.77 8.787 551--575 763 146,595,215.02 9.05 192,130.03 562 78.56 8.677 576--600 1,059 205,391,020.18 12.67 193,948.08 589 80.03 8.380 601--625 1,292 277,006,663.52 17.09 214,401.44 613 81.86 8.022 626--650 1,313 299,231,508.13 18.46 227,899.09 638 81.70 7.950 651--675 853 200,592,863.23 12.38 235,161.62 662 81.77 7.897 676--700 516 128,654,359.73 7.94 249,330.15 687 81.29 7.842 701--725 270 66,390,598.13 4.10 245,891.10 712 81.64 7.712 726--750 160 40,259,592.78 2.48 251,622.45 737 81.24 7.801 751--775 101 27,039,413.41 1.67 267,716.96 762 82.01 7.893 776--800 30 7,813,295.45 0.48 260,443.18 787 78.39 7.381 801--825 7 2,108,757.02 0.13 301,251.00 810 78.01 7.877 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PREPAYMENT PENALTY TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0 2,251 $ 480,792,863.80 29.67% $213,590.79 619 81.25% 8.702% 12 378 106,389,640.66 6.56 281,454.08 635 80.72 8.238 24 3,732 828,869,407.89 51.15 222,097.91 618 80.54 8.021 36 1,187 204,538,323.91 12.62 172,315.35 631 77.06 7.665 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== 36 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY LIEN TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ First Lien 7,327 $1,604,626,529.28 99.01% $219,001.85 621 80.13% 8.163% Second Lien 221 15,963,706.98 0.99 72,233.97 663 99.93 11.142 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,548 $1,620,590,236.26 100.00% $214,704.59 621 80.32% 8.192% ==================================================================================================================================== 37 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. SCHEDULED PRINCIPAL BALANCE: $1,347,573,695.98 NUMBER OF MORTGAGE LOANS: 5,850 AVERAGE SCHEDULED PRINCIPAL BALANCE: $230,354.48 WEIGHTED AVERAGE GROSS COUPON: 8.243% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 618 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 80.75% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 87.69% 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): 6.190% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.802% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.498% INTEREST ONLY LOANS: 25.96% SILENT SECONDS: 35.78% - -------------------------------------------------------------------------------- (1) Includes adjustable-rate Mortgage Loans only. (2) The original loan-to-value ("OLTV") of a first-lien mortgage 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 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 ("CLTV") of a mortgage 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 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. 38 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY PRODUCT TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 2/1 ARM 1,630 $ 273,512,222.67 20.30% $167,798.91 609 80.32% 8.689% 2/1 ARM 5Y-IO 1,130 343,740,266.94 25.51 304,194.93 649 81.97 7.709 3/1 ARM 236 37,505,279.14 2.78 158,920.67 621 81.56 8.309 3/1 ARM 5Y-IO 24 6,125,910.00 0.45 255,246.25 650 78.50 7.624 40/30 2/1 ARM 2,645 646,592,846.24 47.98 244,458.54 606 80.37 8.350 40/30 3/1 ARM 175 38,362,507.30 2.85 219,214.33 606 78.93 8.102 5/1 ARM 10 1,734,663.69 0.13 173,466.37 638 77.93 7.678 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT GROSS MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 5.501--6.000 42 $ 12,420,182.43 0.92% $295,718.63 645 75.14% 5.832% 6.001--6.500 132 39,354,217.40 2.92 298,138.01 654 76.91 6.332 6.501--7.000 389 115,609,901.44 8.58 297,197.69 644 77.82 6.834 7.001--7.500 638 173,484,273.00 12.87 271,918.92 636 79.98 7.286 7.501--8.000 1,151 289,631,438.27 21.49 251,634.61 628 79.97 7.788 8.001--8.500 905 208,960,353.07 15.51 230,895.42 620 80.79 8.288 8.501--9.000 1,016 213,191,214.96 15.82 209,833.87 603 81.24 8.776 9.001--9.500 610 120,487,263.01 8.94 197,520.10 596 82.79 9.267 9.501--10.000 538 103,111,133.43 7.65 191,656.38 587 84.00 9.754 10.001--10.500 233 41,687,408.89 3.09 178,915.92 587 85.09 10.256 10.501--11.000 137 21,545,538.89 1.60 157,266.71 590 84.45 10.751 11.001--11.500 39 5,638,622.16 0.42 144,580.06 572 78.73 11.263 11.501--12.000 12 1,195,795.78 0.09 99,649.65 555 65.86 11.685 12.001--12.500 7 1,174,358.61 0.09 167,765.52 530 72.72 12.259 12.501--13.000 1 81,994.64 0.01 81,994.64 508 56.55 12.825 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== 39 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL MORTGAGE LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 22 $ 1,092,676.32 0.08% $ 49,667.11 573 57.82% 9.140% 50,000.01--100,000.00 822 64,148,845.53 4.76 78,039.96 599 80.24 8.924 100,000.01--150,000.00 1,169 146,813,958.41 10.89 125,589.36 601 79.49 8.635 150,000.01--200,000.00 918 160,262,629.45 11.89 174,578.03 608 78.64 8.418 200,000.01--250,000.00 817 182,678,711.84 13.56 223,596.95 610 80.12 8.336 250,000.01--300,000.00 584 159,955,325.00 11.87 273,896.10 615 80.27 8.199 300,000.01--350,000.00 405 131,611,769.93 9.77 324,967.33 618 81.46 8.182 350,000.01--400,000.00 362 136,023,688.21 10.09 375,756.04 625 81.34 8.009 400,000.01--450,000.00 264 112,477,172.96 8.35 426,049.90 632 81.86 7.935 450,000.01--500,000.00 248 118,510,345.25 8.79 477,864.30 632 81.93 7.946 500,000.01--550,000.00 113 59,112,264.26 4.39 523,117.38 643 83.18 7.951 550,000.01--600,000.00 76 43,592,663.72 3.23 573,587.68 643 82.82 8.087 600,000.01--650,000.00 50 31,293,645.10 2.32 625,872.90 632 83.75 8.051 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT UNPAID PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 22 $ 1,092,676.32 0.08% $ 49,667.11 573 57.82% 9.140% 50,000.01--100,000.00 822 64,148,845.53 4.76 78,039.96 599 80.24 8.924 100,000.01--150,000.00 1,169 146,813,958.41 10.89 125,589.36 601 79.49 8.635 150,000.01--200,000.00 918 160,262,629.45 11.89 174,578.03 608 78.64 8.418 200,000.01--250,000.00 817 182,678,711.84 13.56 223,596.95 610 80.12 8.336 250,000.01--300,000.00 584 159,955,325.00 11.87 273,896.10 615 80.27 8.199 300,000.01--350,000.00 406 131,961,532.48 9.79 325,028.41 618 81.40 8.181 350,000.01--400,000.00 361 135,673,925.66 10.07 375,828.05 625 81.41 8.009 400,000.01--450,000.00 264 112,477,172.96 8.35 426,049.90 632 81.86 7.935 450,000.01--500,000.00 248 118,510,345.25 8.79 477,864.30 632 81.93 7.946 500,000.01--550,000.00 113 59,112,264.26 4.39 523,117.38 643 83.18 7.951 550,000.01--600,000.00 76 43,592,663.72 3.23 573,587.68 643 82.82 8.087 600,000.01--650,000.00 50 31,293,645.10 2.32 625,872.90 632 83.75 8.051 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== 40 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY REMAINING TERM TO MATURITY - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 301--360 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL TERM TO MATURITY - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 301--360 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 3 $ 244,881.73 0.02% $ 81,627.24 544 13.74% 9.934% 15.01--20.00 3 405,420.10 0.03 135,140.03 621 16.77 8.134 20.01--25.00 5 603,252.38 0.04 120,650.48 610 23.86 8.377 25.01--30.00 11 1,255,914.30 0.09 114,174.03 595 27.15 8.235 30.01--35.00 23 3,683,585.32 0.27 160,155.88 578 32.73 8.332 35.01--40.00 26 4,785,883.02 0.36 184,072.42 592 37.73 8.080 40.01--45.00 39 6,264,373.32 0.46 160,624.96 596 42.78 7.698 45.01--50.00 48 8,362,063.05 0.62 174,209.65 575 48.19 7.991 50.01--55.00 57 10,463,529.98 0.78 183,570.70 583 52.65 8.252 55.01--60.00 93 22,573,584.90 1.68 242,726.72 597 58.42 7.940 60.01--65.00 198 42,293,259.61 3.14 213,602.32 572 63.43 8.047 65.01--70.00 238 54,421,892.26 4.04 228,663.41 573 68.61 8.226 70.01--75.00 355 82,506,767.95 6.12 232,413.43 580 74.03 8.230 75.01--80.00 2,566 596,835,808.05 44.29 232,593.85 638 79.84 7.977 80.01--85.00 742 169,798,589.40 12.60 228,839.07 585 84.52 8.505 85.01--90.00 988 225,286,667.32 16.72 228,022.94 618 89.69 8.640 90.01--95.00 437 113,821,455.41 8.45 260,461.00 643 94.72 8.609 95.01--100.00 18 3,966,767.88 0.29 220,375.99 677 100.00 9.788 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== 41 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS COMBINED LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 3 $ 244,881.73 0.02% $ 81,627.24 544 13.74% 9.934% 15.01--20.00 3 405,420.10 0.03 135,140.03 621 16.77 8.134 20.01--25.00 5 603,252.38 0.04 120,650.48 610 23.86 8.377 25.01--30.00 11 1,255,914.30 0.09 114,174.03 595 27.15 8.235 30.01--35.00 23 3,683,585.32 0.27 160,155.88 578 32.73 8.332 35.01--40.00 26 4,785,883.02 0.36 184,072.42 592 37.73 8.080 40.01--45.00 39 6,264,373.32 0.46 160,624.96 596 42.78 7.698 45.01--50.00 47 8,222,196.03 0.61 174,940.34 574 48.20 7.996 50.01--55.00 57 10,463,529.98 0.78 183,570.70 583 52.65 8.252 55.01--60.00 93 22,573,584.90 1.68 242,726.72 597 58.42 7.940 60.01--65.00 194 41,636,498.85 3.09 214,621.13 572 63.42 8.058 65.01--70.00 237 53,695,214.35 3.98 226,562.09 573 68.58 8.238 70.01--75.00 349 81,871,431.35 6.08 234,588.63 580 74.02 8.226 75.01--80.00 633 141,584,320.72 10.51 223,671.91 586 79.34 8.284 80.01--85.00 667 156,192,964.43 11.59 234,172.36 584 84.48 8.480 85.01--90.00 943 219,868,920.86 16.32 233,158.98 619 89.54 8.602 90.01--95.00 521 127,674,072.09 9.47 245,055.80 639 93.63 8.634 95.01--100.00 1,999 466,547,652.25 34.62 233,390.52 652 80.30 7.922 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY STATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ CA 1,288 $ 458,645,321.53 34.03% $356,091.09 631 79.63% 7.848% FL 736 152,525,923.91 11.32 207,236.31 610 79.93 8.488 NY 228 76,839,385.97 5.70 337,014.85 625 80.65 8.009 NJ 231 61,181,443.28 4.54 264,854.73 623 81.02 8.438 AZ 285 59,430,711.54 4.41 208,528.81 614 80.40 8.234 IL 306 58,758,064.85 4.36 192,019.82 608 81.70 8.444 MA 193 55,022,595.19 4.08 285,091.17 610 80.46 8.344 MD 195 48,431,432.66 3.59 248,366.32 593 80.73 8.454 TX 302 38,258,074.37 2.84 126,682.37 610 82.00 8.563 WA 127 30,104,146.94 2.23 237,040.53 606 82.58 8.190 NV 122 28,136,992.16 2.09 230,631.08 632 79.64 8.288 VA 113 24,260,510.54 1.80 214,694.78 595 80.36 8.492 GA 158 23,996,282.26 1.78 151,875.20 612 83.73 8.746 PA 154 19,753,378.30 1.47 128,268.69 608 82.60 8.792 OR 83 16,828,485.52 1.25 202,752.84 610 81.88 8.575 Other 1,329 195,400,946.96 14.50 147,028.55 608 82.90 8.635 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== 42 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Investment Property 453 $ 79,032,943.61 5.86% $174,465.66 650 87.67% 9.348% Primary Residence 5,222 1,229,905,877.05 91.27 235,523.91 614 80.28 8.165 Second Home 175 38,634,875.32 2.87 220,770.72 665 81.31 8.459 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY PROPERTY TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ One Family 4,278 $ 957,912,732.50 71.08% $223,916.02 615 80.45% 8.209% Pud-Detached 638 158,297,801.62 11.75 248,115.68 617 81.42 8.291 2-4 Unit 337 103,807,572.80 7.70 308,034.34 635 81.38 8.292 Condo 443 95,371,796.49 7.08 215,286.22 632 81.15 8.396 Pud-Attached 154 32,183,792.57 2.39 208,985.67 621 83.14 8.415 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY LOAN PURPOSE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Purchase 2,712 $ 598,836,507.74 44.44% $220,809.92 644 82.71% 8.272% Cash Out 2,614 627,414,056.77 46.56 240,020.68 594 78.62 8.262 Rate/Term 524 121,323,131.47 9.00 231,532.69 616 82.03 8.004 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== 43 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY DOCUMENTATION TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Full Documentation 3,689 $ 771,753,820.70 57.27% $209,204.07 602 80.89% 8.006% Limited Documentation 97 26,057,386.77 1.93 268,632.85 623 82.01 7.751 Stated Documentation 2,064 549,762,488.51 40.80 266,357.79 640 80.49 8.600 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY CREDIT SCORE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CREDIT SCORE RANGE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 476--500 19 $ 3,830,686.99 0.28% $201,615.10 500 66.34% 9.047% 501--525 439 83,764,822.53 6.22 190,808.25 513 75.22 9.239 526--550 530 105,954,942.37 7.86 199,914.99 538 75.95 8.769 551--575 631 128,337,481.06 9.52 203,387.45 562 79.34 8.728 576--600 857 177,371,601.32 13.16 206,968.03 588 80.50 8.414 601--625 999 232,510,885.62 17.25 232,743.63 613 82.28 8.041 626--650 1,007 251,085,499.66 18.63 249,340.12 638 82.17 7.972 651--675 620 159,379,845.54 11.83 257,064.27 662 82.39 7.951 676--700 360 98,434,795.10 7.30 273,429.99 688 82.11 7.937 701--725 175 48,725,464.90 3.62 278,431.23 712 82.25 7.766 726--750 115 31,080,974.61 2.31 270,269.34 737 81.30 7.807 751--775 75 20,515,042.18 1.52 273,533.90 762 83.24 8.157 776--800 18 4,739,574.58 0.35 263,309.70 787 80.17 7.486 801--825 5 1,842,079.52 0.14 368,415.90 810 82.54 8.076 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PREPAYMENT PENALTY TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0 1,851 $ 430,972,151.16 31.98% $232,832.06 617 81.42% 8.715% 12 261 76,045,113.13 5.64 291,360.59 628 81.18 8.381 24 3,580 812,301,613.43 60.28 226,899.89 617 80.39 7.992 36 158 28,254,818.26 2.10 178,827.96 617 79.62 7.898 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== 44 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY INITIAL INTEREST RATE CAP - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS INITIAL CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 1.000 25 $ 4,271,534.30 0.32% $170,861.37 625 81.20% 8.465% 1.500 2,265 524,265,445.98 38.90 231,463.77 617 81.25 8.279 2.000 3,560 819,036,715.70 60.78 230,066.49 619 80.42 8.219 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY PERIODIC INTEREST RATE CAP - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PERIODIC CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 1.000 25 $ 4,271,534.30 0.32% $170,861.37 625 81.20% 8.465% 1.500 5,825 1,343,302,161.68 99.68 230,609.81 618 80.75 8.243 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY GROSS MARGIN - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ARM MARGIN (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 3.001--4.000 3 $ 558,585.96 0.04% $186,195.32 587 85.30% 8.681% 4.001--5.000 5 1,024,097.78 0.08 204,819.56 603 78.81 9.761 5.001--6.000 1,166 291,723,282.55 21.65 250,191.49 629 81.35 7.984 6.001--7.000 4,456 1,009,694,527.82 74.93 226,592.13 617 81.09 8.269 7.001--8.000 217 43,606,809.56 3.24 200,953.04 558 68.76 9.311 8.001--9.000 3 966,392.31 0.07 322,130.77 646 82.60 9.418 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== 45 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY MAXIMUM MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS MAXIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 12.001--13.000 44 $ 12,809,257.48 0.95% $291,119.49 645 75.47% 5.856% 13.001--14.000 526 155,516,290.02 11.54 295,658.35 646 77.53 6.713 14.001--15.000 1,792 464,372,064.95 34.46 259,136.20 631 80.01 7.605 15.001--16.000 1,916 420,576,128.74 31.21 219,507.37 611 81.01 8.535 16.001--17.000 1,144 223,097,688.31 16.56 195,015.46 592 83.35 9.491 17.001--18.000 369 63,111,495.29 4.68 171,033.86 588 84.86 10.424 18.001--19.000 51 6,834,417.94 0.51 134,008.19 569 76.48 11.337 19.001 >= 8 1,256,353.25 0.09 157,044.16 528 71.67 12.296 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY MINIMUM MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS MINIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 5.001--6.000 14 $ 3,735,767.34 0.28% $266,840.52 663 77.47% 5.806% 6.001--7.000 545 162,482,907.46 12.06 298,133.78 647 77.48 6.659 7.001--8.000 1,793 464,281,337.74 34.45 258,941.07 631 79.94 7.598 8.001--9.000 1,921 422,151,568.03 31.33 219,756.15 611 81.02 8.534 9.001--10.000 1,148 223,598,396.44 16.59 194,772.12 592 83.35 9.491 10.001--11.000 370 63,232,947.78 4.69 170,899.86 588 84.87 10.425 11.001--12.000 51 6,834,417.94 0.51 134,008.19 569 76.48 11.337 12.001 >= 8 1,256,353.25 0.09 157,044.16 528 71.67 12.296 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== 46 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE INITIAL INTEREST RATE ADJUSTMENT MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ January 1, 2008 1 $ 106,861.89 0.01% $106,861.89 777 80.00% 7.425% February 1, 2008 13 3,320,870.71 0.25 255,451.59 578 75.82 9.069 March 1, 2008 32 10,116,287.65 0.75 316,133.99 603 79.44 7.770 April 1, 2008 188 44,446,868.49 3.30 236,419.51 615 81.46 8.147 May 1, 2008 313 76,542,751.02 5.68 244,545.53 619 83.24 8.202 June 1, 2008 1,584 404,302,278.30 30.00 255,241.34 623 81.42 8.210 July 1, 2008 3,274 725,009,417.79 53.80 221,444.54 616 80.19 8.286 April 1, 2009 1 289,413.70 0.02 289,413.70 610 95.00 7.990 May 1, 2009 1 428,000.00 0.03 428,000.00 631 80.00 7.850 June 1, 2009 18 3,560,817.34 0.26 197,823.19 613 82.39 8.304 July 1, 2009 415 77,715,465.40 5.77 187,266.18 617 79.94 8.157 2011-05-01 2 307,920.17 0.02 153,960.09 606 81.32 7.667 2011-06-01 3 486,815.57 0.04 162,271.86 635 69.90 7.271 2011-07-01 5 939,927.95 0.07 187,985.59 650 80.98 7.893 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== DISTRIBUTION BY LIEN TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ First Lien 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 5,850 $1,347,573,695.98 100.00% $230,354.48 618 80.75% 8.243% ==================================================================================================================================== 47 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 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: $273,016,540.28 NUMBER OF MORTGAGE LOANS: 1,698 AVERAGE SCHEDULED PRINCIPAL BALANCE: $160,787.13 WEIGHTED AVERAGE GROSS COUPON: 7.941% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 635 WEIGHTED AVERAGE ORIGINAL LTV RATIO(1): 78.23% WEIGHTED AVERAGE COMBINED LTV RATIO(1): 81.53% 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 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 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 ("CLTV") loan-to-value of a mortgage 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 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. 48 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY PRODUCT TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 40/30 Fixed 561 $ 134,405,744.15 49.23% $239,582.43 635 77.16% 7.614% Fixed 1,137 138,610,796.13 50.77 121,909.23 636 79.27 8.259 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT GROSS MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 6.001--6.500 126 $ 32,053,619.70 11.74% $254,393.81 680 69.51% 6.433% 6.501--7.000 227 50,993,690.21 18.68 224,641.81 655 74.52 6.790 7.001--7.500 178 37,726,909.28 13.82 211,948.93 643 78.17 7.289 7.501--8.000 271 49,026,323.15 17.96 180,908.94 632 79.51 7.788 8.001--8.500 190 30,588,827.77 11.20 160,993.83 627 78.74 8.263 8.501--9.000 208 26,348,672.74 9.65 126,676.31 604 78.81 8.781 9.001--9.500 99 12,014,702.03 4.40 121,360.63 597 79.86 9.267 9.501--10.000 123 12,399,911.78 4.54 100,812.29 573 81.30 9.755 10.001--10.500 80 6,804,390.29 2.49 85,054.88 604 87.04 10.266 10.501--11.000 61 4,931,247.87 1.81 80,840.13 641 95.34 10.777 11.001--11.500 49 3,934,962.30 1.44 80,305.35 637 94.06 11.267 11.501--12.000 41 3,045,862.26 1.12 74,289.32 633 95.29 11.805 12.001--12.500 34 2,344,620.51 0.86 68,959.43 619 96.87 12.305 12.501--13.000 8 591,177.61 0.22 73,897.20 624 100.00 12.748 13.001--13.500 3 211,622.78 0.08 70,540.93 623 98.88 13.369 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== 49 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL MORTGAGE LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 96 $ 4,016,921.16 1.47% $ 41,842.93 628 85.83% 10.364% 50,000.01--100,000.00 616 46,564,618.42 17.06 75,591.91 617 80.80 8.972 100,000.01--150,000.00 364 44,467,618.95 16.29 122,163.79 626 78.29 8.355 150,000.01--200,000.00 185 32,482,081.75 11.90 175,578.82 634 75.39 7.949 200,000.01--250,000.00 137 30,968,392.75 11.34 226,046.66 623 74.31 7.456 250,000.01--300,000.00 88 24,469,530.24 8.96 278,062.84 633 76.89 7.585 300,000.01--350,000.00 52 16,956,120.86 6.21 326,079.25 654 77.73 7.519 350,000.01--400,000.00 49 18,157,619.49 6.65 370,563.66 636 78.03 7.306 400,000.01--450,000.00 35 14,926,174.38 5.47 426,462.13 675 79.65 7.355 450,000.01--500,000.00 27 12,787,118.62 4.68 473,596.99 636 80.50 7.397 500,000.01--550,000.00 27 14,286,133.66 5.23 529,116.06 671 79.62 7.271 550,000.01--600,000.00 15 8,586,772.75 3.15 572,451.52 672 79.95 7.220 600,000.01--650,000.00 7 4,347,437.25 1.59 621,062.46 655 83.03 7.394 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT UNPAID PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 98 $ 4,114,276.46 1.51% $ 41,982.41 628 86.10% 10.409% 50,000.01--100,000.00 614 46,467,263.12 17.02 75,679.58 617 80.77 8.965 100,000.01--150,000.00 364 44,467,618.95 16.29 122,163.79 626 78.29 8.355 150,000.01--200,000.00 185 32,482,081.75 11.90 175,578.82 634 75.39 7.949 200,000.01--250,000.00 138 31,216,601.75 11.43 226,207.26 623 74.24 7.448 250,000.01--300,000.00 87 24,221,321.24 8.87 278,405.99 632 77.01 7.596 300,000.01--350,000.00 52 16,956,120.86 6.21 326,079.25 654 77.73 7.519 350,000.01--400,000.00 49 18,157,619.49 6.65 370,563.66 636 78.03 7.306 400,000.01--450,000.00 35 14,926,174.38 5.47 426,462.13 675 79.65 7.355 450,000.01--500,000.00 27 12,787,118.62 4.68 473,596.99 636 80.50 7.397 500,000.01--550,000.00 27 14,286,133.66 5.23 529,116.06 671 79.62 7.271 550,000.01--600,000.00 15 8,586,772.75 3.15 572,451.52 672 79.95 7.220 600,000.01--650,000.00 7 4,347,437.25 1.59 621,062.46 655 83.03 7.394 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== 50 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY REMAINING TERM TO MATURITY - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 61--120 3 $ 184,253.26 0.07% $ 61,417.75 624 69.01% 7.434% 121--180 48 4,245,026.37 1.55 88,438.05 613 67.89 7.958 181--240 39 3,691,376.40 1.35 94,650.68 620 72.89 8.008 241--300 3 430,326.19 0.16 143,442.06 656 75.42 6.933 301--360 1,605 264,465,558.06 96.87 164,776.05 636 78.48 7.942 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL TERM TO MATURITY - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 61--120 3 $ 184,253.26 0.07% $ 61,417.75 624 69.01% 7.434% 121--180 48 4,245,026.37 1.55 88,438.05 613 67.89 7.958 181--240 39 3,691,376.40 1.35 94,650.68 620 72.89 8.008 241--300 3 430,326.19 0.16 143,442.06 656 75.42 6.933 301--360 1,605 264,465,558.06 96.87 164,776.05 636 78.48 7.942 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== 51 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 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- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 4 $ 294,396.17 0.11% $ 73,599.04 592 14.53% 8.617% 15.01--20.00 4 477,397.38 0.17 119,349.35 599 18.94 7.778 20.01--25.00 1 149,845.52 0.05 149,845.52 563 24.00 9.375 25.01--30.00 6 760,712.16 0.28 126,785.36 616 28.58 7.376 30.01--35.00 12 1,153,718.11 0.42 96,143.18 654 32.21 7.321 35.01--40.00 12 1,658,047.40 0.61 138,170.62 624 37.50 7.321 40.01--45.00 25 3,133,362.84 1.15 125,334.51 612 42.82 7.587 45.01--50.00 29 5,218,879.19 1.91 179,961.35 633 48.11 7.405 50.01--55.00 30 4,776,483.19 1.75 159,216.11 643 52.80 7.201 55.01--60.00 59 12,674,758.52 4.64 214,826.42 641 58.11 7.164 60.01--65.00 87 15,770,470.47 5.78 181,269.78 627 63.49 7.209 65.01--70.00 93 16,082,069.92 5.89 172,925.48 619 68.40 7.499 70.01--75.00 136 22,717,774.64 8.32 167,042.46 613 73.68 7.638 75.01--80.00 526 83,997,297.30 30.77 159,690.68 648 79.63 7.940 80.01--85.00 180 34,342,222.10 12.58 190,790.12 618 83.90 7.793 85.01--90.00 184 36,936,522.39 13.53 200,741.97 627 89.49 7.992 90.01--95.00 88 16,539,445.65 6.06 187,948.25 654 94.53 7.795 95.01--100.00 222 16,333,137.33 5.98 73,572.69 664 99.93 11.030 - ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% =================================================================================================================================== 52 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 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- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS COMBINED LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 4 $ 294,396.17 0.11% $ 73,599.04 592 14.53% 8.617% 15.01--20.00 4 477,397.38 0.17 119,349.35 599 18.94 7.778 20.01--25.00 1 149,845.52 0.05 149,845.52 563 24.00 9.375 25.01--30.00 6 760,712.16 0.28 126,785.36 616 28.58 7.376 30.01--35.00 12 1,153,718.11 0.42 96,143.18 654 32.21 7.321 35.01--40.00 11 1,499,864.88 0.55 136,351.35 618 37.28 7.302 40.01--45.00 25 3,133,362.84 1.15 125,334.51 612 42.82 7.587 45.01--50.00 27 4,697,034.66 1.72 173,964.25 625 47.96 7.446 50.01--55.00 30 5,020,050.31 1.84 167,335.01 648 52.45 7.175 55.01--60.00 57 12,398,194.47 4.54 217,512.18 642 58.13 7.162 60.01--65.00 87 15,868,262.51 5.81 182,393.82 627 63.44 7.212 65.01--70.00 93 16,082,069.92 5.89 172,925.48 619 68.40 7.499 70.01--75.00 133 22,500,408.87 8.24 169,176.01 613 73.68 7.622 75.01--80.00 285 41,813,567.83 15.32 146,714.27 624 79.27 7.810 80.01--85.00 171 32,797,551.76 12.01 191,798.55 619 83.77 7.782 85.01--90.00 178 36,600,054.13 13.41 205,618.28 628 89.45 7.963 90.01--95.00 99 17,502,500.71 6.41 176,792.94 650 93.97 7.862 95.01--100.00 475 60,267,548.05 22.07 126,879.05 668 85.25 8.869 - ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== DISTRIBUTION BY STATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ CA 304 $ 74,441,979.71 27.27% $244,874.93 644 76.25% 7.545% FL 229 33,878,445.65 12.41 147,940.81 625 75.39 8.001 NY 98 28,128,059.36 10.30 287,021.01 656 80.41 7.878 TX 283 27,281,819.06 9.99 96,402.19 629 80.48 8.106 NJ 46 9,760,561.50 3.58 212,186.12 643 78.75 8.100 IL 64 9,455,087.65 3.46 147,735.74 622 81.20 8.229 HI 25 8,656,026.23 3.17 346,241.05 676 79.02 7.070 MA 32 7,334,560.32 2.69 229,205.01 639 77.63 7.856 PA 56 6,578,344.56 2.41 117,470.44 625 82.09 8.321 AZ 43 6,339,301.35 2.32 147,425.61 627 77.42 7.797 MD 30 6,195,431.60 2.27 206,514.39 624 70.32 7.943 OH 54 4,668,215.02 1.71 86,448.43 608 83.99 8.796 GA 37 3,833,758.18 1.40 103,615.09 627 83.09 8.890 TN 36 3,806,176.32 1.39 105,727.12 641 83.62 8.293 WA 21 3,072,965.88 1.13 146,331.71 641 83.19 7.970 Other 340 39,585,807.89 14.50 116,428.85 619 79.05 8.398 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== 53 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Investment Property 24 $ 3,198,427.05 1.17% $133,267.79 654 81.28% 8.731% Primary Residence 1,637 264,535,250.40 96.89 161,597.59 634 78.13 7.919 Second Home 37 5,282,862.83 1.93 142,780.08 684 81.50 8.586 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== DISTRIBUTION BY PROPERTY TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ One Family 1,332 $ 205,757,088.77 75.36% $154,472.29 630 78.11% 7.947% Pud-Detached 168 27,088,033.34 9.92 161,238.29 646 79.04 7.893 2-4 Unit 81 21,444,330.48 7.85 264,744.82 658 79.72 7.925 Condo 86 14,181,856.01 5.19 164,905.30 658 77.11 7.920 Pud-Attached 29 4,260,657.62 1.56 146,919.23 622 76.14 8.142 Modular Home 2 284,574.06 0.10 142,287.03 605 65.84 7.876 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== DISTRIBUTION BY LOAN PURPOSE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Cash Out 1,011 $ 179,293,582.48 65.67% $177,342.81 625 75.50% 7.684% Purchase 487 62,334,460.07 22.83 127,996.84 664 84.93 8.805 Rate/Term 200 31,388,497.73 11.50 156,942.49 639 80.52 7.697 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== 54 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY DOCUMENTATION TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Full Documentation 1,253 $ 192,711,029.80 70.59% $153,799.70 626 77.92% 7.727% Limited Documentation 15 3,000,781.67 1.10 200,052.11 612 79.29 8.104 Stated Documentation 430 77,304,728.81 28.32 179,778.44 661 78.97 8.470 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== DISTRIBUTION BY CREDIT SCORE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CREDIT SCORE RANGE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 476--500 1 $ 95,946.73 0.04% $ 95,946.73 500 80.00% 8.925% 501--525 78 9,850,742.77 3.61 126,291.57 513 75.54 9.591 526--550 117 16,009,808.27 5.86 136,835.97 540 74.57 8.909 551--575 132 18,257,733.96 6.69 138,316.17 561 73.07 8.322 576--600 202 28,019,418.86 10.26 138,709.99 589 77.06 8.163 601--625 293 44,495,777.90 16.30 151,862.72 613 79.65 7.922 626--650 306 48,146,008.47 17.63 157,339.90 638 79.29 7.841 651--675 233 41,213,017.69 15.10 176,879.90 663 79.37 7.689 676--700 156 30,219,564.63 11.07 193,715.16 687 78.61 7.532 701--725 95 17,665,133.23 6.47 185,948.77 711 79.94 7.563 726--750 45 9,178,618.17 3.36 203,969.29 738 81.04 7.779 751--775 26 6,524,371.23 2.39 250,937.36 762 78.15 7.061 776--800 12 3,073,720.87 1.13 256,143.41 786 75.64 7.218 801--825 2 266,677.50 0.10 133,338.75 806 46.71 6.500 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PREPAYMENT PENALTY TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0 400 $ 49,820,712.64 18.25% $124,551.78 628 79.79% 8.594% 12 117 30,344,527.53 11.11 259,354.94 653 79.56 7.881 24 152 16,567,794.46 6.07 108,998.65 652 87.88 9.425 36 1,029 176,283,505.65 64.57 171,315.36 633 76.65 7.628 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== 55 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY LIEN TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ First Lien 1,477 $ 257,052,833.30 94.15% $174,037.12 634 76.88% 7.743% Second Lien 221 15,963,706.98 5.85 72,233.97 663 99.93 11.142 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,698 $ 273,016,540.28 100.00% $160,787.13 635 78.23% 7.941% ==================================================================================================================================== 56 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 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: $349,866,176.94 NUMBER OF MORTGAGE LOANS: 1,154 AVERAGE SCHEDULED PRINCIPAL BALANCE: $303,176.93 WEIGHTED AVERAGE GROSS COUPON: 7.708% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 649 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 81.91% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 92.55% 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): 6.107% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.718% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.499% INTEREST ONLY LOANS: 100.00% SILENT SECONDS: 54.02% - -------------------------------------------------------------------------------- (1) Includes adjustable-rate Mortgage Loans only. (2) The original loan-to-value ("OLTV") of a first-lien mortgage 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 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 ("CLTV") of a mortgage 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 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. 57 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY PRODUCT TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 2/1 ARM 5Y-IO 1,130 $ 343,740,266.94 98.25% $304,194.93 649 81.97% 7.709% 3/1 ARM 5Y-IO 24 6,125,910.00 1.75 255,246.25 650 78.50 7.624 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT GROSS MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 5.501--6.000 18 $ 5,890,888.68 1.68% $327,271.59 643 75.95% 5.852% 6.001--6.500 50 17,507,495.06 5.00 350,149.90 669 78.59 6.347 6.501--7.000 163 55,215,122.88 15.78 338,743.09 657 80.42 6.824 7.001--7.500 225 69,532,809.09 19.87 309,034.71 651 81.62 7.270 7.501--8.000 311 93,008,452.08 26.58 299,062.55 647 81.84 7.772 8.001--8.500 182 49,295,378.89 14.09 270,853.73 644 82.81 8.274 8.501--9.000 130 35,108,725.82 10.03 270,067.12 640 83.19 8.748 9.001--9.500 49 15,039,471.49 4.30 306,927.99 640 85.23 9.271 9.501--10.000 19 6,838,351.96 1.95 359,913.26 642 87.65 9.720 10.001--10.500 5 2,001,315.99 0.57 400,263.20 635 91.50 10.256 10.501--11.000 2 428,165.00 0.12 214,082.50 695 95.00 10.742 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== 58 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL MORTGAGE LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 50,000.01--100,000.00 35 $ 3,095,167.73 0.88% $ 88,433.36 638 79.67% 8.023% 100,000.01--150,000.00 131 16,673,577.59 4.77 127,279.22 632 80.06 7.973 150,000.01--200,000.00 151 26,608,927.48 7.61 176,218.06 641 80.30 7.922 200,000.01--250,000.00 171 38,271,433.28 10.94 223,809.55 642 81.07 7.753 250,000.01--300,000.00 135 36,918,837.97 10.55 273,472.87 648 82.38 7.723 300,000.01--350,000.00 109 35,608,406.21 10.18 326,682.63 643 82.49 7.511 350,000.01--400,000.00 113 42,466,983.35 12.14 375,814.01 650 81.52 7.596 400,000.01--450,000.00 106 45,019,072.77 12.87 424,708.23 657 82.22 7.520 450,000.01--500,000.00 100 47,700,174.52 13.63 477,001.75 653 81.23 7.639 500,000.01--550,000.00 52 27,178,501.17 7.77 522,663.48 660 82.86 7.700 550,000.01--600,000.00 31 17,810,458.88 5.09 574,530.93 655 84.60 8.057 600,000.01--650,000.00 20 12,514,635.99 3.58 625,731.80 648 84.91 8.031 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT UNPAID PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 50,000.01--100,000.00 35 $ 3,095,167.73 0.88% $ 88,433.36 638 79.67% 8.023% 100,000.01--150,000.00 131 16,673,577.59 4.77 127,279.22 632 80.06 7.973 150,000.01--200,000.00 151 26,608,927.48 7.61 176,218.06 641 80.30 7.922 200,000.01--250,000.00 171 38,271,433.28 10.94 223,809.55 642 81.07 7.753 250,000.01--300,000.00 135 36,918,837.97 10.55 273,472.87 648 82.38 7.723 300,000.01--350,000.00 109 35,608,406.21 10.18 326,682.63 643 82.49 7.511 350,000.01--400,000.00 113 42,466,983.35 12.14 375,814.01 650 81.52 7.596 400,000.01--450,000.00 106 45,019,072.77 12.87 424,708.23 657 82.22 7.520 450,000.01--500,000.00 100 47,700,174.52 13.63 477,001.75 653 81.23 7.639 500,000.01--550,000.00 52 27,178,501.17 7.77 522,663.48 660 82.86 7.700 550,000.01--600,000.00 31 17,810,458.88 5.09 574,530.93 655 84.60 8.057 600,000.01--650,000.00 20 12,514,635.99 3.58 625,731.80 648 84.91 8.031 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== 59 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY REMAINING TERM TO MATURITY - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 301--360 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL TERM TO MATURITY - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 301--360 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 35.01--40.00 1 $ 249,860.33 0.07% $249,860.33 665 40.00% 8.500% 40.01--45.00 3 896,999.99 0.26 299,000.00 637 42.33 6.957 45.01--50.00 4 756,000.00 0.22 189,000.00 623 48.28 6.909 50.01--55.00 8 2,111,000.70 0.60 263,875.09 643 52.26 6.900 55.01--60.00 6 2,759,999.99 0.79 460,000.00 641 59.11 7.842 60.01--65.00 13 2,645,899.99 0.76 203,530.77 621 63.21 7.101 65.01--70.00 21 6,710,900.24 1.92 319,566.68 629 68.30 6.983 70.01--75.00 36 11,586,890.26 3.31 321,858.06 638 74.02 7.236 75.01--80.00 724 206,524,795.33 59.03 285,255.24 657 79.92 7.671 80.01--85.00 102 35,911,951.23 10.26 352,077.95 638 84.23 7.472 85.01--90.00 151 51,119,456.46 14.61 338,539.45 638 89.58 8.034 90.01--95.00 85 28,592,422.42 8.17 336,381.44 637 94.74 8.189 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== 60 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS COMBINED LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 35.01--40.00 1 $ 249,860.33 0.07% $249,860.33 665 40.00% 8.500% 40.01--45.00 3 896,999.99 0.26 299,000.00 637 42.33 6.957 45.01--50.00 4 756,000.00 0.22 189,000.00 623 48.28 6.909 50.01--55.00 8 2,111,000.70 0.60 263,875.09 643 52.26 6.900 55.01--60.00 6 2,759,999.99 0.79 460,000.00 641 59.11 7.842 60.01--65.00 13 2,645,899.99 0.76 203,530.77 621 63.21 7.101 65.01--70.00 21 6,710,900.24 1.92 319,566.68 629 68.30 6.983 70.01--75.00 36 11,586,890.26 3.31 321,858.06 638 74.02 7.236 75.01--80.00 76 22,272,649.69 6.37 293,061.18 637 79.36 7.180 80.01--85.00 90 32,473,327.13 9.28 360,814.75 637 84.23 7.399 85.01--90.00 151 51,963,096.96 14.85 344,126.47 639 89.16 7.996 90.01--95.00 94 30,672,974.40 8.77 326,308.24 637 94.08 8.174 95.01--100.00 651 184,766,577.26 52.81 283,819.63 659 80.08 7.745 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY STATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ CA 529 $ 204,562,868.24 58.47% $386,697.29 654 81.68% 7.589% FL 115 26,750,185.58 7.65 232,610.31 646 81.21 7.943 AZ 64 15,735,063.54 4.50 245,860.37 638 82.49 7.736 NY 30 11,579,019.92 3.31 385,967.33 666 81.37 7.430 NJ 37 10,320,386.74 2.95 278,929.37 650 82.44 8.010 NV 41 9,529,716.55 2.72 232,432.11 653 82.52 7.945 WA 36 8,836,560.69 2.53 245,460.02 633 83.78 7.710 MA 19 7,135,949.97 2.04 375,576.31 628 84.49 8.199 MD 24 6,282,999.91 1.80 261,791.66 628 83.70 7.797 IL 23 5,191,263.28 1.48 225,707.10 637 80.51 7.876 MN 24 4,810,675.05 1.38 200,444.79 639 82.31 7.737 CO 21 4,579,120.00 1.31 218,053.33 640 82.89 7.553 GA 24 4,083,140.95 1.17 170,130.87 639 83.07 8.006 OR 21 3,923,016.19 1.12 186,810.29 647 82.79 8.008 HI 8 3,322,199.10 0.95 415,274.89 644 84.75 8.063 Other 138 23,224,011.23 6.64 168,289.94 634 81.44 8.031 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== 61 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Investment Property 1 $ 204,300.00 0.06% $204,300.00 658 90.00% 9.375% Primary Residence 1,105 337,604,794.50 96.50 305,524.70 648 81.93 7.692 Second Home 48 12,057,082.44 3.45 251,189.22 665 81.42 8.112 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY PROPERTY TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ One Family 822 $ 252,752,741.12 72.24% $307,485.09 649 82.10% 7.656% Pud-Detached 139 39,666,132.15 11.34 285,367.86 640 82.62 7.789 Condo 122 34,014,883.50 9.72 278,810.52 643 80.48 7.969 2-4 Unit 45 18,115,719.90 5.18 402,571.55 673 80.72 7.779 Pud-Attached 26 5,316,700.27 1.52 204,488.47 653 80.91 7.650 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY LOAN PURPOSE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Purchase 651 $ 188,437,604.24 53.86% $289,458.69 659 81.24% 7.799% Cash Out 385 126,122,132.72 36.05 327,589.96 637 83.00 7.589 Rate/Term 118 35,306,439.98 10.09 299,207.12 639 81.62 7.648 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== 62 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY DOCUMENTATION TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Full Documentation 736 $ 200,074,265.23 57.19% $271,840.03 638 81.71% 7.405% Limited Documentation 37 12,079,011.45 3.45 326,459.77 635 82.94 7.459 Stated Documentation 381 137,712,900.26 39.36 361,451.18 666 82.13 8.169 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY CREDIT SCORE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CREDIT SCORE RANGE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 551--575 1 $ 538,000.00 0.15% $538,000.00 572 89.67% 6.990% 576--600 113 28,629,736.17 8.18 253,360.50 590 81.02 7.937 601--625 285 81,663,037.08 23.34 286,536.97 614 83.11 7.799 626--650 328 98,650,092.57 28.20 300,762.48 637 81.74 7.721 651--675 190 59,542,674.98 17.02 313,382.50 662 82.12 7.719 676--700 114 39,726,305.56 11.35 348,476.36 687 81.52 7.678 701--725 60 20,710,149.94 5.92 345,169.17 711 80.22 7.358 726--750 36 11,097,310.22 3.17 308,258.62 736 80.59 7.305 751--775 18 5,812,590.44 1.66 322,921.69 764 81.76 7.503 776--800 6 2,453,519.99 0.70 408,920.00 787 80.00 7.071 801--825 3 1,042,759.99 0.30 347,586.66 811 81.73 7.764 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PREPAYMENT PENALTY TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0 212 $ 65,713,792.36 18.78% $309,970.72 651 82.07% 8.532% 12 72 23,505,676.64 6.72 326,467.73 649 81.75 7.905 24 858 257,216,097.94 73.52 299,785.66 648 81.95 7.483 36 12 3,430,610.00 0.98 285,884.17 640 77.59 7.440 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== 63 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY INITIAL INTEREST RATE CAP - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS INITIAL CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 1.000 4 $ 1,031,640.00 0.29% $257,910.00 630 82.27% 8.976% 1.500 651 195,281,616.25 55.82 299,971.76 640 82.42 7.737 2.000 499 153,552,920.69 43.89 307,721.28 660 81.27 7.662 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY PERIODIC INTEREST RATE CAP - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PERIODIC CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 1.000 4 $ 1,031,640.00 0.29% $257,910.00 630 82.27% 8.976% 1.500 1,150 348,834,536.94 99.71 303,334.38 649 81.91 7.704 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY GROSS MARGIN - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ARM MARGIN (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 5.001--6.000 307 $ 97,736,598.72 27.94% $318,360.26 655 82.24% 7.535% 6.001--7.000 846 251,772,578.22 71.96 297,603.52 646 81.78 7.775 7.001--8.000 1 357,000.00 0.10 357,000.00 610 85.00 7.650 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== 64 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY MAXIMUM MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS MAXIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 12.001--13.000 18 $ 5,890,888.68 1.68% $327,271.59 643 75.95% 5.852% 13.001--14.000 213 72,722,617.94 20.79 341,420.74 660 79.98 6.709 14.001--15.000 539 163,419,901.17 46.71 303,190.91 649 81.74 7.564 15.001--16.000 310 83,678,464.71 23.92 269,930.53 642 83.00 8.470 16.001--17.000 67 21,724,823.45 6.21 324,251.10 640 85.96 9.407 17.001--18.000 7 2,429,480.99 0.69 347,068.71 646 92.12 10.342 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY MINIMUM MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS MINIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 5.001--6.000 7 $ 2,123,239.19 0.61% $303,319.88 661 78.92% 5.909% 6.001--7.000 224 76,490,267.43 21.86 341,474.41 658 79.70 6.665 7.001--8.000 536 162,541,261.17 46.46 303,248.62 649 81.75 7.557 8.001--9.000 312 84,404,104.71 24.12 270,525.98 642 82.97 8.471 9.001--10.000 68 21,877,823.45 6.25 321,732.70 640 85.99 9.411 10.001--11.000 7 2,429,480.99 0.69 347,068.71 646 92.12 10.342 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS INITIAL INTEREST RATE ADJUSTMENT DATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ February 1, 2008 1 $ 165,702.95 0.05% $165,702.95 657 80.00% 7.250% March 1, 2008 12 5,275,470.81 1.51 439,622.57 624 82.56 6.925 April 1, 2008 33 9,953,207.12 2.84 301,612.34 629 85.09 7.249 May 1, 2008 130 36,578,653.28 10.46 281,374.26 633 83.21 7.560 June 1, 2008 610 186,703,806.62 53.36 306,071.81 649 81.98 7.779 July 1, 2008 344 105,063,426.16 30.03 305,416.94 658 81.22 7.721 May 1, 2009 1 428,000.00 0.12 428,000.00 631 80.00 7.850 July 1, 2009 23 5,697,910.00 1.63 247,735.22 651 78.39 7.607 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== 65 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY LIEN TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ First Lien 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,154 $ 349,866,176.94 100.00% $303,176.93 649 81.91% 7.708% ==================================================================================================================================== 66 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 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: $819,361,097.69 NUMBER OF MORTGAGE LOANS: 3,381 AVERAGE SCHEDULED PRINCIPAL BALANCE: $242,342.83 WEIGHTED AVERAGE GROSS COUPON: 8.218% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 610 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 79.77% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 84.87% 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): 6.215% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.842% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.500% INTEREST ONLY LOANS: 0.00% SILENT SECONDS: 26.51% - -------------------------------------------------------------------------------- (1) Includes adjustable-rate Mortgage Loans only. (2) The original loan-to-value ("OLTV") of a first-lien mortgage 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 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 ("CLTV") of a mortgage 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 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. 67 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY PRODUCT TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 40/30 2/1 ARM 2,645 $ 646,592,846.24 78.91% $244,458.54 606 80.37% 8.350% 40/30 3/1 ARM 175 38,362,507.30 4.68 219,214.33 606 78.93 8.102 40/30 Fixed 561 134,405,744.15 16.40 239,582.43 635 77.16 7.614 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT GROSS MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 5.501--6.000 20 $ 5,624,602.88 0.69% $281,230.14 642 73.58% 5.806% 6.001--6.500 129 39,171,761.83 4.78 303,657.07 660 71.82 6.384 6.501--7.000 270 77,126,726.02 9.41 285,654.54 636 75.52 6.825 7.001--7.500 370 102,234,755.00 12.48 276,310.15 627 79.38 7.295 7.501--8.000 640 165,210,692.12 20.16 258,141.71 618 79.48 7.798 8.001--8.500 489 121,031,003.99 14.77 247,507.17 609 80.31 8.294 8.501--9.000 584 131,224,585.69 16.02 224,699.63 594 80.81 8.782 9.001--9.500 329 71,394,809.01 8.71 217,005.50 588 82.56 9.272 9.501--10.000 313 63,999,641.25 7.81 204,471.70 579 83.50 9.752 10.001--10.500 127 24,160,771.45 2.95 190,242.29 583 84.22 10.264 10.501--11.000 73 12,595,916.90 1.54 172,546.81 587 84.38 10.753 11.001--11.500 19 3,416,740.55 0.42 179,828.45 574 78.11 11.271 11.501--12.000 11 1,172,533.88 0.14 106,593.99 542 58.16 11.732 12.001--12.500 6 914,562.48 0.11 152,427.08 524 69.90 12.316 12.501--13.000 1 81,994.64 0.01 81,994.64 508 56.55 12.825 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== 68 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL MORTGAGE LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 6 $ 298,812.80 0.04% $ 49,802.13 554 66.64% 9.817% 50,000.01--100,000.00 339 27,117,714.01 3.31 79,993.26 596 78.40 8.936 100,000.01--150,000.00 606 76,656,452.65 9.36 126,495.80 599 77.99 8.594 150,000.01--200,000.00 563 98,631,636.46 12.04 175,189.41 600 77.25 8.427 200,000.01--250,000.00 527 118,239,863.69 14.43 224,364.07 601 78.84 8.273 250,000.01--300,000.00 400 109,925,958.86 13.42 274,814.90 609 79.19 8.150 300,000.01--350,000.00 260 84,303,811.12 10.29 324,245.43 609 80.19 8.269 350,000.01--400,000.00 239 89,453,798.46 10.92 374,283.68 614 80.90 8.022 400,000.01--450,000.00 158 67,426,332.31 8.23 426,748.94 623 80.93 8.040 450,000.01--500,000.00 138 65,915,981.10 8.04 477,652.04 615 82.20 8.002 500,000.01--550,000.00 70 36,761,024.71 4.49 525,157.50 642 82.92 7.794 550,000.01--600,000.00 44 25,231,801.97 3.08 573,450.04 640 81.31 7.876 600,000.01--650,000.00 31 19,397,909.55 2.37 625,739.02 626 83.55 7.972 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT UNPAID PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 6 $ 298,812.80 0.04% $ 49,802.13 554 66.64% 9.817% 50,000.01--100,000.00 339 27,117,714.01 3.31 79,993.26 596 78.40 8.936 100,000.01--150,000.00 606 76,656,452.65 9.36 126,495.80 599 77.99 8.594 150,000.01--200,000.00 563 98,631,636.46 12.04 175,189.41 600 77.25 8.427 200,000.01--250,000.00 527 118,239,863.69 14.43 224,364.07 601 78.84 8.273 250,000.01--300,000.00 400 109,925,958.86 13.42 274,814.90 609 79.19 8.150 300,000.01--350,000.00 260 84,303,811.12 10.29 324,245.43 609 80.19 8.269 350,000.01--400,000.00 239 89,453,798.46 10.92 374,283.68 614 80.90 8.022 400,000.01--450,000.00 158 67,426,332.31 8.23 426,748.94 623 80.93 8.040 450,000.01--500,000.00 138 65,915,981.10 8.04 477,652.04 615 82.20 8.002 500,000.01--550,000.00 70 36,761,024.71 4.49 525,157.50 642 82.92 7.794 550,000.01--600,000.00 44 25,231,801.97 3.08 573,450.04 640 81.31 7.876 600,000.01--650,000.00 31 19,397,909.55 2.37 625,739.02 626 83.55 7.972 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== 69 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY REMAINING TERM TO MATURITY - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 301--360 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL TERM TO MATURITY - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 301--360 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 1 $ 75,964.64 0.01% $ 75,964.64 548 14.21% 8.725% 15.01--20.00 5 622,554.47 0.08 124,510.89 608 18.16 7.407 20.01--25.00 4 516,316.95 0.06 129,079.24 624 24.27 8.525 25.01--30.00 5 630,521.29 0.08 126,104.26 590 27.19 7.935 30.01--35.00 16 2,309,670.47 0.28 144,354.40 578 32.50 8.222 35.01--40.00 16 3,327,722.35 0.41 207,982.65 591 37.88 7.750 40.01--45.00 34 5,258,001.90 0.64 154,647.11 599 42.82 7.634 45.01--50.00 46 9,149,040.85 1.12 198,892.19 591 48.31 7.697 50.01--55.00 35 7,060,028.13 0.86 201,715.09 603 52.85 7.809 55.01--60.00 90 21,790,183.81 2.66 242,113.15 609 58.26 7.528 60.01--65.00 156 35,590,920.48 4.34 228,146.93 581 63.40 7.872 65.01--70.00 188 44,198,135.05 5.39 235,096.46 577 68.60 8.162 70.01--75.00 260 64,595,758.67 7.88 248,445.23 577 73.90 8.145 75.01--80.00 1,207 297,595,319.55 36.32 246,557.85 631 79.76 8.048 80.01--85.00 500 120,566,271.29 14.71 241,132.54 580 84.42 8.451 85.01--90.00 572 137,842,251.08 16.82 240,982.96 612 89.67 8.576 90.01--95.00 236 65,516,058.76 8.00 277,610.42 643 94.64 8.460 95.01--100.00 10 2,716,377.95 0.33 271,637.80 671 100.00 9.842 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== 70 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS COMBINED LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 1 $ 75,964.64 0.01% $ 75,964.64 548 14.21% 8.725% 15.01--20.00 5 622,554.47 0.08 124,510.89 608 18.16 7.407 20.01--25.00 4 516,316.95 0.06 129,079.24 624 24.27 8.525 25.01--30.00 5 630,521.29 0.08 126,104.26 590 27.19 7.935 30.01--35.00 16 2,309,670.47 0.28 144,354.40 578 32.50 8.222 35.01--40.00 16 3,327,722.35 0.41 207,982.65 591 37.88 7.750 40.01--45.00 34 5,258,001.90 0.64 154,647.11 599 42.82 7.634 45.01--50.00 43 8,487,329.30 1.04 197,379.75 584 48.25 7.738 50.01--55.00 37 7,581,872.66 0.93 204,915.48 610 52.61 7.756 55.01--60.00 90 21,790,183.81 2.66 242,113.15 609 58.26 7.528 60.01--65.00 152 35,151,929.93 4.29 231,262.70 581 63.39 7.868 65.01--70.00 187 43,471,457.14 5.31 232,467.69 577 68.56 8.176 70.01--75.00 256 64,134,731.59 7.83 250,526.30 576 73.90 8.136 75.01--80.00 397 97,564,488.34 11.91 245,754.38 583 79.24 8.262 80.01--85.00 455 112,111,287.57 13.68 246,398.43 580 84.33 8.435 85.01--90.00 552 135,045,508.05 16.48 244,647.66 613 89.61 8.550 90.01--95.00 274 71,902,128.72 8.78 262,416.53 639 93.71 8.475 95.01--100.00 857 209,379,428.51 25.55 244,316.72 653 80.45 8.004 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== DISTRIBUTION BY STATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ CA 796 $ 269,022,595.01 32.83% $337,968.08 617 77.69% 7.870% FL 495 101,014,793.40 12.33 204,070.29 603 78.89 8.486 NY 188 71,325,181.22 8.70 379,389.26 627 81.01 7.930 MA 135 39,270,170.88 4.79 290,890.15 610 80.90 8.196 NJ 149 39,147,722.30 4.78 262,736.39 618 81.83 8.434 AZ 193 37,998,766.59 4.64 196,884.80 605 79.28 8.276 MD 136 35,661,703.06 4.35 262,218.40 590 80.15 8.398 IL 140 27,299,129.81 3.33 194,993.78 601 81.63 8.499 WA 77 18,369,702.94 2.24 238,567.57 593 81.60 8.209 VA 79 17,342,380.54 2.12 219,523.80 590 80.06 8.524 NV 74 16,089,473.12 1.96 217,425.31 617 77.56 8.383 GA 92 14,102,786.93 1.72 153,291.16 599 83.64 8.994 OR 53 10,889,107.06 1.33 205,454.85 604 80.64 8.530 HI 28 10,662,791.48 1.30 380,813.98 650 78.83 7.529 CT 47 10,572,952.04 1.29 224,956.43 604 78.74 8.287 Other 699 100,591,841.31 12.28 143,908.21 602 83.19 8.691 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== 71 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Investment Property 254 $ 50,665,720.04 6.18% $199,471.34 645 87.28% 9.199% Primary Residence 3,033 747,733,065.60 91.26 246,532.50 607 79.23 8.143 Second Home 94 20,962,312.05 2.56 223,003.32 666 80.94 8.522 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== DISTRIBUTION BY PROPERTY TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ One Family 2,462 $ 580,452,889.78 70.84% $235,764.78 606 79.30% 8.191% Pud-Detached 354 92,028,580.17 11.23 259,967.74 612 80.17 8.274 2-4 Unit 226 74,915,487.95 9.14 331,484.46 629 81.01 8.147 Condo 240 50,492,929.03 6.16 210,387.20 629 80.92 8.411 Pud-Attached 97 21,186,636.70 2.59 218,418.94 617 83.94 8.496 Modular Home 2 284,574.06 0.03 142,287.03 605 65.84 7.876 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== DISTRIBUTION BY LOAN PURPOSE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Cash Out 1,880 $ 467,186,452.27 57.02% $248,503.43 591 77.52% 8.178% Purchase 1,172 276,667,618.05 33.77 236,064.52 642 83.14 8.365 Rate/Term 329 75,507,027.37 9.22 229,504.64 614 81.38 7.928 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== 72 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY DOCUMENTATION TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Full Documentation 2,174 $ 488,834,970.57 59.66% $224,855.09 595 79.81% 7.986% Limited Documentation 40 11,070,083.97 1.35 276,752.10 599 80.01 7.938 Stated Documentation 1,167 319,456,043.15 38.99 273,741.25 634 79.71 8.582 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== DISTRIBUTION BY CREDIT SCORE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CREDIT SCORE RANGE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 476--500 15 $ 3,319,260.33 0.41% $221,284.02 500 68.64% 9.018% 501--525 301 64,235,129.22 7.84 213,405.74 513 74.95 9.181 526--550 382 85,943,073.40 10.49 224,981.87 538 76.08 8.633 551--575 432 100,169,350.32 12.23 231,873.50 562 79.00 8.572 576--600 509 113,349,186.25 13.83 222,689.95 588 79.91 8.349 601--625 514 123,408,057.22 15.06 240,093.50 613 81.50 7.919 626--650 476 123,338,448.68 15.05 259,114.39 638 81.62 7.984 651--675 342 90,679,366.50 11.07 265,144.35 662 82.01 7.815 676--700 196 53,419,987.85 6.52 272,550.96 688 80.92 7.791 701--725 93 26,933,069.67 3.29 289,602.90 712 80.84 7.789 726--750 61 17,215,682.89 2.10 282,224.31 737 79.67 7.820 751--775 48 13,333,906.28 1.63 277,789.71 761 80.48 7.886 776--800 11 3,505,076.83 0.43 318,643.35 787 75.34 7.412 801--825 1 511,502.25 0.06 511,502.25 812 80.00 8.600 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PREPAYMENT PENALTY TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ 0 995 $ 255,147,522.67 31.14% $256,429.67 612 81.59% 8.659% 12 174 53,462,210.53 6.52 307,254.08 629 80.54 8.255 24 1,752 407,098,215.30 49.68 232,362.00 603 79.39 8.120 36 460 103,653,149.19 12.65 225,332.93 628 76.41 7.500 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== 73 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY INITIAL INTEREST RATE CAP - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS INITIAL CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Fixed 561 $ 134,405,744.15 16.40% $239,582.43 635 77.16% 7.614% 1.500 921 216,794,596.63 26.46 235,390.44 602 80.91 8.506 2.000 1,899 468,160,756.91 57.14 246,530.15 607 79.99 8.258 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== DISTRIBUTION BY PERIODIC INTEREST RATE CAP - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PERIODIC CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Fixed 561 $ 134,405,744.15 16.40% $239,582.43 635 77.16% 7.614% 1.500 2,820 684,955,353.54 83.60 242,891.97 606 80.29 8.336 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== DISTRIBUTION BY GROSS MARGIN - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ARM MARGIN (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Fixed 561 $ 134,405,744.15 16.40% $239,582.43 635 77.16% 7.614% 3.001--4.000 3 558,585.96 0.07 186,195.32 587 85.30 8.681 4.001--5.000 2 681,892.75 0.08 340,946.38 610 87.16 10.148 5.001--6.000 570 144,227,569.78 17.60 253,030.82 613 80.76 8.135 6.001--7.000 2,114 510,287,674.97 62.28 241,384.90 607 80.81 8.333 7.001--8.000 131 29,199,630.08 3.56 222,897.94 554 68.54 9.340 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== 74 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY MAXIMUM MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS MAXIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Fixed 561 $ 134,405,744.15 16.40% $239,582.43 635 77.16% 7.614% 12.001--13.000 20 5,624,602.88 0.69 281,230.14 642 73.58 5.806 13.001--14.000 236 67,264,369.63 8.21 285,018.52 631 75.75 6.710 14.001--15.000 832 220,755,138.32 26.94 265,330.70 619 79.34 7.617 15.001--16.000 943 227,497,632.38 27.77 241,248.81 600 80.63 8.558 16.001--17.000 577 124,500,548.53 15.19 215,772.18 584 83.20 9.495 17.001--18.000 180 34,399,834.27 4.20 191,110.19 586 84.51 10.438 18.001--19.000 27 4,125,246.50 0.50 152,786.91 568 74.22 11.357 19.001 >= 5 787,981.03 0.10 157,596.21 525 68.49 12.340 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== DISTRIBUTION BY MINIMUM MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS MINIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ Fixed 561 $ 134,405,744.15 16.40% $239,582.43 635 77.16% 7.614% 5.001--6.000 6 1,432,913.93 0.17 238,818.99 670 75.55 5.676 6.001--7.000 247 70,489,586.39 8.60 285,382.94 632 75.70 6.656 7.001--8.000 835 221,721,610.51 27.06 265,534.86 619 79.28 7.614 8.001--9.000 943 227,497,632.38 27.77 241,248.81 600 80.63 8.558 9.001--10.000 577 124,500,548.53 15.19 215,772.18 584 83.20 9.495 10.001--11.000 180 34,399,834.27 4.20 191,110.19 586 84.51 10.438 11.001--12.000 27 4,125,246.50 0.50 152,786.91 568 74.22 11.357 12.001 >= 5 787,981.03 0.10 157,596.21 525 68.49 12.340 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== 75 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC3 $1,561,439,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES JULY 31, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS INITIAL INTEREST RATE ADJUSTMENT DATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ January 1, 2008 1 $ 106,861.89 0.02% $106,861.89 777 80.00% 7.425% February 1, 2008 9 2,508,207.89 0.37 278,689.77 572 78.95 9.146 March 1, 2008 16 3,894,360.43 0.57 243,397.53 572 75.15 8.746 April 1, 2008 90 23,434,346.60 3.42 260,381.63 607 80.33 8.232 May 1, 2008 112 28,916,583.69 4.22 258,183.78 606 83.95 8.676 June 1, 2008 637 160,269,774.39 23.40 251,600.90 601 80.98 8.481 July 1, 2008 1,780 427,462,711.35 62.41 240,147.59 608 79.95 8.278 April 1, 2009 1 289,413.70 0.04 289,413.70 610 95.00 7.990 June 1, 2009 9 1,937,707.16 0.28 215,300.80 626 80.93 8.114 July 1, 2009 165 36,135,386.44 5.28 219,002.34 605 78.69 8.102 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 2,820 $ 684,955,353.54 100.00% $242,891.97 606 80.29% 8.336% ==================================================================================================================================== DISTRIBUTION BY LIEN TYPE - ------------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------------ First Lien 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,381 $ 819,361,097.69 100.00% $242,342.83 610 79.77% 8.218% ==================================================================================================================================== 76 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering.