Carrington Mortgage Loan Trust, Series 2006-NC4 Inactive
Filed: 12 Sep 06, 12:00am
- -------------------------------------------------------------------------------- Free Writing Prospectus for Carrington Mortgage Loan Trust, Series 2006-NC4 (filed pursuant to Rule 433; SEC file No. 333-134218) SUBJECT TO REVISION Dated September 12, 2006 [LOGO] CCM CARRINGTON CAPITAL MANAGEMENT MBS NEW ISSUE FREE WRITING PROSPECTUS - -------------------------------------------------------------------------------- CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 ASSET-BACKED PASS-THROUGH CERTIFICATES - -------------------------------------------------------------------------------- CARRINGTON SECURITIES, LP Sponsor NEW CENTURY MORTGAGE CORPORATION & HOME123 CORPORATION Originators NEW CENTURY MORTGAGE CORPORATION Servicer STANWICH ASSET ACCEPTANCE COMPANY, L.L.C. Depositor CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 Issuing Entity SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- Carrington Investment Services, LLC CIS CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 1-800-248-3580. 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on September 1, 2006 scheduled balances. SCHEDULED PRINCIPAL BALANCE: $1,618,805,146.40 NUMBER OF MORTGAGE LOANS: 7,490 AVERAGE SCHEDULED PRINCIPAL BALANCE: $216,128.86 WEIGHTED AVERAGE GROSS COUPON: 8.215% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 622 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 80.32% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 86.84% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 357 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 359 WEIGHTED AVERAGE ROLL TERM(1) (MONTHS): 29 WEIGHTED AVERAGE GROSS MARGIN(1): 6.196% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.913% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.498% INTEREST ONLY LOANS: 20.92% SILENT SECONDS: 33.68% - -------------------------------------------------------------------------------- (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. 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 - ------------------------------------------------------------------------------------------------------------------------------ 2/1 ARM 1,083 $ 187,651,436.88 11.59% $ 173,270.02 604 80.92% 8.716% 2/1 ARM 5Y-IO 809 270,506,465.14 16.71 334,371.40 648 82.04 7.625 3/1 ARM 968 161,324,382.02 9.97 166,657.42 620 79.51 8.387 3/1 ARM 5Y-IO 290 68,105,952.84 4.21 234,848.11 647 80.40 7.721 40/30 2/1 ARM 1,191 299,218,807.74 18.48 251,233.26 609 80.62 8.465 40/30 3/1 ARM 1,650 367,324,360.69 22.69 222,620.82 610 81.34 8.522 40/30 Fixed 429 111,772,923.66 6.90 260,542.95 640 77.87 7.417 5/1 ARM 31 5,914,208.65 0.37 190,780.92 640 74.57 7.693 Fixed 1,039 146,986,608.78 9.08 141,469.31 634 76.23 8.057 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT GROSS MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 5.501--6.000 44 $ 14,644,622.57 0.90% $ 332,832.33 663 77.52% 5.790% 6.001--6.500 256 79,803,829.70 4.93 311,733.71 671 76.23 6.408 6.501--7.000 566 158,921,029.10 9.82 280,779.20 652 77.54 6.810 7.001--7.500 779 206,274,044.42 12.74 264,793.38 641 78.85 7.305 7.501--8.000 1,274 297,445,890.18 18.37 233,474.01 628 79.76 7.791 8.001--8.500 1,146 256,988,789.43 15.88 224,248.51 621 80.31 8.273 8.501--9.000 1,242 247,105,534.13 15.26 198,957.76 609 81.07 8.768 9.001--9.500 802 151,191,858.97 9.34 188,518.53 601 82.79 9.261 9.501--10.000 634 112,914,289.08 6.98 178,098.25 585 83.30 9.756 10.001--10.500 313 46,836,633.61 2.89 149,637.81 581 83.76 10.260 10.501--11.000 205 26,382,677.41 1.63 128,695.99 576 82.73 10.750 11.001--11.500 86 9,559,152.98 0.59 111,152.94 578 84.47 11.236 11.501--12.000 70 5,708,497.78 0.35 81,549.97 601 89.95 11.784 12.001--12.500 44 3,259,418.29 0.20 74,077.69 607 94.98 12.328 12.501--13.000 26 1,595,690.86 0.10 61,372.73 596 93.28 12.760 13.001--13.500 3 173,187.91 0.01 57,729.30 629 100.00 13.244 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL MORTGAGE LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 90 $ 3,914,530.60 0.24% $ 43,494.78 607 81.28% 10.396% 50,000.01--100,000.00 1,488 114,142,612.03 7.05 76,708.74 604 79.71 9.047 100,000.01--150,000.00 1,490 186,161,697.45 11.50 124,940.74 607 79.14 8.635 150,000.01--200,000.00 1,142 197,828,855.29 12.22 173,230.17 608 78.78 8.363 200,000.01--250,000.00 936 210,058,250.94 12.98 224,421.21 615 79.57 8.272 250,000.01--300,000.00 652 178,108,267.71 11.00 273,172.19 618 79.83 8.162 300,000.01--350,000.00 416 135,022,818.16 8.34 324,574.08 624 80.56 8.145 350,000.01--400,000.00 379 142,079,268.81 8.78 374,879.34 629 80.83 7.970 400,000.01--450,000.00 315 134,098,566.74 8.28 425,709.74 634 81.94 7.967 450,000.01--500,000.00 232 110,756,911.18 6.84 477,400.48 642 82.06 7.758 500,000.01--550,000.00 147 77,291,845.12 4.77 525,794.86 643 81.76 7.727 550,000.01--600,000.00 98 56,333,017.10 3.48 574,826.71 647 83.52 7.842 600,000.01--650,000.00 53 33,216,870.31 2.05 626,733.40 652 81.00 7.832 650,000.01--700,000.00 19 12,788,313.27 0.79 673,069.12 663 81.30 7.740 700,000.01--750,000.00 14 10,241,250.53 0.63 731,517.89 649 83.08 8.222 750,000.01--800,000.00 11 8,664,694.18 0.54 787,699.47 654 76.62 7.723 800,000.01--850,000.00 1 845,012.58 0.05 845,012.58 601 95.00 7.990 850,000.01--900,000.00 1 878,495.19 0.05 878,495.19 667 94.62 6.800 900,000.01--950,000.00 1 928,869.21 0.06 928,869.21 623 60.00 8.500 950,000.01--1,000,000.00 3 2,920,000.00 0.18 973,333.33 654 79.91 7.518 1,000,000.01 >= 2 2,525,000.00 0.16 1,262,500.00 653 78.91 8.125 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 90 $ 3,914,530.60 0.24% $ 43,494.78 607 81.28% 10.396% 50,000.01--100,000.00 1,488 114,142,246.24 7.05 76,708.50 604 79.69 9.046 100,000.01--150,000.00 1,490 186,162,063.24 11.50 124,940.98 607 79.16 8.636 150,000.01--200,000.00 1,143 198,028,278.32 12.23 173,253.09 608 78.78 8.365 200,000.01--250,000.00 935 209,858,827.91 12.96 224,447.94 615 79.57 8.271 250,000.01--300,000.00 652 178,108,267.71 11.00 273,172.19 618 79.83 8.162 300,000.01--350,000.00 416 135,022,818.16 8.34 324,574.08 624 80.56 8.145 350,000.01--400,000.00 379 142,079,268.81 8.78 374,879.34 629 80.83 7.970 400,000.01--450,000.00 315 134,098,566.74 8.28 425,709.74 634 81.94 7.967 450,000.01--500,000.00 233 111,256,749.47 6.87 477,496.78 642 82.04 7.752 500,000.01--550,000.00 148 77,891,838.23 4.81 526,296.20 643 81.98 7.769 550,000.01--600,000.00 96 55,233,185.71 3.41 575,345.68 648 83.30 7.798 600,000.01--650,000.00 53 33,216,870.31 2.05 626,733.40 652 81.00 7.832 650,000.01--700,000.00 19 12,788,313.27 0.79 673,069.12 663 81.30 7.740 700,000.01--750,000.00 14 10,241,250.53 0.63 731,517.89 649 83.08 8.222 750,000.01--800,000.00 11 8,664,694.18 0.54 787,699.47 654 76.62 7.723 800,000.01--850,000.00 1 845,012.58 0.05 845,012.58 601 95.00 7.990 850,000.01--900,000.00 1 878,495.19 0.05 878,495.19 667 94.62 6.800 900,000.01--950,000.00 1 928,869.21 0.06 928,869.21 623 60.00 8.500 950,000.01--1,000,000.00 3 2,920,000.00 0.18 973,333.33 654 79.91 7.518 1,000,000.01 >= 2 2,525,000.00 0.16 1,262,500.00 653 78.91 8.125 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ 61--120 4 $ 278,520.88 0.02% $ 69,630.22 604 76.24% 8.884% 121--180 52 5,179,800.20 0.32 99,611.54 631 69.67 7.776 181--240 36 3,450,199.43 0.21 95,838.87 616 73.09 7.902 241--300 9 777,947.07 0.05 86,438.56 632 77.80 7.342 301--360 7,389 1,609,118,678.81 99.40 217,772.19 622 80.38 8.218 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 61--120 4 $ 278,520.88 0.02% $ 69,630.22 604 76.24% 8.884% 121--180 52 5,179,800.20 0.32 99,611.54 631 69.67 7.776 181--240 36 3,450,199.43 0.21 95,838.87 616 73.09 7.902 241--300 9 777,947.07 0.05 86,438.56 632 77.80 7.342 301--360 7,389 1,609,118,678.81 99.40 217,772.19 622 80.38 8.218 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 5.01--10.00 1 $ 54,989.50 0.00% $ 54,989.50 551 9.65% 9.375% 10.01--15.00 1 49,982.04 0.00 49,982.04 652 10.11 8.625 15.01--20.00 5 469,610.11 0.03 93,922.02 628 18.20 7.974 20.01--25.00 3 420,345.04 0.03 140,115.01 647 23.68 6.570 25.01--30.00 17 2,114,369.32 0.13 124,374.67 586 28.18 8.385 30.01--35.00 19 2,439,615.88 0.15 128,400.84 612 32.81 7.952 35.01--40.00 25 3,139,040.01 0.19 125,561.60 597 37.54 8.091 40.01--45.00 57 9,727,987.01 0.60 170,666.44 598 43.02 7.814 45.01--50.00 96 17,346,393.20 1.07 180,691.60 592 48.16 7.870 50.01--55.00 96 17,813,615.53 1.10 185,558.50 602 52.89 7.657 55.01--60.00 182 37,706,510.63 2.33 207,178.63 592 58.19 7.914 60.01--65.00 220 45,250,131.96 2.80 205,682.42 595 63.35 7.930 65.01--70.00 360 74,804,712.09 4.62 207,790.87 589 68.74 8.166 70.01--75.00 552 110,465,891.54 6.82 200,119.37 588 73.95 8.171 75.01--80.00 3,159 704,283,027.45 43.51 222,944.93 640 79.82 7.983 80.01--85.00 820 185,799,584.50 11.48 226,584.86 596 84.47 8.434 85.01--90.00 1,179 265,667,320.24 16.41 225,332.76 619 89.68 8.584 90.01--95.00 504 126,635,352.95 7.82 251,260.62 642 94.70 8.477 95.01--100.00 194 14,616,667.41 0.90 75,343.65 656 99.94 11.332 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS COMBINED LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 5.01--10.00 1 $ 54,989.50 0.00% $ 54,989.50 551 9.65% 9.375% 10.01--15.00 1 49,982.04 0.00 49,982.04 652 10.11 8.625 15.01--20.00 5 469,610.11 0.03 93,922.02 628 18.20 7.974 20.01--25.00 3 420,345.04 0.03 140,115.01 647 23.68 6.570 25.01--30.00 15 1,958,660.59 0.12 130,577.37 582 28.09 8.352 30.01--35.00 19 2,439,615.88 0.15 128,400.84 612 32.81 7.952 35.01--40.00 25 3,139,040.01 0.19 125,561.60 597 37.54 8.091 40.01--45.00 57 9,727,987.01 0.60 170,666.44 598 43.02 7.814 45.01--50.00 97 17,436,363.85 1.08 179,756.33 593 48.06 7.869 50.01--55.00 96 17,813,615.53 1.10 185,558.50 602 52.89 7.657 55.01--60.00 179 37,212,000.27 2.30 207,888.27 593 58.17 7.905 60.01--65.00 218 44,980,852.19 2.78 206,334.18 595 63.34 7.925 65.01--70.00 356 74,253,236.10 4.59 208,576.51 588 68.69 8.166 70.01--75.00 530 106,469,402.79 6.58 200,885.67 588 73.96 8.166 75.01--80.00 965 196,736,346.62 12.15 203,871.86 601 79.35 8.187 80.01--85.00 740 169,652,840.56 10.48 229,260.60 594 84.41 8.439 85.01--90.00 1,108 254,563,534.27 15.73 229,750.48 620 89.53 8.542 90.01--95.00 613 145,457,969.17 8.99 237,288.69 638 93.27 8.497 95.01--100.00 2,462 535,968,754.89 33.11 217,696.49 654 80.75 8.025 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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 1,369 $ 469,551,881.81 29.01% $ 342,988.96 637 79.54% 7.825% FL 858 161,099,317.16 9.95 187,761.44 607 78.76 8.438 NY 417 139,948,324.52 8.65 335,607.49 635 80.11 7.959 NJ 286 76,849,529.88 4.75 268,704.65 621 79.99 8.561 TX 619 72,212,915.43 4.46 116,660.61 618 79.83 8.297 IL 338 66,938,186.99 4.14 198,041.97 614 81.95 8.338 MA 215 57,486,036.55 3.55 267,376.91 611 79.67 8.428 MD 227 55,469,054.69 3.43 244,357.07 607 81.33 8.334 AZ 235 45,709,500.42 2.82 194,508.51 621 78.98 8.193 NV 139 34,988,023.83 2.16 251,712.40 635 80.54 8.113 GA 217 34,332,263.39 2.12 158,213.20 609 84.16 8.804 PA 240 33,452,377.81 2.07 139,384.91 609 80.99 8.322 VA 149 31,287,360.07 1.93 209,982.28 603 80.03 8.370 HI 85 30,037,221.89 1.86 353,379.08 662 78.35 7.470 MN 140 27,305,939.59 1.69 195,042.43 622 82.03 8.358 Other 1,956 282,137,212.34 17.43 144,241.93 610 82.11 8.635 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 - ------------------------------------------------------------------------------------------------------------------------------ Investment Property 505 $ 95,613,950.67 5.91% $ 189,334.56 647 84.57% 9.091% Primary Residence 6,760 1,479,125,534.99 91.37 218,805.55 619 80.01 8.148 Second Home 225 44,065,660.74 2.72 195,847.38 675 81.77 8.569 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ One Family 5,552 $ 1,151,502,265.87 71.13% $ 207,403.15 618 80.01% 8.205% Pud-Detached 764 176,534,527.54 10.91 231,066.14 628 80.87 8.099 2-4 Unit 519 154,892,214.64 9.57 298,443.57 641 80.72 8.208 Condo 453 93,775,523.10 5.79 207,009.98 639 81.96 8.501 Pud-Attached 202 42,100,615.24 2.60 208,418.89 623 81.67 8.365 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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 3,705 $ 820,900,491.71 50.71% $ 221,565.58 602 78.41% 8.214% Purchase 3,058 643,619,089.05 39.76 210,470.60 649 82.55 8.283 Rate/Term 727 154,285,565.64 9.53 212,222.24 620 81.23 7.937 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) 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 - ------------------------------------------------------------------------------------------------------------------------------ Full Documentation 4,837 $ 958,292,610.12 59.20% $ 198,117.14 610 80.26% 7.947% Limited Documentation 85 20,481,316.96 1.27 240,956.67 628 81.37 7.826 Stated Documentation 2,568 640,031,219.32 39.54 249,233.34 641 80.39 8.629 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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 25 $ 4,674,857.04 0.29% $ 186,994.28 500 73.89% 9.302% 501--525 544 91,451,978.22 5.65 168,110.25 513 74.34 9.316 526--550 590 109,290,827.70 6.75 185,238.69 538 75.73 8.915 551--575 787 145,273,105.39 8.97 184,590.99 562 78.21 8.791 576--600 1,075 211,334,616.94 13.05 196,590.34 588 80.74 8.427 601--625 1,312 273,664,046.19 16.91 208,585.40 613 81.68 8.027 626--650 1,260 294,083,587.98 18.17 233,399.67 638 81.82 8.039 651--675 877 220,774,806.87 13.64 251,738.66 662 81.42 7.856 676--700 436 117,273,312.64 7.24 268,975.49 686 80.94 7.839 701--725 247 65,054,079.37 4.02 263,376.84 713 81.33 7.685 726--750 154 39,912,019.21 2.47 259,168.96 736 82.07 7.632 751--775 119 30,297,273.32 1.87 254,598.94 762 81.86 7.789 776--800 52 12,393,096.61 0.77 238,328.78 786 80.70 7.388 801--825 12 3,327,538.92 0.21 277,294.91 807 76.90 7.208 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PREPAYMENT PENALTY TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0 2,022 $ 423,741,108.55 26.18% $ 209,565.34 620 80.86% 8.699% 12 568 179,995,027.79 11.12 316,892.65 633 80.38 8.079 24 2,470 562,873,197.31 34.77 227,883.89 620 81.26 8.099 36 2,430 452,195,812.74 27.93 186,088.81 623 78.63 7.961 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) 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 - ------------------------------------------------------------------------------------------------------------------------------ First Lien 7,304 $ 1,605,819,982.04 99.20% $ 219,854.87 622 80.17% 8.187% Second Lien 186 12,985,164.36 0.80 69,812.71 651 99.86 11.651 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 7,490 $ 1,618,805,146.40 100.00% $ 216,128.86 622 80.32% 8.215% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on September 1, 2006 scheduled balances. SCHEDULED PRINCIPAL BALANCE: $1,360,045,613.96 NUMBER OF MORTGAGE LOANS: 6,022 AVERAGE SCHEDULED PRINCIPAL BALANCE: $225,846.17 WEIGHTED AVERAGE GROSS COUPON: 8.298% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 620 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 80.97% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 88.03% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 358 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 360 WEIGHTED AVERAGE ROLL TERM(1) (MONTHS): 29 WEIGHTED AVERAGE GROSS MARGIN(1): 6.196% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.913% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.498% INTEREST ONLY LOANS: 24.90% SILENT SECONDS: 36.51% - -------------------------------------------------------------------------------- (1) Includes adjustable-rate Mortgage Loans only. (2) The original loan-to-value ("OLTV") of a first-lien mortgage is a fraction, expressed as a percentage, the numerator of which is the principal balance of the Mortgage Loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the Mortgage Loan. The OLTV of a second lien Mortgage Loan is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such Mortgage Loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such Mortgage Loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the Mortgage Loan. The combined loan-to-value ("CLTV") of a mortgage is a fraction, expressed as a percentage, the numerator of which is (i) the sum of (a) the principal balance of such Mortgage Loan at the date of origination plus (b) either (x) for junior lien Mortgage Loans the outstanding balance of the senior lien mortgage loan at the date of origination of such Mortgage Loan, or (y) for first-lien Mortgage Loans the outstanding balance of any junior lien mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the Mortgage Loan. 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 - ------------------------------------------------------------------------------------------------------------------------------ 2/1 ARM 1,083 $ 187,651,436.88 13.80% $ 173,270.02 604 80.92% 8.716% 2/1 ARM 5Y-IO 809 270,506,465.14 19.89 334,371.40 648 82.04 7.625 3/1 ARM 968 161,324,382.02 11.86 166,657.42 620 79.51 8.387 3/1 ARM 5Y-IO 290 68,105,952.84 5.01 234,848.11 647 80.40 7.721 40/30 2/1 ARM 1,191 299,218,807.74 22.00 251,233.26 609 80.62 8.465 40/30 3/1 ARM 1,650 367,324,360.69 27.01 222,620.82 610 81.34 8.522 5/1 ARM 31 5,914,208.65 0.43 190,780.92 640 74.57 7.693 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT GROSS MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 5.501--6.000 43 $ 14,502,365.02 1.07% $ 337,264.30 663 77.50% 5.789% 6.001--6.500 116 37,602,763.13 2.76 324,161.75 661 77.83 6.347 6.501--7.000 346 106,713,018.35 7.85 308,419.13 654 79.60 6.809 7.001--7.500 580 164,247,417.65 12.08 283,185.20 643 79.64 7.309 7.501--8.000 1,050 257,075,390.27 18.90 244,833.71 628 80.06 7.792 8.001--8.500 984 230,813,205.15 16.97 234,566.27 622 80.87 8.272 8.501--9.000 1,097 225,218,476.05 16.56 205,303.99 610 81.38 8.769 9.001--9.500 735 143,019,743.91 10.52 194,584.69 601 83.24 9.260 9.501--10.000 569 105,591,496.37 7.76 185,573.81 584 83.27 9.758 10.001--10.500 274 43,772,209.31 3.22 159,752.59 579 83.64 10.260 10.501--11.000 156 22,191,210.68 1.63 142,251.35 570 82.93 10.736 11.001--11.500 48 6,433,275.64 0.47 134,026.58 552 80.10 11.206 11.501--12.000 15 1,939,058.51 0.14 129,270.57 534 73.72 11.696 12.001--12.500 5 559,357.91 0.04 111,871.58 538 70.73 12.183 12.501--13.000 4 366,626.02 0.03 91,656.51 525 70.75 12.691 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL MORTGAGE LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 18 $ 899,368.52 0.07% $ 49,964.92 562 65.21% 9.604% 50,000.01--100,000.00 1,011 78,600,464.17 5.78 77,745.27 598 79.65 9.022 100,000.01--150,000.00 1,182 148,433,308.59 10.91 125,578.10 603 80.01 8.749 150,000.01--200,000.00 963 167,108,858.44 12.29 173,529.45 606 79.59 8.471 200,000.01--250,000.00 811 181,893,260.48 13.37 224,282.69 614 80.45 8.374 250,000.01--300,000.00 576 157,266,871.14 11.56 273,032.76 616 80.55 8.255 300,000.01--350,000.00 365 118,470,666.68 8.71 324,577.17 621 81.21 8.250 350,000.01--400,000.00 338 126,613,024.29 9.31 374,594.75 627 81.31 8.029 400,000.01--450,000.00 281 119,527,080.54 8.79 425,363.28 631 82.59 8.068 450,000.01--500,000.00 191 91,218,156.47 6.71 477,581.97 637 82.31 7.900 500,000.01--550,000.00 117 61,494,383.68 4.52 525,593.02 640 82.87 7.879 550,000.01--600,000.00 76 43,644,240.09 3.21 574,266.32 638 84.13 8.086 600,000.01--650,000.00 47 29,442,567.21 2.16 626,437.60 647 81.12 7.936 650,000.01--700,000.00 16 10,751,574.20 0.79 671,973.39 665 83.09 7.795 700,000.01--750,000.00 13 9,491,835.61 0.70 730,141.20 650 83.41 8.299 750,000.01--800,000.00 9 7,092,576.88 0.52 788,064.10 651 75.33 7.962 800,000.01--850,000.00 1 845,012.58 0.06 845,012.58 601 95.00 7.990 850,000.01--900,000.00 1 878,495.19 0.06 878,495.19 667 94.62 6.800 900,000.01--950,000.00 1 928,869.21 0.07 928,869.21 623 60.00 8.500 950,000.01--1,000,000.00 3 2,920,000.00 0.21 973,333.33 654 79.91 7.518 1,000,000.01 >= 2 2,525,000.00 0.19 1,262,500.00 653 78.91 8.125 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT UNPAID PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 18 $ 899,368.52 0.07% $ 49,964.92 562 65.21% 9.604% 50,000.01--100,000.00 1,010 78,500,464.17 5.77 77,723.23 598 79.65 9.023 100,000.01--150,000.00 1,183 148,533,308.59 10.92 125,556.47 603 80.01 8.749 150,000.01--200,000.00 964 167,308,281.48 12.30 173,556.31 606 79.59 8.473 200,000.01--250,000.00 810 181,693,837.45 13.36 224,313.38 614 80.45 8.373 250,000.01--300,000.00 576 157,266,871.14 11.56 273,032.76 616 80.55 8.255 300,000.01--350,000.00 365 118,470,666.68 8.71 324,577.17 621 81.21 8.250 350,000.01--400,000.00 338 126,613,024.29 9.31 374,594.75 627 81.31 8.029 400,000.01--450,000.00 281 119,527,080.54 8.79 425,363.28 631 82.59 8.068 450,000.01--500,000.00 191 91,218,156.47 6.71 477,581.97 637 82.31 7.900 500,000.01--550,000.00 118 62,044,283.72 4.56 525,799.01 640 82.98 7.902 550,000.01--600,000.00 75 43,094,340.05 3.17 574,591.20 638 84.00 8.055 600,000.01--650,000.00 47 29,442,567.21 2.16 626,437.60 647 81.12 7.936 650,000.01--700,000.00 16 10,751,574.20 0.79 671,973.39 665 83.09 7.795 700,000.01--750,000.00 13 9,491,835.61 0.70 730,141.20 650 83.41 8.299 750,000.01--800,000.00 9 7,092,576.88 0.52 788,064.10 651 75.33 7.962 800,000.01--850,000.00 1 845,012.58 0.06 845,012.58 601 95.00 7.990 850,000.01--900,000.00 1 878,495.19 0.06 878,495.19 667 94.62 6.800 900,000.01--950,000.00 1 928,869.21 0.07 928,869.21 623 60.00 8.500 950,000.01--1,000,000.00 3 2,920,000.00 0.21 973,333.33 654 79.91 7.518 1,000,000.01 >= 2 2,525,000.00 0.19 1,262,500.00 653 78.91 8.125 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 1 $ 49,982.04 0.00% $ 49,982.04 652 10.11% 8.625% 15.01--20.00 3 250,783.41 0.02 83,594.47 561 18.36 8.833 20.01--25.00 3 420,345.04 0.03 140,115.01 647 23.68 6.570 25.01--30.00 9 911,021.22 0.07 101,224.58 564 27.55 9.159 30.01--35.00 13 1,825,334.51 0.13 140,410.35 601 32.84 8.184 35.01--40.00 16 2,359,750.93 0.17 147,484.43 582 37.54 8.136 40.01--45.00 35 5,938,953.08 0.44 169,684.37 581 42.96 8.137 45.01--50.00 53 9,808,907.57 0.72 185,073.73 576 48.14 8.053 50.01--55.00 55 10,613,828.22 0.78 192,978.69 589 53.12 7.858 55.01--60.00 120 26,322,776.68 1.94 219,356.47 579 58.32 8.240 60.01--65.00 157 33,206,849.97 2.44 211,508.60 581 63.44 8.188 65.01--70.00 260 56,595,466.78 4.16 217,674.87 580 68.78 8.394 70.01--75.00 416 87,491,876.02 6.43 210,317.01 580 73.92 8.341 75.01--80.00 2,648 607,772,153.03 44.69 229,521.21 639 79.86 8.026 80.01--85.00 704 157,875,064.82 11.61 224,254.35 590 84.53 8.596 85.01--90.00 1,069 241,620,615.79 17.77 226,024.90 617 89.71 8.681 90.01--95.00 451 115,484,796.08 8.49 256,063.85 641 94.70 8.543 95.01--100.00 9 1,497,108.77 0.11 166,345.42 685 99.68 9.432 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS COMBINED LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 1 $ 49,982.04 0.00% $ 49,982.04 652 10.11% 8.625% 15.01--20.00 3 250,783.41 0.02 83,594.47 561 18.36 8.833 20.01--25.00 3 420,345.04 0.03 140,115.01 647 23.68 6.570 25.01--30.00 8 821,050.57 0.06 102,631.32 546 27.37 9.335 30.01--35.00 13 1,825,334.51 0.13 140,410.35 601 32.84 8.184 35.01--40.00 16 2,359,750.93 0.17 147,484.43 582 37.54 8.136 40.01--45.00 35 5,938,953.08 0.44 169,684.37 581 42.96 8.137 45.01--50.00 54 9,898,878.22 0.73 183,312.56 577 47.97 8.048 50.01--55.00 55 10,613,828.22 0.78 192,978.69 589 53.12 7.858 55.01--60.00 119 25,987,957.78 1.91 218,386.20 579 58.30 8.230 60.01--65.00 155 32,937,570.20 2.42 212,500.45 581 63.43 8.184 65.01--70.00 257 56,104,510.36 4.13 218,305.49 579 68.71 8.396 70.01--75.00 399 84,101,328.36 6.18 210,780.27 579 73.93 8.339 75.01--80.00 671 145,362,593.08 10.69 216,635.76 592 79.41 8.410 80.01--85.00 631 143,814,429.63 10.57 227,915.10 588 84.47 8.607 85.01--90.00 999 230,371,786.28 16.94 230,602.39 617 89.59 8.641 90.01--95.00 552 133,455,229.24 9.81 241,766.72 638 93.21 8.556 95.01--100.00 2,051 475,731,303.02 34.98 231,950.90 653 80.29 7.942 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE 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 1,122 $ 406,812,181.26 29.91% $ 362,577.70 634 80.11% 7.880% FL 662 132,309,265.33 9.73 199,862.94 605 80.00 8.564 NY 307 103,971,286.98 7.64 338,668.69 632 80.98 8.080 NJ 248 68,910,604.57 5.07 277,865.34 619 80.38 8.614 IL 306 62,212,192.36 4.57 203,307.82 614 82.08 8.339 MA 187 51,553,022.13 3.79 275,684.61 609 79.74 8.459 MD 193 48,438,458.15 3.56 250,976.47 602 81.99 8.408 TX 355 43,591,480.70 3.21 122,792.90 617 81.30 8.596 AZ 189 38,420,688.76 2.82 203,284.07 619 79.93 8.310 NV 122 32,147,567.17 2.36 263,504.65 635 80.84 8.121 GA 192 31,647,259.17 2.33 164,829.47 609 84.41 8.778 VA 122 26,421,520.23 1.94 216,569.84 603 80.46 8.436 PA 184 26,043,833.99 1.91 141,542.58 601 81.77 8.502 MI 193 24,642,584.25 1.81 127,681.78 596 81.76 9.071 MN 122 23,383,669.26 1.72 191,669.42 622 82.39 8.442 Other 1,518 239,539,999.65 17.61 157,799.74 612 82.31 8.570 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ Investment Property 454 $ 89,126,130.21 6.55% $ 196,313.06 648 85.22% 9.129% Primary Residence 5,389 1,232,900,323.17 90.65 228,780.91 616 80.64 8.232 Second Home 179 38,019,160.58 2.80 212,397.55 670 81.64 8.505 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ One Family 4,464 $ 970,664,975.88 71.37% $ 217,442.87 615 80.69% 8.289% Pud-Detached 597 145,583,071.07 10.70 243,857.74 624 81.75 8.187 2-4 Unit 415 125,427,301.02 9.22 302,234.46 638 81.29 8.303 Condo 379 82,502,129.50 6.07 217,683.72 638 82.12 8.524 Pud-Attached 167 35,868,136.49 2.64 214,779.26 620 81.70 8.442 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE 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 2,809 $ 652,468,425.38 47.97% $ 232,277.83 596 79.56% 8.386% Purchase 2,660 585,078,538.06 43.02 219,954.34 647 82.35 8.247 Rate/Term 553 122,498,650.52 9.01 221,516.55 616 81.88 8.075 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ Full Documentation 3,749 $ 768,415,945.96 56.50% $ 204,965.58 605 81.11% 8.047% Limited Documentation 67 17,608,243.34 1.29 262,809.60 628 81.33 7.785 Stated Documentation 2,206 574,021,424.66 42.21 260,209.17 639 80.77 8.649 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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 21 $ 4,390,379.12 0.32% $ 209,065.67 500 75.13% 9.282% 501--525 487 83,443,574.85 6.14 171,342.04 513 74.90 9.348 526--550 507 97,569,484.42 7.17 192,444.74 538 76.20 8.959 551--575 656 126,237,319.39 9.28 192,434.94 562 79.03 8.892 576--600 873 181,014,227.13 13.31 207,347.34 588 81.40 8.467 601--625 1,030 229,974,346.16 16.91 223,276.06 613 82.51 8.051 626--650 998 248,904,885.34 18.30 249,403.69 639 82.56 8.096 651--675 688 179,309,600.80 13.18 260,624.42 662 81.98 7.945 676--700 330 91,250,064.59 6.71 276,515.35 686 81.73 7.968 701--725 200 54,183,065.10 3.98 270,915.33 712 82.32 7.805 726--750 110 30,897,000.45 2.27 280,881.82 736 83.15 7.735 751--775 87 23,257,056.33 1.71 267,322.49 762 81.85 7.895 776--800 28 7,592,064.65 0.56 271,145.17 787 81.90 7.436 801--825 7 2,022,545.63 0.15 288,935.09 809 78.63 7.527 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PREPAYMENT PENALTY TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0 1,670 $ 377,229,011.43 27.74% $ 225,885.64 620 81.10% 8.732% 12 446 141,434,820.31 10.40 317,118.43 630 81.10 8.210 24 2,357 553,551,877.35 40.70 234,854.42 620 81.08 8.061 36 1,549 287,829,904.87 21.16 185,816.59 615 80.52 8.228 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ 1.000 28 $ 4,023,232.15 0.30% $ 143,686.86 613 79.55% 8.437% 1.500 933 228,810,722.55 16.82 245,241.93 612 81.44 8.327 2.000 5,061 1,127,211,659.26 82.88 222,725.09 621 80.88 8.291 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ 1.000 30 $ 4,173,252.71 0.31% $ 139,108.42 614 79.64% 8.444% 1.500 5,992 1,355,872,361.25 99.69 226,280.43 620 80.97 8.297 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE 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 1 $ 203,859.60 0.01% $ 203,859.60 631 80.00% 7.875% 5.001--6.000 1,228 299,573,634.13 22.03 243,952.47 631 81.59 7.995 6.001--7.000 4,541 1,015,800,053.67 74.69 223,695.23 619 81.29 8.340 7.001--8.000 251 44,370,752.45 3.26 176,775.91 557 69.40 9.378 8.001--9.000 1 97,314.11 0.01 97,314.11 676 65.00 8.300 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ 12.001--13.000 43 $ 14,502,365.02 1.07% $ 337,264.30 663 77.50% 5.789% 13.001--14.000 473 145,815,080.05 10.72 308,277.12 655 79.11 6.698 14.001--15.000 1,629 421,268,127.87 30.97 258,605.36 634 79.91 7.607 15.001--16.000 2,076 455,479,779.14 33.49 219,402.59 616 81.14 8.519 16.001--17.000 1,300 247,848,359.25 18.22 190,652.58 594 83.20 9.473 17.001--18.000 430 65,890,347.68 4.84 153,233.37 576 83.50 10.420 18.001--19.000 62 8,315,571.02 0.61 134,122.11 548 78.61 11.319 19.001 >= 9 925,983.93 0.07 102,887.10 533 70.73 12.384 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ 5.001--6.000 21 $ 6,894,511.92 0.51% $ 328,310.09 676 77.11% 5.785% 6.001--7.000 482 151,521,811.77 11.14 314,360.61 655 79.09 6.645 7.001--8.000 1,632 421,724,630.72 31.01 258,409.70 634 79.89 7.602 8.001--9.000 2,080 455,768,651.84 33.51 219,119.54 616 81.11 8.518 9.001--10.000 1,305 248,874,269.65 18.30 190,708.25 594 83.26 9.471 10.001--11.000 430 65,963,419.99 4.85 153,403.30 576 83.40 10.420 11.001--12.000 63 8,372,334.14 0.62 132,894.19 548 78.62 11.320 12.001 >= 9 925,983.93 0.07 102,887.10 533 70.73 12.384 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE INITIAL INTEREST RATE ADJUSTMENT MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 02/01/2008 6 $ 2,157,437.00 0.16% $ 359,572.83 567 75.66% 8.126% 03/01/2008 21 5,502,113.91 0.40 262,005.42 613 84.60 7.363 04/01/2008 50 15,768,973.65 1.16 315,379.47 607 83.20 7.894 05/01/2008 126 33,638,998.83 2.47 266,976.18 625 82.59 8.373 06/01/2008 386 101,257,643.03 7.45 262,325.50 610 81.83 8.268 07/01/2008 1,573 372,824,722.27 27.41 237,015.08 621 80.80 8.233 08/01/2008 907 223,563,336.08 16.44 246,486.59 630 81.21 8.222 09/01/2008 14 2,663,485.00 0.20 190,248.93 596 80.25 8.205 04/01/2009 1 283,599.48 0.02 283,599.48 653 80.00 8.100 05/01/2009 3 585,752.11 0.04 195,250.70 653 91.94 8.402 06/01/2009 45 10,517,709.25 0.77 233,726.87 630 84.06 8.284 07/01/2009 1,127 229,467,179.93 16.87 203,608.86 609 80.64 8.501 08/01/2009 1,703 348,850,284.78 25.65 204,844.56 621 80.65 8.330 09/01/2009 29 7,050,170.00 0.52 243,109.31 635 82.15 8.277 06/01/2011 10 1,893,221.48 0.14 189,322.15 662 76.73 7.611 07/01/2011 21 4,020,987.17 0.30 191,475.58 630 73.55 7.732 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ First Lien 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 6,022 $ 1,360,045,613.96 100.00% $ 225,846.17 620 80.97% 8.298% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on September 1, 2006 scheduled balances. SCHEDULED PRINICPAL BALANCE: $258,759,532.44 NUMBER OF MORTGAGE LOANS: 1,468 AVERAGE SCHEDULED PRINCIPAL BALANCE: $176,266.71 WEIGHTED AVERAGE GROSS COUPON: 7.781% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 636 WEIGHTED AVERAGE ORIGINAL LTV RATIO(1): 76.94% WEIGHTED AVERAGE COMBINED LTV RATIO(1): 80.61% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 353 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS) : 354 SILENT SECONDS: 18.85% - -------------------------------------------------------------------------------- (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. 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 - ------------------------------------------------------------------------------------------------------------------------------ 40/30 Fixed 429 $ 111,772,923.66 43.20% $ 260,542.95 640 77.87% 7.417% Fixed 1,039 146,986,608.78 56.80 141,469.31 634 76.23 8.057 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT GROSS MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 5.501--6.000 1 $ 142,257.55 0.05% $ 142,257.55 617 80.00% 5.975% 6.001--6.500 140 42,201,066.57 16.31 301,436.19 681 74.81 6.463 6.501--7.000 220 52,208,010.75 20.18 237,309.14 650 73.34 6.811 7.001--7.500 199 42,026,626.77 16.24 211,189.08 634 75.79 7.290 7.501--8.000 224 40,370,499.91 15.60 180,225.45 628 77.85 7.786 8.001--8.500 162 26,175,584.27 10.12 161,577.68 614 75.43 8.275 8.501--9.000 145 21,887,058.07 8.46 150,945.23 607 77.97 8.757 9.001--9.500 67 8,172,115.06 3.16 121,971.87 589 74.90 9.281 9.501--10.000 65 7,322,792.71 2.83 112,658.35 596 83.76 9.727 10.001--10.500 39 3,064,424.30 1.18 78,574.98 617 85.46 10.261 10.501--11.000 49 4,191,466.73 1.62 85,540.14 605 81.68 10.823 11.001--11.500 38 3,125,877.35 1.21 82,259.93 633 93.46 11.298 11.501--12.000 55 3,769,439.27 1.46 68,535.26 635 98.30 11.829 12.001--12.500 39 2,700,060.38 1.04 69,232.32 621 100.00 12.358 12.501--13.000 22 1,229,064.83 0.47 55,866.58 617 100.00 12.781 13.001--13.500 3 173,187.91 0.07 57,729.30 629 100.00 13.244 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL MORTGAGE LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 72 $ 3,015,162.09 1.17% $ 41,877.25 621 86.07% 10.632% 50,000.01--100,000.00 477 35,542,147.86 13.74 74,511.84 618 79.85 9.102 100,000.01--150,000.00 308 37,728,388.86 14.58 122,494.77 624 75.73 8.186 150,000.01--200,000.00 179 30,719,996.84 11.87 171,620.09 621 74.42 7.777 200,000.01--250,000.00 125 28,164,990.46 10.88 225,319.92 623 73.91 7.611 250,000.01--300,000.00 76 20,841,396.57 8.05 274,228.90 631 74.40 7.461 300,000.01--350,000.00 51 16,552,151.48 6.40 324,551.99 642 75.90 7.398 350,000.01--400,000.00 41 15,466,244.51 5.98 377,225.48 642 76.89 7.485 400,000.01--450,000.00 34 14,571,486.21 5.63 428,573.12 656 76.58 7.143 450,000.01--500,000.00 41 19,538,754.71 7.55 476,554.99 664 80.91 7.098 500,000.01--550,000.00 30 15,797,461.44 6.11 526,582.05 654 77.44 7.135 550,000.01--600,000.00 22 12,688,777.01 4.90 576,762.59 678 81.42 7.003 600,000.01--650,000.00 6 3,774,303.10 1.46 629,050.52 694 80.02 7.019 650,000.01--700,000.00 3 2,036,739.07 0.79 678,913.02 657 71.83 7.450 700,000.01--750,000.00 1 749,414.92 0.29 749,414.92 629 78.95 7.250 750,000.01--800,000.00 2 1,572,117.30 0.61 786,058.65 666 82.46 6.647 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT UNPAID MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 72 $ 3,015,162.09 1.17% $ 41,877.25 621 86.07% 10.632% 50,000.01--100,000.00 478 35,641,782.07 13.77 74,564.40 617 79.77 9.098 100,000.01--150,000.00 307 37,628,754.65 14.54 122,569.23 624 75.79 8.188 150,000.01--200,000.00 179 30,719,996.84 11.87 171,620.09 621 74.42 7.777 200,000.01--250,000.00 125 28,164,990.46 10.88 225,319.92 623 73.91 7.611 250,000.01--300,000.00 76 20,841,396.57 8.05 274,228.90 631 74.40 7.461 300,000.01--350,000.00 51 16,552,151.48 6.40 324,551.99 642 75.90 7.398 350,000.01--400,000.00 41 15,466,244.51 5.98 377,225.48 642 76.89 7.485 400,000.01--450,000.00 34 14,571,486.21 5.63 428,573.12 656 76.58 7.143 450,000.01--500,000.00 42 20,038,593.00 7.74 477,109.36 662 80.83 7.078 500,000.01--550,000.00 30 15,847,554.50 6.12 528,251.82 655 78.04 7.246 550,000.01--600,000.00 21 12,138,845.66 4.69 578,040.27 683 80.81 6.884 600,000.01--650,000.00 6 3,774,303.10 1.46 629,050.52 694 80.02 7.019 650,000.01--700,000.00 3 2,036,739.07 0.79 678,913.02 657 71.83 7.450 700,000.01--750,000.00 1 749,414.92 0.29 749,414.92 629 78.95 7.250 750,000.01--800,000.00 2 1,572,117.30 0.61 786,058.65 666 82.46 6.647 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE 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 - ------------------------------------------------------------------------------------------------------------------------------ 61--120 4 $ 278,520.88 0.11% $ 69,630.22 604 76.24% 8.884% 121--180 52 5,179,800.20 2.00 99,611.54 631 69.67 7.776 181--240 36 3,450,199.43 1.33 95,838.87 616 73.09 7.902 241--300 9 777,947.07 0.30 86,438.56 632 77.80 7.342 301--360 1,367 249,073,064.85 96.26 182,204.14 637 77.14 7.779 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ 61--120 4 $ 278,520.88 0.11% $ 69,630.22 604 76.24% 8.884% 121--180 52 5,179,800.20 2.00 99,611.54 631 69.67 7.776 181--240 36 3,450,199.43 1.33 95,838.87 616 73.09 7.902 241--300 9 777,947.07 0.30 86,438.56 632 77.80 7.342 301--360 1,367 249,073,064.85 96.26 182,204.14 637 77.14 7.779 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 5.01--10.00 1 $ 54,989.50 0.02% $ 54,989.50 551 9.65% 9.375% 15.01--20.00 2 218,826.70 0.08 109,413.35 704 18.03 6.990 25.01--30.00 8 1,203,348.09 0.47 150,418.51 603 28.65 7.800 30.01--35.00 6 614,281.37 0.24 102,380.23 644 32.70 7.264 35.01--40.00 9 779,289.08 0.30 86,587.68 644 37.56 7.954 40.01--45.00 22 3,789,033.94 1.46 172,228.82 623 43.11 7.307 45.01--50.00 43 7,537,485.63 2.91 175,290.36 613 48.18 7.633 50.01--55.00 41 7,199,787.31 2.78 175,604.57 622 52.53 7.362 55.01--60.00 62 11,383,733.95 4.40 183,608.61 623 57.88 7.161 60.01--65.00 63 12,043,281.98 4.65 191,163.21 635 63.10 7.218 65.01--70.00 100 18,209,245.32 7.04 182,092.45 618 68.62 7.459 70.01--75.00 136 22,974,015.52 8.88 168,926.58 619 74.07 7.523 75.01--80.00 511 96,510,874.43 37.30 188,866.68 645 79.57 7.715 80.01--85.00 116 27,924,519.68 10.79 240,728.62 632 84.14 7.519 85.01--90.00 110 24,046,704.44 9.29 218,606.40 642 89.40 7.609 90.01--95.00 53 11,150,556.87 4.31 210,387.87 650 94.67 7.786 95.01--100.00 185 13,119,558.63 5.07 70,916.53 652 99.96 11.549 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS COMBINED LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 5.01--10.00 1 $ 54,989.50 0.02% $ 54,989.50 551 9.65% 9.375% 15.01--20.00 2 218,826.70 0.08 109,413.35 704 18.03 6.990 25.01--30.00 7 1,137,610.01 0.44 162,515.72 609 28.61 7.642 30.01--35.00 6 614,281.37 0.24 102,380.23 644 32.70 7.264 35.01--40.00 9 779,289.08 0.30 86,587.68 644 37.56 7.954 40.01--45.00 22 3,789,033.94 1.46 172,228.82 623 43.11 7.307 45.01--50.00 43 7,537,485.63 2.91 175,290.36 613 48.18 7.633 50.01--55.00 41 7,199,787.31 2.78 175,604.57 622 52.53 7.362 55.01--60.00 60 11,224,042.49 4.34 187,067.37 624 57.86 7.152 60.01--65.00 63 12,043,281.98 4.65 191,163.21 635 63.10 7.218 65.01--70.00 99 18,148,725.74 7.01 183,320.46 618 68.63 7.455 70.01--75.00 131 22,368,074.42 8.64 170,748.66 620 74.06 7.519 75.01--80.00 294 51,373,753.54 19.85 174,740.66 626 79.20 7.557 80.01--85.00 109 25,838,410.93 9.99 237,049.64 632 84.08 7.506 85.01--90.00 109 24,191,747.99 9.35 221,942.64 641 88.94 7.605 90.01--95.00 61 12,002,739.93 4.64 196,766.23 647 93.95 7.841 95.01--100.00 411 60,237,451.86 23.28 146,563.14 663 84.43 8.678 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE 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 247 $ 62,739,700.55 24.25% $ 254,006.88 654 75.85% 7.466% NY 110 35,977,037.54 13.90 327,063.98 645 77.61 7.610 FL 196 28,790,051.83 11.13 146,888.02 619 73.02 7.859 TX 264 28,621,434.74 11.06 108,414.53 621 77.58 7.840 HI 35 11,929,490.13 4.61 340,842.58 679 76.74 7.327 NJ 38 7,938,925.30 3.07 208,919.09 637 76.66 8.104 PA 56 7,408,543.81 2.86 132,295.43 635 78.28 7.690 AZ 46 7,288,811.67 2.82 158,452.43 632 73.95 7.576 MD 34 7,030,596.54 2.72 206,782.25 640 76.83 7.823 MA 28 5,933,014.42 2.29 211,893.37 629 78.99 8.155 VA 27 4,865,839.84 1.88 180,216.29 605 77.68 8.013 IL 32 4,725,994.64 1.83 147,687.33 609 80.17 8.331 WA 18 4,384,985.60 1.69 243,610.31 627 76.85 7.369 MN 18 3,922,270.33 1.52 217,903.91 624 79.89 7.860 OR 24 3,533,053.83 1.37 147,210.58 645 77.69 7.538 Other 295 33,669,781.66 13.01 114,134.85 620 80.23 8.464 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ Investment Property 51 $ 6,487,820.46 2.51% $ 127,212.17 629 75.73% 8.567% Primary Residence 1,371 246,225,211.82 95.16 179,595.34 635 76.83 7.730 Second Home 46 6,046,500.16 2.34 131,445.66 702 82.56 8.976 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ One Family 1,088 $ 180,837,289.99 69.89% $ 166,210.74 632 76.35% 7.754% Pud-Detached 167 30,951,456.47 11.96 185,338.06 644 76.76 7.685 2-4 Unit 104 29,464,913.63 11.39 283,316.48 650 78.30 7.802 Condo 74 11,273,393.60 4.36 152,343.16 646 80.81 8.333 Pud-Attached 35 6,232,478.76 2.41 178,070.82 641 81.51 7.919 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE 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 896 $ 168,432,066.33 65.09% $ 187,982.22 626 73.94% 7.551% Purchase 398 58,540,550.99 22.62 147,086.81 665 84.61 8.646 Rate/Term 174 31,786,915.12 12.28 182,683.42 637 78.73 7.404 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ Full Documentation 1,088 $ 189,876,664.16 73.38% $ 174,518.99 629 76.81% 7.543% Limited Documentation 18 2,873,073.61 1.11 159,615.20 629 81.61 8.077 Stated Documentation 362 66,009,794.66 25.51 182,347.50 657 77.10 8.452 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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 4 $ 284,477.92 0.11% $ 71,119.48 500 54.75% 9.619% 501--525 57 8,008,403.37 3.09 140,498.30 512 68.55 8.990 526--550 83 11,721,343.28 4.53 141,221.00 538 71.80 8.548 551--575 131 19,035,785.99 7.36 145,311.34 564 72.82 8.118 576--600 202 30,320,389.81 11.72 150,100.94 589 76.75 8.193 601--625 282 43,689,700.04 16.88 154,928.01 613 77.32 7.903 626--650 262 45,178,702.64 17.46 172,437.80 638 77.77 7.730 651--675 189 41,465,206.07 16.02 219,392.62 663 78.98 7.470 676--700 106 26,023,248.05 10.06 245,502.34 687 78.17 7.388 701--725 47 10,871,014.28 4.20 231,298.18 714 76.42 7.083 726--750 44 9,015,018.76 3.48 204,886.79 738 78.36 7.281 751--775 32 7,040,216.99 2.72 220,006.78 763 81.88 7.439 776--800 24 4,801,031.96 1.86 200,043.00 784 78.80 7.311 801--825 5 1,304,993.29 0.50 260,998.66 803 74.22 6.714 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PREPAYMENT PENALTY TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0 352 $ 46,512,097.12 17.98% $ 132,136.64 624 78.94% 8.432% 12 122 38,560,207.49 14.90 316,067.27 644 77.76 7.598 24 113 9,321,319.96 3.60 82,489.56 633 92.18 10.338 36 881 164,365,907.87 63.52 186,567.43 638 75.32 7.494 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ First Lien 1,282 $ 245,774,368.08 94.98% $ 191,711.68 636 75.73% 7.576% Second Lien 186 12,985,164.36 5.02 69,812.71 651 99.86 11.651 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,468 $ 258,759,532.44 100.00% $ 176,266.71 636 76.94% 7.781% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on September 1, 2006 scheduled balances. SCHEDULED PRINCIPAL BALANCE: $778,316,092.09 NUMBER OF MORTGAGE LOANS: 3,270 AVERAGE SCHEDULED PRINCIPAL BALANCE: $238,017.15 WEIGHTED AVERAGE GROSS COUPON: 8.341% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 614 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 80.56% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 85.88% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 358 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 360 WEIGHTED AVERAGE ROLL TERM(1) (MONTHS): 31 WEIGHTED AVERAGE GROSS MARGIN(1): 6.241% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.925% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.500% INTEREST ONLY LOANS: 0.00% SILENT SECONDS: 27.88% - -------------------------------------------------------------------------------- (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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON 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 - ------------------------------------------------------------------------------------------------------------------------------ 40/30 2/1 ARM 1,191 $ 299,218,807.74 38.44% $ 251,233.26 609 80.62% 8.465% 40/30 3/1 ARM 1,650 367,324,360.69 47.19 222,620.82 610 81.34 8.522 40/30 Fixed 429 111,772,923.66 14.36 260,542.95 640 77.87 7.417 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT GROSS MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 5.501--6.000 15 $ 4,481,535.59 0.58% $ 298,769.04 659 74.15% 5.767% 6.001--6.500 102 36,521,224.60 4.69 358,051.22 670 77.28 6.429 6.501--7.000 202 58,688,969.90 7.54 290,539.45 648 77.97 6.812 7.001--7.500 300 84,292,096.49 10.83 280,973.65 637 78.78 7.297 7.501--8.000 494 125,506,455.58 16.13 254,061.65 623 79.63 7.802 8.001--8.500 520 129,527,312.91 16.64 249,090.99 617 80.69 8.275 8.501--9.000 619 139,536,954.27 17.93 225,423.19 602 80.98 8.770 9.001--9.500 417 86,827,497.91 11.16 208,219.42 597 83.37 9.265 9.501--10.000 325 65,686,268.55 8.44 202,111.60 578 82.90 9.749 10.001--10.500 160 29,031,869.66 3.73 181,449.19 576 83.52 10.273 10.501--11.000 80 12,750,142.46 1.64 159,376.78 566 81.61 10.730 11.001--11.500 27 4,418,826.63 0.57 163,660.25 556 82.08 11.195 11.501--12.000 8 890,959.94 0.11 111,369.99 532 73.92 11.766 12.501--13.000 1 155,977.60 0.02 155,977.60 508 65.00 12.550 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL MORTGAGE LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 9 $ 449,770.76 0.06% $ 49,974.53 576 51.02% 9.034% 50,000.01--100,000.00 380 29,809,070.59 3.83 78,444.92 597 79.19 8.985 100,000.01--150,000.00 613 77,581,733.90 9.97 126,560.74 597 79.35 8.824 150,000.01--200,000.00 549 95,625,595.81 12.29 174,181.41 602 78.91 8.491 200,000.01--250,000.00 493 111,067,432.25 14.27 225,288.91 608 80.02 8.507 250,000.01--300,000.00 358 97,683,616.50 12.55 272,859.26 605 80.26 8.393 300,000.01--350,000.00 236 76,516,757.38 9.83 324,223.55 612 80.69 8.400 350,000.01--400,000.00 187 69,823,098.03 8.97 373,385.55 614 80.44 8.044 400,000.01--450,000.00 159 67,702,341.73 8.70 425,800.89 623 82.11 8.179 450,000.01--500,000.00 130 62,101,887.00 7.98 477,706.82 634 82.13 7.846 500,000.01--550,000.00 64 33,635,551.89 4.32 525,555.50 633 82.01 7.822 550,000.01--600,000.00 52 29,850,222.98 3.84 574,042.75 640 84.04 7.914 600,000.01--650,000.00 26 16,280,482.70 2.09 626,172.41 665 81.71 7.942 650,000.01--700,000.00 4 2,687,420.36 0.35 671,855.09 669 81.06 8.336 700,000.01--750,000.00 7 5,104,859.02 0.66 729,265.57 658 85.32 8.546 750,000.01--800,000.00 2 1,551,238.60 0.20 775,619.30 667 71.75 7.854 800,000.01--850,000.00 1 845,012.58 0.11 845,012.58 601 95.00 7.990 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT UNPAID MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 9 $ 449,770.76 0.06% $ 49,974.53 576 51.02% 9.034% 50,000.01--100,000.00 380 29,809,070.59 3.83 78,444.92 597 79.19 8.985 100,000.01--150,000.00 613 77,581,733.90 9.97 126,560.74 597 79.35 8.824 150,000.01--200,000.00 549 95,625,595.81 12.29 174,181.41 602 78.91 8.491 200,000.01--250,000.00 493 111,067,432.25 14.27 225,288.91 608 80.02 8.507 250,000.01--300,000.00 358 97,683,616.50 12.55 272,859.26 605 80.26 8.393 300,000.01--350,000.00 236 76,516,757.38 9.83 324,223.55 612 80.69 8.400 350,000.01--400,000.00 187 69,823,098.03 8.97 373,385.55 614 80.44 8.044 400,000.01--450,000.00 159 67,702,341.73 8.70 425,800.89 623 82.11 8.179 450,000.01--500,000.00 131 62,601,725.28 8.04 477,875.77 634 82.10 7.834 500,000.01--550,000.00 64 33,685,613.64 4.33 526,337.71 635 82.28 7.888 550,000.01--600,000.00 51 29,300,322.93 3.76 574,516.14 640 83.84 7.865 600,000.01--650,000.00 26 16,280,482.70 2.09 626,172.41 665 81.71 7.942 650,000.01--700,000.00 4 2,687,420.36 0.35 671,855.09 669 81.06 8.336 700,000.01--750,000.00 7 5,104,859.02 0.66 729,265.57 658 85.32 8.546 750,000.01--800,000.00 2 1,551,238.60 0.20 775,619.30 667 71.75 7.854 800,000.01--850,000.00 1 845,012.58 0.11 845,012.58 601 95.00 7.990 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON 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 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 5.01--10.00 1 $ 54,989.50 0.01% $ 54,989.50 551 9.65% 9.375% 15.01--20.00 1 75,912.38 0.01 75,912.38 606 15.83 7.725 20.01--25.00 1 49,994.49 0.01 49,994.49 520 22.73 11.175 25.01--30.00 6 624,703.31 0.08 104,117.22 549 27.23 8.661 30.01--35.00 7 747,035.56 0.10 106,719.37 597 33.56 7.921 35.01--40.00 12 1,501,557.23 0.19 125,129.77 600 37.58 8.141 40.01--45.00 23 4,239,422.21 0.54 184,322.70 579 42.86 7.886 45.01--50.00 42 7,721,320.35 0.99 183,840.96 580 47.89 7.972 50.01--55.00 45 9,127,286.13 1.17 202,828.58 596 53.10 7.826 55.01--60.00 81 17,831,701.38 2.29 220,144.46 582 57.99 7.927 60.01--65.00 103 23,760,384.85 3.05 230,683.35 586 63.27 8.011 65.01--70.00 169 40,822,704.87 5.25 241,554.47 581 68.84 8.280 70.01--75.00 247 55,081,429.38 7.08 223,001.74 575 74.01 8.352 75.01--80.00 1,197 287,768,311.34 36.97 240,407.95 637 79.79 8.148 80.01--85.00 485 121,029,611.88 15.55 249,545.59 590 84.43 8.524 85.01--90.00 610 145,116,156.43 18.64 237,895.34 613 89.69 8.683 90.01--95.00 235 62,205,892.62 7.99 264,705.93 643 94.76 8.511 95.01--100.00 5 557,678.19 0.07 111,535.64 676 99.13 9.095 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS COMBINED LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 5.01--10.00 1 $ 54,989.50 0.01% $ 54,989.50 551 9.65% 9.375% 15.01--20.00 1 75,912.38 0.01 75,912.38 606 15.83 7.725 20.01--25.00 1 49,994.49 0.01 49,994.49 520 22.73 11.175 25.01--30.00 5 534,732.66 0.07 106,946.53 518 26.91 8.848 30.01--35.00 7 747,035.56 0.10 106,719.37 597 33.56 7.921 35.01--40.00 12 1,501,557.23 0.19 125,129.77 600 37.58 8.141 40.01--45.00 23 4,239,422.21 0.54 184,322.70 579 42.86 7.886 45.01--50.00 43 7,811,291.00 1.00 181,657.93 582 47.67 7.967 50.01--55.00 45 9,127,286.13 1.17 202,828.58 596 53.10 7.826 55.01--60.00 80 17,751,961.96 2.28 221,899.52 582 57.98 7.931 60.01--65.00 103 23,760,384.85 3.05 230,683.35 586 63.27 8.011 65.01--70.00 166 40,175,430.01 5.16 242,020.66 580 68.83 8.268 70.01--75.00 234 52,269,948.82 6.72 223,375.85 574 73.99 8.354 75.01--80.00 381 90,985,844.37 11.69 238,807.99 589 79.31 8.311 80.01--85.00 448 113,769,642.71 14.62 253,950.10 590 84.40 8.492 85.01--90.00 576 138,897,936.81 17.85 241,142.25 613 89.46 8.642 90.01--95.00 287 72,589,145.80 9.33 252,923.85 639 93.18 8.520 95.01--100.00 857 203,973,575.60 26.21 238,008.84 656 80.37 8.135 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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 669 $ 227,877,495.37 29.28% $ 340,624.06 625 79.15% 7.967% FL 440 85,186,286.44 10.94 193,605.20 600 78.97 8.526 NY 212 77,828,597.90 10.00 367,116.03 628 80.81 7.930 NJ 155 43,433,809.04 5.58 280,218.12 612 80.32 8.738 MD 140 34,073,843.54 4.38 243,384.60 600 81.87 8.491 MA 121 32,847,595.54 4.22 271,467.73 605 81.11 8.663 IL 156 32,652,500.19 4.20 209,310.90 601 82.64 8.536 AZ 113 22,705,866.95 2.92 200,936.88 606 79.85 8.506 GA 111 17,588,047.49 2.26 158,450.88 600 83.80 8.981 NV 65 16,506,964.49 2.12 253,953.30 627 80.43 8.311 HI 38 15,406,323.31 1.98 405,429.56 655 79.32 7.467 VA 69 14,552,759.84 1.87 210,909.56 592 79.55 8.433 MN 66 13,962,118.91 1.79 211,547.26 613 83.52 8.707 WA 63 13,775,011.55 1.77 218,650.98 598 81.48 8.402 MI 100 13,680,934.97 1.76 136,809.35 591 81.90 8.998 Other 752 116,237,936.57 14.93 154,571.72 608 82.65 8.729 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON 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 - ------------------------------------------------------------------------------------------------------------------------------ Investment Property 247 $ 55,490,883.46 7.13% $ 224,659.45 653 85.66% 8.934% Primary Residence 2,940 703,632,637.57 90.40 239,330.83 609 80.14 8.290 Second Home 83 19,192,571.06 2.47 231,235.80 677 81.50 8.513 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ One Family 2,408 $ 547,860,746.31 70.39% $ 227,516.92 607 80.38% 8.362% 2-4 Unit 268 87,965,383.74 11.30 328,229.04 637 80.82 8.202 Pud-Detached 287 74,056,320.17 9.51 258,035.96 622 80.34 8.208 Condo 205 46,269,862.59 5.94 225,706.65 636 82.22 8.525 Pud-Attached 102 22,163,779.29 2.85 217,291.95 617 81.39 8.440 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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 1,785 $ 438,748,475.79 56.37% $ 245,797.47 594 79.05% 8.331% Purchase 1,161 268,595,184.87 34.51 231,348.14 647 82.76 8.408 Rate/Term 324 70,972,431.43 9.12 219,050.71 612 81.60 8.156 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) 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 - ------------------------------------------------------------------------------------------------------------------------------ Full Documentation 1,985 $ 429,730,413.03 55.21% $ 216,488.87 598 80.65% 8.086% Limited Documentation 35 8,564,777.94 1.10 244,707.94 620 82.36 7.772 Stated Documentation 1,250 340,020,901.12 43.69 272,016.72 634 80.41 8.678 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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 14 $ 3,360,876.96 0.43% $ 240,062.64 500 74.89% 9.400% 501--525 283 54,831,011.10 7.04 193,749.16 513 75.56 9.237 526--550 336 73,622,320.66 9.46 219,114.05 538 76.12 8.872 551--575 460 96,420,020.12 12.39 209,608.74 562 78.98 8.796 576--600 493 111,883,402.76 14.38 226,944.02 587 81.13 8.547 601--625 449 105,361,399.09 13.54 234,657.90 612 82.51 8.065 626--650 467 117,611,352.06 15.11 251,844.44 639 82.42 8.080 651--675 357 99,058,108.05 12.73 277,473.69 662 81.94 7.953 676--700 171 48,974,091.45 6.29 286,398.20 686 81.22 7.908 701--725 96 25,859,439.50 3.32 269,369.16 713 81.78 7.785 726--750 67 17,719,001.59 2.28 264,462.71 737 83.59 7.752 751--775 54 16,495,371.54 2.12 305,469.84 763 82.50 7.931 776--800 18 5,770,937.58 0.74 320,607.64 785 81.66 7.226 801--825 5 1,348,759.63 0.17 269,751.93 807 75.97 7.690 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PREPAYMENT PENALTY TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0 911 $ 213,525,137.85 27.43% $ 234,385.44 613 81.62% 8.862% 12 274 90,190,436.76 11.59 329,162.18 624 81.07 8.082 24 978 234,022,764.02 30.07 239,287.08 605 80.18 8.333 36 1,107 240,577,753.47 30.91 217,324.08 620 79.82 7.985 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) 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 Rate 429 $ 111,772,923.66 14.36% $ 260,542.95 640 77.87% 7.417% 1.500 405 100,418,053.40 12.90 247,945.81 604 81.24 8.601 2.000 2,436 566,125,115.03 72.74 232,399.47 611 80.98 8.478 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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 Rate 429 $ 111,772,923.66 14.36% $ 260,542.95 640 77.87% 7.417% 1.500 2,841 666,543,168.43 85.64 234,615.69 610 81.02 8.496 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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 Rate 429 $ 111,772,923.66 14.36% $ 260,542.95 640 77.87% 7.417% 5.001--6.000 506 125,296,945.66 16.10 247,622.42 620 81.62 8.293 6.001--7.000 2,195 511,583,361.48 65.73 233,067.59 610 81.51 8.498 7.001--8.000 140 29,662,861.29 3.81 211,877.58 556 69.93 9.321 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) 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 Rate 429 $ 111,772,923.66 14.36% $ 260,542.95 640 77.87% 7.417% 12.001--13.000 15 4,481,535.59 0.58 298,769.04 659 74.15 5.767 13.001--14.000 151 45,712,909.83 5.87 302,734.50 652 78.46 6.722 14.001--15.000 653 174,256,248.58 22.39 266,854.90 626 79.30 7.620 15.001--16.000 1,051 248,989,062.40 31.99 236,906.81 609 81.14 8.534 16.001--17.000 708 147,198,252.42 18.91 207,907.14 588 83.28 9.473 17.001--18.000 228 40,549,022.80 5.21 177,846.59 574 83.20 10.410 18.001--19.000 34 5,200,159.20 0.67 152,945.86 551 80.62 11.288 19.001 >= 1 155,977.60 0.02 155,977.60 508 65.00 12.550 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ Fixed Rate 429 $ 111,772,923.66 14.36% $ 260,542.95 640 77.87% 7.417% 5.001--6.000 8 2,546,441.88 0.33 318,305.24 675 77.75 5.795 6.001--7.000 158 47,648,003.54 6.12 301,569.64 652 78.10 6.682 7.001--8.000 653 174,256,248.58 22.39 266,854.90 626 79.30 7.620 8.001--9.000 1,050 248,726,033.04 31.96 236,881.94 609 81.12 8.534 9.001--10.000 709 147,461,281.78 18.95 207,984.88 588 83.30 9.472 10.001--11.000 228 40,549,022.80 5.21 177,846.59 574 83.20 10.410 11.001--12.000 34 5,200,159.20 0.67 152,945.86 551 80.62 11.288 12.001 >= 1 155,977.60 0.02 155,977.60 508 65.00 12.550 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE INITIAL INTEREST RATE ADJUSTMENT MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS DATE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ Fixed Rate 429 $ 111,772,923.66 14.36% $ 260,542.95 640 77.87% 7.417% 02/01/2008 4 1,640,318.85 0.21 410,079.71 550 74.29 8.770 03/01/2008 4 584,366.33 0.08 146,091.58 548 79.72 8.569 04/01/2008 8 1,624,927.74 0.21 203,115.97 566 79.04 8.693 05/01/2008 40 11,035,468.06 1.42 275,886.70 624 83.10 8.533 06/01/2008 172 43,433,268.02 5.58 252,519.00 601 81.43 8.704 07/01/2008 669 168,569,801.77 21.66 251,972.80 609 80.32 8.408 08/01/2008 291 71,365,256.97 9.17 245,241.43 615 80.67 8.450 09/01/2008 3 965,400.00 0.12 321,800.00 616 80.08 7.127 04/01/2009 1 283,599.48 0.04 283,599.48 653 80.00 8.100 05/01/2009 1 161,860.00 0.02 161,860.00 663 97.01 9.000 06/01/2009 36 9,001,385.12 1.16 250,038.48 632 84.25 8.243 07/01/2009 767 164,625,238.84 21.15 214,635.25 608 80.97 8.474 08/01/2009 832 189,348,527.24 24.33 227,582.36 611 81.44 8.571 09/01/2009 13 3,903,750.00 0.50 300,288.46 603 84.41 8.771 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ First Lien 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 3,270 $ 778,316,092.09 100.00% $ 238,017.15 614 80.56% 8.341% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on September 1, 2006 scheduled balances. SCHEDULED PRINCIPAL BALANCE: $338,612,417.98 NUMBER OF MORTGAGE LOANS: 1,099 AVERAGE SCHEDULED PRINCIPAL BALANCE: $308,109.57 WEIGHTED AVERAGE GROSS COUPON: 7.644% WEIGHTED AVERAGE ORIGINAL CREDIT SCORE: 648 WEIGHTED AVERAGE ORIGINAL LTV RATIO(2): 81.71% WEIGHTED AVERAGE COMBINED LTV RATIO(2): 92.83% WEIGHTED AVERAGE STATED REMAINING TERM (MONTHS): 358 WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 360 WEIGHTED AVERAGE ROLL TERM(1) (MONTHS): 26 WEIGHTED AVERAGE GROSS MARGIN(1): 6.088% WEIGHTED AVERAGE INITIAL RATE CAP(1): 1.902% WEIGHTED AVERAGE PERIODIC RATE CAP(1): 1.499% INTEREST ONLY LOANS: 100.00% SILENT SECONDS: 56.28% - -------------------------------------------------------------------------------- (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. 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 - ------------------------------------------------------------------------------------------------------------------------------ 2/1 ARM 5Y-IO 809 $ 270,506,465.14 79.89% $ 334,371.40 648 82.04% 7.625% 3/1 ARM 5Y-IO 290 68,105,952.84 20.11 234,848.11 647 80.40 7.721 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY CURRENT GROSS MORTGAGE RATE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS CURRENT GROSS MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 5.501--6.000 23 $ 8,684,038.31 2.56% $ 377,566.88 666 81.28% 5.809% 6.001--6.500 70 23,194,228.06 6.85 331,346.12 661 78.59 6.330 6.501--7.000 164 56,166,740.30 16.59 342,480.12 657 80.98 6.796 7.001--7.500 201 66,098,016.47 19.52 328,845.85 647 80.95 7.315 7.501--8.000 271 81,108,035.47 23.95 299,291.64 641 82.17 7.781 8.001--8.500 167 49,145,699.16 14.51 294,285.62 640 81.83 8.240 8.501--9.000 123 32,436,321.40 9.58 263,709.93 650 83.58 8.766 9.001--9.500 53 15,212,312.96 4.49 287,024.77 649 82.31 9.245 9.501--10.000 22 5,020,258.03 1.48 228,193.55 640 89.54 9.752 10.001--10.500 3 1,252,267.82 0.37 417,422.61 634 89.94 10.147 10.501--11.000 2 294,500.00 0.09 147,250.00 619 95.00 10.596 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL MORTGAGE LOAN BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 1 $ 49,982.04 0.01% $ 49,982.04 652 10.11% 8.625% 50,000.01--100,000.00 47 3,878,856.00 1.15 82,528.85 640 79.44 8.141 100,000.01--150,000.00 118 15,297,011.06 4.52 129,635.69 638 80.90 8.161 150,000.01--200,000.00 137 23,952,382.35 7.07 174,834.91 636 78.91 7.873 200,000.01--250,000.00 162 36,523,296.39 10.79 225,452.45 642 81.81 7.644 250,000.01--300,000.00 144 39,467,967.26 11.66 274,083.11 641 80.34 7.631 300,000.01--350,000.00 94 30,405,259.77 8.98 323,460.21 646 81.97 7.657 350,000.01--400,000.00 104 39,154,392.03 11.56 376,484.54 657 82.52 7.536 400,000.01--450,000.00 99 42,133,632.97 12.44 425,592.25 650 81.95 7.477 450,000.01--500,000.00 68 32,522,865.41 9.60 478,277.43 658 82.99 7.424 500,000.01--550,000.00 57 29,901,572.82 8.83 524,589.00 650 82.93 7.581 550,000.01--600,000.00 26 14,966,761.89 4.42 575,644.69 649 83.88 7.789 600,000.01--650,000.00 19 11,905,938.02 3.52 626,628.32 649 82.56 7.672 650,000.01--700,000.00 9 6,052,599.98 1.79 672,511.11 660 82.81 7.643 700,000.01--750,000.00 3 2,212,400.00 0.65 737,466.67 673 79.64 7.510 750,000.01--800,000.00 6 4,742,499.99 1.40 790,416.67 653 77.96 8.054 950,000.01--1,000,000.00 3 2,920,000.00 0.86 973,333.33 654 79.91 7.518 1,000,000.01 >= 2 2,525,000.00 0.75 1,262,500.00 653 78.91 8.125 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT UNPAID MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 1 $ 49,982.04 0.01% $ 49,982.04 652 10.11% 8.625% 50,000.01--100,000.00 46 3,778,855.99 1.12 82,149.04 641 79.42 8.140 100,000.01--150,000.00 119 15,397,011.06 4.55 129,386.65 637 80.89 8.161 150,000.01--200,000.00 137 23,952,382.35 7.07 174,834.91 636 78.91 7.873 200,000.01--250,000.00 162 36,523,296.39 10.79 225,452.45 642 81.81 7.644 250,000.01--300,000.00 144 39,467,967.26 11.66 274,083.11 641 80.34 7.631 300,000.01--350,000.00 94 30,405,259.77 8.98 323,460.21 646 81.97 7.657 350,000.01--400,000.00 104 39,154,392.03 11.56 376,484.54 657 82.52 7.536 400,000.01--450,000.00 99 42,133,632.97 12.44 425,592.25 650 81.95 7.477 450,000.01--500,000.00 68 32,522,865.41 9.60 478,277.43 658 82.99 7.424 500,000.01--550,000.00 57 29,901,572.82 8.83 524,589.00 650 82.93 7.581 550,000.01--600,000.00 26 14,966,761.89 4.42 575,644.69 649 83.88 7.789 600,000.01--650,000.00 19 11,905,938.02 3.52 626,628.32 649 82.56 7.672 650,000.01--700,000.00 9 6,052,599.98 1.79 672,511.11 660 82.81 7.643 700,000.01--750,000.00 3 2,212,400.00 0.65 737,466.67 673 79.64 7.510 750,000.01--800,000.00 6 4,742,499.99 1.40 790,416.67 653 77.96 8.054 950,000.01--1,000,000.00 3 2,920,000.00 0.86 973,333.33 654 79.91 7.518 1,000,000.01 >= 2 2,525,000.00 0.75 1,262,500.00 653 78.91 8.125 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 1 $ 49,982.04 0.01% $ 49,982.04 652 10.11% 8.625% 20.01--25.00 1 104,000.00 0.03 104,000.00 646 22.61 6.775 30.01--35.00 3 627,990.36 0.19 209,330.12 665 32.32 7.573 35.01--40.00 1 136,999.99 0.04 136,999.99 628 36.93 8.775 40.01--45.00 2 382,999.99 0.11 191,500.00 644 43.38 8.333 45.01--50.00 6 1,733,499.97 0.51 288,916.66 631 48.19 7.902 50.01--55.00 7 1,526,499.96 0.45 218,071.42 643 52.54 6.931 55.01--60.00 10 3,157,984.98 0.93 315,798.50 633 57.86 7.068 60.01--65.00 13 3,051,099.96 0.90 234,700.00 646 63.25 6.964 65.01--70.00 20 6,662,892.30 1.97 333,144.61 634 69.13 7.262 70.01--75.00 47 14,117,439.13 4.17 300,371.05 627 73.73 7.406 75.01--80.00 676 205,032,436.99 60.55 303,302.42 655 79.93 7.598 80.01--85.00 66 21,353,167.47 6.31 323,532.84 638 84.44 7.504 85.01--90.00 143 47,573,430.06 14.05 332,681.33 636 89.53 7.844 90.01--95.00 103 33,101,994.77 9.78 321,378.59 643 94.56 8.033 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS COMBINED LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 10.01--15.00 1 $ 49,982.04 0.01% $ 49,982.04 652 10.11% 8.625% 20.01--25.00 1 104,000.00 0.03 104,000.00 646 22.61 6.775 30.01--35.00 3 627,990.36 0.19 209,330.12 665 32.32 7.573 35.01--40.00 1 136,999.99 0.04 136,999.99 628 36.93 8.775 40.01--45.00 2 382,999.99 0.11 191,500.00 644 43.38 8.333 45.01--50.00 6 1,733,499.97 0.51 288,916.66 631 48.19 7.902 50.01--55.00 7 1,526,499.96 0.45 218,071.42 643 52.54 6.931 55.01--60.00 10 3,157,984.98 0.93 315,798.50 633 57.86 7.068 60.01--65.00 13 3,051,099.96 0.90 234,700.00 646 63.25 6.964 65.01--70.00 19 6,417,892.30 1.90 337,783.81 628 69.09 7.276 70.01--75.00 45 13,644,939.14 4.03 303,220.87 627 73.83 7.385 75.01--80.00 60 21,192,859.57 6.26 353,214.33 640 79.45 7.487 80.01--85.00 51 16,461,186.86 4.86 322,768.37 632 84.34 7.536 85.01--90.00 139 46,749,323.32 13.81 336,326.07 636 89.53 7.839 90.01--95.00 110 35,636,489.77 10.52 323,968.09 644 93.47 7.988 95.01--100.00 631 187,738,669.76 55.44 297,525.63 657 80.13 7.611 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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 445 $ 179,848,522.42 53.11% $ 404,153.98 652 81.25% 7.513% FL 89 20,464,655.02 6.04 229,939.94 636 82.75 7.948 NY 44 16,125,090.92 4.76 366,479.34 660 83.82 7.733 NV 48 13,807,557.46 4.08 287,657.45 653 81.20 7.772 AZ 58 13,035,468.31 3.85 224,749.45 657 79.98 7.713 MD 36 10,373,866.96 3.06 288,162.97 627 84.26 7.857 MA 30 9,702,158.39 2.87 323,405.28 636 79.09 7.674 NJ 26 7,564,649.86 2.23 290,948.07 628 80.47 7.628 HI 18 6,930,590.59 2.05 385,032.81 672 79.66 7.199 VA 18 5,975,172.96 1.76 331,954.05 647 86.96 7.937 IL 29 5,841,179.92 1.73 201,420.00 649 80.43 7.531 WA 26 5,746,561.49 1.70 221,021.60 634 84.03 7.509 MN 30 5,696,252.76 1.68 189,875.09 634 80.32 7.713 OR 18 4,847,325.83 1.43 269,295.88 641 81.99 7.776 CO 28 4,753,722.67 1.40 169,775.81 632 83.21 7.722 Other 156 27,899,642.43 8.24 178,843.86 636 83.17 8.079 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 - ------------------------------------------------------------------------------------------------------------------------------ Primary Residence 1,058 $ 329,627,913.46 97.35% $ 311,557.57 647 81.69% 7.623% Second Home 41 8,984,504.53 2.65 219,134.26 686 82.38 8.404 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ One Family 764 $ 240,792,839.89 71.11% $ 315,173.87 647 81.25% 7.585% Pud-Detached 154 45,803,197.35 13.53 297,423.36 645 82.46 7.732 Condo 90 21,655,200.75 6.40 240,613.34 649 83.48 8.103 2-4 Unit 51 20,463,230.88 6.04 401,239.82 662 82.60 7.505 Pud-Attached 40 9,897,949.10 2.92 247,448.73 643 83.64 7.959 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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 608 $ 182,134,153.21 53.79% $ 299,562.75 660 81.15% 7.704% Cash Out 363 119,076,904.20 35.17 328,035.55 632 82.74 7.649 Rate/Term 128 37,401,360.57 11.05 292,198.13 642 81.16 7.336 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) 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 - ------------------------------------------------------------------------------------------------------------------------------ Full Documentation 736 $ 215,258,346.15 63.57% $ 292,470.58 640 82.25% 7.373% Limited Documentation 18 6,724,949.72 1.99 373,608.32 651 80.81 7.343 Stated Documentation 345 116,629,122.12 34.44 338,055.43 662 80.76 8.162 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ 551--575 1 $ 324,999.96 0.10% $ 324,999.96 567 74.71% 7.250% 576--600 132 35,283,119.56 10.42 267,296.36 591 81.44 7.749 601--625 284 81,348,519.86 24.02 286,438.45 613 82.10 7.740 626--650 282 84,902,437.36 25.07 301,072.47 638 82.16 7.713 651--675 173 57,636,701.76 17.02 333,160.13 662 81.59 7.538 676--700 105 38,128,153.32 11.26 363,125.27 686 80.50 7.657 701--725 54 19,595,514.93 5.79 362,879.91 712 81.45 7.394 726--750 36 11,980,184.24 3.54 332,782.90 735 82.12 7.411 751--775 21 6,783,460.26 2.00 323,021.92 760 81.31 7.247 776--800 9 2,208,569.99 0.65 245,396.67 787 79.40 7.014 801--825 2 420,756.74 0.12 210,378.37 815 86.16 8.041 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM - ------------------------------------------------------------------------------------------------------------------------------ WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS PREPAYMENT PENALTY TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0 215 $ 64,331,417.15 19.00% $ 299,215.89 649 81.11% 8.202% 12 87 30,407,500.88 8.98 349,511.50 661 82.94 7.979 24 616 200,243,803.59 59.14 325,071.11 646 81.95 7.443 36 181 43,629,696.36 12.88 241,048.05 645 80.63 7.511 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) 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 - ------------------------------------------------------------------------------------------------------------------------------ 1.000 4 $ 774,779.02 0.23% $ 193,694.76 642 86.34% 8.157% 1.500 184 64,928,602.90 19.17 352,872.84 634 82.74 7.417 2.000 911 272,909,036.06 80.60 299,570.84 651 81.45 7.696 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ 1.000 4 $ 774,779.02 0.23% $ 193,694.76 642 86.34% 8.157% 1.500 1,095 337,837,638.96 99.77 308,527.52 648 81.70 7.643 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ 5.001--6.000 332 $ 106,236,123.90 31.37% $ 319,988.32 654 82.33% 7.433% 6.001--7.000 766 232,170,294.09 68.57 303,094.38 645 81.43 7.742 7.001--8.000 1 206,000.00 0.06 206,000.00 607 68.67 6.250 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) 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 - ------------------------------------------------------------------------------------------------------------------------------ 12.001--13.000 23 $ 8,684,038.31 2.56% $ 377,566.88 666 81.28% 5.809% 13.001--14.000 236 79,806,948.36 23.57 338,165.04 658 80.29 6.664 14.001--15.000 470 146,760,071.94 43.34 312,255.47 644 81.62 7.572 15.001--16.000 292 81,910,819.59 24.19 280,516.51 644 82.57 8.452 16.001--17.000 73 19,903,771.97 5.88 272,654.41 647 83.96 9.374 17.001--18.000 5 1,546,767.81 0.46 309,353.56 631 90.91 10.233 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ 5.001--6.000 9 $ 3,140,740.36 0.93% $ 348,971.15 683 82.23% 5.794% 6.001--7.000 247 84,698,266.31 25.01 342,907.96 658 80.34 6.606 7.001--8.000 473 147,412,051.94 43.53 311,653.39 644 81.61 7.570 8.001--9.000 290 81,582,020.57 24.09 281,317.31 644 82.53 8.449 9.001--10.000 75 20,232,570.99 5.98 269,767.61 647 84.11 9.371 10.001--11.000 5 1,546,767.81 0.46 309,353.56 631 90.91 10.233 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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-NC4 ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 12, 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 - ------------------------------------------------------------------------------------------------------------------------------ 02/01/2008 1 $ 441,600.00 0.13% $ 441,600.00 617 80.00% 6.000% 03/01/2008 11 3,884,375.60 1.15 353,125.05 626 85.73 6.820 04/01/2008 25 9,320,106.45 2.75 372,804.26 625 85.07 7.213 05/01/2008 33 12,245,713.02 3.62 371,082.21 634 81.24 7.544 06/01/2008 95 35,672,654.48 10.53 375,501.63 634 83.04 7.309 07/01/2008 329 108,711,500.87 32.10 330,430.09 653 81.56 7.649 08/01/2008 314 99,976,914.71 29.53 318,397.82 653 81.88 7.797 09/01/2008 1 253,600.00 0.07 253,600.00 636 80.00 7.825 05/01/2009 1 87,297.85 0.03 87,297.85 636 90.00 8.650 06/01/2009 2 446,200.00 0.13 223,100.00 642 92.44 7.386 07/01/2009 27 6,835,410.03 2.02 253,163.33 636 83.92 8.056 08/01/2009 259 60,422,044.95 17.84 233,289.75 648 79.85 7.687 09/01/2009 1 315,000.00 0.09 315,000.00 745 90.00 7.175 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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 - ------------------------------------------------------------------------------------------------------------------------------ First Lien 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ TOTAL: 1,099 $ 338,612,417.98 100.00% $ 308,109.57 648 81.71% 7.644% - ------------------------------------------------------------------------------------------------------------------------------ 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.