(CMLT06N1) sample...cmlt06n1p p sen_pen_no nr 1.000 0.07 0.00% 0.00% no - accum unrealized period...
24
mple s sample sam e sample samp ple sample sample ample sample sample sa sample sample sample sam le sample sample sample sample mple sample sample sample sample ample sample sample sample samp sample sample sample sample sam ample sample sample sample s mple sample sample sample e sample sample sam sample sample sa mple sample ple samp e sam Snapshot Deal Highlights ROLE COMPANY DEALER Citigroup / Bear, Stearns / Northeast Securities MASTER SERVICER New Century Mortgage Corporation TRUSTEE Wells Fargo Bank ISSUER Carrington Home Equity Loan Trust MORNINGSTAR ANALYST [email protected] [email protected] PRIMARY | Brian Alan | 646-560-4516 BACKUP | Brian Grow | 646-560-4513 CURRENT COLLAT BALANCE ISSUANCE COLLAT BALANCE DEAL TYPE / COLLAT TYPE $1,441,051,750 ISSUANCE DATE CURRENT DEAL BALANCE $1,371,880,100 02/08/2006 ISSUANCE DEAL BALANCE $388,211,926 OC / Subprime $388,211,926 CURRENT # OF LOANS 2,042 ISSUANCE # OF LOANS 6,821 PROJ COLLAT LOSS (LIFE) $474,017,504 According to Morningstar, the credit quality of the collateral backing this deal has a risk score of 31.00 on a scale of one to 100, one being the best. Adjustable-rate loans represent 77.26% and Fixed-rate loans represent 22.74% of the remaining deal. The average loan in the pool was originated in 2005. Loans with balloon payments at their maturity account for 0.00% of the pool. Loans that allow for negative amortization make up 0.00% of the deal. First lien loans comprise 99.46% of the current pool. I. Collateral 0.15% of the underlying pool is made up of interest-only loans. The average remaining interest-only term is 0 month(s), after which the loans will become fully amortizing. · 33.84% of the pool is concentrated in California and New York. · The current LTV adjusted by HPA is 117.51%, compared to an original LTV of 80.58% at issuance. · Monthly losses have averaged 1.00% over the past three months. Cumulative loss to date on the pool is 19.65% ($283,151,629.59). The pool has 2.12% of its properties located in the 20 MSAs that have experienced the largest home price declines over the past 6 months. II. Credit Metrics/Performance Morningstar expects the base case lifetime cumulative loss (our single-B scenario) to reach 32.89%, 13.25% over the current actual level. · The three-month average net excess spread is 2.38%. · Current foreclosure timeline on the pool is 14 month(s). · The initial OC was 4.80% and current OC is 0.00%. III. Deal Structure/Tranches As of the current reporting period, class M4 is outstanding and has incurred a writedown. · Classes M4 and M3 are projected to be written off in 7 and 14 month(s), respectively, from the current report date. · The following triggers are failing: Step Up Enhancement Delinquency Trigger, Step Up Cumulative Loss Trigger, and Step Up Trigger. · Report Date: December 2012 Carrington Mortgage Loan Trust, Series 2006-NC1 (CMLT06N1) PAGE 1 OF 24
Transcript of (CMLT06N1) sample...cmlt06n1p p sen_pen_no nr 1.000 0.07 0.00% 0.00% no - accum unrealized period...
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Snapshot
Deal Highlights
ROLE COMPANY
DEALER Citigroup / Bear, Stearns / Northeast Securities
MASTER SERVICER New Century Mortgage Corporation
TRUSTEE Wells Fargo Bank
ISSUER Carrington Home Equity Loan Trust
MORNINGSTAR ANALYST
PRIMARY | Brian Alan | 646-560-4516
BACKUP | Brian Grow | 646-560-4513
CURRENT COLLAT BALANCE ISSUANCE COLLAT BALANCE
DEAL TYPE / COLLAT TYPE
$1,441,051,750
ISSUANCE DATE
CURRENT DEAL BALANCE $1,371,880,100
02/08/2006
ISSUANCE DEAL BALANCE$388,211,926
OC / Subprime
$388,211,926
CURRENT # OF LOANS 2,042 ISSUANCE # OF LOANS 6,821
PROJ COLLAT LOSS (LIFE) $474,017,504
According to Morningstar, the credit quality of the collateral backing this deal has a risk score of 31.00 on a scale of one to 100, one being the best. Adjustable-rate loansrepresent 77.26% and Fixed-rate loans represent 22.74% of the remaining deal. The average loan in the pool was originated in 2005. Loans with balloon payments attheir maturity account for 0.00% of the pool. Loans that allow for negative amortization make up 0.00% of the deal. First lien loans comprise 99.46% of the current pool.
I. Collateral
0.15% of the underlying pool is made up of interest-only loans. The average remaining interest-only term is 0 month(s), after which the loans will become fullyamortizing.
·
33.84% of the pool is concentrated in California and New York.·The current LTV adjusted by HPA is 117.51%, compared to an original LTV of 80.58% at issuance.·
Monthly losses have averaged 1.00% over the past three months. Cumulative loss to date on the pool is 19.65% ($283,151,629.59). The pool has 2.12% of itsproperties located in the 20 MSAs that have experienced the largest home price declines over the past 6 months.
II. Credit Metrics/Performance
Morningstar expects the base case lifetime cumulative loss (our single-B scenario) to reach 32.89%, 13.25% over the current actual level.·The three-month average net excess spread is 2.38%.·Current foreclosure timeline on the pool is 14 month(s).·
The initial OC was 4.80% and current OC is 0.00%.
III. Deal Structure/Tranches
As of the current reporting period, class M4 is outstanding and has incurred a writedown.·Classes M4 and M3 are projected to be written off in 7 and 14 month(s), respectively, from the current report date.·The following triggers are failing: Step Up Enhancement Delinquency Trigger, Step Up Cumulative Loss Trigger, and Step Up Trigger.·
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
PAGE 1 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
CAPITAL STRUCTURE
Capital Structure
OC Targets
CLASS
CURRMSTARRATING GRP
TRANCHETYPE
ORIGBALANCE ($)
CURRENTBALANCE ($)
COUPON(%)
PROJECTED$ LOSS
(LIFE)
CUMLOSS TO
DATE(%)
CUM LOSS TODATE ($)
COUPONFORMULA
MSTAR PERFOUTLOOK
ORIGC/S (%)
CURRC/S (%)
CUM'LUNREALIZED
LOSS TO DATE($)
A1 $582,314,000NR NR $0 0.290%SEN_FLT 23.45% 0.00% $0
A2 $188,695,000NR NR $0 0.370%SEN_FLT 23.45% 0.00% $0
A3 $250,370,000NR N/A $164,001,389 $00.420%SEN_FLT 23.45% 36.70% $0
A4 $81,745,000NR N/A $81,745,000 $3,522,0090.520%SEN_FLT 23.45% 36.70% $0
M1 $52,598,000NR N/A $52,598,000 $52,598,0000.610%MEZ_FLT 19.80% 23.15% $0
M2 $48,996,000NR N/A $48,996,000 $48,996,0000.630%MEZ_FLT 16.40% 10.53% $0
M3 $28,821,000NR N/A $28,821,000 $28,821,0000.660%MEZ_FLT 14.40% 3.10% $0
M4 $26,660,000NR N/A $12,050,437 $26,660,0000.790%MEZ_FLT 12.55% 0.00% $14,609,563 54.79%
M5 $24,498,000NR NR $0 0.810%MEZ_FLT 10.85% 0.00% $24,498,000 100.00%
M6 $22,336,000NR NR $0 0.900%MEZ_FLT 9.30% 0.00% $22,336,000 100.00%
M7 $20,175,000NR NR $0 1.560%MEZ_FLT 7.90% 0.00% $20,175,000 100.00%
M8 $15,852,000NR NR $0 1.760%MEZ_FLT 6.80% 0.00% $15,852,000 100.00%
M9 $14,410,000NR NR $0 2.860%MEZ_FLT 5.80% 0.00% $14,410,000 100.00%
M10 $14,410,000NR NR $0 3.210%MEZ_FLT 4.80% 0.00% $14,410,000 100.00%
CE $69,171,650NR NR $0 $04.744%JUN_OC_NO 0.00% 0.00% $0
P $100NR NR $100 $00.000%SEN_PEN_NO 0.00% 0.00% $0
RI $0NR NR $0 0.000%NPR_NPR_NO 0.00% 0.00% $0
RII $0NR NR $0 0.000%NPR_NPR_NO 0.00% 0.00% $0
GROUP $ INITIAL $ TARGET $ CURRENT INITIAL % TARGET % CURRENT %
0 17.82%$69,171,750 4.80%$69,170,484 0.00%$0
PAGE 2 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
BOND ANALYSIS
Remaining Tranche Summary
Projected Cash Flow Summary
TRANCHE A3
TRANCHE A4
TRANCHE M1
TRANCHE M2
PERIOD TO FIRSTPRIN WRITEDOWNCUSIP
CURRMSTARRTG
CURRFACTORTRANCHE TYPE EXP PRIN WRITEDOWNWAL
EXP ACCUMINT
SHORTFALLCLASSORIG
C/S (%)CURR
C/S (%)
CURFULLYINS.
CUM'LUNREALIZED
LOSS TODATE($)
144531EW6 A3 NR 0.655 -3.81SEN_FLT 23.45% 36.70% No
144531EX4 A4 NR 1.000 $3,522,00920.12SEN_FLT 275 23.45% 36.70% No
144531EY2 M1 NR 1.000 $52,598,00010.25MEZ_FLT 39 19.80% 23.15% No
144531EZ9 M2 NR 1.000 $48,996,0001.92MEZ_FLT 14 16.40% 10.53% No
144531FA3 M3 NR 1.000 $28,821,0000.86MEZ_FLT 7 14.40% 3.10% No
144531FB1 M4 NR 0.452 $12,050,4370.30MEZ_FLT 1 12.55% 0.00% No
CMLT06N1P P NR 1.000 -0.07SEN_PEN_NO 0.00% 0.00% No
ACCUM UNREALIZEDWRITEDOWN ($)PERIOD DATE
COLLAT NETLOSS ($)PRINCIPAL INTEREST CASHFLOW
REMAININGBALANCE
ACCUM INTERESTSHORTFALL
ACCUM PRINCWRITEDOWN
PROJC/S (%)
6 06/25/2013 $3,487,727 $48,627 $3,536,355 $143,619,925 $0 $0 36.79%$0
12 12/26/2013 $4,061,664 $51,580 $4,113,245 $119,954,737 $0 $0 34.56%$0
24 12/26/2014 $1,822,990 $51,396 $1,874,386 $87,929,998 $0 $0 29.56%$0
36 12/28/2015 $1,109,169 $69,095 $1,178,264 $70,952,295 $0 $0 26.77%$0
48 12/27/2016 $889,371 $90,451 $979,823 $58,883,692 $0 $0 24.13%$0
60 12/26/2017 $704,128 $93,478 $797,606 $49,504,122 $0 $0 22.42%$0
Life $164,001,389 $8,245,414 $172,246,802 $0 $0 $0 $0
ACCUM UNREALIZEDWRITEDOWN ($)PERIOD DATE
COLLAT NETLOSS ($)PRINCIPAL INTEREST CASHFLOW
REMAININGBALANCE
ACCUM INTERESTSHORTFALL
ACCUM PRINCWRITEDOWN
PROJC/S (%)
6 06/25/2013 $0 $33,379 $33,379 $81,745,000 $0 $0 36.79%$0
12 12/26/2013 $0 $41,038 $41,038 $81,745,000 $0 $0 34.56%$0
24 12/26/2014 $0 $53,850 $53,850 $81,745,000 $0 $0 29.56%$0
36 12/28/2015 $0 $85,873 $85,873 $81,745,000 $0 $0 26.77%$0
48 12/27/2016 $0 $130,966 $130,966 $81,745,000 $0 $0 24.13%$0
60 12/26/2017 $0 $158,778 $158,778 $81,745,000 $0 $0 22.42%$0
Life $78,222,991 $38,259,204 $116,482,195 $0 $0 $3,522,009 $0
ACCUM UNREALIZEDWRITEDOWN ($)PERIOD DATE
COLLAT NETLOSS ($)PRINCIPAL INTEREST CASHFLOW
REMAININGBALANCE
ACCUM INTERESTSHORTFALL
ACCUM PRINCWRITEDOWN
PROJC/S (%)
6 06/25/2013 $0 $25,159 $25,159 $52,598,000 $0 $0 22.04%$0
12 12/26/2013 $0 $30,482 $30,482 $52,598,000 $0 $0 17.50%$0
24 12/26/2014 $0 $38,725 $38,725 $52,598,000 $0 $0 7.73%$0
36 12/28/2015 $0 $59,594 $59,594 $52,598,000 $0 $0 1.54%$0
48 12/27/2016 $0 $76,569 $76,569 $44,728,027 $0 $7,869,973 0.00%$0
60 12/26/2017 $0 $77,360 $77,360 $37,937,302 $0 $14,660,698 0.00%$0
Life $0 $10,769,655 $10,769,655 $0 $0 $52,598,000 $0
ACCUM UNREALIZEDWRITEDOWN ($)PERIOD DATE
COLLAT NETLOSS ($)PRINCIPAL INTEREST CASHFLOW
REMAININGBALANCE
ACCUM INTERESTSHORTFALL
ACCUM PRINCWRITEDOWN
PROJC/S (%)
6 06/25/2013 $0 $24,199 $24,199 $48,996,000 $0 $0 8.30%$0
12 12/26/2013 $0 $29,238 $29,238 $48,996,000 $0 $0 1.60%$0
PAGE 3 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
TRANCHE M3
TRANCHE M4
TRANCHE CE
TRANCHE P
ACCUM UNREALIZEDWRITEDOWN ($)PERIOD DATE
COLLAT NETLOSS ($)PRINCIPAL INTEREST CASHFLOW
REMAININGBALANCE
ACCUM INTERESTSHORTFALL
ACCUM PRINCWRITEDOWN
PROJC/S (%)
24 12/26/2014 $0 $15,352 $15,352 $18,609,905 $0 $30,386,095 0.00%$0
36 12/28/2015 $0 $5,037 $5,037 $3,211,392 $0 $45,784,608 0.00%$0
Life $0 $705,631 $705,631 $0 $0 $48,996,000 $0
ACCUM UNREALIZEDWRITEDOWN ($)PERIOD DATE
COLLAT NETLOSS ($)PRINCIPAL INTEREST CASHFLOW
REMAININGBALANCE
ACCUM INTERESTSHORTFALL
ACCUM PRINCWRITEDOWN
PROJC/S (%)
6 06/25/2013 $0 $14,907 $14,907 $28,821,000 $0 $0 0.21%$0
12 12/26/2013 $0 $6,126 $6,126 $4,939,867 $0 $23,881,133 0.00%$0
Life $0 $171,896 $171,896 $0 $0 $28,821,000 $0
ACCUM UNREALIZEDWRITEDOWN ($)PERIOD DATE
COLLAT NETLOSS ($)PRINCIPAL INTEREST CASHFLOW
REMAININGBALANCE
ACCUM INTERESTSHORTFALL
ACCUM PRINCWRITEDOWN
PROJC/S (%)
6 06/25/2013 $0 $1,820 $1,820 $756,951 $0 $25,903,049 0.00%$0
Life $0 $29,666 $29,666 $0 $0 $26,660,000 $0
ACCUM UNREALIZEDWRITEDOWN ($)PERIOD DATE
COLLAT NETLOSS ($)PRINCIPAL INTEREST CASHFLOW
REMAININGBALANCE
ACCUM INTERESTSHORTFALL
ACCUM PRINCWRITEDOWN
PROJC/S (%)
Life $0 $0 $0 $0 $0 $0 $0
ACCUM UNREALIZEDWRITEDOWN ($)PERIOD DATE
COLLAT NETLOSS ($)PRINCIPAL INTEREST CASHFLOW
REMAININGBALANCE
ACCUM INTERESTSHORTFALL
ACCUM PRINCWRITEDOWN
PROJC/S (%)
Life $100 $0 $100 $0 $0 $0 $0
Credit Support Level
A3
A4
M1
M2
M3
M4
P
Cre
dit
Su
pp
ort
(%
)
40%
35%
30%
25%
20%
15%
10%
5%
0%
Time
Mar
2012
Jun 2
012
Sep 2
012
Dec 2
012
Mar
2013
Jun 2
013
Sep 2
013
Dec 2
013
Mar
2014
Jun 2
014
Sep 2
014
Dec 2
014
Mar
2015
Jun 2
015
Sep 2
015
Dec 2
015
Mar
2016
Jun 2
016
Sep 2
016
Dec 2
016
Mar
2017
Jun 2
017
Sep 2
017
Dec 2
017
OC vs XS
OC Target
OC Actual
OC Deficiency
Net Excess Spread
$70,000,000
$60,000,000
$50,000,000
$40,000,000
$30,000,000
$20,000,000
$10,000,000
$0,000
Time
Sep 2
011
Dec 2
011
Mar
2012
Jun 2
012
Sep 2
012
Dec 2
012
PAGE 4 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
TRIGGER ANALYSIS
Current Snapshot
STEP UP ENHANCEMENT DELINQUENCY TRIGGER Trigger Detail
STEP UP CUMULATIVE LOSS TRIGGER Trigger Detail
TEST THRESHOLD ACTUAL STATUS TRIGGER RATIO
Step Up Enhancement Delinquency Trigger 0.37Fail12.59% 33.63%
Step Up Cumulative Loss Trigger 0.34Fail6.85% 19.86%
Step Up Trigger Fail
DATE THRESHOLD ACTUAL STATUS TRIGGER RATIOPERIOD
06/25/2013 0.23Fail12.55% 54.72%6
12/25/2013 0.20Fail11.79% 58.23%12
12/25/2014 0.17Fail10.09% 58.90%24
12/25/2015 0.15Fail9.13% 60.05%36
12/25/2016 0.15Fail8.23% 55.93%48
12/25/2017 0.14Fail7.65% 53.01%60
DATE THRESHOLD ACTUAL STATUS TRIGGER RATIOPERIOD
06/25/2013 0.33Fail6.85% 21.04%6
12/25/2013 0.30Fail6.85% 23.07%12
12/25/2014 0.26Fail6.85% 25.99%24
12/25/2015 0.25Fail6.85% 27.39%36
12/25/2016 0.24Fail6.85% 28.40%48
12/25/2017 0.24Fail6.85% 29.04%60
PAGE 5 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
COLLATERAL SUMMARY*
Collateral SummaryMEASUREMENT MONTH T-12 CURRENT BENCHMARK
Balance ($) $389,032,579$466,389,002 $31,289,399,060
Count 2,0422,369 157,481
Balance Ratio 1.001.01 0.94
WAC (%) 5.75 %6.02 % 5.36 %
Weighted Loan Age (mnts) 8472 83
Average PIPMT ($) $1,571$1,660 $1,751
Average PIPMT Ratio 0.890.91 2.23
Loans with MI -- 4.57 %
Single Family (%) 73.75 %72.83 % 70.58 %
Weighted Estimated CLTV (%) 117.51 %125.57 % 107.10 %
Weighted CLTV (%) 86.69 %87.11 % 85.47 %
First With Piggyback (%) 29.47 %30.41 % 29.71 %
Average Original Property Value($) $245,283$271,216 $277,126
HPI Ratio (%) 74.19 %70.76 % 76.66 %
Fixed (%) 22.74 %21.46 % 22.70 %
ARM (%) 77.26 %78.54 % 77.30 %
Balloons (%) -- 11.29 %
Interest Only (%) 0.15 %1.21 % 11.50 %
Weighted IO Term Remaining (mnts) 00 4
Weighted First Reset (mnts) -- 3
ARM Margin (%) 4.64 %4.72 % 4.05 %
Second Liens (%) 0.54 %0.51 % 0.54 %
Weighted Remaining PPP Term (mnts) -- 0
Remaining WAM (mnts) 273286 281
Weighted Amortization Term (mnts) 357357 381
Cash Out Refinance (%) 53.01 %51.18 % 48.29 %
Purchase (%) 34.49 %36.83 % 40.65 %
Investor Owned (%) 3.17 %3.28 % 6.88 %
Mstar Risk Grade 31.0031.57 30.82
Original FICO 621623 638
Original DTI (%) 40.65 %40.62 % 40.23 %
Original Full Doc (%) 65.56 %64.93 % 49.23 %
Original Limited Doc (%) 34.44 %35.07 % 48.96 %
Original No/Stated Doc (%) -- 1.37 %
Cumulative Liquidations ($) $439,333,486$374,376,380 $27,237,769,276
Cumulative Liquidation Rate (%) 30.45 %25.94 % 22.66 %
Cumulative Severity (%) 64.07 %62.30 % 56.03 %
Cumulative Losses ($) $283,151,630$233,255,359 $16,562,524,874
Cumulative Loss Rate (%) 19.62 %16.16 % 14.01 %
Cumulative Prepayment (%) 43.89 %43.58 % 55.16 %
Survival Rate (%) 26.96 %32.32 % 21.35 %
* Calculated from loan level data using actual balance
PAGE 6 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
PERFORMANCE SUMMARY*
Period Performance Summary
12 Month Pay History
Legal Status Roll Rates
DELINQUENCY STATUS COUNT BALANCE BAL %
Current 51.74%1,127 $201,269,224
30 Days 10.81%234 $42,050,308
60 Days 3.72%80 $14,455,848
90 Days 2.21%36 $8,614,460
120 Days 1.42%27 $5,518,704
150 Days 1.39%26 $5,412,269
180 Days+ 5.74%114 $22,347,716
Foreclosure 19.90%340 $77,402,658
REO 3.07%58 $11,961,392
Bankruptcy 4.93%87 $19,162,054
* Calculated from loan level data using actual balance
12MO PAY HISTORY COUNT BALANCE BAL %
Current 37.31%829 $145,131,372
30 Days Max 13.14%299 $51,116,471
60 Days Max 8.22%176 $31,975,557
90 Days Max 2.95%68 $11,486,792
120 Days Max 2.84%49 $11,055,058
150 Days Max 2.64%40 $10,265,845
180 Days Max 2.14%41 $8,327,977
181+ Days Max 30.76%540 $119,673,508
* Calculated from loan level data using actual balance
PREVIOUS LEGAL STATUS CURRENT 30 DAYS 60 DAYS 90+ DAYS FORECLOSURE REO LIQUIDATED PREPAID
Current 92.20% 7.70% 0.08%
30 Days 19.05% 1.24%54.88% 23.82% 0.85% 0.13%
60 Days 3.80% 44.30%22.64% 29.24%
90 Days+ 9.06%3.60% 83.87%1.41% 0.48% 1.56%
Foreclosure 92.48%2.40% 4.06% 0.27% 0.77%
REO 1.88% 75.86% 22.24%
* Calculated from loan level data using actual balance
PAGE 7 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
DEAL RANKING BY VINTAGE
Deal Ranking by Vintage Universe
Individual Deals
Current Deal
All Deals
90
+ D
ay
s D
eli
nq
ue
nc
y % 50.0%
45.0%
40.0%
35.0%
30.0%
Cumulative Loss %
30.00%25.00%20.00%15.00%10.00%
PAGE 8 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
LOSS ANALYSIS*
Loss Analysis
LQ DOLLAR
BENCHMARK COMPARISONCURRENT
END OF QUARTER LQ COUNT CDR SEVERITY LOSS DOLLAR CUML SEVERITYCUML LOSS
DOLLAR CUMLLOSS % SEVERITYCDR CUML SEVERITY CUML LOSS %
History $3,910,601 21 9.90% 70.83% $2,769,707 10.55%17.04%March 2012 $245,854,443 85.96%63.92% 57.41% 12.57% False
0 $7,959,370 28 20.02% 69.49% $5,728,845 12.57%18.14%June 2012 $261,724,172 81.49%63.99% 55.30% 13.14% False
0 $4,417,894 18 12.19% 65.64% $3,122,542 11.27%18.93%September 2012 $273,230,833 68.99%64.06% 55.40% 13.65% False
0 $4,983,864 21 14.15% 68.89% $3,788,002 9.92%19.62%December 2012 $283,151,630 67.87%64.07% 56.03% 14.01% False
Forecast $3,318,969 10.06% 76.31% $2,532,785 20.11%March 2013 $290,134,94464.43% True
0 $4,317,777 13.43% 70.89% $3,060,857 20.68%June 2013 $298,472,06464.63% True
0 $7,342,196 22.97% 67.34% $4,943,892 21.57%September 2013 $311,223,00864.77% True
0 $8,141,110 27.00% 68.02% $5,537,928 22.70%December 2013 $327,520,28864.91% True
0 $6,556,158 24.14% 69.43% $4,551,958 23.73%March 2014 $342,350,91265.07% True
0 $4,796,721 19.53% 71.75% $3,441,552 24.50%June 2014 $353,598,20865.24% True
0 $3,482,318 15.42% 74.64% $2,599,151 25.09%September 2014 $362,080,44865.42% True
0 $2,783,690 13.12% 78.04% $2,172,469 25.56%December 2014 $368,801,98465.60% True
0 $2,320,931 11.54% 80.12% $1,859,585 25.95%March 2015 $374,494,49665.77% True
0 $1,902,367 9.94% 82.89% $1,576,936 26.29%June 2015 $379,351,36065.94% True
0 $1,850,377 10.05% 82.91% $1,534,114 26.61%September 2015 $384,009,79266.10% True
0 $1,633,677 9.25% 86.25% $1,408,966 26.91%December 2015 $388,302,46466.27% True
0 $1,709,624 10.01% 87.12% $1,489,449 27.20%March 2016 $392,534,97666.44% True
0 $1,172,014 7.20% 84.99% $996,108 27.43%June 2016 $395,752,99266.56% True
0 $1,213,507 7.68% 88.01% $1,067,977 27.66%September 2016 $399,082,43266.70% True
0 $1,078,651 7.07% 87.98% $948,949 27.86%December 2016 $402,059,10466.82% True
0 $914,633 6.20% 87.41% $799,486 28.04%March 2017 $404,594,91266.92% True
0 $772,533 5.40% 86.89% $671,228 28.19%June 2017 $406,735,80867.00% True
0 $771,591 5.54% 86.47% $667,217 28.33%September 2017 $408,828,48067.08% True
0 $690,569 5.10% 85.23% $588,584 28.46%December 2017 $410,672,09667.14% True
* Calculated from loan level data using actual balance
Severity
Deal
Benchmark
Se
ve
rity
100.00%
80.00%
60.00%
40.00%
20.00%
0.00%
Time
Marc
h 2
012
June 2
012
Septe
mber
2012
Decem
ber
2012
Marc
h 2
013
June 2
013
Septe
mber
2013
Decem
ber
2013
Marc
h 2
014
June 2
014
Septe
mber
2014
Decem
ber
2014
Marc
h 2
015
June 2
015
Septe
mber
2015
Decem
ber
2015
Marc
h 2
016
June 2
016
Septe
mber
2016
Decem
ber
2016
Marc
h 2
017
June 2
017
Septe
mber
2017
Decem
ber
2017
CDR
Deal
Benchmark
CD
R
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
Time
Marc
h 2
012
June 2
012
Septe
mber
2012
Decem
ber
2012
Marc
h 2
013
June 2
013
Septe
mber
2013
Decem
ber
2013
Marc
h 2
014
June 2
014
Septe
mber
2014
Decem
ber
2014
Marc
h 2
015
June 2
015
Septe
mber
2015
Decem
ber
2015
Marc
h 2
016
June 2
016
Septe
mber
2016
Decem
ber
2016
Marc
h 2
017
June 2
017
Septe
mber
2017
Decem
ber
2017
PAGE 9 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
Cumulative Loss
Deal
Benchmark
Cu
mu
lati
ve
Lo
ss 30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
Time
Marc
h 2
012
June 2
012
Septe
mber
2012
Decem
ber
2012
Marc
h 2
013
June 2
013
Septe
mber
2013
Decem
ber
2013
Marc
h 2
014
June 2
014
Septe
mber
2014
Decem
ber
2014
Marc
h 2
015
June 2
015
Septe
mber
2015
Decem
ber
2015
Marc
h 2
016
June 2
016
Septe
mber
2016
Decem
ber
2016
Marc
h 2
017
June 2
017
Septe
mber
2017
Decem
ber
2017
PAGE 10 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
PREPAYMENT ANALYSIS*
Prepayment Analysis
SMM
BENCHMARK COMPARISONCURRENT
END OF QUARTER CRR ARM CRR FIX CRR SURVIVAL SMM ARM CRRCRR FIX CRR SURVIVAL
History 0.04% 0.52% 1.61%0.14%March 2012 31.02% 0.60% 1.01% 24.32% False0 0.11% 1.30% 2.09%0.18%June 2012 29.29% 0.86% 1.24% 23.34% False0 0.06% 0.67% 0.36% 2.22%0.19%September 2012 28.07% 0.96%1.77% 1.34% 22.49% False0 0.06% 0.68% 0.66% 2.33%0.20%December 2012 26.96% 1.06%0.72% 1.34% 21.35% FalseForecast 0.30% 3.59% 3.93%March 2013 25.79%2.47% True0 0.29% 3.44% 3.76%June 2013 24.63%2.36% True0 0.16% 1.91% 1.57%September 2013 23.06%3.02% True0 0.16% 1.86% 1.45%December 2013 21.15%3.11% True0 0.18% 2.18% 1.89%March 2014 19.43%3.01% True0 0.22% 2.63% 2.47%June 2014 18.11%3.07% True0 0.20% 2.37% 2.01%September 2014 17.10%3.29% True0 0.21% 2.44% 2.09%December 2014 16.28%3.34% True0 0.21% 2.48% 2.14%March 2015 15.59%3.32% True0 0.23% 2.73% 2.41%June 2015 14.97%3.52% True0 0.22% 2.63% 2.05%September 2015 14.39%4.03% True0 0.17% 2.07% 1.72%December 2015 13.87%2.90% True0 0.16% 1.87% 1.55%March 2016 13.37%2.62% True0 0.20% 2.38% 2.01%June 2016 12.94%3.26% True0 0.16% 1.94% 1.77%September 2016 12.52%2.35% True0 0.17% 2.02% 1.87%December 2016 12.14%2.35% True0 0.14% 1.68% 1.45%March 2017 11.79%2.21% True0 0.13% 1.59% 1.33%June 2017 11.49%2.18% True0 0.13% 1.56% 1.24%September 2017 11.18%2.26% True0 0.11% 1.37% 0.87%December 2017 10.91%2.48% True
* Calculated from loan level data using actual balance
SMM
Deal
Benchmark
SM
M
0.30%
0.25%
0.20%
0.15%
0.10%
0.05%
0.00%
Time
Marc
h 2
012
June 2
012
Septe
mber
2012
Decem
ber
2012
Marc
h 2
013
June 2
013
Septe
mber
2013
Decem
ber
2013
Marc
h 2
014
June 2
014
Septe
mber
2014
Decem
ber
2014
Marc
h 2
015
June 2
015
Septe
mber
2015
Decem
ber
2015
Marc
h 2
016
June 2
016
Septe
mber
2016
Decem
ber
2016
Marc
h 2
017
June 2
017
Septe
mber
2017
Decem
ber
2017
Total CRR
Deal
Benchmark
CR
R
3.50%
3.00%
2.50%
2.00%
1.50%
1.00%
0.50%
0.00%
Time
Marc
h 2
012
June 2
012
Septe
mber
2012
Decem
ber
2012
Marc
h 2
013
June 2
013
Septe
mber
2013
Decem
ber
2013
Marc
h 2
014
June 2
014
Septe
mber
2014
Decem
ber
2014
Marc
h 2
015
June 2
015
Septe
mber
2015
Decem
ber
2015
Marc
h 2
016
June 2
016
Septe
mber
2016
Decem
ber
2016
Marc
h 2
017
June 2
017
Septe
mber
2017
Decem
ber
2017
PAGE 11 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
CRR by Product
Deal ARM CPR
Deal FIX CPR
Benchmark ARM CPR
Benchmark FIX CPRCR
R
4.00%
3.50%
3.00%
2.50%
2.00%
1.50%
1.00%
0.50%
0.00%
Time
Septe
mber
2012
Decem
ber
2012
Marc
h 2
013
June 2
013
Septe
mber
2013
Decem
ber
2013
Marc
h 2
014
June 2
014
Septe
mber
2014
Decem
ber
2014
Marc
h 2
015
June 2
015
Septe
mber
2015
Decem
ber
2015
Marc
h 2
016
June 2
016
Septe
mber
2016
Decem
ber
2016
Marc
h 2
017
June 2
017
Septe
mber
2017
Decem
ber
2017
PAGE 12 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
DELINQUENCY ANALYSIS*
Delinquency Analysis
30 DAYS 60 DAYS 90+ DAYS
BENCHMARK COMPARISONCURRENT
30 DAYS 60 DAYS 90+ DAYSEND OF QUARTER
History 9.38% 3.90% 8.21% 6.73% 3.45% 15.21% FalseMarch 2012
9.00% 3.23% 9.08% 6.68% 3.41% 14.26% FalseJune 2012
8.91% 3.51% 8.72% 6.99% 3.55% 14.39% FalseSeptember 2012
10.81% 3.72% 10.77% 7.28% 3.68% 15.16% FalseDecember 2012
Forecast 8.32% 3.93% 14.79% TrueMarch 2013
7.76% 3.66% 16.38% TrueJune 2013
7.35% 3.54% 17.20% TrueSeptember 2013
7.29% 3.45% 18.37% TrueDecember 2013
7.22% 3.40% 19.28% TrueMarch 2014
7.32% 3.36% 20.50% TrueJune 2014
7.35% 3.27% 20.92% TrueSeptember 2014
7.41% 3.21% 21.90% TrueDecember 2014
7.44% 3.12% 22.05% TrueMarch 2015
7.52% 3.08% 22.48% TrueJune 2015
8.20% 3.44% 25.33% TrueSeptember 2015
8.25% 3.38% 25.72% TrueDecember 2015
8.37% 3.38% 25.74% TrueMarch 2016
8.51% 3.09% 26.54% TrueJune 2016
8.44% 2.91% 26.24% TrueSeptember 2016
8.81% 2.82% 26.58% TrueDecember 2016
8.83% 2.78% 25.68% TrueMarch 2017
9.13% 2.65% 26.41% TrueJune 2017
9.23% 2.88% 25.47% TrueSeptember 2017
9.89% 2.90% 26.56% TrueDecember 2017
* Calculated from loan level data using actual balance
60 Days Delinquency Chart
Deal
Benchmark
60
Da
ys
De
lin
qu
en
cy
%
4.00%
3.50%
3.00%
2.50%
2.00%
1.50%
1.00%
0.50%
0.00%
Time
Marc
h 2
012
June 2
012
Septe
mber
2012
Decem
ber
2012
Marc
h 2
013
June 2
013
Septe
mber
2013
Decem
ber
2013
Marc
h 2
014
June 2
014
Septe
mber
2014
Decem
ber
2014
Marc
h 2
015
June 2
015
Septe
mber
2015
Decem
ber
2015
Marc
h 2
016
June 2
016
Septe
mber
2016
Decem
ber
2016
Marc
h 2
017
June 2
017
Septe
mber
2017
Decem
ber
2017
30 Days Delinquency Chart
Deal
Benchmark
30
Da
ys
De
lin
qu
en
cy
%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
Time
Marc
h 2
012
June 2
012
Septe
mber
2012
Decem
ber
2012
Marc
h 2
013
June 2
013
Septe
mber
2013
Decem
ber
2013
Marc
h 2
014
June 2
014
Septe
mber
2014
Decem
ber
2014
Marc
h 2
015
June 2
015
Septe
mber
2015
Decem
ber
2015
Marc
h 2
016
June 2
016
Septe
mber
2016
Decem
ber
2016
Marc
h 2
017
June 2
017
Septe
mber
2017
Decem
ber
2017
PAGE 13 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
90+ Days Delinquency Chart
Deal
Benchmark
90
+ D
ay
s D
eli
nq
ue
nc
y %
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
Time
Marc
h 2
012
June 2
012
Septe
mber
2012
Decem
ber
2012
Marc
h 2
013
June 2
013
Septe
mber
2013
Decem
ber
2013
Marc
h 2
014
June 2
014
Septe
mber
2014
Decem
ber
2014
Marc
h 2
015
June 2
015
Septe
mber
2015
Decem
ber
2015
Marc
h 2
016
June 2
016
Septe
mber
2016
Decem
ber
2016
Marc
h 2
017
June 2
017
Septe
mber
2017
Decem
ber
2017
PAGE 14 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
FORECLOSURE ANALYSIS*
Foreclosure Analysis
DOLLAR
BENCHMARK COMPARISONCURRENT
END OF QUARTER COUNT PERCENT FC TIMEEXCESSIVE
TIMELINE NEW DOLLARNEW
COUNTNEW
PERCENT FC TIMEPERCENTEXCESSIVE
TIMELINENEW
PERCENT
History $96,733,900 411 21.61% 10.46 5.67 20.19%6.61%March 2012 28 13.27$6,394,491 8.71 7.39% False
0 $89,936,736 388 21.28% 11.93 6.67 20.77%1.71%June 2012 10 13.80$1,535,061 9.21 9.57% False
0 $82,796,964 358 20.44% 12.67 7.37 20.52%5.43%September 2012 16 14.76$4,495,384 10.08 6.92% False
0 $77,402,658 340 19.90% 13.78 8.40 18.60%4.71%December 2012 11 16.27$3,644,607 11.39 5.65% False
Forecast $74,446,904 20.00%March 2013 True
0 $68,950,264 19.40%June 2013 True
0 $64,730,928 19.45%September 2013 True
0 $58,549,260 19.18%December 2013 True
0 $53,381,712 19.04%March 2014 True
0 $48,531,792 18.57%June 2014 True
0 $44,888,808 18.19%September 2014 True
0 $40,886,108 17.39%December 2014 True
0 $38,310,824 17.03%March 2015 True
0 $35,546,344 16.45%June 2015 True
0 $34,035,212 16.38%September 2015 True
0 $31,423,512 15.69%December 2015 True
0 $28,974,688 15.02%March 2016 True
0 $26,883,630 14.39%June 2016 True
0 $24,897,376 13.77%September 2016 True
0 $22,431,406 12.80%December 2016 True
0 $20,927,740 12.29%March 2017 True
0 $18,633,976 11.24%June 2017 True
0 $17,821,716 11.04%September 2017 True
0 $15,854,685 10.07%December 2017 True
* Calculated from loan level data using actual balance
Foreclosure
Deal
Benchmark
Fo
rec
los
ure
% 20.00%
15.00%
10.00%
5.00%
0.00%
Time
Marc
h 2
012
June 2
012
Septe
mber
2012
Decem
ber
2012
Marc
h 2
013
June 2
013
Septe
mber
2013
Decem
ber
2013
Marc
h 2
014
June 2
014
Septe
mber
2014
Decem
ber
2014
Marc
h 2
015
June 2
015
Septe
mber
2015
Decem
ber
2015
Marc
h 2
016
June 2
016
Septe
mber
2016
Decem
ber
2016
Marc
h 2
017
June 2
017
Septe
mber
2017
Decem
ber
2017
PAGE 15 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
REO ANALYSIS*
REO Analysis
DOLLAR
BENCHMARK COMPARISONCURRENT
END OF QUARTER COUNT PERCENT REO TIME NEW DOLLAR NEW COUNT NEW PERCENT PERCENT REO TIME NEW PERCENT
History $28,007,938 115 6.26% 9.40 $2,703,755 4.25%9.65%March 2012 14 6.37 11.64% False
0 $20,786,904 95 4.92% 7.60 $1,906,965 3.39%9.17%June 2012 8 7.29 9.31% False
0 $18,202,029 81 4.49% 8.29 $1,352,868 2.78%7.43%September 2012 8 7.64 14.36% False
0 $11,961,392 58 3.07% 7.55 $216,921 2.74%1.81%December 2012 2 7.13 14.66% False
Forecast $52,127,428 14.00%March 2013 True
0 $55,748,988 15.68%June 2013 True
0 $57,182,748 17.18%September 2013 True
0 $53,357,596 17.48%December 2013 True
0 $48,927,252 17.45%March 2014 True
0 $44,504,752 17.03%June 2014 True
0 $41,119,724 16.66%September 2014 True
0 $37,556,448 15.98%December 2014 True
0 $35,198,200 15.65%March 2015 True
0 $32,726,768 15.14%June 2015 True
0 $31,376,714 15.10%September 2015 True
0 $29,346,012 14.66%December 2015 True
0 $27,661,046 14.34%March 2016 True
0 $25,034,544 13.40%June 2016 True
0 $23,630,420 13.07%September 2016 True
0 $22,406,948 12.79%December 2016 True
0 $21,768,324 12.79%March 2017 True
0 $20,100,304 12.12%June 2017 True
0 $20,756,160 12.86%September 2017 True
0 $19,924,652 12.65%December 2017 True
* Calculated from loan level data using actual balance
REO
Deal
Benchmark
RE
O %
15.00%
10.00%
5.00%
0.00%
Time
Marc
h 2
012
June 2
012
Septe
mber
2012
Decem
ber
2012
Marc
h 2
013
June 2
013
Septe
mber
2013
Decem
ber
2013
Marc
h 2
014
June 2
014
Septe
mber
2014
Decem
ber
2014
Marc
h 2
015
June 2
015
Septe
mber
2015
Decem
ber
2015
Marc
h 2
016
June 2
016
Septe
mber
2016
Decem
ber
2016
Marc
h 2
017
June 2
017
Septe
mber
2017
Decem
ber
2017
PAGE 16 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
Representations, Warranties & Enforcement Mechanisms
Morningstar Credit Ratings, LLC did not rely on Rule 17g-5(a)(3) promulgated under the Securities ExchangeAct of 1934 (the “Exchange Act”) in rating this transaction. Therefore, we did not have access to the requisiteinformation in the respective loan purchase agreement, and any amendments, modifications, or waivers thereto,to provide the report on representations and warranties required under Exchange Act Rule 17g-7, when suchinformation is available.
PAGE 17 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
Glossary
Terminology Definition
12 Month Pay History Shows the maximum days delinquent bucket that aloan has been characterized as over the past 12months.
6 Month Payment Velocity Shows the number of monthly payments made byborrowers over the past 6 months.
Average PIPMT Average of current principal and interest (P&I)payment.
Average PIPMT Ratio Average of current P&I payment/original P&Ipayment.
Average Property Value Average of reported original appraisal value * HPIRatio.
Back End DTI Ratio Back-End Debt-to-Income (DTI) Ratio. It is defined asthe ratio of the mortgage payment, taxes, andinsurance plus other debt obligations to monthly grossincome.
Balance Ratio Current balance divided by original balance for onlythose loans with a remaining balance.
Benchmark The synthetic benchmark consists of a universe ofcomparable loans stratified by 17 loan attributesindicated at the time of the loan origination (same asMStar Risk Grade Score). The 17 loan attributes areas follows: property type, original combined loan-to-value ratio (CLTV), original appraisal value,foreclosure timeline standard, original balance,adjustable rate mortgage (ARM) margin, amortizationterm, purpose, credit score, DTI ratio, occupancy,documentation level, lien position, interest onlymortgage term, negative amortization term, fixed vs.ARM, and hybrid term.
BK Time For loans in bankruptcy, the average number ofmonths in bankruptcy.
PAGE 18 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
CDR Conditional Default Rate. Annualized rate of theliquidation of the unpaid principle balances of a poolof mortgages contained within a mortgage-backedsecurity: 1-((1-MDR)^12).
CRR Conditional Repayment Rate. Annualized rate of thefull voluntary prepayment of the unpaid principlebalances of a pool of mortgages contained within amortgage-backed security: 1-((1-SMM)^12).
Cumulative Severity Accumulated loss amount divided by balance beforeliquidation.
Deal Ranking by Vintage Universe The graph plots current deal’s performance againstthe performance of deals of the same asset type issuedin the same year.
Delinquency Coverage Ratio Hard credit enhancement (CE) to the lowest ratedAAA tranche divided by % of pool in 60+ delinquent(DQ), foreclosure (FC) and real estate owned (REO)statuses.
Delinquency Status Current level of delinquency as defined by MortgageBanker’s Association (MBA) or Office ThriftSupervision (OTS) methodology.
Delinquency Status MBA The market uses two methods to report delinquencystatus by the extent to which a borrower iscontractually past due as of the cutoff date. The cutoffdate under both methods is as of the end of thecalendar month. The American Securitization Forumadapts the MBA methods. Morningstar's calculation ofdelinquency status currently follows the MBAconvention. Under the MBA method, a loan would beconsidered delinquent if the payment had not beenreceived by the end of the day immediately precedingthe loan's next due date (generally the last day of themonth in which the payment was due). For instance, aloan with a due date of August 1, 2002, with nopayment received by the close of business on August31, 2002, would have been reported as delinquent onthe September 2002 remittance report to investors.
PAGE 19 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
Delinquency status OTS Morningstar also intends to incorporate OTSdelinquency statuses in a subsequent release. Underthe OTS method, a loan is considered delinquent if amonthly payment has not been received by the close ofbusiness on the loan's due date in the following month.Using the example above, a loan with a due date ofAugust 1, 2002, with no payment received by the closeof August 31, 2002, would have been reported ascurrent on the September 2002 statement to certificateholders. Assuming no payments are made duringSeptember, the loans would be reflected as delinquenton the October 2002 statement.
FC Excessive Timeline For loans in foreclosure, the time in excess of theFannie/Freddie state timeline guidelines.
FC Time For loans in Foreclosure, the average number ofmonths in foreclosure.
First with Piggyback The percentage of mortgage loans whose CLTV isgreater than its loan-to-value.
HPI Ratio The home price index (HPI) ratio is calculated bydividing the CoreLogic HPI at the time of originationby the most recently published CoreLogic HPI for thearea.
Legal Status Indication of the current status of the mortgageincorporating the delinquency status and thepossibility of being in foreclosure or REO.
Loans with MI Loans with mortgage insurance.
MStar Risk Score Morningstar risk grade on a loan provides a rankordering of the risk of a mortgage loan becomingseverely delinquent within the first 39 months basedon 17 loan attributes indicated at the time of the loanorigination, with 1 being the best and 10 being theworst.
OC Current % Current overcollateralization (OC) amount as a % ofthe current deal balance (OC current balance /current balance).
PAGE 20 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
OC Initial % Original OC amount as a % of the original dealbalance (OC original balance / original deal balance).
OC Target % Target OC amount as a % of the current deal balance(OC target balance / current balance).
Payment Ratio Current monthly payment amount divided by originalmonthly payment amount.
Proj C/S Projected credit support (hard subordination only).
Projected Lifetime Loss Cumulative lifetime loss forecasted by Morningstar'sproprietary credit model.
Remaining PPP Term Remaining number of months before the contractualprepayment penalty expires on a mortgage loan.
REO Time For loans in REO, the average number of months inREO.
Roll Better The percentage of borrowers who made more than onepayment in the current month.
Roll Same The percentage of borrowers who made a payment inthe current month.
Roll Worse The percentage of borrowers who did not make apayment in the current month.
Servicer Score A rank order assigned to a servicer by Morningstarbased on its performance of 60+ delinquency over arolling 12 month period compared to the universe ofall servicers and their expected performance for theuniverse. The score ranges from 1 to 5, with 1 beingthe best, 5 being the worst and 3 being average.
Single B Scenario Single B is the base case economic scenarioMorningstar expects.
SMM Single Month Mortality. The percentage of thebeginning of period unpaid principal balance (UPB)of mortgages that are fully prepaid in a given month:Sum(Beg UPB Prepaid Loans) / Sum(UPB All Loans).
PAGE 21 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
Survival Rate Current balance divided by original balance for theentire pool from origination (a.k.a. "Factor").
WAC Weighted average coupon of the remaining currentmortgage loans.
Weighted Average Original CLTV Weighted average of the sum of all liens divided by theappraised value at the time of origination.
Weighted Average Original DTI Weighted average of the back-end DTI ratio at thetime of origination.
Weighted Average ELTV Weighted average of effective loan-to-value ratio iscurrent balance divided by HPI Roll Forward, whereHPI Roll Forward is defined as: (HPI at origination /forecasted HPI for the period) * original appraisalvalue.
Weighted Average Loan Age Weighted average of the date difference in monthsfrom the current loan tape month to the loan tapemonth as of origination.
PAGE 22 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
Copyright © 2011 Morningstar Credit Ratings, LLC ("Morningstar"). Morningstar and/or its third party licensors have exclusive proprietary rights in the data orinformation provided herein. This data/information may only be used internally for business purposes and shall not be used for any unlawful or unauthorizedpurposes. Dissemination, distribution or reproduction of this data/information in any form is strictly prohibited except with the prior written permission of Morningstar.Because of the possibility of human or mechanical error by Morningstar, its affiliates or its third party licensors, Morningstar, its affiliates and its third party licensorsdo not guarantee the accuracy, adequacy, completeness or availability of any information and is not responsible for any errors or omissions or for the resultsobtained from the use of such information.
MORNINGSTAR GIVES NO EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF ACCURACY, TIMELINESS,COMPLETENESS, MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE. In no event shall Morningstar, its affiliates and its third partylicensors be liable for any direct, indirect, punitive, special or consequential damages in connection with subscriber's or others use of the data/information containedherein. Access to the data or information contained herein is subject to termination in the event any agreement with a third party of information or software isterminated.
Analytic services provided by Morningstar are the result of separate activities designed to preserve the independence and objectivity of ratings opinions. The creditratings and observations contained herein are solely statements of opinion and not statements of fact or recommendations to purchase, hold, or sell any securitiesor make any other investment decisions. Accordingly, any user of the information contained herein should not rely on any credit rating or other opinion containedherein in making any investment decision. Ratings are based on information received by Morningstar’s RMBS Surveillance Group. Other divisions of Morningstarmay have information that is not available to Morningstar’s RMBS Surveillance Group. Morningstar has established policies and procedures to maintain theconfidentiality of non-public information received during the ratings process.
In addition, any person or entity in receipt of this report (“Recipient”) is deemed to agree and acknowledge the following:
(a) any information described in this report that is provided by third parties (collectively, “Third Party Information”) and used by Morningstar to determine and/orprovide any ratings or analysis, is: (i) the sole responsibility of the third party provider of such information (ii) not endorsed or recommended by Morningstar, (iii) notverified by Morningstar, and (iv) PROVIDED “AS IS” WITHOUT ANY REPRESENTATION, WARRANTY OR GUARANTY OF ANY KIND. Morningstar has noresponsibility, liability or control over Third Party Information and provides no warranty, guaranty, representation for or with respect to such Third Party Informationor any results derived from it. In addition, Third Party Information may be outdated, unreliable or inaccurate and Morningstar has no obligation to update, correct orverify any Third Party Information;
(b) any ratings, analysis related thereto and/or this report is (i) solely for informational purposes, (ii) for use only by the Recipient of this report and may not be usedor relied upon by any other person, (iii) subject to applicable laws, regulations and rules and Recipient shall reasonably cooperate with Morningstar if needed tocomply therewith, (iv) mere opinions the provision of which does not result in Morningstar waiving any protections, privileges or defenses available under applicablelaws, rules or regulations, including, without limitation, the First Amendment of the Constitution of the United States of America and (v) not guaranteed to beaccurate, complete or timely and are not intended to predict or guaranty future performance or results;
(c) Morningstar has not consented to, and will not consent to, (i) being named an "expert" under the federal securities laws including, without limitation, Section 7 ofthe Securities Act of 1933, or (ii) the integration, publication, inclusion or reference of any ratings, analysis or other information pertaining to Morningstar and/or theratings in any prospectuses or registration statements or otherwise integrated or used in a manner that could impede (i) or (ii) of this provision;
(d) this report and all information contained herein are solely for Recipient’s internal use. Morningstar retains all right, title and interest in this report and allinformation contained herein, as well as in any enhancements, modifications or derivative works thereof, and in any other Morningstar intellectual property used inconjunction with the herewith or otherwise provided by Morningstar. No work performed hereunder by Morningstar or its agents shall be deemed “work for hire,” assuch term is defined at 17 U.S.C. § 101, on behalf of Recipient or any other party. Unless expressly permitted by Morningstar in writing, Recipient may not modify,copy, reproduce, distribute, redistribute, transfer, transmit, retransmit, disseminate, sell, license, publish, display, broadcast, circulate, recompile, decompile, reverseengineer, alter, archive, create any derivative, resell, or provide substantially similar services, in each case, with respect to this report or information or analysiscontained therein. Recipient may only use this report for internal use and at all times, in compliance with the restrictions on use contained herein. This report and thecontent hereof is property owned by or licensed to Morningstar and is protected by copyright, trademark, service mark and other applicable intellectual propertylaws. Any unauthorized use thereof is strictly prohibited and all rights are reserved by Morningstar;
(e) to the maximum extent permitted by applicable law, Recipient agrees to indemnify, defend and hold harmless Morningstar and its directors, officers, employees,agents, consultants and other representatives from and against any and all claims arising from or related to any breach or violation by Recipient (or anyoneRecipient has granted access to this report) of the terms of use, this report or any content herein or any use or purpose that is unlawful or otherwise prohibited bythe terms of use. Morningstar reserves the right to assume the control and defense of any such matter. In the event that Morningstar shall assume the control anddefense of any such matter, Recipient shall cooperate with Morningstar in this regard including, without limitation, in the assertion of defenses and mandatorycounterclaims therein;
(f) Recipient assumes sole responsibility for evaluating the merits and risks associated with any investment and Morningstar shall have no liability to the Recipientwith respect to any claims or damages that may arise from or relate to any decision of the Recipient based on this report, any Third Party Information or any otherinformation made available hereunder;
(g) this report and/or any Third Party Information shall not create or constitute a fiduciary relationship between Morningstar and Recipient. This report, any ThirdParty Information, and any information provided, including any ratings, shall not constitute a “market” rating or a recommendation, solicitation, endorsement or offerby Morningstar, or any of its directors, officers, employees, agents, consultants or other representatives or anyone else, to buy, hold or sell securities, financialinstruments or any investment. Morningstar is not acting as an investment, financial or other advisor to Recipient and Recipient should not and cannot rely upon thisreport, Third Party Information, and any information provided, including any ratings, as investment, legal, tax or financial advice;
(h) THIS REPORT AND CONTENT ARE PROVIDED “AS IS” AND NOT SUBJECT TO ANY WARRANTIES, EXPRESS OR IMPLIED, INCLUDING WARRANTIESOF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE;
(i) in no event shall Morningstar be liable for any incidental, special, indirect, consequential, reliance, punitive or other exemplary damages, including any loss ofprofits, data, savings or interest, any penalties or assessments imposed under laws or otherwise, even if Morningstar has been advised of the likelihood thereof;
(j) this report, including any information or analysis contained herein, may be provided by Morningstar to any other person or entity as determined in Morningstar’ssole discretion. In addition, Morningstar may perform and provide services, analysis or other work product related to the transaction not contemplated hereunder(“Additional Services”) to another person or entity and shall have no duty or liability to provide any such items to Recipient. In conjunction therewith, Morningstar isexpressly permitted to use all available advertising or marketing channels or media that Morningstar deems appropriate to promote any services and this report
PAGE 23 OF 24
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
sam
ple
Report Date: December 2012
Carrington Mortgage Loan Trust, Series 2006-NC1(CMLT06N1)
expressly permitted to use all available advertising or marketing channels or media that Morningstar deems appropriate to promote any services and this reportincluding any information or analysis contained herein, and any Additional Services; and
(k) Morningstar publishes its current Form NRSRO and exhibits thereto at http://ratingagency.morningstar.com. Recipient agrees that such materials, thequalifications and limitations enumerated in this report and Morningstar’s website, http://ratingagency.morningstar.com, are integral to understanding Morningstar’scredit ratings and related analysis.
The Recipient’s rights, obligations and terms of use are further set forth and subject to any related contract outstanding between Recipient and Morningstar.Morningstar maintains all rights thereunder.
To reprint, translate, or use the data or information other than as provided herein, contact Joe Petro (267-960-6004) or by e-mail to: [email protected].
Copyright © 2011 Morningstar Credit Ratings, LLC. All Rights Reserved.
Publication Date: 1/23/2013 1:48:24 PM
PAGE 24 OF 24
