Carrington Mortgage Loan Trust, Series 2006-NC4 Inactive
Filed: 19 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 18, 2006 [CCM LOGO] Carrington Capital Management COMPUTATIONAL MATERIALS $1,550,814,000 (APPROXIMATE) CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 ASSET-BACKED PASS-THROUGH CERTIFICATES CARRINGTON SECURITIES, LP Sponsor NEW CENTURY MORTGAGE CORPORATION & HOME 123 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 18, 2006 - -------------------------------------------------------------------------------- Citigroup Global Markets Inc. (citigroup LOGO) CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 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. - -------------------------------------------------------------------------------- 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. 1 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO OPTIONAL REDEMPTION PERCENTAGE OF PREPAYMENT ASSUMPTION* -------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC ---------- ---------- ---------- ---------- ---------- CLASS A-1 WAL 17.25 1.62 0.99 0.74 0.61 Principal Window 1 - 296 1 - 35 1 - 21 1 - 15 1 - 12 Principal Window End 05/25/2031 08/25/2009 06/25/2008 12/25/2007 09/25/2007 CLASS A-2 WAL 26.48 3.77 2.00 1.49 1.15 Principal Window 296 - 344 35 - 63 21 - 28 15 - 21 12 - 16 Principal Window End 05/25/2035 12/25/2011 01/25/2009 06/25/2008 01/25/2008 CLASS A-3 WAL 29.66 7.79 3.00 1.90 1.53 Principal Window 344 - 358 63 - 139 28 - 66 21 - 25 16 - 21 Principal Window End 07/25/2036 04/25/2018 03/25/2012 10/25/2008 06/25/2008 CLASS A-4 WAL 29.83 12.69 6.02 2.22 1.81 Principal Window 358 - 358 139 - 154 66 - 73 25 - 29 21 - 23 Principal Window End 07/25/2036 07/25/2019 10/25/2012 02/25/2009 08/25/2008 CLASS A-5 WAL 20.10 2.28 1.30 0.97 0.77 Principal Window 1 - 344 1 - 63 1 - 28 1 - 21 1 - 16 Principal Window End 05/25/2035 12/25/2011 01/25/2009 06/25/2008 01/25/2008 CLASS M-1 WAL 29.37 8.43 4.88 2.59 2.00 Principal Window 326 - 358 49 - 154 48 - 73 29 - 34 23 - 25 Principal Window End 07/25/2036 07/25/2019 10/25/2012 07/25/2009 10/25/2008 CLASS M-2 WAL 29.37 8.43 4.53 2.90 2.24 Principal Window 326 - 358 49 - 154 43 - 73 34 - 36 25 - 29 Principal Window End 07/25/2036 07/25/2019 10/25/2012 09/25/2009 02/25/2009 CLASS M-3 WAL 29.37 8.43 4.41 3.58 2.45 Principal Window 326 - 358 49 - 154 42 - 73 36 - 44 29 - 30 Principal Window End 07/25/2036 07/25/2019 10/25/2012 05/25/2010 03/25/2009 * 85% CPR maximum in any given period. - -------------------------------------------------------------------------------- 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. 2 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO OPTIONAL REDEMPTION PERCENTAGE OF PREPAYMENT ASSUMPTION* -------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC ---------- ---------- ---------- ---------- ---------- CLASS M-4 WAL 29.37 8.43 4.36 3.66 2.61 Principal Window 326 - 358 49 - 154 41 - 73 44 - 44 30 - 33 Principal Window End 07/25/2036 07/25/2019 10/25/2012 05/25/2010 06/25/2009 CLASS M-5 WAL 29.37 8.43 4.31 3.66 2.80 Principal Window 326 - 358 49 - 154 40 - 73 44 - 44 33 - 34 Principal Window End 07/25/2036 07/25/2019 10/25/2012 05/25/2010 07/25/2009 CLASS M-6 WAL 29.37 8.43 4.28 3.66 2.83 Principal Window 326 - 358 49 - 154 39 - 73 44 - 44 34 - 34 Principal Window End 07/25/2036 07/25/2019 10/25/2012 05/25/2010 07/25/2009 CLASS M-7 WAL 29.37 8.43 4.26 3.66 2.83 Principal Window 326 - 358 49 - 154 38 - 73 43 - 44 34 - 34 Principal Window End 07/25/2036 07/25/2019 10/25/2012 05/25/2010 07/25/2009 CLASS M-8 WAL 29.37 8.43 4.24 3.56 2.83 Principal Window 326 - 358 49 - 154 38 - 73 42 - 44 34 - 34 Principal Window End 07/25/2036 07/25/2019 10/25/2012 05/25/2010 07/25/2009 CLASS M-9 WAL 29.37 8.43 4.24 3.44 2.83 Principal Window 326 - 358 49 - 154 37 - 73 40 - 44 34 - 34 Principal Window End 07/25/2036 07/25/2019 10/25/2012 05/25/2010 07/25/2009 * 85% CPR maximum in any given period. - -------------------------------------------------------------------------------- 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. 3 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY PERCENTAGE OF PREPAYMENT ASSUMPTION* -------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC ---------- ---------- ---------- ---------- ---------- CLASS A-1 WAL 17.25 1.62 0.99 0.74 0.61 Principal Window 1 - 296 1 - 35 1 - 21 1 - 15 1 - 12 Principal Window End 05/25/2031 08/25/2009 06/25/2008 12/25/2007 09/25/2007 CLASS A-2 WAL 26.48 3.77 2.00 1.49 1.15 Principal Window 296 - 344 35 - 63 21 - 28 15 - 21 12 - 16 Principal Window End 05/25/2035 12/25/2011 01/25/2009 06/25/2008 01/25/2008 CLASS A-3 WAL 29.66 7.79 3.00 1.90 1.53 Principal Window 344 - 358 63 - 139 28 - 66 21 - 25 16 - 21 Principal Window End 07/25/2036 04/25/2018 03/25/2012 10/25/2008 06/25/2008 CLASS A-4 WAL 29.88 16.48 8.04 2.22 1.81 Principal Window 358 - 359 139 - 324 66 - 173 25 - 29 21 - 23 Principal Window End 08/25/2036 09/25/2033 02/25/2021 02/25/2009 08/25/2008 CLASS A-5 WAL 20.10 2.28 1.30 0.97 0.77 Principal Window 1 - 344 1 - 63 1 - 28 1 - 21 1 - 16 Principal Window End 05/25/2035 12/25/2011 01/25/2009 06/25/2008 01/25/2008 CLASS M-1 WAL 29.39 9.34 5.36 2.59 2.00 Principal Window 326 - 359 49 - 293 48 - 150 29 - 34 23 - 25 Principal Window End 08/25/2036 02/25/2031 03/25/2019 07/25/2009 10/25/2008 CLASS M-2 WAL 29.39 9.32 5.00 2.90 2.24 Principal Window 326 - 359 49 - 280 43 - 142 34 - 36 25 - 29 Principal Window End 08/25/2036 01/25/2030 07/25/2018 09/25/2009 02/25/2009 CLASS M-3 WAL 29.39 9.29 4.86 6.90 2.45 Principal Window 326 - 359 49 - 266 42 - 133 36 - 107 29 - 30 Principal Window End 08/25/2036 11/25/2028 10/25/2017 08/25/2015 03/25/2009 * 85% CPR maximum in any given period. - -------------------------------------------------------------------------------- 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. 4 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- WEIGHTED AVERAGE LIFE SENSITIVITY TO MATURITY PERCENTAGE OF PREPAYMENT ASSUMPTION* -------------------------------------------------------------- 0PPC 50PPC 100PPC 150PPC 200PPC ---------- ---------- ---------- ---------- ---------- CLASS M-4 WAL 29.39 9.26 4.79 5.46 2.61 Principal Window 326 - 359 49 - 260 41 - 129 57 - 79 30 - 33 Principal Window End 08/25/2036 05/25/2028 06/25/2017 04/25/2013 06/25/2009 CLASS M-5 WAL 29.39 9.22 4.72 4.55 2.80 Principal Window 326 - 359 49 - 248 40 - 123 50 - 74 33 - 35 Principal Window End 08/25/2036 05/25/2027 12/25/2016 11/25/2012 08/25/2009 CLASS M-6 WAL 29.39 9.18 4.66 4.19 2.94 Principal Window 326 - 359 49 - 238 39 - 117 47 - 71 35 - 36 Principal Window End 08/25/2036 07/25/2026 06/25/2016 08/25/2012 09/25/2009 CLASS M-7 WAL 29.39 9.12 4.61 3.94 4.77 Principal Window 326 - 359 49 - 229 38 - 112 43 - 68 36 - 75 Principal Window End 08/25/2036 10/25/2025 01/25/2016 05/25/2012 12/25/2012 CLASS M-8 WAL 29.39 9.05 4.56 3.75 4.37 Principal Window 326 - 359 49 - 216 38 - 105 42 - 63 49 - 56 Principal Window End 08/25/2036 09/25/2024 06/25/2015 12/25/2011 05/25/2011 CLASS M-9 WAL 29.39 8.94 4.50 3.60 3.87 Principal Window 326 - 359 49 - 205 37 - 99 40 - 60 44 - 49 Principal Window End 08/25/2036 10/25/2023 12/25/2014 09/25/2011 10/25/2010 * 85% CPR maximum in any given period. - -------------------------------------------------------------------------------- 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. 5 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- NET WAC RATE PERIOD NET WAC RATE - ------ ------------ 1 8.57 2 7.46 3 7.71 4 7.46 5 7.46 6 8.26 7 7.46 8 7.71 9 7.46 10 7.71 11 7.46 12 7.46 13 7.71 14 7.46 15 7.71 16 7.46 17 7.46 18 7.97 19 7.46 20 7.70 21 7.45 22 7.72 23 8.23 24 8.21 25 8.46 26 8.16 27 8.43 28 8.16 29 8.65 30 9.57 31 8.64 32 8.92 33 8.62 34 8.91 35 8.91 36 9.45 37 9.75 38 9.43 39 9.73 40 9.41 41 9.48 42 10.84 43 9.79 44 10.10 45 9.77 46 10.08 47 9.75 48 9.76 49 10.07 50 9.74 51 10.05 52 9.72 53 9.71 54 10.74 55 9.69 56 10.00 57 9.67 58 9.98 59 9.65 60 9.64 61 9.95 62 9.62 63 9.93 64 9.60 65 9.59 66 10.24 67 9.57 68 9.88 69 9.55 70 9.86 71 9.53 72 9.52 73 9.82 Assumptions: Static Indices: 1mL= 5.33% 6mL=5.42% 10% Optional Cleanup Call Based On Pricing Prepayment Assumption Calculated without regard to any net swap payments due to the Swap Counterparty - -------------------------------------------------------------------------------- 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. 6 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- CLASS A EFFECTIVE MAXIMUM RATE* PERIOD CLASS A AFC - ------ ----------- 1 12.50 2 12.50 3 12.50 4 12.50 5 12.50 6 12.50 7 12.50 8 12.50 9 12.50 10 12.50 11 12.50 12 12.50 13 12.50 14 12.50 15 12.50 16 12.50 17 12.50 18 12.50 19 12.50 20 12.50 21 12.50 22 12.50 23 12.50 24 12.50 25 12.50 26 12.50 27 12.50 28 12.50 29 12.50 30 12.50 31 12.50 32 12.50 33 12.50 34 12.50 35 12.50 36 12.50 37 12.50 38 12.50 39 12.50 40 12.50 41 12.50 42 12.50 43 12.50 44 12.50 45 12.50 46 12.50 47 12.50 48 12.50 49 12.50 50 12.50 51 12.50 52 12.50 53 12.50 54 12.50 55 12.50 56 12.50 57 12.50 58 12.50 59 12.50 60 12.50 61 12.50 62 12.50 63 12.50 64 12.50 65 12.50 66 12.50 67 12.50 68 12.50 69 12.50 70 12.50 71 12.50 72 12.50 73 12.50 * Assumptions: Static Indices: 1mL=20.0% 6mL=20.0% * 10% Optional Cleanup Call Based On Pricing Prepayment Assumption * Includes any payments made from the Swap Agreement * The Class A Effective Maximum Rate is the lesser of (i) 12.50%, or (ii) an annual rate calculated by taking the maximum amount of funds available to pay interest to the Class A Certificates on the related Distribution date divided by the beginning Class A Certificate balance (adjusted for the actual number of days in the period). - -------------------------------------------------------------------------------- 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. 7 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- CLASS M EFFECTIVE MAXIMUM RATE* PERIOD CLASS M AFC - ------ ----------- 1 12.50 2 12.50 3 12.50 4 12.50 5 12.50 6 12.50 7 12.50 8 12.50 9 12.50 10 12.50 11 12.50 12 12.50 13 12.50 14 12.50 15 12.50 16 12.50 17 12.50 18 12.50 19 12.50 20 12.50 21 12.50 22 12.50 23 12.50 24 12.50 25 12.50 26 12.50 27 12.50 28 12.50 29 12.50 30 12.50 31 12.50 32 12.50 33 12.50 34 12.50 35 12.50 36 12.50 37 12.50 38 12.50 39 12.50 40 12.50 41 12.50 42 12.50 43 12.50 44 12.50 45 12.50 46 12.50 47 12.50 48 12.50 49 12.50 50 12.50 51 12.50 52 12.50 53 12.50 54 12.50 55 12.50 56 12.50 57 12.50 58 12.50 59 12.50 60 12.50 61 12.50 62 12.50 63 12.50 64 12.50 65 12.50 66 12.50 67 12.50 68 12.50 69 12.50 70 12.50 71 12.50 72 12.50 73 12.50 * Assumptions: Static Indices: 1mL=20.0% 6mL=20.0% * 10% Optional Cleanup Call Based On Pricing Prepayment Assumption * Includes any payments made from the Swap Agreement * The Class M Effective Maximum Rate is the lesser of (i) 12.50%, or (ii) an annual rate calculated by taking the maximum amount of funds available to pay interest to the Class M Certificates on the related Distribution date divided by the beginning Class M Certificate balance (adjusted for the actual number of days in the period). - -------------------------------------------------------------------------------- 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. 8 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- ASSUMED MONTHLY EXCESS INTEREST PERIOD STATIC LIBOR FORWARD LIBOR - ------- ------------ ------------- 1 3.30 3.30 2 2.43 2.43 3 2.44 2.44 4 2.43 2.42 5 2.42 2.42 6 2.47 2.47 7 2.42 2.42 8 2.43 2.44 9 2.41 2.42 10 2.43 2.45 11 2.39 2.42 12 2.39 2.43 13 2.42 2.47 14 2.37 2.43 15 2.41 2.46 16 2.36 2.42 17 2.35 2.41 18 2.45 2.51 19 2.34 2.39 20 2.39 2.45 21 2.33 2.38 22 2.40 2.45 23 3.10 3.17 24 3.07 3.15 25 3.13 3.22 26 3.01 3.12 27 3.10 3.21 28 3.00 3.13 29 3.50 3.56 30 3.80 3.85 31 3.48 3.56 32 3.58 3.66 33 3.47 3.56 34 3.57 3.66 35 3.76 3.81 36 4.31 4.36 37 4.42 4.46 38 4.16 4.19 39 4.32 4.33 40 4.19 4.20 41 4.27 4.28 42 4.96 4.91 43 4.59 4.54 44 4.70 4.64 45 4.47 4.45 46 4.64 4.61 47 4.45 4.45 48 4.46 4.46 49 4.64 4.63 50 4.45 4.44 51 4.62 4.60 52 4.43 4.41 53 4.42 4.41 54 4.95 4.94 55 4.40 4.39 56 4.57 4.56 57 4.38 4.36 58 4.55 4.53 59 4.37 4.35 60 4.36 4.35 61 4.52 4.51 62 4.33 4.31 63 4.50 4.48 64 4.31 4.28 65 4.30 4.28 66 4.65 4.63 67 4.27 4.25 68 4.44 4.42 69 4.25 4.22 70 4.42 4.38 71 4.23 4.20 72 4.22 4.19 73 4.39 4.36 - -------------------------------------------------------------------------------- Assumptions: 1. Run at pricing prepayment assumption 2. Excess (30/360) 3. Static Indices: 1mL = 5.33%; 6mL = 5.42% 4. Forward 1mL used for Certificates, Forward 6mL used for collateral 5. 10% optional clean-up call 6. Takes into account net swap payments - -------------------------------------------------------------------------------- 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. 9 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- BREAKEVEN (LAST CDR PRIOR TO 1ST DOLLAR LOSS) BOND CDR BE RATE WAL CUM LOSS - ---- ----------- ----- -------- M-1 34.81 4.77 23.56 M-2 25.78 5.93 19.55 M-3 23.21 7.93 18.23 M-4 19.27 7.78 16.01 M-5 16.70 8.81 14.43 M-6 14.93 9.74 13.26 M-7 12.91 9.91 11.84 M-8 11.61 11.04 10.88 M-9 9.89 10.85 9.54 ASSUMPTIONS: 1. Trigger event is always in effect 2. 40 % loss severity 3. 6 months lag 4. Pricing prepayment assumption 5. Certificates use 1-month LIBOR forward and collateral uses 6-month LIBOR forward 6. P&I advance 7. 10% optional clean-up call is not exercised - -------------------------------------------------------------------------------- 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. 10