Carrington Mortgage Loan Trust, Series 2006-FRE2 Inactive
Filed: 2 Oct 06, 12:00am
- -------------------------------------------------------------------------------- Free Writing Prospectus for Carrington Mortgage Loan Trust, Series 2006-FRE2 (filed pursuant to Rule 433; SEC file No. 333-134218) SUBJECT TO REVISION Dated October 2, 2006 [CCM Carrington Capital Management LOGO] MBS NEW ISSUE FREE WRITING PROSPECTUS $946,460,000 (APPROXIMATE) CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-FRE2 ASSET-BACKED PASS-THROUGH CERTIFICATES CARRINGTON SECURITIES, LP Sponsor FREMONT INVESTMENT & LOAN Originator & Servicer STANWICH ASSET ACCEPTANCE COMPANY, L.L.C. Depositor CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-FRE2 Issuing Entity OCTOBER 2, 2006 - -------------------------------------------------------------------------------- Barclays Capital Inc. [BARCLAYS CAPITAL LOGO] CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 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 1-888-227-2275 ext.2663. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- $946,460,000 (APPROXIMATE) CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-FRE2 ASSET-BACKED PASS-THROUGH CERTIFICATES CARRINGTON SECURITIES, LP Sponsor FREMONT INVESTMENT & LOAN Originator & Servicer STANWICH ASSET ACCEPTANCE COMPANY, L.L.C. Depositor CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-FRE2 Issuing Entity TRANSACTION HIGHLIGHTS PRINCIPAL DISTRIBUTION INITIAL CREDIT OFFERED EXPECTED RATINGS AVG LIFE(2) WINDOW (2) SUPPORT (%) CLASSES BALANCE(3) DESCRIPTION(4) BENCHMARK (MOODY'S/S&P) CALL(1) / MAT CALL(1) / MAT (APPROXIMATE) - ------- ----------- -------------- --------- ---------------- ------------- ---------------------- -------------- A-1 161,706,000 FLT/SEN 1M LIBOR Aaa / AAA 0.97 / 0.97 1 - 19 / 1 - 19 22.05 A-2 103,414,000 FLT/SEN 1M LIBOR Aaa / AAA 2.00 / 2.00 19 - 28 / 19 - 28 22.05 A-3 124,822,000 FLT/SEN 1M LIBOR Aaa / AAA 3.00 / 3.00 28 - 56 / 28 - 56 22.05 A-4 95,375,000 FLT/SEN 1M LIBOR Aaa / AAA 5.78 / 7.14 56 - 73 / 56 - 167 22.05 A-5 280,000,000 FLT/SEN 1M LIBOR Aaa / AAA 1.37 / 1.37 1 - 28 / 1 - 28 22.05 M-1 43,690,000 FLT/MEZZ 1M LIBOR Aa1 / AA+ 4.65 / 5.10 45 - 73 / 45 - 141 17.60 M-2 31,909,000 FLT/MEZZ 1M LIBOR Aa2 / AA 4.5 / 4.93 43 - 73 / 43 - 133 14.35 M-3 18,654,000 FLT/MEZZ 1M LIBOR Aa3 / AA 4.43 / 4.84 42 - 73 / 42 - 127 12.45 M-4 17,182,000 FLT/MEZZ 1M LIBOR A1 / AA- 4.39 / 4.78 41 - 73 / 41 - 122 10.70 M-5 16,691,000 FLT/MEZZ 1M LIBOR A2 / A+ 4.35 / 4.73 40 - 73 / 40 - 118 9.00 M-6 15,709,000 FLT/MEZZ 1M LIBOR A3 / A 4.33 / 4.68 39 - 73 / 39 - 112 7.40 M-7 14,727,000 FLT/MEZZ 1M LIBOR Baa1 / A- 4.32 / 4.63 38 - 73 / 38 - 106 5.90 M-8 12,763,000 FLT/MEZZ 1M LIBOR Baa2 / BBB+ 4.29 / 4.55 38 - 73 / 38 - 99 4.60 M-9 9,818,000 FLT/MEZZ 1M LIBOR Baa3 / BBB 4.29 / 4.48 38 - 73 / 38 - 91 3.60 M-10(5) 9,819,000 FLT/MEZZ 1M LIBOR Ba1 / BBB- 4.27 / 4.36 37 - 73 / 37 - 84 2.60 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 of Class A Certificates and 1.5 times for any class of Mezzanine Certificates. 5. The Class M-10 Certificates are not offered hereby. PRICING PREPAYMENT ASSUMPTION 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; 50.0% CPR for months 23-27; 35.0% CPR for months 28 and thereafter. FIXED-RATE MORTGAGE LOANS: 4.6% 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- TRANSACTION OVERVIEW ISSUING ENTITY: Carrington Mortgage Loan Trust, Series 2006-FRE2. DEPOSITOR: Stanwich Asset Acceptance Company, L.L.C. SPONSOR: Carrington Securities, LP. ORIGINATOR & SERVICER: Fremont Investment & Loan. TRUSTEE & CUSTODIAN: Wells Fargo Bank, N.A. LEAD MANAGER: Barclays Capital Inc. CO-MANAGER: Bear, Stearns & Co. Inc. SELECTED DEALER: Carrington Investment Services, LLC, an affiliate of the Depositor and Sponsor. SWAP COUNTERPARTY: Swiss Re Financial Products Corporation. RESPONSIBLE PARTY: Fremont Investment & Loan, as 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 $765,317,000 senior floating-rate certificates consisting of the Class A-1, Class A-2, Class A-3, Class A-4 and Class A-5 Certificates (together, the "Class A Certificates") and approximately $181,143,000 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- MORTGAGE LOANS: As of September 1, 2006, the Mortgage Loans will consist of approximately 3,868 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 $981,804,849. As of the close of business on September 30, 2006, none of the Mortgage Loans (to be included in the mortgage pool as of the Closing Date) were 30 or more days delinquent in the payment of principal and/or interest. SILENT SECONDS: To Carrington Securities, LP's knowledge, approximately 35.53% 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 October 5, 2006. CLOSING DATE: On or about October 18, 2006. CUT-OFF DATE: October 1, 2006. STATISTICAL CUT-OFF DATE: September 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 November 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- PREPAYMENT PERIOD: The Prepayment Period with respect to any Distribution Date and principal prepayments in full is the period beginning on the 16th day of the calendar month immediately preceding the month in which the Distribution Date occurs to the 15th day of the then current calendar month and, with respect to principal prepayments in part, the preceding calendar month. 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 June 2010, the Class A-3 Certificates, Class A-4 Certificates, Class A-5 Certificates and 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, a Class A-5 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 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 THE Pursuant to the pooling and servicing CLASS CE CERTIFICATES: agreement, 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 ADVANCES: The Servicer is required to advance delinquent payments of principal and interest on the Mortgage Loans to the extent such amounts are deemed recoverable. The Servicer is entitled to be reimbursed for such advances, and therefore these advances are not a form of credit enhancement. SERVICING ADVANCES: The Servicer will pay all out-of-pocket costs related to its obligations, including, but not limited to: (i) expenses in connection with a foreclosed Mortgage Loan prior to the liquidation of such loan, (ii) the costs of any judicial proceedings, including foreclosures and (iii) the cost of managing and liquidating property acquired in relation to the Mortgage Loans, as long as it deems all such costs to be recoverable. The Servicer is entitled to be reimbursed for these advances, and therefore these advances are not a form of credit enhancement. COMPENSATING INTEREST: The Servicer is required to pay Compensating Interest up to the amount of the Servicing Fee to cover Prepayment Interest Shortfalls due to 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- OVERCOLLATERALIZATION AMOUNT: The Overcollateralization Amount with respect to any Distribution Date is the excess, if any, of (a) the aggregate principal balance of the Mortgage Loans (including Mortgage Loans related to any REO Property) as of the last day of the related Due Period over (b) the sum of the aggregate Certificate Principal Balance of the Class A Certificates, the Mezzanine Certificates and the Class P Certificates, after giving effect to distributions to be made on such Distribution Date. OVERCOLLATERALIZATION TARGET The Overcollateralization Target Amount with AMOUNT: respect to any Distribution Date is (a) prior to the Stepdown Date, an amount equal to 2.60% 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) 5.20% of the then current aggregate outstanding principal balance of the Mortgage Loans as of the last day of the related Due Period and (ii) the Overcollateralization Floor Amount; or (c) on or after the Stepdown Date and if a Trigger Event is in effect, the Overcollateralization Target Amount for the immediately preceding Distribution Date. Notwithstanding the foregoing, on and after any Distribution Date following the reduction of the aggregate Certificate Principal Balance of the Class A Certificates, Mezzanine Certificates and Class P Certificates to zero, the Overcollateralization Target Amount will be zero. OVERCOLLATERALIZATION FLOOR An amount equal to 0.50% of the aggregate AMOUNT: principal balance of the Mortgage Loans as of the Cut-off Date. OVERCOLLATERALIZATION INCREASE An Overcollateralization Increase Amount with AMOUNT: respect to any Distribution Date equals the lesser of (a) the 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 November 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 44.10%. CREDIT SUPPORT DEPLETION DATE: The first Distribution Date on which the 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT CREDIT ENHANCEMENT PERCENTAGE: The Credit Enhancement Percentage for any 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 AFTER INITIAL(%) STEPDOWN DATE(%) CLASS (APPROXIMATE) (APPROXIMATE) ----- ------------- --------------------- A 22.05 44.10 M-1 17.60 35.20 M-2 14.35 28.70 M-3 12.45 24.90 M-4 10.70 21.40 M-5 9.00 18.00 M-6 7.40 14.80 M-7 5.90 11.80 M-8 4.60 9.20 M-9 3.60 7.20 M-10 2.60 5.20 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 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 36.00% 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 ----------------- ------------------------------------- November 2009 3.50% for the first Distribution Date through in this period, plus an additional October 2010 1/12th of 2.00% for each Distribution Date thereafter November 2010 5.50% for the first Distribution Date through in this period, plus an additional October 2011 1/12th of 1.50% for each Distribution Date thereafter November 2011 7.00% for the first Distribution Date through in this period, plus an additional October 2012 1/12th of 0.90% for each Distribution Date thereafter November 2012 and thereafter 7.90% 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 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 free writing prospectus. In addition, after giving effect to all distributions on a Distribution Date, the amount of such Subsequent Recoveries will increase the Certificate Principal Balance first, of the Class A Certificates then outstanding, if a Realized Loss has been allocated to the Class A Certificates, on a pro-rata basis by the amount of such Subsequent Recoveries, and second, of the class of Mezzanine Certificates then outstanding with the highest distribution priority to which a Realized Loss was allocated. Thereafter, such class of Class A and Mezzanine Certificates will accrue interest on the increased Certificate Principal Balance. REO PROPERTY: REO Property is mortgaged property acquired by the Servicer through foreclosure or deed-in-lieu of foreclosure. ROLLING THREE-MONTH With respect to any Distribution Date, the DELINQUENCY AVERAGE: average aggregate principal balance of the Mortgage Loans delinquent 60 days or more (including Mortgage Loans that (i) are in foreclosure, (ii) have been converted to REO Properties or (iii) have been discharged due to bankruptcy) for each of the three (or one and two, in the case of the first and second Distribution Dates, respectively) immediately preceding months. DISTRIBUTION OF INTEREST INTEREST DISTRIBUTION On each Distribution Date, the Interest PRIORITY: Remittance Amount will be distributed in the following order of priority: 1) To the holders of each class of Class A Certificates, on a pro rata basis based on the entitlement of each such class, the Senior Interest Distribution Amount allocable to such class of Class A Certificates; and 2) Sequentially to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates in that order, the Interest Distribution Amount allocable to each such class. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- PRINCIPAL WATERFALL PRIOR TO STEPDOWN DATE OR IF A TRIGGER EVENT IS IN EFFECT PRINCIPAL DISTRIBUTION On each Distribution Date (a) prior to the PRIORITY: Stepdown Date or (b) on which a Trigger Event is in effect, the Principal Distribution Amount will be distributed in the following order of priority: 1) concurrently, on a pro rata basis (based on the Certificate Principal Balance of the Class A-5 Certificates, on the one hand, and the aggregate Certificate Principal Balance of the Class A-1 Certificates and Class A-2 Certificates, on the other hand), as follows; a. to the holders of the Class A-5 Certificates, until the Certificate Principal Balance of the Class A-5 Certificates has been reduced to zero; and b. sequentially, to the holders of the Class A-1 Certificates and Class A-2 Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero; 2) sequentially, to the holders of the Class A-3 Certificates and Class A-4 Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero; and 3) 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. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- 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) to the holders of the Class A-1 Certificates, Class A-2 Certificates, Class A-3 Certificates, Class A-4 Certificates and Class A-5 Certificates, up to an amount equal to the Class A Principal Distribution Amount, in the following order of priority: a. concurrently, on a pro rata basis (based on the Certificate Principal Balance of the Class A-5 Certificates, on the one hand, and the aggregate Certificate Principal Balance of the Class A-1 Certificates and Class A-2 Certificates, on the other hand), as follows: i. to the holders of the Class A-5 Certificates, until the Certificate Principal Balance of the Class A-5 Certificates has been reduced to zero; and ii. sequentially, to the holders of the Class A-1 Certificates and Class A-2 Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero; b. sequentially, to the holders of the Class A-3 Certificates and Class A-4 Certificates, in that order, until the Certificate Principal Balance of each such class 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. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- EXCESS CASHFLOW WATERFALL NET MONTHLY EXCESS CASHFLOW With respect to any Distribution Date, any Net DISTRIBUTIONS: Monthly Excess Cashflow shall be paid as follows: 1) To the holders of the class or classes of Class A Certificates and Mezzanine Certificates then entitled to receive distributions in respect of principal, in an amount equal to the Overcollateralization Increase Amount, distributable as part of the Principal Distribution Amount; 2) Sequentially to the 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, Class A-4 and Class A-5 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. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 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, to 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, Class A-4 and Class A-5 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, Allocated Realized Loss Amounts 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. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DERIVATIVES SWAP AGREEMENT: The Trustee, on behalf of the trust, will enter into an interest rate swap agreement with the Swap Counterparty. On the business day prior to 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 the extent of the principal portion of any Realized Losses) 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 Allocated Realized Loss Amounts 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 the business day prior to 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 the business day prior to 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 June 2010, 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 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DERIVATIVES will be paid on the business day prior to the related Distribution Date, and on the business day prior to any subsequent Distribution Dates until paid in full, prior to distributions to certificateholders, other than in the case of a Swap Termination Payment triggered upon a Swap Counterparty Trigger Event. The trust's obligation to pay amounts in respect of a Swap Termination Payment resulting from a Swap Counterparty Trigger Event will be subordinated to distributions to the holders of the Class A and Mezzanine Certificates. SWAP AGREEMENT NOTIONAL With respect to the Swap Agreement and each BALANCE: calculation period specified below, the related notional balance specified in the table below for such calculation period. The first calculation period will end on the day before the Distribution Date in November 2006 and the forty-fourth calculation period will end on the day before the Distribution Date in June 2010: NOTIONAL PERIOD BALANCE ($)(1) ------ -------------- 1 939,098,000.00 2 932,394,877.77 3 922,472,737.53 4 909,291,647.03 5 892,841,166.72 6 873,140,593.50 7 850,240,551.98 8 824,224,238.07 9 795,208,258.05 10 763,345,375.46 11 728,885,000.64 12 692,355,196.41 13 657,520,151.64 14 624,347,975.83 15 592,758,854.74 16 562,676,820.52 17 534,029,565.86 18 506,748,267.02 19 480,767,415.57 20 456,009,396.51 21 432,010,290.04 22 407,154,536.89 23 362,474,396.31 24 322,326,074.09 25 286,462,204.16 26 254,568,274.54 27 226,941,810.50 28 211,779,708.11 29 197,588,932.23 30 184,213,218.84 31 171,618,470.89 32 159,744,544.48 33 148,549,338.53 34 137,993,248.81 35 128,039,018.95 36 118,651,586.97 37 109,798,090.73 38 109,798,090.73 39 109,798,090.73 40 109,798,090.73 41 109,798,090.73 42 105,196,936.77 43 99,497,897.38 44 94,119,637.52 (1) Approximate, subject to the variance in the outstanding principal balance of the mortgage loans described in footnote 3 under the table entitled "Transaction Highlights" on page 2 above. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DERIVATIVES PAYMENTS UNDER THE SWAP Pursuant to the Swap Agreement, amounts payable AGREEMENT: by 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 the business day prior to 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 (4) and (6) through (8), 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 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DERIVATIVES Distribution Date; 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 payment priority, the principal portion of any Allocated Realized Loss Amount 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 the business day prior to any Distribution Date on or prior to the Distribution Date in June 2010, an amount equal to the product of (x) a fixed rate equal to _____% 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 initial Distribution Date (on a 30/360 day count basis) 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 the business day prior to any Distribution Date on or prior to the Distribution Date in June 2010, 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 actual number of days in the related calculation period as provided in the Swap Agreement and the denominator of which is 360. SWAP COUNTERPARTY TRIGGER An "Event of Default" (as defined in the Swap 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DEFINITIONS ALLOCATED REALIZED LOSS An Allocated Realized Loss Amount with respect AMOUNT: to any class of Class A Certificates and Mezzanine Certificates and any Distribution Date will be an amount equal to (x) the sum of (i) any Realized Losses allocated to that class of certificates on the Distribution Date as described above under "Allocation of Losses" and (ii) any Allocated Realized Loss Amount for the class remaining unreimbursed from previous Distribution Dates minus (y) the amount of the increase in the related Certificate Principal Balance due to the receipt of Subsequent Recoveries. AVAILABLE DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the sum of the following amounts, net of certain expenses of the trust including (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 BALANCE: With respect to any class of Class A Certificates and Mezzanine Certificates and any date of determination, an amount equal to its initial certificate principal balance, reduced by the aggregate of (a) all amounts allocable to principal previously distributed with respect to that class of certificates and (b) with respect to any Class A Certificate and Mezzanine Certificate, any reductions in its certificate principal balance in connection with the allocation of Realized Losses in the manner described under "Allocation of Losses" above (taking into account any increases in the certificate principal balance thereof due to the receipt of Subsequent Recoveries). The Certificate Principal Balance of the Class CE Certificates as of any date of determination is equal to the excess, if any, of the then aggregate principal balance of the Mortgage Loans over the then aggregate Certificate Principal Balance of the Class A Certificates, the Mezzanine Certificates and the Class P Certificates. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS A PRINCIPAL DISTRIBUTION The Class A Principal Distribution Amount is an AMOUNT: amount equal to the excess of: o the aggregate Certificate Principal Balance of the Class A Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. CLASS M-1 PRINCIPAL The Class M-1 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date and (ii) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. CLASS M-2 PRINCIPAL The Class M-2 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date and (iii) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS M-3 PRINCIPAL The Class M-3 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date and (iv) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. CLASS M-4 PRINCIPAL The Class M-4 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date and (v) the Certificate Principal Balance of the Class M-4 Certificate immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS M-5 PRINCIPAL The Class M-5 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date and (vi) the Certificate Principal Balance of the Class M-5 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. CLASS M-6 PRINCIPAL The Class M-6 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date and (vii) the Certificate Principal Balance of the Class M-6 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS M-7 PRINCIPAL The Class M-7 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date, (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date and (viii) the Certificate Principal Balance of the Class M-7 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS M-8 PRINCIPAL The Class M-8 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date, (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date, (viii) the Certificate Principal Balance of the Class M-7 Certificates after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related Distribution Date and (ix) the Certificate Principal Balance of the Class M-8 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS M-9 PRINCIPAL The Class M-9 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date, (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date, (viii) the Certificate Principal Balance of the Class M-7 Certificates after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related Distribution Date, (ix) the Certificate Principal Balance of the Class M-8 Certificates after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related Distribution Date and (x) the Certificate Principal Balance of the Class M-9 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS M-10 PRINCIPAL The Class M-10 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date and (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date (viii) the Certificate Principal Balance of the Class M-7 Certificates after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related Distribution Date, (ix) the Certificate Principal Balance of the Class M-8 Certificates after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related Distribution Date, (x) the Certificate Principal Balance of the Class M-9 Certificates after taking into account the distribution of the Class M-9 Principal Distribution Amount on the related Distribution Date and (xi) the Certificate Principal Balance of the Class M-10 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. DETERMINATION DATE: The Determination Date with respect to any Distribution Date will be the 15th day of the calendar month in which such Distribution Date occurs or, if such 15th day is not a business day, the business day immediately preceding such 15th day. EXPENSE ADJUSTED MORTGAGE The Expense Adjusted Mortgage Rate for any RATE: Mortgage Loan and any Distribution Date will be a per annum rate equal to the then applicable mortgage rate for such Mortgage Loan as of the first day of the related Due Period minus the sum of the applicable Servicing Fee Rate and the Trustee Fee Rate. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 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 10.00% 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 AMOUNT: The Interest Carry Forward Amount with respect to any class of Class A Certificates and Mezzanine Certificates and any Distribution Date is equal to the amount, if any, by which the Interest Distribution Amount for that class of certificates for the immediately preceding Distribution Date exceeded the actual amount distributed on the certificates in respect of interest on the immediately preceding Distribution Date, together with any Interest Carry Forward Amount with respect to that class of certificates remaining undistributed from previous Distribution Dates, plus interest accrued thereon at the related Pass-Through Rate on the certificates for the most recently ended Interest Accrual Period. INTEREST DISTRIBUTION AMOUNT: The Interest Distribution Amount for the Class A Certificates and Mezzanine Certificates on any Distribution Date is equal to interest accrued during the related Interest Accrual Period on the Certificate Principal Balance of that class immediately prior to the Distribution Date at the Pass-Through Rate for that class, reduced (to not less than zero) by the allocable share, if any, for that class of Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the servicer and shortfalls resulting from the application of the Relief Act. INTEREST REMITTANCE AMOUNT: The Interest Remittance Amount for any Distribution Date is 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 CASH FLOW: The Net Monthly Excess Cash Flow for any Distribution Date is equal to the sum of (a) any Overcollateralization Reduction Amount and (b) the excess of: o the Available Distribution Amount for the related Distribution Date over o the sum for the related Distribution Date of the aggregate of (a) the Senior Interest Distribution Amount distributable to the holders of the Class A Certificates, (b) the Interest Distribution Amount distributable to the holders of the Mezzanine Certificates and (c) the Principal Remittance Amount. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 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 AMOUNT: For any Distribution Date and any Class A Certificates or Mezzanine Certificates, an amount equal to the sum of (i) the excess of (x) the amount of interest that would have accrued on such class of Certificates for such Distribution Date had the applicable Pass-Through Rate not been subject to the Net WAC Pass-Through Rate (not to exceed 12.50%), over (y) the amount of interest that accrued on such class of Certificates for such Distribution Date at the Net WAC Pass-Through Rate and (ii) the undistributed portion of any related Net WAC Carryover Amount from prior Distribution Dates together with interest accrued on such undistributed portion for the most recently ended Interest Accrual Period at the Formula Rate (not to exceed 12.50%) 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 SHORTFALLS: the 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- DEFINITIONS PRINCIPAL DISTRIBUTION AMOUNT: The Principal Distribution Amount for any Distribution Date will be an amount, not less than zero, equal to the sum of (i) the principal portion of all 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 AMOUNT: The Principal Remittance Amount for any Distribution Date is the sum of the amounts described in clauses (i) through (iii) of the definition of Principal Distribution Amount. SENIOR INTEREST DISTRIBUTION The Senior Interest Distribution Amount for any 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. PERCENTAGE(%) CLASS (APPROXIMATE) ----- ------------- A 55.90 M-1 64.80 M-2 71.30 M-3 75.10 M-4 78.60 M-5 82.00 M-6 85.20 M-7 88.20 M-8 90.80 M-9 92.80 M-10 94.80 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) COLLATERAL SUMMARY Statistics for the Mortgage Loans listed below are based on the Statistical Cut-off Date scheduled balances. SCHEDULED PRINCIPAL BALANCE: $981,804,848.97 NUMBER OF MORTGAGE LOANS: 3,868 AVERAGE SCHEDULED PRINCIPAL BALANCE: $253,827.52 WEIGHTED AVERAGE GROSS COUPON: 8.509% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 608 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 78.86% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 85.53% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 359 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 360 WEIGHTED AVERAGE ROLL TERM(1) (MONTHS): 25 WEIGHTED AVERAGE GROSS MARGIN(1): 6.148% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.500% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.500% INTEREST ONLY LOANS: 11.43% SILENT SECONDS: 35.53% (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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 2YR-ARM 1,620 $360,941,028.97 36.76% $222,803.10 596 75.79% 8.937% 2YR-ARM 40/30 1,241 381,554,118.66 38.86 307,456.99 613 81.14 8.375 2YR-ARM 5YR-IO 306 101,279,189.67 10.32 330,977.74 622 81.77 7.659 3YR-ARM 27 5,423,855.86 0.55 200,883.55 605 76.92 8.732 3YR-ARM 3YR-IO 12 4,102,500.00 0.42 341,875.00 635 78.95 6.944 3YR-ARM 40/30 35 9,768,328.33 0.99 279,095.10 632 82.58 8.196 3YR-ARM 5YR-IO 17 6,059,490.00 0.62 356,440.59 634 79.61 7.089 5YR-ARM 9 2,144,309.20 0.22 238,256.58 620 66.88 7.960 5YR-ARM 40/30 8 3,165,923.86 0.32 395,740.48 583 69.05 8.315 5YR-ARM 5YR-IO 2 807,250.00 0.08 403,625.00 625 85.07 7.516 Fixed 505 82,247,637.55 8.38 162,866.61 618 79.15 8.708 Fixed 40/30 86 24,311,216.87 2.48 282,688.57 619 76.65 7.938 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT GROSS MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 5.501--6.000 10 $ 5,334,523.42 0.54% $533,452.34 648 70.12% 5.935% 6.001--6.500 57 21,600,611.95 2.20 378,958.10 645 77.11 6.323 6.501--7.000 213 70,487,346.81 7.18 330,926.51 644 76.77 6.831 7.001--7.500 360 115,576,974.88 11.77 321,047.15 633 78.66 7.312 7.501--8.000 619 186,989,982.03 19.05 302,083.98 622 80.70 7.807 8.001--8.500 518 141,039,336.20 14.37 272,276.71 613 80.34 8.292 8.501--9.000 599 158,736,577.01 16.17 265,002.63 608 79.49 8.791 9.001--9.500 399 96,033,565.60 9.78 240,685.63 594 79.44 9.271 9.501--10.000 384 86,078,669.00 8.77 224,163.20 570 79.35 9.774 10.001--10.500 189 30,325,162.74 3.09 160,450.60 560 77.41 10.251 10.501--11.000 174 26,473,494.55 2.70 152,146.52 549 71.22 10.803 11.001--11.500 163 18,821,573.26 1.92 115,469.77 572 77.69 11.278 11.501--12.000 101 13,851,495.01 1.41 137,143.51 561 70.65 11.777 12.001--12.500 54 6,308,306.04 0.64 116,820.48 563 67.09 12.285 12.501--13.000 24 3,650,435.70 0.37 152,101.49 556 71.37 12.755 13.001--13.500 3 271,882.04 0.03 90,627.35 558 65.40 13.286 13.501--14.000 1 224,912.73 0.02 224,912.73 525 63.56 13.750 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL MORTGAGE LOAN MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ------------- -------- -------- -------- 0.01--50,000.00 94 $ 3,417,383.76 0.35% $ 36,355.15 624 90.00% 11.228% 50,000.01--100,000.00 456 35,191,483.17 3.58 77,174.31 597 78.20 9.919 100,000.01--150,000.00 621 77,856,768.66 7.93 125,373.22 600 76.59 9.080 150,000.01--200,000.00 668 117,933,415.68 12.01 176,547.03 596 75.67 8.786 200,000.01--250,000.00 493 110,795,893.68 11.28 224,738.12 602 77.43 8.669 250,000.01--300,000.00 382 104,911,209.23 10.69 274,636.67 603 77.61 8.613 300,000.01--350,000.00 300 96,706,423.17 9.85 322,354.74 608 79.85 8.432 350,000.01--400,000.00 223 83,989,713.47 8.55 376,635.49 617 79.83 8.223 400,000.01--450,000.00 177 75,728,379.58 7.71 427,843.95 607 81.04 8.357 450,000.01--500,000.00 128 60,978,637.27 6.21 476,395.60 616 80.90 8.187 500,000.01--550,000.00 88 46,040,915.04 4.69 523,192.22 617 81.08 8.163 550,000.01--600,000.00 57 32,711,265.10 3.33 573,881.84 619 82.67 8.046 600,000.01--650,000.00 48 30,050,610.48 3.06 626,054.39 622 84.40 8.179 650,000.01--700,000.00 39 26,347,054.16 2.68 675,565.49 619 82.03 8.014 700,000.01--750,000.00 25 18,225,328.74 1.86 729,013.15 614 81.39 8.122 750,000.01--800,000.00 38 29,869,487.07 3.04 786,039.13 615 78.25 8.316 800,000.01--850,000.00 7 5,822,655.47 0.59 831,807.92 620 80.38 7.704 850,000.01--900,000.00 7 6,212,426.63 0.63 887,489.52 629 77.34 7.615 900,000.01--950,000.00 3 2,772,857.12 0.28 924,285.71 640 66.58 7.276 950,000.01--1,000,000.00 6 5,901,759.35 0.60 983,626.56 660 72.98 7.069 1,000,000.01 >= 8 10,341,182.14 1.05 1,292,647.77 654 72.07 7.269 ----- --------------- ------ ------------- --- ----- ----- TOTAL: 3,868 $981,804,848.97 100.00% $ 253,827.52 608 78.86% 8.509% ===== =============== ====== ============= === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT UNPAID PRINCIPAL MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ------------- -------- -------- -------- 0.01--50,000.00 94 $ 3,417,383.76 0.35% $ 36,355.15 624 90.00% 11.228% 50,000.01--100,000.00 456 35,191,483.17 3.58 77,174.31 597 78.20 9.919 100,000.01--150,000.00 621 77,856,768.66 7.93 125,373.22 600 76.59 9.080 150,000.01--200,000.00 668 117,933,415.68 12.01 176,547.03 596 75.67 8.786 200,000.01--250,000.00 494 111,045,595.07 11.31 224,788.65 602 77.43 8.672 250,000.01--300,000.00 382 104,961,447.56 10.69 274,768.19 603 77.61 8.611 300,000.01--350,000.00 300 96,756,457.39 9.85 322,521.52 608 79.85 8.430 350,000.01--400,000.00 222 83,639,739.53 8.52 376,755.58 617 79.82 8.221 400,000.01--450,000.00 177 75,728,379.58 7.71 427,843.95 607 81.04 8.357 450,000.01--500,000.00 128 60,978,637.27 6.21 476,395.60 616 80.90 8.187 500,000.01--550,000.00 88 46,040,915.04 4.69 523,192.22 617 81.08 8.163 550,000.01--600,000.00 57 32,711,265.10 3.33 573,881.84 619 82.67 8.046 600,000.01--650,000.00 48 30,050,610.48 3.06 626,054.39 622 84.40 8.179 650,000.01--700,000.00 39 26,347,054.16 2.68 675,565.49 619 82.03 8.014 700,000.01--750,000.00 25 18,225,328.74 1.86 729,013.15 614 81.39 8.122 750,000.01--800,000.00 38 29,869,487.07 3.04 786,039.13 615 78.25 8.316 800,000.01--850,000.00 7 5,822,655.47 0.59 831,807.92 620 80.38 7.704 850,000.01--900,000.00 7 6,212,426.63 0.63 887,489.52 629 77.34 7.615 900,000.01--950,000.00 3 2,772,857.12 0.28 924,285.71 640 66.58 7.276 950,000.01--1,000,000.00 6 5,901,759.35 0.60 983,626.56 660 72.98 7.069 1,000,000.01 >= 8 10,341,182.14 1.05 1,292,647.77 654 72.07 7.269 ----- --------------- ------ ------------- --- ----- ------ TOTAL: 3,868 $981,804,848.97 100.00% $ 253,827.52 608 78.86% 8.509% ===== =============== ====== ============= === ===== ====== DISTRIBUTION BY REMAINING TERM TO MATURITY WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS REMAINING TERM (MONTHS) LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- 121--180 15 $ 555,308.85 0.06% $ 37,020.59 626 87.36% 10.055% 181--240 4 346,585.84 0.04 86,646.46 572 79.11 9.516 301--360 3,849 980,902,954.28 99.91 254,846.18 608 78.86 8.508 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY ORIGINAL TERM TO MATURITY WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL TERM (MONTHS) LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- 121--180 15 $ 555,308.85 0.06% $ 37,020.59 626 87.36% 10.055% 181--240 4 346,585.84 0.04 86,646.46 572 79.11 9.516 301--360 3,849 980,902,954.28 99.91 254,846.18 608 78.86 8.508 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ====== DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL LOAN-TO-VALUE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- 5.01--10.00 3 $ 232,113.81 0.02% $ 77,371.27 568 7.48% 10.500% 10.01--15.00 3 210,856.26 0.02 70,285.42 558 13.18 9.731 15.01--20.00 2 219,903.31 0.02 109,951.66 592 17.74 10.068 20.01--25.00 6 547,548.28 0.06 91,258.05 560 23.78 9.250 25.01--30.00 7 1,159,506.84 0.12 165,643.83 576 28.57 9.302 30.01--35.00 14 1,658,713.21 0.17 118,479.52 571 33.02 8.990 35.01--40.00 18 3,314,617.48 0.34 184,145.42 566 38.50 9.499 40.01--45.00 31 5,128,164.02 0.52 165,424.65 570 42.55 9.224 45.01--50.00 40 9,472,334.26 0.96 236,808.36 602 48.11 8.542 50.01--55.00 67 13,521,767.81 1.38 201,817.43 583 53.08 9.101 55.01--60.00 107 22,370,143.93 2.28 209,066.77 569 58.25 9.361 60.01--65.00 213 50,228,268.53 5.12 235,813.47 583 63.73 9.220 65.01--70.00 258 64,745,283.47 6.59 250,950.71 593 69.00 8.853 70.01--75.00 268 68,036,558.93 6.93 253,867.76 586 74.05 8.662 75.01--80.00 1,770 463,482,013.27 47.21 261,854.24 617 79.81 8.248 80.01--85.00 279 79,853,487.01 8.13 286,213.22 605 84.50 8.222 85.01--90.00 490 157,364,538.71 16.03 321,152.12 615 89.74 8.496 90.01--95.00 63 17,502,595.85 1.78 277,818.98 607 94.65 8.293 95.01--100.00 229 22,756,433.99 2.32 99,373.07 631 99.94 10.444 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE COMBINED LOAN-TO-VALUE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- 5.01--10.00 3 $ 232,113.81 0.02% $ 77,371.27 568 7.48% 10.500% 10.01--15.00 3 210,856.26 0.02 70,285.42 558 13.18 9.731 15.01--20.00 2 219,903.31 0.02 109,951.66 592 17.74 10.068 20.01--25.00 6 547,548.28 0.06 91,258.05 560 23.78 9.250 25.01--30.00 7 1,159,506.84 0.12 165,643.83 576 28.57 9.302 30.01--35.00 14 1,658,713.21 0.17 118,479.52 571 33.02 8.990 35.01--40.00 18 3,314,617.48 0.34 184,145.42 566 38.50 9.499 40.01--45.00 31 5,128,164.02 0.52 165,424.65 570 42.55 9.224 45.01--50.00 39 8,472,334.26 0.86 217,239.34 594 47.89 8.571 50.01--55.00 67 13,521,767.81 1.38 201,817.43 583 53.08 9.101 55.01--60.00 108 23,370,143.93 2.38 216,390.22 574 57.89 9.315 60.01--65.00 211 50,010,518.53 5.09 237,016.68 583 63.72 9.226 65.01--70.00 241 59,144,805.77 6.02 245,414.13 590 68.95 8.922 70.01--75.00 252 64,397,370.89 6.56 255,545.12 585 74.02 8.646 75.01--80.00 608 158,847,752.36 16.18 261,262.75 584 79.49 8.696 80.01--85.00 244 72,450,623.30 7.38 296,928.78 605 84.26 8.213 85.01--90.00 413 138,301,434.18 14.09 334,870.30 616 89.20 8.441 90.01--95.00 145 39,352,371.33 4.01 271,395.66 610 88.52 8.452 95.01--100.00 1,456 341,464,303.40 34.78 234,522.19 633 81.75 8.207 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ====== DISTRIBUTION BY STATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS STATE LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- CA 633 $236,291,742.14 24.07% $373,288.69 618 78.99% 8.007% FL 659 139,121,902.71 14.17 211,110.63 609 78.40 8.608 NY 373 130,613,813.74 13.30 350,171.08 607 78.20 8.493 MD 312 77,303,823.16 7.87 247,768.66 593 78.04 8.810 NJ 264 75,376,147.18 7.68 285,515.71 602 77.73 9.004 MA 173 47,872,534.31 4.88 276,719.85 599 76.07 8.915 VA 126 30,512,249.91 3.11 242,160.71 610 80.71 8.543 GA 153 27,029,978.34 2.75 176,666.53 605 81.46 8.615 AZ 101 20,159,027.27 2.05 199,594.33 611 80.87 8.528 CT 76 16,757,476.69 1.71 220,493.11 612 79.80 8.582 TX 101 16,599,017.20 1.69 164,346.70 610 80.51 8.340 IL 95 16,410,744.26 1.67 172,744.68 617 81.31 8.740 NV 53 15,023,371.68 1.53 283,459.84 611 81.84 8.449 HI 35 14,410,662.51 1.47 411,733.21 622 80.20 7.957 WA 52 12,252,068.52 1.25 235,616.70 612 81.49 8.170 Other 662 106,070,289.35 10.80 160,227.02 602 79.41 8.827 ----- -------------- ------ ----------- --- ----- ----- TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 2nd Home 44 $ 11,421,387.67 1.16% $259,576.99 623 75.84% 8.472% Non-Owner Occupied 282 56,750,669.69 5.78 201,243.51 596 76.93 9.536 Owner Occupied 3,542 913,632,791.61 93.06 257,942.63 609 79.02 8.446 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY PROPERTY TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- Single Family 3,145 $777,530,660.77 79.19% $247,227.56 607 78.82% 8.472% Multi Family 501 157,803,109.81 16.07 314,976.27 610 78.74 8.722 Condo 222 46,471,078.39 4.73 209,329.18 625 80.08 8.404 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY LOAN PURPOSE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 2,166 $581,669,157.48 59.24% $268,545.32 596 76.84% 8.618% Purchase 1,650 388,082,688.59 39.53 235,201.63 627 81.88 8.343 Refinance 52 12,053,002.90 1.23 231,788.52 600 79.25 8.639 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- Easy 38 $ 12,410,051.98 1.26% $326,580.32 593 81.61% 8.348% Full 2,188 543,711,268.56 55.38 248,496.92 609 80.20 8.058 Stated 1,642 425,683,528.43 43.36 259,246.97 607 77.08 9.090 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY CREDIT SCORE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 3 $ 720,676.12 0.07% $240,225.37 500 76.60% 10.985% 501--525 214 47,271,457.25 4.81 220,894.66 514 71.03 10.309 526--550 375 82,522,175.53 8.41 220,059.13 539 73.11 9.736 551--575 485 115,453,214.78 11.76 238,047.87 562 76.10 9.148 576--600 583 136,714,116.51 13.92 234,501.06 588 79.83 8.606 601--625 804 206,118,674.37 20.99 256,366.51 613 81.15 8.207 626--650 771 207,893,740.20 21.17 269,641.69 638 80.30 8.046 651--675 463 127,662,356.63 13.00 275,728.63 661 80.13 8.017 676--700 170 57,448,437.58 5.85 337,931.99 686 80.63 7.576 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ====== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE PREPAYMENT PENALTY TERMS MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 0 1,602 $411,188,537.96 41.88% $256,672.00 602 78.52% 8.809% 12 200 64,911,464.51 6.61 324,557.32 613 78.19 8.504 24 1,709 421,757,369.50 42.96 246,786.06 611 79.69 8.358 30 2 324,274.11 0.03 162,137.06 640 77.02 7.771 36 355 83,623,202.89 8.52 235,558.32 621 76.94 7.808 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY LIEN TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 1st 3,659 $967,330,314.80 98.53% $264,370.13 608 78.55% 8.468% 2nd 209 14,474,534.17 1.47 69,256.14 642 99.56 11.287 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,868 $981,804,848.97 100.00% $253,827.52 608 78.86% 8.509% ===== =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) COLLATERAL SUMMARY Statistics for the Mortgage Loans listed below are based on the Statistical Cut-off Date scheduled balances. SCHEDULED PRINCIPAL BALANCE: $875.245.994.55 NUMBER OF MORTGAGE LOANS: 3,277 AVERAGE SCHEDULED PRINCIPAL BALANCE: $267,087.58 WEIGHTED AVERAGE GROSS COUPON: 8.506% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 607 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 78.90% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 86.13% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 359 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 360 WEIGHTED AVERAGE ROLL TERM(1) (MONTHS): 25 WEIGHTED AVERAGE GROSS MARGIN(1): 6.148% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.500% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.500% INTEREST ONLY LOANS: 12.82% SILENT SECONDS: 38.53% (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. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 2YR-ARM 1,620 $360,941,028.97 41.24% $222,803.10 596 75.79% 8.937% 2YR-ARM 40/30 1,241 381,554,118.66 43.59 307,456.99 613 81.14 8.375 2YR-ARM 5YR-IO 306 101,279,189.67 11.57 330,977.74 622 81.77 7.659 3YR-ARM 27 5,423,855.86 0.62 200,883.55 605 76.92 8.732 3YR-ARM 3YR-IO 12 4,102,500.00 0.47 341,875.00 635 78.95 6.944 3YR-ARM 40/30 35 9,768,328.33 1.12 279,095.10 632 82.58 8.196 3YR-ARM 5YR-IO 17 6,059,490.00 0.69 356,440.59 634 79.61 7.089 5YR-ARM 9 2,144,309.20 0.24 238,256.58 620 66.88 7.960 5YR-ARM 40/30 8 3,165,923.86 0.36 395,740.48 583 69.05 8.315 5YR-ARM 5YR-IO 2 807,250.00 0.09 403,625.00 625 85.07 7.516 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT GROSS MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 5.501--6.000 7 $ 3,963,071.99 0.45% $566,153.14 646 74.10% 5.916% 6.001--6.500 41 15,667,947.88 1.79 382,145.07 646 79.44 6.312 6.501--7.000 171 56,620,202.67 6.47 331,112.30 646 78.22 6.845 7.001--7.500 311 101,996,640.83 11.65 327,963.48 633 79.09 7.310 7.501--8.000 561 171,774,162.28 19.63 306,192.80 622 80.87 7.811 8.001--8.500 469 129,377,005.65 14.78 275,857.15 613 80.42 8.292 8.501--9.000 547 147,604,257.86 16.86 269,843.25 608 79.73 8.791 9.001--9.500 368 90,399,823.08 10.33 245,651.69 594 79.94 9.268 9.501--10.000 339 78,963,682.12 9.02 232,931.22 569 78.97 9.776 10.001--10.500 140 24,864,630.34 2.84 177,604.50 551 75.50 10.251 10.501--11.000 144 24,055,823.07 2.75 167,054.33 544 69.45 10.796 11.001--11.500 77 11,585,901.51 1.32 150,466.25 541 68.64 11.270 11.501--12.000 54 10,100,519.94 1.15 187,046.67 541 62.85 11.801 12.001--12.500 33 4,982,409.87 0.57 150,982.12 551 61.78 12.297 12.501--13.000 12 2,880,081.57 0.33 240,006.80 541 63.90 12.747 13.001--13.500 2 184,921.16 0.02 92,460.58 534 49.13 13.338 13.501--14.000 1 224,912.73 0.03 224,912.73 525 63.56 13.750 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL MORTGAGE LOAN MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ------------- -------- -------- -------- 0.01--50,000.00 11 $ 548,475.97 0.06% $ 49,861.45 580 56.27% 10.867% 50,000.01--100,000.00 322 25,329,687.26 2.89 78,663.63 586 73.88 9.661 100,000.01--150,000.00 509 64,006,139.93 7.31 125,748.80 596 75.63 9.011 150,000.01--200,000.00 576 101,622,185.15 11.61 176,427.40 593 75.99 8.808 200,000.01--250,000.00 451 101,289,262.22 11.57 224,588.16 602 77.83 8.693 250,000.01--300,000.00 347 95,271,205.11 10.89 274,556.79 602 77.94 8.680 300,000.01--350,000.00 282 90,938,710.56 10.39 322,477.70 608 80.00 8.439 350,000.01--400,000.00 204 76,811,649.41 8.78 376,527.69 616 79.88 8.278 400,000.01--450,000.00 163 69,701,334.02 7.96 427,615.55 605 81.35 8.378 450,000.01--500,000.00 118 56,194,384.52 6.42 476,223.60 614 81.11 8.243 500,000.01--550,000.00 78 40,773,062.76 4.66 522,731.57 616 81.81 8.235 550,000.01--600,000.00 52 29,796,197.11 3.40 573,003.79 616 83.60 8.111 600,000.01--650,000.00 44 27,530,850.88 3.15 625,701.16 625 84.64 8.178 650,000.01--700,000.00 36 24,321,863.96 2.78 675,607.33 618 81.98 8.040 700,000.01--750,000.00 20 14,563,291.55 1.66 728,164.58 613 81.54 8.173 750,000.01--800,000.00 36 28,296,424.53 3.23 786,011.79 615 78.01 8.384 800,000.01--850,000.00 7 5,822,655.47 0.67 831,807.92 620 80.38 7.704 850,000.01--900,000.00 6 5,312,707.72 0.61 885,451.29 629 75.20 7.600 900,000.01--950,000.00 2 1,847,012.73 0.21 923,506.37 639 67.37 7.666 950,000.01--1,000,000.00 5 4,927,711.55 0.56 985,542.31 660 73.13 7.261 1,000,000.01 >= 8 10,341,182.14 1.18 1,292,647.77 654 72.07 7.269 ----- --------------- ------ ------------- --- ----- ------ TOTAL: 3,277 $875,245,994.55 100.00% $ 267,087.58 607 78.90% 8.506% ===== =============== ====== ============= === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT UNPAID PRINCIPAL MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ------------- -------- -------- -------- 0.01--50,000.00 11 $ 548,475.97 0.06% $ 49,861.45 580 56.27% 10.867% 50,000.01--100,000.00 322 25,329,687.26 2.89 78,663.63 586 73.88 9.661 100,000.01--150,000.00 509 64,006,139.93 7.31 125,748.80 596 75.63 9.011 150,000.01--200,000.00 576 101,622,185.15 11.61 176,427.40 593 75.99 8.808 200,000.01--250,000.00 452 101,538,963.61 11.60 224,643.72 601 77.83 8.696 250,000.01--300,000.00 347 95,321,443.44 10.89 274,701.57 602 77.94 8.678 300,000.01--350,000.00 282 90,988,744.78 10.40 322,655.12 608 80.00 8.437 350,000.01--400,000.00 203 76,461,675.47 8.74 376,658.50 616 79.87 8.277 400,000.01--450,000.00 163 69,701,334.02 7.96 427,615.55 605 81.35 8.378 450,000.01--500,000.00 118 56,194,384.52 6.42 476,223.60 614 81.11 8.243 500,000.01--550,000.00 78 40,773,062.76 4.66 522,731.57 616 81.81 8.235 550,000.01--600,000.00 52 29,796,197.11 3.40 573,003.79 616 83.60 8.111 600,000.01--650,000.00 44 27,530,850.88 3.15 625,701.16 625 84.64 8.178 650,000.01--700,000.00 36 24,321,863.96 2.78 675,607.33 618 81.98 8.040 700,000.01--750,000.00 20 14,563,291.55 1.66 728,164.58 613 81.54 8.173 750,000.01--800,000.00 36 28,296,424.53 3.23 786,011.79 615 78.01 8.384 800,000.01--850,000.00 7 5,822,655.47 0.67 831,807.92 620 80.38 7.704 850,000.01--900,000.00 6 5,312,707.72 0.61 885,451.29 629 75.20 7.600 900,000.01--950,000.00 2 1,847,012.73 0.21 923,506.37 639 67.37 7.666 950,000.01--1,000,000.00 5 4,927,711.55 0.56 985,542.31 660 73.13 7.261 1,000,000.01 >= 8 10,341,182.14 1.18 1,292,647.77 654 72.07 7.269 ----- --------------- ------ ------------- --- ----- ------ TOTAL: 3,277 $875,245,994.55 100.00% $ 267,087.58 607 78.90% 8.506% ===== =============== ====== ============= === ===== ====== DISTRIBUTION BY REMAINING TERM TO MATURITY WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY ORIGINAL TERM TO MATURITY WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 5.01--10.00 3 $ 232,113.81 0.03% $ 77,371.27 568 7.48% 10.500% 10.01--15.00 3 210,856.26 0.02 70,285.42 558 13.18 9.731 15.01--20.00 2 219,903.31 0.03 109,951.66 592 17.74 10.068 20.01--25.00 6 547,548.28 0.06 91,258.05 560 23.78 9.250 25.01--30.00 3 369,854.84 0.04 123,284.95 585 28.33 8.895 30.01--35.00 9 1,074,204.98 0.12 119,356.11 559 33.29 9.206 35.01--40.00 15 2,849,830.27 0.33 189,988.68 556 38.37 9.796 40.01--45.00 24 3,842,840.19 0.44 160,118.34 559 42.60 9.523 45.01--50.00 27 6,664,973.57 0.76 246,850.87 598 48.50 8.807 50.01--55.00 56 11,273,669.25 1.29 201,315.52 575 53.08 9.381 55.01--60.00 87 19,189,084.67 2.19 220,564.19 566 58.28 9.501 60.01--65.00 180 42,189,024.77 4.82 234,383.47 578 63.79 9.513 65.01--70.00 226 56,082,739.36 6.41 248,153.71 588 69.09 9.029 70.01--75.00 233 59,983,010.74 6.85 257,437.81 581 74.09 8.736 75.01--80.00 1,662 435,164,114.93 49.72 261,831.60 618 79.83 8.264 80.01--85.00 233 68,591,362.32 7.84 294,383.53 604 84.53 8.208 85.01--90.00 431 142,986,640.70 16.34 331,755.55 615 89.75 8.496 90.01--95.00 47 15,495,117.49 1.77 329,683.35 606 94.65 8.201 95.01--100.00 30 8,279,104.81 0.95 275,970.16 609 99.86 9.196 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE COMBINED LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 5.01--10.00 3 $ 232,113.81 0.03% $ 77,371.27 568 7.48% 10.500% 10.01--15.00 3 210,856.26 0.02 70,285.42 558 13.18 9.731 15.01--20.00 2 219,903.31 0.03 109,951.66 592 17.74 10.068 20.01--25.00 6 547,548.28 0.06 91,258.05 560 23.78 9.250 25.01--30.00 3 369,854.84 0.04 123,284.95 585 28.33 8.895 30.01--35.00 9 1,074,204.98 0.12 119,356.11 559 33.29 9.206 35.01--40.00 15 2,849,830.27 0.33 189,988.68 556 38.37 9.796 40.01--45.00 24 3,842,840.19 0.44 160,118.34 559 42.60 9.523 45.01--50.00 26 5,664,973.57 0.65 217,883.60 584 48.23 8.896 50.01--55.00 56 11,273,669.25 1.29 201,315.52 575 53.08 9.381 55.01--60.00 88 20,189,084.67 2.31 229,421.42 572 57.87 9.441 60.01--65.00 178 41,971,274.77 4.80 235,793.68 578 63.79 9.521 65.01--70.00 209 50,482,261.66 5.77 241,541.92 584 69.04 9.129 70.01--75.00 217 56,343,822.70 6.44 259,648.95 581 74.05 8.722 75.01--80.00 540 140,401,713.44 16.04 260,003.17 583 79.54 8.755 80.01--85.00 200 61,815,672.41 7.06 309,078.36 605 84.22 8.201 85.01--90.00 363 125,077,917.19 14.29 344,567.26 615 89.16 8.440 90.01--95.00 125 36,521,741.29 4.17 292,173.93 608 88.23 8.434 95.01--100.00 1,210 316,156,711.66 36.12 261,286.54 633 80.95 8.088 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ====== DISTRIBUTION BY STATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- CA 545 $217,347,072.83 24.83% $398,801.97 618 79.19% 7.998% FL 563 123,852,531.58 14.15 219,986.73 609 79.02 8.611 NY 301 109,768,465.98 12.54 364,679.29 603 78.02 8.526 MD 272 70,160,312.08 8.02 257,942.32 593 77.79 8.765 NJ 237 69,684,832.08 7.96 294,028.83 600 77.38 9.042 MA 152 43,866,047.92 5.01 288,592.42 598 76.27 8.911 VA 112 28,171,914.12 3.22 251,534.95 610 80.69 8.537 GA 120 22,642,646.16 2.59 188,688.72 602 80.18 8.569 AZ 88 18,657,941.35 2.13 212,022.06 610 81.25 8.483 IL 81 15,292,621.52 1.75 188,797.80 617 80.99 8.693 CT 64 15,137,876.04 1.73 236,529.31 610 79.66 8.528 NV 48 14,762,528.93 1.69 307,552.69 610 81.54 8.402 MN 54 11,821,587.24 1.35 218,918.28 623 82.10 8.175 TX 69 11,601,084.55 1.33 168,131.66 609 80.00 8.274 WA 45 11,240,882.75 1.28 249,797.39 609 81.15 8.136 Other 526 91,237,649.42 10.42 173,455.61 599 79.27 8.830 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 2nd Home 41 $ 10,339,145.65 1.18% $252,174.28 621 74.88% 8.506% Non-Owner Occupied 253 50,941,982.08 5.82 201,351.71 592 77.15 9.580 Owner Occupied 2,983 813,964,866.82 93.00 272,867.87 608 79.06 8.439 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY PROPERTY TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- Single Family 2,671 $695,627,761.67 79.48% $260,437.20 606 78.81% 8.470% Multi Family 413 136,743,006.49 15.62 331,096.87 607 79.06 8.737 Condo 193 42,875,226.39 4.90 222,151.43 625 79.77 8.355 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY LOAN PURPOSE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 1,831 $504,825,962.84 57.68% $275,710.52 594 77.18% 8.688% Purchase 1,406 360,527,568.03 41.19 256,420.75 626 81.30 8.246 Refinance 40 9,892,463.68 1.13 247,311.59 598 79.28 8.736 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- Easy 33 $ 10,156,034.03 1.16% $307,758.61 592 83.08% 8.448% Full 1,794 470,619,292.12 53.77 262,329.59 608 80.38 8.040 Stated 1,450 394,470,668.40 45.07 272,048.74 606 77.02 9.064 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY CREDIT SCORE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 3 $ 720,676.12 0.08% $240,225.37 500 76.60% 10.985% 501--525 196 44,633,496.29 5.10 227,721.92 514 71.28 10.304 526--550 353 77,378,340.71 8.84 219,202.10 538 73.02 9.727 551--575 441 106,928,522.35 12.22 242,468.30 562 76.14 9.150 576--600 531 126,876,806.29 14.50 238,939.37 588 80.11 8.569 601--625 662 179,036,856.69 20.46 270,448.42 613 81.72 8.202 626--650 585 174,902,648.25 19.98 298,978.89 638 80.23 8.024 651--675 353 111,637,567.36 12.75 316,253.73 661 79.94 7.923 676--700 153 53,131,080.49 6.07 347,261.96 686 80.42 7.581 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ====== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE PREPAYMENT PENALTY TERMS MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 0 1,395 $381,940,910.96 43.64% $273,792.77 602 78.23% 8.781% 12 133 43,761,490.44 5.00 329,033.76 608 78.03 8.611 24 1,621 413,859,479.64 47.28 255,311.22 611 79.51 8.322 30 1 157,274.11 0.02 157,274.11 624 80.00 7.900 36 127 35,526,839.40 4.06 279,738.89 622 80.04 7.573 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY INITIAL INTEREST RATE CAP WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS INITIAL CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 1.500 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY PERIODIC INTEREST RATE CAP WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PERIODIC CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 1.500 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY GROSS MARGIN WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 28 $ 12,208,730.64 1.39% $436,026.09 644 77.56% 6.185% 4.001--5.000 298 98,527,242.47 11.26 330,628.33 641 78.27 7.039 5.001--6.000 854 247,124,245.80 28.23 289,372.65 618 80.04 7.959 6.001--7.000 2,097 517,385,775.64 59.11 246,726.65 595 78.50 9.102 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY MAXIMUM MORTGAGE RATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 11.001--11.500 1 $ 140,474.98 0.02% $140,474.98 607 80.00% 7.350% 11.501--12.000 7 3,963,071.99 0.45 566,153.14 646 74.10 5.916 12.001--12.500 41 15,667,947.88 1.79 382,145.07 646 79.44 6.312 12.501--13.000 170 56,328,203.50 6.44 331,342.37 647 78.21 6.844 13.001--13.500 308 101,199,164.17 11.56 328,568.71 633 79.07 7.307 13.501--14.000 562 171,686,939.71 19.62 305,492.78 622 80.88 7.808 14.001--14.500 469 130,149,229.07 14.87 277,503.69 613 80.42 8.289 14.501--15.000 549 147,868,257.86 16.89 269,341.09 608 79.73 8.790 15.001--15.500 368 90,399,823.08 10.33 245,651.69 594 79.94 9.268 15.501--16.000 339 78,963,682.12 9.02 232,931.22 569 78.97 9.776 16.001--16.500 140 24,864,630.34 2.84 177,604.50 551 75.50 10.251 16.501--17.000 144 24,055,823.07 2.75 167,054.33 544 69.45 10.796 17.001--17.500 77 11,585,901.51 1.32 150,466.25 541 68.64 11.270 17.501--18.000 54 10,100,519.94 1.15 187,046.67 541 62.85 11.801 18.001--18.500 33 4,982,409.87 0.57 150,982.12 551 61.78 12.297 18.501--19.000 12 2,880,081.57 0.33 240,006.80 541 63.90 12.747 19.001--19.500 2 184,921.16 0.02 92,460.58 534 49.13 13.338 19.501--20.000 1 224,912.73 0.03 224,912.73 525 63.56 13.750 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY MINIMUM MORTGAGE RATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS MINIMUM MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- 5.501--6.000 7 $ 3,963,071.99 0.45% $566,153.14 646 74.10% 5.916% 6.001--6.500 41 15,667,947.88 1.79 382,145.07 646 79.44 6.312 6.501--7.000 171 56,620,202.67 6.47 331,112.30 646 78.22 6.845 7.001--7.500 311 101,996,640.83 11.65 327,963.48 633 79.09 7.310 7.501--8.000 561 171,774,162.28 19.63 306,192.80 622 80.87 7.811 8.001--8.500 469 129,377,005.65 14.78 275,857.15 613 80.42 8.292 8.501--9.000 547 147,604,257.86 16.86 269,843.25 608 79.73 8.791 9.001--9.500 368 90,399,823.08 10.33 245,651.69 594 79.94 9.268 9.501--10.000 339 78,963,682.12 9.02 232,931.22 569 78.97 9.776 10.001--10.500 140 24,864,630.34 2.84 177,604.50 551 75.50 10.251 10.501--11.000 144 24,055,823.07 2.75 167,054.33 544 69.45 10.796 11.001--11.500 77 11,585,901.51 1.32 150,466.25 541 68.64 11.270 11.501--12.000 54 10,100,519.94 1.15 187,046.67 541 62.85 11.801 12.001--12.500 33 4,982,409.87 0.57 150,982.12 551 61.78 12.297 12.501--13.000 12 2,880,081.57 0.33 240,006.80 541 63.90 12.747 13.001--13.500 2 184,921.16 0.02 92,460.58 534 49.13 13.338 13.501--14.000 1 224,912.73 0.03 224,912.73 525 63.56 13.750 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ====== DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE INITIAL INTEREST RATE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ADJUSTMENT DATE LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- 2/1/2008 1 $ 230,042.35 0.03% $230,042.35 604 80.00% 8.950% 3/1/2008 4 1,562,215.77 0.18 390,553.94 643 80.00 7.937 4/1/2008 27 9,066,475.79 1.04 335,795.40 647 80.69 7.941 5/1/2008 59 18,043,736.76 2.06 305,826.05 618 80.20 7.828 6/1/2008 308 83,014,315.28 9.48 269,527.00 615 80.17 8.143 7/1/2008 828 221,308,944.58 25.29 267,281.33 607 78.85 8.530 8/1/2008 1,226 334,544,708.77 38.22 272,874.97 602 78.65 8.670 9/1/2008 714 176,003,898.00 20.11 246,504.06 607 78.72 8.550 4/1/2009 1 158,474.34 0.02 158,474.34 608 80.00 6.400 7/1/2009 16 4,424,377.66 0.51 276,523.60 626 78.92 8.305 8/1/2009 42 11,684,389.19 1.33 278,199.74 624 81.12 8.010 9/1/2009 32 9,086,933.00 1.04 283,966.66 633 79.29 7.430 6/1/2011 1 799,435.62 0.09 799,435.62 543 55.17 8.700 7/1/2011 5 1,668,804.46 0.19 333,760.89 609 77.06 8.000 8/1/2011 6 1,968,450.98 0.22 328,075.16 623 75.75 8.063 9/1/2011 7 1,680,792.00 0.19 240,113.14 597 64.78 7.903 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY LIEN TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LIEN TYPE LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- 1st 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ----- --------------- ------ ----------- --- ----- ----- TOTAL: 3,277 $875,245,994.55 100.00% $267,087.58 607 78.90% 8.506% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) COLLATERAL SUMMARY Statistics for the Mortgage Loans listed below are based on the Statistical Cut-off Date scheduled balances. SCHEDULED PRINICPAL BALANCE: $106,558,854.42 NUMBER OF MORTGAGE LOANS: 591 AVERAGE SCHEDULED PRINCIPAL BALANCE: $180,302.63 WEIGHTED AVERAGE GROSS COUPON: 8.533% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 618 WEIGHTED AVERAGE ORIGINAL LTV RATIO(1): 78.58% WEIGHTED AVERAGE COMBINED LTV RATIO(1): 80.60% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 358 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS) : 359 SILENT SECONDS: 10.94% (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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- Fixed 505 $ 82,247,637.55 77.19% $162,866.61 618 79.15% 8.708% Fixed 40/30 86 24,311,216.87 22.81 282,688.57 619 76.65 7.938 --- --------------- ------ ----------- --- ----- ----- TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ===== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT GROSS MORTGAGE RATE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 5.501--6.000 3 $ 1,371,451.43 1.29% $457,150.48 654 58.62% 5.992% 6.001--6.500 16 5,932,664.07 5.57 370,791.50 641 70.95 6.351 6.501--7.000 42 13,867,144.14 13.01 330,170.10 635 70.87 6.773 7.001--7.500 49 13,580,334.05 12.74 277,149.67 630 75.43 7.329 7.501--8.000 58 15,215,819.75 14.28 262,341.72 627 78.71 7.766 8.001--8.500 49 11,662,330.55 10.94 238,006.75 613 79.40 8.298 8.501--9.000 52 11,132,319.15 10.45 214,083.06 608 76.22 8.801 9.001--9.500 31 5,633,742.52 5.29 181,733.63 595 71.41 9.311 9.501--10.000 45 7,114,986.88 6.68 158,110.82 582 83.54 9.749 10.001--10.500 49 5,460,532.40 5.12 111,439.44 602 86.09 10.253 10.501--11.000 30 2,417,671.48 2.27 80,589.05 607 88.85 10.874 11.001--11.500 86 7,235,671.75 6.79 84,135.72 621 92.17 11.291 11.501--12.000 47 3,750,975.07 3.52 79,807.98 613 91.67 11.713 12.001--12.500 21 1,325,896.17 1.24 63,137.91 609 87.04 12.237 12.501--13.000 12 770,354.13 0.72 64,196.18 613 99.29 12.784 13.001--13.500 1 86,960.88 0.08 86,960.88 611 100.00 13.175 --- --------------- ------ ----------- --- ------ ------ TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ====== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL MORTGAGE LOAN BALANCE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 0.01--50,000.00 83 $ 2,868,907.79 2.69% $ 34,565.15 633 96.45% 11.297% 50,000.01--100,000.00 134 9,861,795.91 9.25 73,595.49 626 89.28 10.583 100,000.01--150,000.00 112 13,850,628.73 13.00 123,666.33 615 81.07 9.398 150,000.01--200,000.00 92 16,311,230.53 15.31 177,295.98 612 73.67 8.649 200,000.01--250,000.00 42 9,506,631.46 8.92 226,348.37 603 73.16 8.413 250,000.01--300,000.00 35 9,640,004.12 9.05 275,428.69 617 74.27 7.949 300,000.01--350,000.00 18 5,767,712.61 5.41 320,428.48 598 77.55 8.325 350,000.01--400,000.00 19 7,178,064.06 6.74 377,792.85 630 79.29 7.633 400,000.01--450,000.00 14 6,027,045.56 5.66 430,503.25 622 77.54 8.110 450,000.01--500,000.00 10 4,784,252.75 4.49 478,425.28 631 78.47 7.532 500,000.01--550,000.00 10 5,267,852.28 4.94 526,785.23 622 75.48 7.608 550,000.01--600,000.00 5 2,915,067.99 2.74 583,013.60 650 73.18 7.381 600,000.01--650,000.00 4 2,519,759.60 2.36 629,939.90 589 81.71 8.190 650,000.01--700,000.00 3 2,025,190.20 1.90 675,063.40 633 82.67 7.708 700,000.01--750,000.00 5 3,662,037.19 3.44 732,407.44 621 80.81 7.921 750,000.01--800,000.00 2 1,573,062.54 1.48 786,531.27 621 82.48 7.076 850,000.01--900,000.00 1 899,718.91 0.84 899,718.91 633 90.00 7.700 900,000.01--950,000.00 1 925,844.39 0.87 925,844.39 641 65.00 6.500 950,000.01--1,000,000.00 1 974,047.80 0.91 974,047.80 656 72.22 6.100 --- --------------- ------ ----------- --- ----- ------ TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT UNPAID PRINCIPAL MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 0.01--50,000.00 83 $ 2,868,907.79 2.69% $ 34,565.15 633 96.45% 11.297% 50,000.01--100,000.00 134 9,861,795.91 9.25 73,595.49 626 89.28 10.583 100,000.01--150,000.00 112 13,850,628.73 13.00 123,666.33 615 81.07 9.398 150,000.01--200,000.00 92 16,311,230.53 15.31 177,295.98 612 73.67 8.649 200,000.01--250,000.00 42 9,506,631.46 8.92 226,348.37 603 73.16 8.413 250,000.01--300,000.00 35 9,640,004.12 9.05 275,428.69 617 74.27 7.949 300,000.01--350,000.00 18 5,767,712.61 5.41 320,428.48 598 77.55 8.325 350,000.01--400,000.00 19 7,178,064.06 6.74 377,792.85 630 79.29 7.633 400,000.01--450,000.00 14 6,027,045.56 5.66 430,503.25 622 77.54 8.110 450,000.01--500,000.00 10 4,784,252.75 4.49 478,425.28 631 78.47 7.532 500,000.01--550,000.00 10 5,267,852.28 4.94 526,785.23 622 75.48 7.608 550,000.01--600,000.00 5 2,915,067.99 2.74 583,013.60 650 73.18 7.381 600,000.01--650,000.00 4 2,519,759.60 2.36 629,939.90 589 81.71 8.190 650,000.01--700,000.00 3 2,025,190.20 1.90 675,063.40 633 82.67 7.708 700,000.01--750,000.00 5 3,662,037.19 3.44 732,407.44 621 80.81 7.921 750,000.01--800,000.00 2 1,573,062.54 1.48 786,531.27 621 82.48 7.076 850,000.01--900,000.00 1 899,718.91 0.84 899,718.91 633 90.00 7.700 900,000.01--950,000.00 1 925,844.39 0.87 925,844.39 641 65.00 6.500 950,000.01--1,000,000.00 1 974,047.80 0.91 974,047.80 656 72.22 6.100 --- --------------- ------ ----------- --- ----- ------ TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ====== DISTRIBUTION BY REMAINING TERM TO MATURITY WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 121--180 15 $ 555,308.85 0.52% $ 37,020.59 626 87.36% 10.055% 181--240 4 346,585.84 0.33 86,646.46 572 79.11 9.516 301--360 572 105,656,959.73 99.15 184,714.96 619 78.53 8.521 --- --------------- ------ ----------- --- ----- ------ TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY ORIGINAL TERM TO MATURITY WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 121--180 15 $ 555,308.85 0.52% $ 37,020.59 626 87.36% 10.055% 181--240 4 346,585.84 0.33 86,646.46 572 79.11 9.516 301--360 572 105,656,959.73 99.15 184,714.96 619 78.53 8.521 --- --------------- ------ ----------- --- ----- ------ TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ====== DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 25.01--30.00 4 $ 789,652.00 0.74% $197,413.00 571 28.69% 9.492% 30.01--35.00 5 584,508.23 0.55 116,901.65 594 32.54 8.592 35.01--40.00 3 464,787.21 0.44 154,929.07 627 39.30 7.681 40.01--45.00 7 1,285,323.83 1.21 183,617.69 601 42.43 8.332 45.01--50.00 13 2,807,360.69 2.63 215,950.82 612 47.19 7.913 50.01--55.00 11 2,248,098.56 2.11 204,372.60 624 53.06 7.693 55.01--60.00 20 3,181,059.26 2.99 159,052.96 587 58.07 8.515 60.01--65.00 33 8,039,243.76 7.54 243,613.45 610 63.38 7.686 65.01--70.00 32 8,662,544.11 8.13 270,704.50 628 68.41 7.713 70.01--75.00 35 8,053,548.19 7.56 230,101.38 619 73.77 8.110 75.01--80.00 108 28,317,898.34 26.57 262,202.76 614 79.44 8.004 80.01--85.00 46 11,262,124.69 10.57 244,828.80 612 84.32 8.306 85.01--90.00 59 14,377,898.01 13.49 243,693.19 618 89.69 8.493 90.01--95.00 16 2,007,478.36 1.88 125,467.40 620 94.71 9.000 95.01--100.00 199 14,477,329.18 13.59 72,750.40 643 99.99 11.157 --- --------------- ------ ----------- --- ----- ------ TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE COMBINED LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 25.01--30.00 4 $ 789,652.00 0.74% $197,413.00 571 28.69% 9.492% 30.01--35.00 5 584,508.23 0.55 116,901.65 594 32.54 8.592 35.01--40.00 3 464,787.21 0.44 154,929.07 627 39.30 7.681 40.01--45.00 7 1,285,323.83 1.21 183,617.69 601 42.43 8.332 45.01--50.00 13 2,807,360.69 2.63 215,950.82 612 47.19 7.913 50.01--55.00 11 2,248,098.56 2.11 204,372.60 624 53.06 7.693 55.01--60.00 20 3,181,059.26 2.99 159,052.96 587 58.07 8.515 60.01--65.00 33 8,039,243.76 7.54 243,613.45 610 63.38 7.686 65.01--70.00 32 8,662,544.11 8.13 270,704.50 628 68.41 7.713 70.01--75.00 35 8,053,548.19 7.56 230,101.38 619 73.77 8.110 75.01--80.00 68 18,446,038.92 17.31 271,265.28 599 79.14 8.250 80.01--85.00 44 10,634,950.89 9.98 241,703.43 610 84.45 8.284 85.01--90.00 50 13,223,516.99 12.41 264,470.34 617 89.66 8.444 90.01--95.00 20 2,830,630.04 2.66 141,531.50 634 92.17 8.683 95.01--100.00 246 25,307,591.74 23.75 102,876.39 641 91.75 9.696 --- --------------- ------ ----------- --- ----- ----- TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ===== DISTRIBUTION BY STATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- NY 72 $ 20,845,347.76 19.56% $289,518.72 625 79.10% 8.320% CA 88 18,944,669.31 17.78 215,280.33 626 76.73 8.112 FL 96 15,269,371.13 14.33 159,055.95 611 73.33 8.585 MD 40 7,143,511.08 6.70 178,587.78 591 80.42 9.249 NJ 27 5,691,315.10 5.34 210,789.45 626 82.03 8.535 TX 32 4,997,932.65 4.69 156,185.40 613 81.71 8.493 GA 33 4,387,332.18 4.12 132,949.46 618 88.08 8.852 MA 21 4,006,486.39 3.76 190,785.07 607 73.88 8.960 HI 10 3,324,062.81 3.12 332,406.28 648 79.91 7.309 VA 14 2,340,335.79 2.20 167,166.84 603 81.01 8.610 CT 12 1,619,600.65 1.52 134,966.72 629 81.19 9.091 AZ 13 1,501,085.92 1.41 115,468.15 618 76.20 9.079 PA 11 1,479,421.27 1.39 134,492.84 611 81.93 8.502 DC 8 1,450,063.08 1.36 181,257.89 572 62.63 9.582 NC 10 1,415,717.95 1.33 141,571.80 613 81.80 8.867 Other 104 12,142,601.35 11.40 116,755.78 623 81.56 8.840 --- --------------- ------ ----------- --- ----- ----- TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 2nd Home 3 $ 1,082,242.02 1.02% $360,747.34 639 85.02% 8.147% Non-Owner Occupied 29 5,808,687.61 5.45 200,299.57 630 75.00 9.158 Owner Occupied 559 99,667,924.79 93.53 178,296.82 617 78.72 8.500 --- --------------- ------ ----------- --- ----- ----- TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ===== DISTRIBUTION BY PROPERTY TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- Single Family 474 $ 81,902,899.10 76.86% $172,790.93 616 78.85% 8.490% Multi Family 88 21,060,103.32 19.76 239,319.36 626 76.66 8.620 Condo 29 3,595,852.00 3.37 123,994.90 630 83.70 8.987 --- --------------- ------ ----------- --- ----- ----- TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ===== DISTRIBUTION BY LOAN PURPOSE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 335 $ 76,843,194.64 72.11% $229,382.67 613 74.66% 8.157% Purchase 244 27,555,120.56 25.86 112,930.82 633 89.47 9.605 Refinance 12 2,160,539.22 2.03 180,044.94 606 79.12 8.197 --- --------------- ------ ----------- --- ----- ----- TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ===== DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- Easy 5 $ 2,254,017.95 2.12% $450,803.59 596 74.98% 7.896% Full 394 73,091,976.44 68.59 185,512.63 618 79.03 8.176 Stated 192 31,212,860.03 29.29 162,566.98 622 77.79 9.414 --- --------------- ------ ----------- --- ----- ----- TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY CREDIT SCORE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 501--525 18 $ 2,637,960.96 2.48% $146,553.39 516 66.86% 10.386% 526--550 22 5,143,834.82 4.83 233,810.67 542 74.40 9.872 551--575 44 8,524,692.43 8.00 193,743.01 560 75.64 9.126 576--600 52 9,837,310.22 9.23 189,179.04 589 76.14 9.089 601--625 142 27,081,817.68 25.41 190,717.03 613 77.35 8.238 626--650 186 32,991,091.95 30.96 177,371.46 638 80.67 8.162 651--675 110 16,024,789.27 15.04 145,679.90 659 81.48 8.676 676--700 17 4,317,357.09 4.05 253,962.18 686 83.14 7.516 --- --------------- ------ ----------- --- ----- ------ TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ====== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE PREPAYMENT PENALTY TERMS MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 0 207 $ 29,247,627.00 27.45% $141,292.88 610 82.30% 9.164% 12 67 21,149,974.07 19.85 315,671.25 623 78.52 8.283 24 88 7,897,889.86 7.41 89,748.75 625 89.06 10.235 30 1 167,000.00 0.16 167,000.00 655 74.22 7.650 36 228 48,096,363.49 45.14 210,948.96 620 74.65 7.982 --- --------------- ------ ----------- --- ----- ------ TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ====== DISTRIBUTION BY LIEN TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 1st 382 $ 92,084,320.25 86.42% $241,058.43 615 75.28% 8.099% 2nd 209 14,474,534.17 13.58 69,256.14 642 99.56 11.287 --- --------------- ------ ----------- --- ----- ------ TOTAL: 591 $106,558,854.42 100.00% $180,302.63 618 78.58% 8.533% === =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) COLLATERAL SUMMARY Statistics for the Mortgage Loans listed below are based on the Statistical Cut-off Date scheduled balances. SCHEDULED PRINCIPAL BALANCE: $418,799,587.72 NUMBER OF MORTGAGE LOANS: 1,370 AVERAGE SCHEDULED PRINCIPAL BALANCE: $305,693.13 WEIGHTED AVERAGE GROSS COUPON: 8.345% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 613 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 80.82% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 86.98% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 359 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 360 WEIGHTED AVERAGE ROLL TERM(1) (MONTHS): 25 WEIGHTED AVERAGE GROSS MARGIN(1): 6.153% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.500% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.500% INTEREST ONLY LOANS: 0.00% SILENT SECONDS: 33.75% (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. 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRODUCT TYPE LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- 2YR-ARM 40/30 1,241 $381,554,118.66 91.11% $307,456.99 613 81.14% 8.375% 3YR-ARM 40/30 35 9,768,328.33 2.33 279,095.10 632 82.58 8.196 5YR-ARM 40/30 8 3,165,923.86 0.76 395,740.48 583 69.05 8.315 Fixed 40/30 86 24,311,216.87 5.80 282,688.57 619 76.65 7.938 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT GROSS MORTGAGE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATE (%) LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- 5.501--6.000 3 $ 1,783,666.92 0.43% $594,555.64 664 75.55% 5.876% 6.001--6.500 19 8,297,440.96 1.98 436,707.42 645 77.92 6.300 6.501--7.000 79 28,419,424.32 6.79 359,739.55 650 78.31 6.840 7.001--7.500 137 47,888,137.63 11.43 349,548.45 634 78.51 7.315 7.501--8.000 256 84,896,786.82 20.27 331,628.07 623 81.98 7.802 8.001--8.500 229 72,938,788.12 17.42 318,509.99 614 81.76 8.283 8.501--9.000 274 81,176,289.92 19.38 296,263.83 608 81.63 8.798 9.001--9.500 165 45,323,900.30 10.82 274,690.30 594 81.84 9.250 9.501--10.000 122 30,639,579.57 7.32 251,144.09 580 82.25 9.771 10.001--10.500 38 7,296,100.13 1.74 192,002.64 572 78.30 10.213 10.501--11.000 28 5,894,023.16 1.41 210,500.83 551 73.07 10.802 11.001--11.500 11 2,127,724.03 0.51 193,429.46 536 72.79 11.296 11.501--12.000 6 1,090,791.40 0.26 181,798.57 551 69.90 11.670 12.001--12.500 1 285,958.30 0.07 285,958.30 523 65.00 12.500 12.501--13.000 2 740,976.14 0.18 370,488.07 510 65.00 12.776 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL MORTGAGE LOAN MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ------------- -------- -------- -------- 50,000.01--100,000.00 58 $ 4,895,021.57 1.17% $ 84,396.92 600 79.73% 9.268% 100,000.01--150,000.00 155 19,415,755.04 4.64 125,262.94 605 79.71 8.703 150,000.01--200,000.00 229 40,630,829.73 9.70 177,427.20 602 77.99 8.637 200,000.01--250,000.00 197 44,434,940.93 10.61 225,558.08 603 79.49 8.600 250,000.01--300,000.00 147 40,390,703.83 9.64 274,766.69 613 80.67 8.479 300,000.01--350,000.00 145 46,719,418.18 11.16 322,202.88 611 81.76 8.399 350,000.01--400,000.00 110 41,454,433.58 9.90 376,858.49 617 81.04 8.283 400,000.01--450,000.00 101 43,170,644.72 10.31 427,432.13 612 81.91 8.233 450,000.01--500,000.00 67 32,005,238.83 7.64 477,690.13 619 81.82 8.262 500,000.01--550,000.00 41 21,463,741.43 5.13 523,505.89 627 82.23 8.170 550,000.01--600,000.00 29 16,676,172.15 3.98 575,040.42 611 83.53 8.236 600,000.01--650,000.00 30 18,776,090.40 4.48 625,869.68 620 83.81 8.248 650,000.01--700,000.00 19 12,822,076.32 3.06 674,846.12 611 85.80 8.025 700,000.01--750,000.00 9 6,521,011.26 1.56 724,556.81 617 80.31 8.021 750,000.01--800,000.00 17 13,340,572.48 3.19 784,739.56 624 80.90 7.998 800,000.01--850,000.00 3 2,493,155.47 0.60 831,051.82 615 80.71 7.617 850,000.01--900,000.00 4 3,532,810.36 0.84 883,202.59 613 77.66 8.046 900,000.01--950,000.00 2 1,832,857.12 0.44 916,428.56 627 59.70 7.341 950,000.01--1,000,000.00 3 2,927,711.55 0.70 975,903.85 663 79.73 7.166 1,000,000.01 >= 4 5,296,402.77 1.26 1,324,100.69 660 68.28 7.167 ----- --------------- ------ ------------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $ 305,693.13 613 80.82% 8.345% ===== =============== ====== ============= === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT UNPAID PRINCIPAL MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ------------- -------- -------- -------- 50,000.01--100,000.00 58 $ 4,895,021.57 1.17% $ 84,396.92 600 79.73% 9.268% 100,000.01--150,000.00 155 19,415,755.04 4.64 125,262.94 605 79.71 8.703 150,000.01--200,000.00 229 40,630,829.73 9.70 177,427.20 602 77.99 8.637 200,000.01--250,000.00 197 44,434,940.93 10.61 225,558.08 603 79.49 8.600 250,000.01--300,000.00 148 40,690,643.55 9.72 274,936.78 612 80.66 8.484 300,000.01--350,000.00 144 46,419,478.46 11.08 322,357.49 611 81.78 8.394 350,000.01--400,000.00 110 41,454,433.58 9.90 376,858.49 617 81.04 8.283 400,000.01--450,000.00 101 43,170,644.72 10.31 427,432.13 612 81.91 8.233 450,000.01--500,000.00 67 32,005,238.83 7.64 477,690.13 619 81.82 8.262 500,000.01--550,000.00 41 21,463,741.43 5.13 523,505.89 627 82.23 8.170 550,000.01--600,000.00 29 16,676,172.15 3.98 575,040.42 611 83.53 8.236 600,000.01--650,000.00 30 18,776,090.40 4.48 625,869.68 620 83.81 8.248 650,000.01--700,000.00 19 12,822,076.32 3.06 674,846.12 611 85.80 8.025 700,000.01--750,000.00 9 6,521,011.26 1.56 724,556.81 617 80.31 8.021 750,000.01--800,000.00 17 13,340,572.48 3.19 784,739.56 624 80.90 7.998 800,000.01--850,000.00 3 2,493,155.47 0.60 831,051.82 615 80.71 7.617 850,000.01--900,000.00 4 3,532,810.36 0.84 883,202.59 613 77.66 8.046 900,000.01--950,000.00 2 1,832,857.12 0.44 916,428.56 627 59.70 7.341 950,000.01--1,000,000.00 3 2,927,711.55 0.70 975,903.85 663 79.73 7.166 1,000,000.01 >= 4 5,296,402.77 1.26 1,324,100.69 660 68.28 7.167 ----- --------------- ------ ------------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $ 305,693.13 613 80.82% 8.345% ===== =============== ====== ============= === ===== ===== DISTRIBUTION BY REMAINING TERM TO MATURITY WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY ORIGINAL TERM TO MATURITY WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 25.01--30.00 1 $ 434,915.03 0.10% $434,915.03 576 29.86% 9.300% 30.01--35.00 1 234,898.92 0.06 234,898.92 560 34.81 8.990 35.01--40.00 2 365,912.37 0.09 182,956.19 621 36.65 8.628 40.01--45.00 2 444,838.13 0.11 222,419.07 592 40.83 7.170 45.01--50.00 5 851,120.82 0.20 170,224.16 621 47.31 7.964 50.01--55.00 18 4,445,742.22 1.06 246,985.68 592 53.25 8.462 55.01--60.00 20 5,204,039.38 1.24 260,201.97 571 57.70 8.780 60.01--65.00 59 18,200,313.14 4.35 308,479.88 593 63.55 8.438 65.01--70.00 85 25,384,681.07 6.06 298,643.31 601 69.01 8.555 70.01--75.00 96 28,189,346.12 6.73 293,639.02 590 73.95 8.620 75.01--80.00 559 167,611,455.16 40.02 299,841.60 625 79.85 8.122 80.01--85.00 169 51,095,844.57 12.20 302,342.28 605 84.48 8.278 85.01--90.00 313 103,976,646.55 24.83 332,193.76 615 89.76 8.551 90.01--95.00 26 8,774,552.43 2.10 337,482.79 604 94.71 8.286 95.01--100.00 14 3,585,281.81 0.86 256,091.56 611 100.00 9.032 ----- --------------- ------ ----------- --- ------ ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ====== ===== DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE COMBINED LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 25.01--30.00 1 $ 434,915.03 0.10% $434,915.03 576 29.86% 9.300% 30.01--35.00 1 234,898.92 0.06 234,898.92 560 34.81 8.990 35.01--40.00 2 365,912.37 0.09 182,956.19 621 36.65 8.628 40.01--45.00 2 444,838.13 0.11 222,419.07 592 40.83 7.170 45.01--50.00 5 851,120.82 0.20 170,224.16 621 47.31 7.964 50.01--55.00 18 4,445,742.22 1.06 246,985.68 592 53.25 8.462 55.01--60.00 20 5,204,039.38 1.24 260,201.97 571 57.70 8.780 60.01--65.00 57 17,982,563.14 4.29 315,483.56 592 63.53 8.445 65.01--70.00 79 22,385,559.69 5.35 283,361.52 595 68.90 8.650 70.01--75.00 89 26,887,101.37 6.42 302,102.26 590 73.94 8.602 75.01--80.00 169 51,596,780.39 12.32 305,306.39 589 79.49 8.477 80.01--85.00 150 46,530,352.13 11.11 310,202.35 605 84.40 8.246 85.01--90.00 266 91,191,194.99 21.77 342,824.04 615 89.33 8.504 90.01--95.00 54 20,119,766.20 4.80 372,588.26 615 89.55 8.340 95.01--100.00 457 130,124,802.94 31.07 284,736.99 637 81.21 8.077 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY STATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- CA 298 $124,477,347.22 29.72% $417,709.22 616 79.11% 8.088% FL 244 58,257,369.94 13.91 238,759.71 614 80.88 8.539 NY 134 58,005,366.17 13.85 432,875.87 615 80.51 8.163 MD 97 26,877,658.68 6.42 277,089.26 594 80.17 8.714 NJ 80 25,990,638.18 6.21 324,882.98 617 81.86 8.755 MA 64 20,065,658.66 4.79 313,525.92 610 81.00 8.615 VA 50 13,441,040.30 3.21 268,820.81 620 82.18 8.274 AZ 46 10,342,487.71 2.47 224,836.69 613 82.41 8.499 GA 45 9,116,406.55 2.18 202,586.81 599 85.70 8.447 NV 28 8,911,823.81 2.13 318,279.42 609 83.01 8.426 HI 17 7,264,507.56 1.73 427,323.97 611 80.99 8.308 IL 32 6,804,119.83 1.62 212,628.74 623 83.41 8.752 MN 26 5,683,011.55 1.36 218,577.37 623 84.27 8.133 CT 20 5,169,056.32 1.23 258,452.82 624 83.48 8.201 WA 20 4,576,602.17 1.09 228,830.11 594 81.77 8.326 Other 169 33,816,493.07 8.07 200,097.59 613 82.53 8.414 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY OCCUPANCY TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 2nd Home 19 $ 5,986,020.95 1.43% $315,053.73 645 82.41% 7.887% Non-Owner Occupied 82 19,783,388.00 4.72 241,260.83 609 78.67 9.132 Owner Occupied 1,269 393,030,178.77 93.85 309,716.45 613 80.90 8.312 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY PROPERTY TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- Single Family 1,106 $326,793,323.97 78.03% $295,473.17 611 80.84% 8.346% Multi Family 183 72,202,047.79 17.24 394,546.71 619 80.46 8.397 Condo 81 19,804,215.96 4.73 244,496.49 636 81.81 8.132 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY LOAN PURPOSE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 834 $264,437,515.75 63.14% $317,071.36 603 79.83% 8.398% Purchase 518 149,496,153.08 35.70 288,602.61 631 82.49 8.247 Refinance 18 4,865,918.89 1.16 270,328.83 601 82.94 8.449 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- Easy 13 $ 3,653,670.73 0.87% $281,051.59 585 85.97% 8.556% Full 737 219,869,949.29 52.50 298,331.00 609 82.25 7.987 Stated 620 195,275,967.70 46.63 314,961.24 619 79.11 8.744 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY CREDIT SCORE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 $ 175,942.67 0.04% $175,942.67 500 80.00% 11.250% 501--525 38 11,437,325.65 2.73 300,982.25 515 73.88 10.064 526--550 76 21,100,666.76 5.04 277,640.35 538 76.13 9.181 551--575 210 60,480,993.01 14.44 288,004.73 561 79.33 8.815 576--600 233 63,705,424.41 15.21 273,413.84 588 81.78 8.525 601--625 291 83,941,480.58 20.04 288,458.70 613 83.02 8.321 626--650 264 83,971,511.65 20.05 318,073.91 638 80.63 8.051 651--675 169 57,459,701.40 13.72 339,998.23 661 81.33 7.963 676--700 88 36,526,541.59 8.72 415,074.34 687 81.05 7.547 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE PREPAYMENT PENALTY TERMS MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 0 509 $158,941,892.91 37.95% $312,263.05 610 81.67% 8.564% 12 71 26,636,264.52 6.36 375,158.66 618 77.24 8.488 24 694 207,131,058.70 49.46 298,459.74 614 80.87 8.219 36 96 26,090,371.59 6.23 271,774.70 616 78.88 7.855 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY INITIAL INTEREST RATE CAP WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 86 $ 24,311,216.87 5.80% $282,688.57 619 76.65% 7.938% 1.500 1,284 394,488,370.85 94.20 307,233.93 613 81.07 8.370 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY PERIODIC INTEREST RATE CAP WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 86 $ 24,311,216.87 5.80% $282,688.57 619 76.65% 7.938% 1.500 1,284 394,488,370.85 94.20 307,233.93 613 81.07 8.370 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY GROSS MARGIN WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 86 $ 24,311,216.87 5.80% $282,688.57 619 76.65% 7.938% 3.001--4.000 11 4,791,628.80 1.14 435,602.62 645 76.00 6.077 4.001--5.000 109 40,569,842.48 9.69 372,200.39 645 77.88 7.018 5.001--6.000 364 115,172,051.33 27.50 316,406.73 618 81.17 7.965 6.001--7.000 800 233,954,848.24 55.86 292,443.56 604 81.68 8.850 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== DISTRIBUTION BY MAXIMUM MORTGAGE RATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 86 $ 24,311,216.87 5.80% $282,688.57 619 76.65% 7.938% 11.501--12.000 3 1,783,666.92 0.43 594,555.64 664 75.55 5.876 12.001--12.500 16 6,254,596.57 1.49 390,912.29 644 78.30 6.235 12.501--13.000 66 24,870,176.65 5.94 376,820.86 652 79.72 6.840 13.001--13.500 123 42,980,441.50 10.26 349,434.48 634 78.61 7.313 13.501--14.000 244 80,911,960.33 19.32 331,606.39 623 82.06 7.804 14.001--14.500 214 69,336,066.55 16.56 324,000.31 615 81.86 8.283 14.501--15.000 266 79,282,294.89 18.93 298,053.74 608 81.65 8.800 15.001--15.500 157 43,518,879.39 10.39 277,190.31 594 82.63 9.244 15.501--16.000 115 29,013,691.28 6.93 252,292.97 580 82.11 9.774 16.001--16.500 34 6,780,265.17 1.62 199,419.56 571 78.16 10.211 16.501--17.000 27 5,627,057.76 1.34 208,409.55 551 72.98 10.810 17.001--17.500 10 2,011,548.00 0.48 201,154.80 537 72.72 11.290 17.501--18.000 6 1,090,791.40 0.26 181,798.57 551 69.90 11.670 18.001--18.500 1 285,958.30 0.07 285,958.30 523 65.00 12.500 18.501--19.000 2 740,976.14 0.18 370,488.07 510 65.00 12.776 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ====== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY MINIMUM MORTGAGE RATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS MINIMUM MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- Fixed 86 $ 24,311,216.87 5.80% $282,688.57 619 76.65% 7.938% 5.501--6.000 3 1,783,666.92 0.43 594,555.64 664 75.55 5.876 6.001--6.500 16 6,254,596.57 1.49 390,912.29 644 78.30 6.235 6.501--7.000 66 24,870,176.65 5.94 376,820.86 652 79.72 6.840 7.001--7.500 123 42,980,441.50 10.26 349,434.48 634 78.61 7.313 7.501--8.000 245 81,175,383.75 19.38 331,328.10 623 82.06 7.804 8.001--8.500 214 69,232,643.13 16.53 323,517.02 615 81.85 8.285 8.501--9.000 265 79,122,294.89 18.89 298,574.70 608 81.66 8.801 9.001--9.500 157 43,518,879.39 10.39 277,190.31 594 82.63 9.244 9.501--10.000 115 29,013,691.28 6.93 252,292.97 580 82.11 9.774 10.001--10.500 34 6,780,265.17 1.62 199,419.56 571 78.16 10.211 10.501--11.000 27 5,627,057.76 1.34 208,409.55 551 72.98 10.810 11.001--11.500 10 2,011,548.00 0.48 201,154.80 537 72.72 11.290 11.501--12.000 6 1,090,791.40 0.26 181,798.57 551 69.90 11.670 12.001--12.500 1 285,958.30 0.07 285,958.30 523 65.00 12.500 12.501--13.000 2 740,976.14 0.18 370,488.07 510 65.00 12.776 ----- --------------- ------ ----------- --- ----- ------ TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ====== DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE INITIAL INTEREST RATE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ADJUSTMENT DATE LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- Fixed 86 $ 24,311,216.87 5.80% $282,688.57 619 76.65% 7.938% 2/1/2008 1 230,042.35 0.05 230,042.35 604 80.00 8.950 3/1/2008 1 307,411.82 0.07 307,411.82 619 80.00 7.690 4/1/2008 10 3,595,985.16 0.86 359,598.52 655 81.74 7.819 5/1/2008 17 4,821,265.47 1.15 283,603.85 609 80.29 8.067 6/1/2008 137 41,531,952.77 9.92 303,152.94 622 81.38 8.113 7/1/2008 331 99,309,791.47 23.71 300,029.58 612 80.10 8.403 8/1/2008 506 163,704,680.62 39.09 323,527.04 611 81.39 8.429 9/1/2008 238 68,052,989.00 16.25 285,936.93 610 81.92 8.414 7/1/2009 10 2,732,507.97 0.65 273,250.80 633 76.11 8.265 8/1/2009 17 4,563,770.36 1.09 268,457.08 627 86.57 8.276 9/1/2009 8 2,472,050.00 0.59 309,006.25 640 82.38 7.972 6/1/2011 1 799,435.62 0.19 799,435.62 543 55.17 8.700 7/1/2011 2 738,579.53 0.18 369,289.77 610 71.47 8.042 8/1/2011 3 853,316.71 0.20 284,438.90 581 78.79 8.988 9/1/2011 2 774,592.00 0.18 387,296.00 602 70.34 7.438 ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY LIEN TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LIEN TYPE LOANS BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- --------------- ------------ ----------- -------- -------- -------- 1st 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ----- --------------- ------ ----------- --- ----- ----- TOTAL: 1,370 $418,799,587.72 100.00% $305,693.13 613 80.82% 8.345% ===== =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) COLLATERAL SUMMARY Statistics for the Mortgage Loans listed below are based on the Statistical Cut-off Date scheduled balances. SCHEDULED PRINCIPAL BALANCE: $112,248,429.67 NUMBER OF MORTGAGE LOANS: 337 AVERAGE SCHEDULED PRINCIPAL BALANCE: $333,081.39 WEIGHTED AVERAGE GROSS COUPON: 7.601% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 623 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 81.58% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 91.04% 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): 5.530% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.500% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.500% INTEREST ONLY LOANS: 100.00% SILENT SECONDS: 49.74% (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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRODUCT TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 2YR-ARM 5YR-IO 306 $101,279,189.67 90.23% $330,977.74 622 81.77% 7.659% 3YR-ARM 3YR-IO 12 4,102,500.00 3.65 341,875.00 635 78.95 6.944 3YR-ARM 5YR-IO 17 6,059,490.00 5.40 356,440.59 634 79.61 7.089 5YR-ARM 5YR-IO 2 807,250.00 0.72 403,625.00 625 85.07 7.516 --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT GROSS MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 5.501--6.000 3 $ 1,930,220.00 1.72% $643,406.67 624 74.06% 5.960% 6.001--6.500 13 4,811,500.00 4.29 370,115.38 633 81.04 6.326 6.501--7.000 48 15,203,892.89 13.54 316,747.77 634 78.08 6.844 7.001--7.500 85 30,455,154.60 27.13 358,295.94 626 80.43 7.300 7.501--8.000 102 36,153,082.66 32.21 354,441.99 620 82.30 7.803 8.001--8.500 44 12,146,253.00 10.82 276,051.20 613 84.01 8.277 8.501--9.000 32 8,513,990.20 7.58 266,062.19 616 85.02 8.693 9.001--9.500 9 2,409,336.32 2.15 267,704.04 620 85.21 9.239 9.501--10.000 1 625,000.00 0.56 625,000.00 601 100.00 9.600 --- --------------- ------ ----------- --- ------ ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ====== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL MORTGAGE LOAN MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ------------- -------- -------- -------- 50,000.01--100,000.00 9 $ 781,026.60 0.70% $ 86,780.73 615 83.03% 8.243% 100,000.01--150,000.00 31 4,051,017.56 3.61 130,677.99 615 81.17 8.125 150,000.01--200,000.00 50 8,860,262.86 7.89 177,205.26 621 79.56 7.796 200,000.01--250,000.00 42 9,535,624.86 8.50 227,038.69 618 79.93 7.488 250,000.01--300,000.00 44 11,961,840.11 10.66 271,860.00 618 81.14 7.726 300,000.01--350,000.00 40 12,886,653.00 11.48 322,166.33 628 81.74 7.338 350,000.01--400,000.00 32 12,053,354.25 10.74 376,667.32 631 79.21 7.419 400,000.01--450,000.00 17 7,288,787.64 6.49 428,752.21 615 82.93 7.717 450,000.01--500,000.00 13 6,124,920.00 5.46 471,147.69 619 83.11 7.550 500,000.01--550,000.00 12 6,298,260.00 5.61 524,855.00 616 81.98 7.612 550,000.01--600,000.00 15 8,602,307.59 7.66 573,487.17 627 82.65 7.635 600,000.01--650,000.00 8 5,092,000.00 4.54 636,500.00 626 89.54 7.987 650,000.01--700,000.00 5 3,422,200.00 3.05 684,440.00 627 78.50 6.974 700,000.01--750,000.00 6 4,392,177.20 3.91 732,029.53 618 85.75 7.647 750,000.01--800,000.00 7 5,476,498.00 4.88 782,356.86 626 79.86 7.837 800,000.01--850,000.00 3 2,479,500.00 2.21 826,500.00 643 83.32 7.467 850,000.01--900,000.00 2 1,782,000.00 1.59 891,000.00 635 77.87 7.246 1,000,000.01 >= 1 1,160,000.00 1.03 1,160,000.00 625 80.00 7.250 --- --------------- ------ ------------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $ 333,081.39 623 81.58% 7.601% === =============== ====== ============= === ===== ===== DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT UNPAID PRINCIPAL MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ------------- -------- -------- -------- 50,000.01--100,000.00 9 $ 781,026.60 0.70% $ 86,780.73 615 83.03% 8.243% 100,000.01--150,000.00 31 4,051,017.56 3.61 130,677.99 615 81.17 8.125 150,000.01--200,000.00 50 8,860,262.86 7.89 177,205.26 621 79.56 7.796 200,000.01--250,000.00 42 9,535,624.86 8.50 227,038.69 618 79.93 7.488 250,000.01--300,000.00 44 11,961,840.11 10.66 271,860.00 618 81.14 7.726 300,000.01--350,000.00 40 12,886,653.00 11.48 322,166.33 628 81.74 7.338 350,000.01--400,000.00 32 12,053,354.25 10.74 376,667.32 631 79.21 7.419 400,000.01--450,000.00 17 7,288,787.64 6.49 428,752.21 615 82.93 7.717 450,000.01--500,000.00 13 6,124,920.00 5.46 471,147.69 619 83.11 7.550 500,000.01--550,000.00 12 6,298,260.00 5.61 524,855.00 616 81.98 7.612 550,000.01--600,000.00 15 8,602,307.59 7.66 573,487.17 627 82.65 7.635 600,000.01--650,000.00 8 5,092,000.00 4.54 636,500.00 626 89.54 7.987 650,000.01--700,000.00 5 3,422,200.00 3.05 684,440.00 627 78.50 6.974 700,000.01--750,000.00 6 4,392,177.20 3.91 732,029.53 618 85.75 7.647 750,000.01--800,000.00 7 5,476,498.00 4.88 782,356.86 626 79.86 7.837 800,000.01--850,000.00 3 2,479,500.00 2.21 826,500.00 643 83.32 7.467 850,000.01--900,000.00 2 1,782,000.00 1.59 891,000.00 635 77.87 7.246 1,000,000.01 >= 1 1,160,000.00 1.03 1,160,000.00 625 80.00 7.250 --- --------------- ------ ------------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $ 333,081.39 623 81.58% 7.601% === =============== ====== ============= === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY REMAINING TERM TO MATURITY WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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--360 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY ORIGINAL TERM TO MATURITY WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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--360 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 35.01--40.00 1 $ 200,000.00 0.18% $200,000.00 625 38.46% 7.650% 40.01--45.00 1 260,000.00 0.23 260,000.00 620 44.83 7.250 45.01--50.00 3 1,220,000.00 1.09 406,666.67 636 47.58 7.319 55.01--60.00 4 1,063,787.81 0.95 265,946.95 615 57.68 7.004 60.01--65.00 6 1,627,747.08 1.45 271,291.18 637 63.99 7.494 65.01--70.00 9 3,557,900.00 3.17 395,322.22 626 69.02 7.463 70.01--75.00 11 4,169,950.00 3.71 379,086.36 613 73.13 7.021 75.01--80.00 191 59,802,211.49 53.28 313,100.58 626 79.80 7.549 80.01--85.00 39 12,416,728.30 11.06 318,377.65 617 84.46 7.501 85.01--90.00 56 21,607,523.42 19.25 385,848.63 624 89.64 7.801 90.01--95.00 12 4,613,700.00 4.11 384,475.00 608 94.32 7.942 95.01--100.00 4 1,708,881.57 1.52 427,220.39 607 100.00 9.159 --- --------------- ------ ----------- --- ------ ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ====== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE COMBINED LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 35.01--40.00 1 $ 200,000.00 0.18% $200,000.00 625 38.46% 7.650% 40.01--45.00 1 260,000.00 0.23 260,000.00 620 44.83 7.250 45.01--50.00 3 1,220,000.00 1.09 406,666.67 636 47.58 7.319 55.01--60.00 4 1,063,787.81 0.95 265,946.95 615 57.68 7.004 60.01--65.00 6 1,627,747.08 1.45 271,291.18 637 63.99 7.494 65.01--70.00 7 2,389,900.00 2.13 341,414.29 626 69.17 7.520 70.01--75.00 10 3,369,950.00 3.00 336,995.00 617 72.73 6.896 75.01--80.00 31 11,258,220.00 10.03 363,168.39 630 78.95 7.422 80.01--85.00 31 10,499,465.30 9.35 338,692.43 619 83.73 7.489 85.01--90.00 50 19,376,053.42 17.26 387,521.07 622 88.75 7.732 90.01--95.00 17 6,596,200.00 5.88 388,011.76 608 90.08 7.800 95.01--100.00 176 54,387,106.06 48.45 309,017.65 624 81.31 7.660 --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY STATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS STATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- CA 130 $ 55,006,004.54 49.00% $423,123.11 623 80.42% 7.438% FL 40 10,523,660.38 9.38 263,091.51 623 81.65 7.755 MD 24 9,186,220.00 8.18 382,759.17 625 84.72 7.947 NY 16 5,943,700.00 5.30 371,481.25 629 81.74 7.693 VA 13 4,249,602.38 3.79 326,892.49 616 81.25 7.673 WA 12 4,006,665.94 3.57 333,888.83 623 84.77 7.272 AZ 17 3,537,147.00 3.15 208,067.47 620 83.50 7.773 MA 7 3,513,197.08 3.13 501,885.30 630 78.07 7.597 NJ 8 2,590,000.00 2.31 323,750.00 621 84.88 8.346 GA 13 2,196,168.00 1.96 168,936.00 609 81.78 8.123 HI 4 1,566,850.00 1.40 391,712.50 620 90.75 8.022 NV 7 1,530,150.00 1.36 218,592.86 636 81.90 7.464 MN 7 1,419,771.00 1.26 202,824.43 627 82.29 7.284 CT 4 1,005,200.00 0.90 251,300.00 631 83.26 7.460 DC 3 898,000.00 0.80 299,333.33 616 76.09 7.396 Other 32 5,076,093.35 4.52 158,627.92 620 82.70 7.857 --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- Owner Occupied 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY PROPERTY TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- Single Family 310 $102,292,140.67 91.13% $329,974.65 623 81.55% 7.595% Condo 14 4,527,389.00 4.03 323,384.93 623 83.95 7.908 Multi Family 13 5,428,900.00 4.84 417,607.69 631 80.04 7.465 --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY LOAN PURPOSE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 180 $ 58,781,321.66 52.37% $326,562.90 624 81.24% 7.670% Cash Out 156 53,219,608.01 47.41 341,151.33 622 81.91 7.527 Refinance 1 247,500.00 0.22 247,500.00 650 90.00 7.300 --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- Easy 5 $ 2,522,070.00 2.25% $504,414.00 614 84.91% 7.536% Full 313 102,287,862.59 91.13 326,798.28 621 81.77 7.560 Stated 19 7,438,497.08 6.63 391,499.85 654 77.85 8.186 --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY CREDIT SCORE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 576--600 73 $ 20,917,771.11 18.64% $286,544.81 590 82.03% 7.866% 601--625 124 42,225,765.24 37.62 340,530.36 615 82.35 7.652 626--650 96 33,598,774.64 29.93 349,987.24 638 81.04 7.452 651--675 44 15,506,118.68 13.81 352,411.79 659 80.02 7.428 --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE PREPAYMENT PENALTY TERMS MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 0 87 $ 28,110,393.17 25.04% $323,107.97 625 82.47% 7.963% 12 14 5,794,127.00 5.16 413,866.21 629 80.36 7.614 24 187 61,242,871.97 54.56 327,501.99 621 81.46 7.585 36 49 17,101,037.53 15.23 349,000.77 627 80.94 7.060 --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY INITIAL INTEREST RATE CAP WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS INITIAL CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 1.500 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY PERIODIC INTEREST RATE CAP WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PERIODIC CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 1.500 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY GROSS MARGIN WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 11 $ 5,149,720.00 4.59% $468,156.36 637 79.30% 6.193% 4.001--5.000 84 28,158,147.89 25.09 335,216.05 631 80.06 6.981 5.001--6.000 130 46,159,622.26 41.12 355,074.02 618 82.50 7.734 6.001--7.000 112 32,780,939.52 29.20 292,686.96 621 81.93 8.168 --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY MAXIMUM MORTGAGE RATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 11.501--12.000 3 $ 1,930,220.00 1.72% $643,406.67 624 74.06% 5.960% 12.001--12.500 13 4,811,500.00 4.29 370,115.38 633 81.04 6.326 12.501--13.000 47 14,911,893.72 13.28 317,274.33 635 78.04 6.842 13.001--13.500 85 30,432,653.77 27.11 358,031.22 625 80.38 7.294 13.501--14.000 103 36,467,582.66 32.49 354,054.20 621 82.33 7.801 14.001--14.500 44 12,146,253.00 10.82 276,051.20 613 84.01 8.277 14.501--15.000 32 8,513,990.20 7.58 266,062.19 616 85.02 8.693 15.001--15.500 9 2,409,336.32 2.15 267,704.04 620 85.21 9.239 15.501--16.000 1 625,000.00 0.56 625,000.00 601 100.00 9.600 --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY MINIMUM MORTGAGE RATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED 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 - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 5.501--6.000 3 $ 1,930,220.00 1.72% $643,406.67 624 74.06% 5.960% 6.001--6.500 13 4,811,500.00 4.29 370,115.38 633 81.04 6.326 6.501--7.000 48 15,203,892.89 13.54 316,747.77 634 78.08 6.844 7.001--7.500 85 30,455,154.60 27.13 358,295.94 626 80.43 7.300 7.501--8.000 102 36,153,082.66 32.21 354,441.99 620 82.30 7.803 8.001--8.500 44 12,146,253.00 10.82 276,051.20 613 84.01 8.277 8.501--9.000 32 8,513,990.20 7.58 266,062.19 616 85.02 8.693 9.001--9.500 9 2,409,336.32 2.15 267,704.04 620 85.21 9.239 9.501--10.000 1 625,000.00 0.56 625,000.00 601 100.00 9.600 --- --------------- ------ ----------- --- ------ ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== 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-FRE2 $946,460,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES OCTOBER 2, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE INITIAL INTEREST RATE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ADJUSTMENT DATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 4/1/2008 4 $ 1,157,614.74 1.03% $289,403.69 635 80.00% 8.010% 5/1/2008 19 5,861,986.54 5.22 308,525.61 620 80.89 7.432 6/1/2008 41 14,234,735.71 12.68 347,188.68 612 82.23 7.499 7/1/2008 96 30,734,706.08 27.38 320,153.19 618 82.75 7.697 8/1/2008 97 33,548,046.60 29.89 345,856.15 626 81.61 7.691 9/1/2008 49 15,742,100.00 14.02 321,267.35 629 80.27 7.721 7/1/2009 3 1,299,350.00 1.16 433,116.67 629 83.60 8.017 8/1/2009 12 3,882,640.00 3.46 323,553.33 637 79.90 7.037 9/1/2009 14 4,980,000.00 4.44 355,714.29 634 77.80 6.768 7/1/2011 1 648,000.00 0.58 648,000.00 627 90.00 7.250 9/1/2011 1 159,250.00 0.14 159,250.00 615 65.00 8.600 --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== DISTRIBUTION BY LIEN TYPE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS LIEN TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------ -------- ----------------- ------------ ----------- -------- -------- -------- 1st 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% --- --------------- ------ ----------- --- ----- ----- TOTAL: 337 $112,248,429.67 100.00% $333,081.39 623 81.58% 7.601% === =============== ====== =========== === ===== ===== 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.