Carrington Mortgage Loan Trust, Series 2006-NC3 Inactive
Filed: 7 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 COMPUTATIONAL MATERIALS $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 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO OPTIONAL REDEMPTION - -------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION* - ------------------------------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC - ------------------------------------------------------------------------------------- CLASS A-1 - ------------------------------------------------------------------------------------- WAL 17.14 1.55 1.00 0.76 0.64 Principal Window 1 - 293 1 - 32 1 - 20 1 - 14 1 - 11 Principal Window End 01/25/2031 04/25/2009 04/25/2008 10/25/2007 07/25/2007 - ------------------------------------------------------------------------------------- CLASS A-2 - ------------------------------------------------------------------------------------- WAL 26.80 3.84 2.00 1.55 1.21 Principal Window 293 - 354 32 - 70 20 - 28 14 - 22 11 - 17 Principal Window End 02/25/2036 06/25/2012 12/25/2008 06/25/2008 01/25/2008 - ------------------------------------------------------------------------------------- CLASS A-3 - ------------------------------------------------------------------------------------- WAL 29.89 8.48 3.00 1.95 1.64 Principal Window 354 - 359 70 - 148 28 - 70 22 - 24 17 - 21 Principal Window End 07/25/2036 12/25/2018 06/25/2012 08/25/2008 05/25/2008 - ------------------------------------------------------------------------------------- CLASS A-4 - ------------------------------------------------------------------------------------- WAL 29.96 12.85 6.11 2.13 1.88 Principal Window 359 - 359 148 - 154 70 - 73 24 - 26 21 - 23 Principal Window End 07/25/2036 06/25/2019 09/25/2012 10/25/2008 07/25/2008 - ------------------------------------------------------------------------------------- CLASS M-1 - ------------------------------------------------------------------------------------- WAL 29.54 8.48 5.09 2.38 2.02 Principal Window 329 - 359 49 - 154 51 - 73 26 - 30 23 - 25 Principal Window End 07/25/2036 06/25/2019 09/25/2012 02/25/2009 09/25/2008 - ------------------------------------------------------------------------------------- CLASS M-2 - ------------------------------------------------------------------------------------- WAL 29.54 8.48 4.65 2.80 2.21 Principal Window 329 - 359 49 - 154 45 - 73 30 - 36 25 - 28 Principal Window End 07/25/2036 06/25/2019 09/25/2012 08/25/2009 12/25/2008 - ------------------------------------------------------------------------------------- CLASS M-3 - ------------------------------------------------------------------------------------- WAL 29.54 8.48 4.50 3.41 2.41 Principal Window 329 - 359 49 - 154 43 - 73 36 - 43 28 - 29 Principal Window End 07/25/2036 06/25/2019 09/25/2012 03/25/2010 01/25/2009 - ------------------------------------------------------------------------------------- CLASS M-4 - ------------------------------------------------------------------------------------- WAL 29.54 8.48 4.44 3.63 2.57 Principal Window 329 - 359 49 - 154 41 - 73 43 - 43 29 - 32 Principal Window End 07/25/2036 06/25/2019 09/25/2012 03/25/2010 04/25/2009 * 85% CPR maximum in any given period. 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 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO OPTIONAL REDEMPTION - -------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION* - ------------------------------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC - ------------------------------------------------------------------------------------- CLASS M-5 - ------------------------------------------------------------------------------------- WAL 29.54 8.48 4.38 3.63 2.76 Principal Window 329 - 359 49 - 154 40 - 73 43 - 43 32 - 33 Principal Window End 07/25/2036 06/25/2019 09/25/2012 03/25/2010 05/25/2009 - ------------------------------------------------------------------------------------- CLASS M-6 - ------------------------------------------------------------------------------------- WAL 29.54 8.48 4.35 3.63 2.79 Principal Window 329 - 359 49 - 154 39 - 73 43 - 43 33 - 33 Principal Window End 07/25/2036 06/25/2019 09/25/2012 03/25/2010 05/25/2009 - ------------------------------------------------------------------------------------- CLASS M-7 - ------------------------------------------------------------------------------------- WAL 29.54 8.48 4.32 3.63 2.79 Principal Window 329 - 359 49 - 154 39 - 73 43 - 43 33 - 33 Principal Window End 07/25/2036 06/25/2019 09/25/2012 03/25/2010 05/25/2009 - ------------------------------------------------------------------------------------- CLASS M-8 - ------------------------------------------------------------------------------------- WAL 29.54 8.48 4.30 3.62 2.79 Principal Window 329 - 359 49 - 154 38 - 73 42 - 43 33 - 33 Principal Window End 07/25/2036 06/25/2019 09/25/2012 03/25/2010 05/25/2009 - ------------------------------------------------------------------------------------- CLASS M-9 - ------------------------------------------------------------------------------------- WAL 29.54 8.48 4.28 3.52 2.79 Principal Window 329 - 359 49 - 154 38 - 73 40 - 43 33 - 33 Principal Window End 07/25/2036 06/25/2019 09/25/2012 03/25/2010 05/25/2009 * 85% CPR maximum in any given period. 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 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY - -------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION* - ------------------------------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC - ------------------------------------------------------------------------------------- CLASS A-1 - ------------------------------------------------------------------------------------- WAL 17.14 1.55 1.00 0.76 0.64 Principal Window 1 - 293 1 - 32 1 - 20 1 - 14 1 - 11 Principal Window End 01/25/2031 04/25/2009 04/25/2008 10/25/2007 07/25/2007 - ------------------------------------------------------------------------------------- CLASS A-2 - ------------------------------------------------------------------------------------- WAL 26.80 3.84 2.00 1.55 1.21 Principal Window 293 - 354 32 - 70 20 - 28 14 - 22 11 - 17 Principal Window End 02/25/2036 06/25/2012 12/25/2008 06/25/2008 01/25/2008 - ------------------------------------------------------------------------------------- CLASS A-3 - ------------------------------------------------------------------------------------- WAL 29.89 8.48 3.00 1.95 1.64 Principal Window 354 - 359 70 - 148 28 - 70 22 - 24 17 - 21 Principal Window End 07/25/2036 12/25/2018 06/25/2012 08/25/2008 05/25/2008 - ------------------------------------------------------------------------------------- CLASS A-4 - ------------------------------------------------------------------------------------- WAL 29.96 17.27 8.44 2.13 1.88 Principal Window 359 - 359 148 - 327 70 - 174 24 - 26 21 - 23 Principal Window End 07/25/2036 11/25/2033 02/25/2021 10/25/2008 07/25/2008 - ------------------------------------------------------------------------------------- CLASS M-1 - ------------------------------------------------------------------------------------- WAL 29.54 9.42 5.58 2.38 2.02 Principal Window 329 - 359 49 - 295 51 - 151 26 - 30 23 - 25 Principal Window End 07/25/2036 03/25/2031 03/25/2019 02/25/2009 09/25/2008 - ------------------------------------------------------------------------------------- CLASS M-2 - ------------------------------------------------------------------------------------- WAL 29.54 9.39 5.12 2.80 2.21 Principal Window 329 - 359 49 - 282 45 - 142 30 - 36 25 - 28 Principal Window End 07/25/2036 02/25/2030 06/25/2018 08/25/2009 12/25/2008 - ------------------------------------------------------------------------------------- CLASS M-3 - ------------------------------------------------------------------------------------- WAL 29.54 9.35 4.95 6.05 2.41 Principal Window 329 - 359 49 - 266 43 - 132 36 - 108 28 - 29 Principal Window End 07/25/2036 10/25/2028 08/25/2017 08/25/2015 01/25/2009 - ------------------------------------------------------------------------------------- CLASS M-4 - ------------------------------------------------------------------------------------- WAL 29.54 9.32 4.87 5.82 2.57 Principal Window 329 - 359 49 - 259 41 - 129 59 - 83 29 - 32 Principal Window End 07/25/2036 03/25/2028 05/25/2017 07/25/2013 04/25/2009 * 85% CPR maximum in any given 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 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY - -------------------------------------------------------------------------------- PERCENTAGE OF PREPAYMENT ASSUMPTION* - ------------------------------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC - ------------------------------------------------------------------------------------- CLASS M-5 - ------------------------------------------------------------------------------------- WAL 29.54 9.28 4.78 4.72 2.78 Principal Window 329 - 359 49 - 247 40 - 121 51 - 73 32 - 34 Principal Window End 07/25/2036 03/25/2027 09/25/2016 09/25/2012 06/25/2009 - ------------------------------------------------------------------------------------- CLASS M-6 - ------------------------------------------------------------------------------------- WAL 29.54 9.23 4.73 4.30 2.97 Principal Window 329 - 359 49 - 235 39 - 115 47 - 69 34 - 36 Principal Window End 07/25/2036 03/25/2026 03/25/2016 05/25/2012 08/25/2009 - ------------------------------------------------------------------------------------- CLASS M-7 - ------------------------------------------------------------------------------------- WAL 29.54 9.16 4.66 4.03 5.05 Principal Window 329 - 359 49 - 224 39 - 109 44 - 66 36 - 75 Principal Window End 07/25/2036 04/25/2025 09/25/2015 02/25/2012 11/25/2012 - ------------------------------------------------------------------------------------- CLASS M-8 - ------------------------------------------------------------------------------------- WAL 29.54 9.07 4.60 3.84 4.38 Principal Window 329 - 359 49 - 211 38 - 102 42 - 61 49 - 56 Principal Window End 07/25/2036 03/25/2024 02/25/2015 09/25/2011 04/25/2011 - ------------------------------------------------------------------------------------- CLASS M-9 - ------------------------------------------------------------------------------------- WAL 29.54 8.94 4.51 3.67 3.89 Principal Window 329 - 359 49 - 199 38 - 95 40 - 57 44 - 49 Principal Window End 07/25/2036 03/25/2023 07/25/2014 05/25/2011 09/25/2010 * 85% CPR maximum in any given period. 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 - -------------------------------------------------------------------------------- NET WAC RATE -------------------------- PERIOD NET WAC RATE -------------------------- 1 5.02 2 7.69 3 7.44 4 7.69 5 7.44 6 7.44 7 8.24 8 7.44 9 7.69 10 7.44 11 7.69 12 7.44 13 7.44 14 7.69 15 7.44 16 7.69 17 7.44 18 7.44 19 7.95 20 7.44 21 7.68 22 7.44 23 8.40 24 8.72 25 8.69 26 8.96 27 8.66 28 8.95 29 9.17 30 9.60 31 10.62 32 9.58 33 9.89 34 9.57 35 10.03 36 9.88 37 9.87 38 10.19 39 9.85 40 10.17 41 9.84 42 9.89 43 10.94 44 9.87 45 10.19 46 9.85 47 10.17 48 9.84 49 9.83 50 10.15 51 9.81 52 10.13 53 9.79 54 9.78 55 10.82 56 9.76 57 10.07 58 9.74 59 10.05 60 9.72 61 9.71 62 10.02 63 9.68 64 10.00 65 9.66 66 9.65 67 10.31 68 9.63 69 9.94 70 9.61 71 9.92 72 9.58 73 9.57 Assumptions: Static Indices: 1mL= 5.37% 6mL=5.56% 10% Optional Cleanup Call Based On Pricing Prepayment Assumption Calculated without regard to any net swap payments due to the Swap Counterparty 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 - -------------------------------------------------------------------------------- CLASS A EFFECTIVE MAXIMUM RATE* -------------------------- PERIOD CLASS A AFC -------------------------- 1 12.50 2 12.50 3 12.50 4 12.50 5 12.50 6 12.50 7 12.50 8 12.50 9 12.50 10 12.50 11 12.50 12 12.50 13 12.50 14 12.50 15 12.50 16 12.50 17 12.50 18 12.50 19 12.50 20 12.50 21 12.50 22 12.50 23 12.50 24 12.50 25 12.50 26 12.50 27 12.50 28 12.50 29 12.50 30 12.50 31 12.50 32 12.50 33 12.50 34 12.50 35 12.50 36 12.50 37 12.50 38 12.50 39 12.50 40 12.50 41 12.50 42 12.50 43 12.50 44 12.50 45 12.50 46 12.50 47 12.50 48 12.50 49 12.50 50 12.50 51 12.50 52 12.50 53 12.50 54 12.50 55 12.50 56 12.50 57 12.50 58 12.50 59 12.50 60 12.50 61 12.50 62 12.50 63 12.50 64 12.50 65 12.50 66 12.50 67 12.50 68 12.50 69 12.50 70 12.50 71 12.50 72 12.50 73 12.50 *Assumptions: Static Indices: 1mL=20.0% 6mL=20.0% *10% Optional Cleanup Call Based On Pricing Prepayment Assumption *Includes any payments made from the Swap Agreement *The Class A Effective Maximum Rate is the lesser of (i) 12.50%, or (ii) an annual rate calculated by taking the maximum amount of funds available to pay interest to the Class A Certificates on the related Distribution date divided by the beginning Class A Certificate balance (adjusted for the actual number of days in the period). 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 - -------------------------------------------------------------------------------- CLASS M EFFECTIVE MAXIMUM RATE* -------------------------- PERIOD CLASS M AFC -------------------------- 1 12.50 2 12.50 3 12.50 4 12.50 5 12.50 6 12.50 7 12.50 8 12.50 9 12.50 10 12.50 11 12.50 12 12.50 13 12.50 14 12.50 15 12.50 16 12.50 17 12.50 18 12.50 19 12.50 20 12.50 21 12.50 22 12.50 23 12.50 24 12.50 25 12.50 26 12.50 27 12.50 28 12.50 29 12.50 30 12.50 31 12.50 32 12.50 33 12.50 34 12.50 35 12.50 36 12.50 37 12.50 38 12.50 39 12.50 40 12.50 41 12.50 42 12.50 43 12.50 44 12.50 45 12.50 46 12.50 47 12.50 48 12.50 49 12.50 50 12.50 51 12.50 52 12.50 53 12.50 54 12.50 55 12.50 56 12.50 57 12.50 58 12.50 59 12.50 60 12.50 61 12.50 62 12.50 63 12.50 64 12.50 65 12.50 66 12.50 67 12.50 68 12.50 69 12.50 70 12.50 71 12.50 72 12.50 73 12.50 *Assumptions: Static Indices: 1mL=20.0% 6mL=20.0% *10% Optional Cleanup Call Based On Pricing Prepayment Assumption *Includes any payments made from the Swap Agreement *The Class M Effective Maximum Rate is the lesser of (i) 12.50%, or (ii) an annual rate calculated by taking the maximum amount of funds available to pay interest to the Class M Certificates on the related Distribution date divided by the beginning Class M Certificate balance (adjusted for the actual number of days in the period). 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 - -------------------------------------------------------------------------------- ASSUMED MONTHLY EXCESS INTEREST ----------------------------------------- PERIOD STATIC LIBOR FORWARD LIBOR ----------------------------------------- 1 0.13 0.13 2 2.08 2.08 3 2.07 2.06 4 2.08 2.08 5 2.07 2.06 6 2.06 2.05 7 2.14 2.12 8 2.06 2.05 9 2.09 2.08 10 2.06 2.05 11 2.09 2.08 12 2.06 2.05 13 2.06 2.04 14 2.10 2.07 15 2.05 2.02 16 2.10 2.06 17 2.05 1.99 18 2.05 1.98 19 2.17 2.09 20 2.05 1.95 21 2.11 2.01 22 2.05 1.94 23 2.83 2.71 24 3.36 3.24 25 3.34 3.23 26 3.40 3.31 27 3.30 3.21 28 3.39 3.32 29 3.83 3.76 30 4.28 4.22 31 4.56 4.52 32 4.26 4.23 33 4.35 4.32 34 4.25 4.22 35 4.49 4.44 36 4.58 4.52 37 4.57 4.50 38 4.50 4.42 39 4.45 4.36 40 4.55 4.45 41 4.46 4.40 42 4.52 4.49 43 4.74 4.72 44 4.50 4.48 45 4.57 4.54 46 4.48 4.45 47 4.54 4.54 48 4.47 4.49 49 4.47 4.48 50 4.52 4.54 51 4.45 4.47 52 4.50 4.53 53 4.43 4.46 54 4.42 4.45 55 4.58 4.63 56 4.40 4.43 57 4.44 4.48 58 4.38 4.42 59 4.42 4.47 60 4.36 4.41 61 4.35 4.40 62 4.39 4.44 63 4.33 4.38 64 4.36 4.42 65 4.30 4.37 66 4.28 4.10 67 4.64 4.48 68 4.26 4.07 69 4.43 4.25 70 4.23 4.05 71 4.40 4.23 72 4.21 4.02 73 4.19 4.01 - -------------------------------------------------------------------------------- Assumptions: 1. Run at pricing prepayment assumption 2. Excess (30/360) 3. Static Indices: 1mL = 5.37%; 6mL = 5.56% 4. Forward 1mL used for Certificates, Forward 6mL used for collateral 5. 10% optional clean-up call 6. Takes into account net swap payments 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 - -------------------------------------------------------------------------------- BREAKEVEN (LAST CDR PRIOR TO 1ST DOLLAR LOSS) ---------------------------------------- CDR BE BOND RATE WAL CUM LOSS ---------------------------------------- M-1 34.43 4.85 23.26 M-2 24.57 5.97 18.79 M-3 22.05 8.17 17.46 M-4 18.19 8.02 15.22 M-5 15.60 9.03 13.58 M-6 13.74 10.00 12.32 M-7 11.91 10.37 11.00 M-8 10.63 11.40 10.03 M-9 8.95 11.23 8.70 ASSUMPTIONS: 1. Trigger event is always in effect 2. 40 % loss severity 3. 6 months lag 4. Pricing prepayment assumption 5. Certificates use 1-month LIBOR forward and collateral uses 6-month LIBOR forward 6. P&I advance 7. 10% optional clean-up call is not exercised 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.