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 MBS NEW ISSUE FREE WRITING PROSPECTUS $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 & 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 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 - -------------------------------------------------------------------------------- $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 & 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 TRANSACTION HIGHLIGHTS PRINCIPAL DISTRIBUTION OFFERED EXPECTED RATINGS AVG LIFE(2) WINDOW (2) INITIAL CREDIT CLASSES BALANCE(3) DESCRIPTION(4) BENCHMARK (MOODY'S/S&P/FITCH) CALL(1) / MAT CALL(1) / MAT SUPPORT (%) - ------------------------------------------------------------------------------------------------------------------------------- A-1 $298,834,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 0.99 / 0.99 1 - 21 / 1 - 21 25.95 A-2 $133,319,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 2.00 / 2.00 21 - 28 / 21 - 28 25.95 A-3 $218,928,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 3.00 / 3.00 28 - 66 / 28 - 66 25.95 A-4 $ 97,644,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 6.02 / 8.04 66 - 73 / 66 - 173 25.95 A-5 $450,000,000 FLT/SEN 1M LIBOR Aaa / AAA / AAA 1.30 / 1.30 1 - 28 / 1 - 28 25.95 M-1 $ 91,462,000 FLT/MEZZ 1M LIBOR Aa1 / AA+ / AA+ 4.88 / 5.36 48 - 73 / 48 - 150 20.30 M-2 $ 76,084,000 FLT/MEZZ 1M LIBOR Aa2 / AA / AA 4.53 / 5.00 43 - 73 / 43 - 142 15.60 M-3 $ 25,091,000 FLT/MEZZ 1M LIBOR Aa2 / AA- / AA- 4.41 / 4.86 42 - 73 / 42 - 133 14.05 M-4 $ 42,089,000 FLT/MEZZ 1M LIBOR A1 / A+ / A+ 4.36 / 4.79 41 - 73 / 41 - 129 11.45 M-5 $ 29,948,000 FLT/MEZZ 1M LIBOR A2 / A / A 4.31 / 4.72 40 - 73 / 40 - 123 9.60 M-6 $ 21,854,000 FLT/MEZZ 1M LIBOR A3 / A- / A- 4.28 / 4.66 39 - 73 / 39 - 117 8.25 M-7 $ 25,901,000 FLT/MEZZ 1M LIBOR Baa1 / BBB+ / BBB+ 4.26 / 4.61 38 - 73 / 38 - 112 6.65 M-8 $ 16,997,000 FLT/MEZZ 1M LIBOR Baa1 / BBB / BBB 4.24 / 4.56 38 - 73 / 38 - 105 5.60 M-9 $ 22,663,000 FLT/MEZZ 1M LIBOR Baa3 / BBB- / BBB- 4.24 / 4.50 37 - 73 / 37 - 99 4.20 M-10(5) $ 24,282,000 FLT/MEZZ 1M LIBOR Ba1 / BB+ / NR 4.21 / 4.35 37 - 73 / 37 - 90 2.70 1. Certificates are priced to the 10% optional clean-up call. 2. Based on the pricing prepayment assumption described herein. 3. Certificate sizes are approximate, subject to a +/- 5% variance in the outstanding principal balance of the Mortgage Loans. 4. For the Interest Accrual Period for each Distribution Date after the date on which the aggregate principal balance of the Mortgage Loans remaining in the mortgage pool is reduced to less than 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, the related margin will increase to 2.0 times the related margin for each Class A Certificate and 1.5 times for any Mezzanine Certificate. 5. The Class M-10 Certificates are not offered hereby. PRICING PREPAYMENT ASSUMPTION 2-YEAR AND SHORTER FIXED RATE PERIOD ADJUSTABLE-RATE MORTGAGE LOANS: 2.0% CPR in month 1, building to 30.0% CPR by month 12; 30.0% CPR for months 13-22; 60.0% CPR for months 23-27; 35.0% CPR for months 28 and thereafter. 3-YEAR AND LONGER FIXED RATE PERIOD ADJUSTABLE-RATE MORTGAGE LOANS: 2.0% CPR in month 1, building to 30.0% CPR by month 12; 30.0% CPR for months 13-34; 60.0% CPR for months 35-39; 35.0% CPR for months 40 and thereafter. FIXED-RATE MORTGAGE LOANS: 4.0% CPR growing to 23.0% CPR over 12 months and remaining at 23.0% CPR thereafter. - -------------------------------------------------------------------------------- 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 - -------------------------------------------------------------------------------- TRANSACTION OVERVIEW ISSUING ENTITY: Carrington Mortgage Loan Trust, Series 2006-NC4. DEPOSITOR: Stanwich Asset Acceptance Company, L.L.C. SPONSOR: Carrington Securities, LP. ORIGINATORS: New Century Mortgage Corporation & Home123 Corporation. SERVICER: New Century Mortgage Corporation. TRUSTEE: Wells Fargo Bank, N.A. CUSTODIAN: Deutsche Bank National Trust Company. LEAD MANAGER: Citigroup Global Markets Inc. CO-MANAGER: Barclays Capital Inc. SELECTED DEALER: Carrington Investment Services, LLC, an affiliate of the Depositor and Sponsor. SWAP COUNTERPARTY: Swiss Re Financial Products Corporation. RESPONSIBLE PARTY: NC Capital Corporation. The responsible party makes certain representations and warranties with respect to the Mortgage Loans and has certain obligations with respect to the repurchase and substitution of the Mortgage Loans. OFFERED CERTIFICATES: Approximately $1,198,725,000 senior floating-rate certificates consisting of the Class A-1, Class A-2, Class A-3, Class A-4 and Class A-5 Certificates (together, the "Class A Certificates") and approximately $352,089,000 mezzanine floating rate certificates consisting of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class M-9 Certificates (together with the Class M-10 Certificates, the "Class M Certificates" or the "Mezzanine Certificates"). The Class A Certificates and the Mezzanine Certificates (other than the Class M-10 Certificates) are referred to herein as the "Offered Certificates". The Offered Certificates and the Class M-10 Certificates are backed by adjustable-rate and fixed-rate, interest-only, balloon and fully-amortizing, first lien and second lien, closed-end, subprime, mortgage loans (the "Mortgage Loans"). NON-OFFERED CERTIFICATES: The Class M-10, Class CE, Class P and Class R Certificates will not be offered pursuant to the Preliminary Prospectus or the prospectus. - -------------------------------------------------------------------------------- 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 - -------------------------------------------------------------------------------- MORTGAGE LOANS: As of September 1, 2006, the Mortgage Loans will consist of approximately 7,490 adjustable-rate and fixed-rate, interest-only, balloon and fully-amortizing, first and second lien, closed-end, subprime mortgage loans, with a scheduled principal balance of approximately $1,618,805,146. As of the the close of business on August 31, 2006, none of the Mortgage Loans (to be included in the mortgage pool as of the Closing Date) were 30 or more days delinquent in the payment of principal and/or interest. To Carrington Securities, LP's knowledge, approximately 33.68% of the first-lien Mortgage Loans are secured by mortgaged properties with respect to which second-lien mortgage loans were originated at the same time as the first-lien Mortgage Loan. These second-lien mortgage loans may or may not be part of the mortgage pool. The owners of the mortgaged properties may obtain second-lien mortgage loans at any time without the Sponsor's knowledge and, thus, more mortgaged properties than described above may also secure second-lien mortgage loans. EXPECTED PRICING DATE: On or about September 20, 2006. CLOSING DATE: On or about September 28, 2006. CUT-OFF DATE: September 1, 2006. DISTRIBUTION DATE: The 25th day of each month (or if such 25th day is not a business day, the next succeeding business day) commencing in October 2006. RECORD DATE: The business day immediately preceding each Distribution Date. DELAY DAYS: Zero days on all Class A and Mezzanine Certificates. DUE PERIOD: The Due Period with respect to any Distribution Date commences on the second day of the month immediately preceding the month in which such Distribution Date occurs and ends on the first day of the month in which such Distribution Date occurs. INTEREST ACCRUAL PERIOD: The Interest Accrual Period for any Distribution Date and for the Class A Certificates and Mezzanine Certificates is the period commencing on the Distribution Date of the month immediately preceding the month in which the Distribution Date occurs or, in the case of the first Distribution Date, commencing on the Closing Date, and ending on the day preceding the Distribution Date. All distributions of interest on the Class A Certificates and Mezzanine Certificates will be based on a 360-day year and the actual number of days in the applicable Interest Accrual Period. - -------------------------------------------------------------------------------- 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 - -------------------------------------------------------------------------------- PREPAYMENT PERIOD: The Prepayment Period with respect to any Distribution Date is the calendar month immediately preceding the month in which the Distribution Date occurs. ERISA CONSIDERATIONS: Subject to the considerations described in "Certain ERISA Considerations" in the Preliminary Prospectus (specifically, in both the preliminary prospectus supplement and in the prospectus which together comprise the Preliminary Prospectus), the Class A-1 and Class A-2 Certificates are expected to be eligible for purchase by persons investing assets of employee benefit plans, individual retirement accounts or other retirement accounts or arrangements, provided that certain conditions are met. The depositor does not intend to rely on the Underwriter Exemption, as described in "Certain ERISA Considerations" in the Preliminary Prospectus (specifically, in both the preliminary prospectus supplement and in the prospectus which together comprise the Preliminary Prospectus), for the purchase and holding of the Class A-1 and Class A-2 Certificates prior to the termination of the Swap Agreement described in the Preliminary Prospectus. Fiduciaries of plans subject to ERISA or Section 4975 of the Internal Revenue Code are encouraged to consult with their legal advisors before investing in the Class A-1 or Class A-2 Certificates. Until the Swap Agreement terminates in May 2010, the Class A-3 Certificates, the Class A-4 Certificates, the Class A-5 Certificates and the Mezzanine Certificates may not be purchased by or transferred to pension, profit-sharing or other employee benefit plans subject to ERISA, as well as individual retirement accounts, Keogh plans and other plans subject to Section 4975 of the Internal Revenue Code, as well as any entity holding "plan assets" of any of the foregoing (each, a "Benefit Plan"). Each purchaser and transferee of a Class A-3 Certificate, a Class A-4 Certificate, a Class A-5 Certificate or a Mezzanine Certificate or any interest therein will be deemed to have represented, by virtue of its acquisition or holding of such certificate or interest therein, that it is not a Benefit Plan. LEGAL INVESTMENT: The Offered Certificates will NOT constitute "mortgage related securities" for the purposes of the Secondary Mortgage Market Enhancement Act of 1984 ("SMMEA"). TAX STATUS: For federal income tax purposes, each Offered Certificate will represent beneficial ownership of a REMIC regular interest. FORM OF REGISTRATION: Book-entry form through DTC, Clearstream and Euroclear. MINIMUM DENOMINATIONS: Class A and Class M-1 Certificates: $100,000 and integral multiples of $1 in excess thereof. Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates: $250,000 and integral multiples of $1 in excess thereof. - -------------------------------------------------------------------------------- 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 - -------------------------------------------------------------------------------- OPTIONAL TERMINATION: At its option, the majority holder of the Class CE Certificates, in accordance with the terms of the pooling and servicing agreement, may purchase all of the Mortgage Loans, together with any properties in respect of such Mortgage Loans acquired on behalf of the trust, and thereby effect termination and early retirement of the certificates, after the aggregate principal balance of (i) the Mortgage Loans remaining in the trust at the time of such purchase, and (ii) properties acquired in respect of such Mortgage Loans has been reduced to less than 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. ADMINISTRATIVE FEE RATES: The sum of (i) the "Servicing Fee", calculated at the "Servicing Fee Rate" of 0.500% per annum, and (ii) the "Trustee Fee" calculated at the "Trustee Fee Rate" of 0.0025% per annum. Administrative Fees will be paid monthly on the stated principal balance of the Mortgage Loans. RIGHTS OF THE HOLDER OF THE Pursuant to the pooling and servicing CLASS CE CERTIFICATES: agreement, the Servicer will provide the holder of the Class CE Certificates (in such capacity, the "CE Holder") with certain supplemental reporting and the CE Holder will have the right to direct the Servicer's actions with respect to defaulted mortgage loans. In addition, the CE Holder will have the right to consent to the appointment of any subservicer. The CE Holder will rely upon mortgage loan data that is provided to it by the Servicer in performing its advisory and monitoring functions. PRINCIPAL & INTEREST ADVANCES: The Servicer is required to advance delinquent payments of principal and interest on the Mortgage Loans to the extent such amounts are deemed recoverable. The Servicer is entitled to be reimbursed for such advances, and therefore these advances are not a form of credit enhancement. SERVICING ADVANCES: The Servicer will pay all out-of-pocket costs related to its obligations, including, but not limited to: (i) expenses in connection with a foreclosed Mortgage Loan prior to the liquidation of such loan, (ii) the costs of any judicial proceedings, including foreclosures and (iii) the cost of managing and liquidating property acquired in relation to the Mortgage Loans, as long as it deems all such costs to be recoverable. The Servicer is entitled to be reimbursed for these advances, and therefore these advances are not a form of credit enhancement. COMPENSATING INTEREST: The Servicer is required to pay Compensating Interest up to the amount of the Servicing Fee to cover Prepayment Interest Shortfalls due to principal prepayments in full on the Mortgage Loans. CREDIT ENHANCEMENT CREDIT ENHANCEMENT: 1. Excess Spread 2. Overcollateralization 3. Subordination The trust will also enter into the Swap Agreement for the benefit of the Class A Certificates and Class M Certificates. - -------------------------------------------------------------------------------- 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 - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT OVERCOLLATERALIZATION AMOUNT: The Overcollateralization Amount with respect to any Distribution Date is the excess, if any, of (a) the aggregate principal balance of the Mortgage Loans (including Mortgage Loans related to any REO Property) as of the last day of the related Due Period over (b) the sum of the aggregate Certificate Principal Balance of the Class A Certificates, the Mezzanine Certificates and the Class P Certificates, after giving effect to distributions to be made on such Distribution Date. OVERCOLLATERALIZATION TARGET The Overcollateralization Target Amount with AMOUNT: respect to any Distribution Date is (a) prior to the Stepdown Date, an amount equal to 2.70% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date; (b) on or after the Stepdown Date, provided a Trigger Event is not in effect, the greater of (i) 5.40% of the then current aggregate outstanding principal balance of the Mortgage Loans as of the last day of the related Due Period and (ii) the Overcollateralization Floor Amount; or (c) on or after the Stepdown Date and if a Trigger Event is in effect, the Overcollateralization Target Amount for the immediately preceding Distribution Date. Notwithstanding the foregoing, on and after any Distribution Date following the reduction of the aggregate Certificate Principal Balance of the Class A Certificates, Mezzanine Certificates and Class P Certificates to zero, the Overcollateralization Target Amount will be zero. OVERCOLLATERALIZATION FLOOR An amount equal to 0.50% of the aggregate AMOUNT: principal balance of the Mortgage Loans as of the Cut-off Date. OVERCOLLATERALIZATION An Overcollateralization Increase Amount with INCREASE AMOUNT: respect to any Distribution Date equals the lesser of (a) the sum of (i) the Net Monthly Excess Cashflow for such Distribution Date and (ii) payments made by the Swap Counterparty and available for distribution pursuant to item (7) under "Payments under the Swap Agreement" below for such Distribution Date and (b) the amount, if any, by which the Overcollateralization Target Amount exceeds the Overcollateralization Amount on such Distribution Date (calculated for this purpose only after assuming that 100% of the Principal Remittance Amount on such Distribution Date has been distributed). OVERCOLLATERALIZATION An Overcollateralization Reduction Amount with REDUCTION AMOUNT: respect to any Distribution Date is the lesser of (a) the Principal Remittance Amount on such Distribution Date and (b) the excess, if any, of (i) the Overcollateralization Amount for such Distribution Date (calculated for this purpose only after assuming that 100% of the Principal Remittance Amount on such Distribution Date has been distributed) over (ii) the Overcollateralization Target Amount for such Distribution Date. STEPDOWN DATE: The later to occur of (x) the Distribution Date occurring in October 2009 and (y) the first Distribution Date on which the Credit Enhancement Percentage with respect to the Class A Certificates (calculated for this purpose only prior to any distribution of the Principal Distribution Amount to the holders of the certificates then entitled to distributions of principal on the related Distribution Date) is greater than or equal to approximately 51.90%. CREDIT SUPPORT DEPLETION DATE: The first Distribution Date on which the Certificate Principal Balances of the Mezzanine and Class CE Certificates have been reduced to zero. - -------------------------------------------------------------------------------- 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 SEPTEMBER18, 2006 - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT CREDIT ENHANCEMENT PERCENTAGE: The Credit Enhancement Percentage for any Distribution Date and for any class of certificates is the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the classes of certificates with a lower distribution priority than such class, calculated after taking into account payments of principal on the Mortgage Loans and distribution of the Principal Distribution Amount to the holders of the certificates then entitled to distributions of principal on the related Distribution Date, by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. TARGETED ON AND CLASS INITIAL AFTER STEPDOWN DATE ----- ------- ------------------- A 25.95% 51.90% M-1 20.30 40.60 M-2 15.60 31.20 M-3 14.05 28.10 M-4 11.45 22.90 M-5 9.60 19.20 M-6 8.25 16.50 M-7 6.65 13.30 M-8 5.60 11.20 M-9 4.20 8.40 M-10 2.70 5.40 TRIGGER EVENT: With respect to any Distribution Date on or after the Stepdown Date, a Trigger Event is in effect if: 1) the percentage obtained by dividing (i) the Rolling Three-Month Delinquency Average by (ii) the aggregate principal balance of the Mortgage Loans (including Mortgage Loans related to REO Property) as of the last day of the previous calendar month, exceeds 30.80% of the then Credit Enhancement Percentage with respect to the Class A Certificates for the prior Distribution Date; or 2) the aggregate amount of Realized Losses incurred since the Cut-Off Date through the last day of the related Due Period (reduced by the aggregate amount of Subsequent Recoveries received since the Cut-Off Date through the last day of the related Due Period) divided by the aggregate principal balance of the Mortgage Loans as of the Cut-Off Date exceeds the applicable percentages set forth below with respect to such Distribution Date. DISTRIBUTION DATE OCCURRING IN PERCENTAGE ------------------------------ ------------------------------------------------------------------ October 2009 through September 3.00% for the first Distribution Date in this period, plus an 2010 additional 1/12th of 1.70% for each Distribution Date thereafter October 2010 through September 4.70% for the first Distribution Date in this period, plus an 2011 additional 1/12th of 1.40% for each Distribution Date thereafter October 2011 through September 6.10% for the first Distribution Date in this period, plus an 2012 additional 1/12th of 0.70% for each Distribution Date thereafter October 2012 and thereafter 6.80% - -------------------------------------------------------------------------------- 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 - -------------------------------------------------------------------------------- CREDIT ENHANCEMENT SUBSEQUENT RECOVERIES: Subsequent Recoveries are unanticipated amounts received on a liquidated Mortgage Loan that resulted in a Realized Loss in a prior month. If Subsequent Recoveries are received, they will be included as part of the Principal Remittance Amount for the following Distribution Date and distributed in accordance with the priorities described in this free writing prospectus. In addition, after giving effect to all distributions on a Distribution Date, the amount of such Subsequent Recoveries will increase the Certificate Principal Balance first, of the Class A Certificates then outstanding, if a Realized Loss has been allocated to the Class A Certificates, on a pro-rata basis by the amount of such Subsequent Recoveries, and second, of the class of Mezzanine Certificates then outstanding with the highest distribution priority to which a Realized Loss was allocated. Thereafter, such class of Class A and Mezzanine Certificates will accrue interest on the increased Certificate Principal Balance. REO PROPERTY: REO Property is mortgaged property acquired by the Servicer through foreclosure or deed-in-lieu of foreclosure. ROLLING THREE-MONTH With respect to any Distribution Date, the DELINQUENCY AVERAGE: average aggregate principal balance of the Mortgage Loans delinquent 60 days or more (including Mortgage Loans that (i) are in foreclosure, (ii) have been converted to REO Properties or (iii) have been discharged due to bankruptcy) for each of the three (or one and two, in the case of the first and second Distribution Dates, respectively) immediately preceding months. DISTRIBUTION OF INTEREST INTEREST DISTRIBUTION PRIORITY: On each Distribution Date, the Interest Remittance Amount will be distributed in the following order of priority: 1) To the holders of each class of Class A Certificates, on a pro rata basis based on the entitlement of each such class, the Senior Interest Distribution Amount allocable to such class of Class A Certificates; and 2) Sequentially to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates in that order, the Interest Distribution Amount allocable to each such class. - -------------------------------------------------------------------------------- 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 - -------------------------------------------------------------------------------- PRINCIPAL WATERFALL PRIOR TO STEPDOWN DATE OR IF A TRIGGER EVENT IS IN EFFECT PRINCIPAL DISTRIBUTION PRIORITY: On each Distribution Date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, the Principal Distribution Amount will be distributed in the following order of priority: 1) concurrently, on a pro rata basis (based on the Certificate Principal Balance of the Class A-5 Certificates, on the one hand, and the aggregate Certificate Principal Balance of the Class A-1 Certificates and Class A-2 Certificates, on the other hand), as follows; a. to the holders of the Class A-5 Certificates, until the Certificate Principal Balance of the Class A-5 Certificates has been reduced to zero; and b. sequentially, to the holders of the Class A-1 Certificates and Class A-2 Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero; 2) sequentially, to the holders of the Class A-3 Certificates and Class A-4 Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero; and 3) sequentially, to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero. On or after the occurrence of the Credit Support Depletion Date, all priorities relating to distributions as described in this section in respect of principal among the Class A Certificates will be disregarded, and the Principal Distribution Amount will be distributed to the remaining Class A Certificates on a pro rata basis in accordance with their respective outstanding Certificate Principal Balances. - -------------------------------------------------------------------------------- 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 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- PRINCIPAL WATERFALL ON OR AFTER STEPDOWN DATE AND WHEN NO TRIGGER EVENT IS IN EFFECT PRINCIPAL DISTRIBUTION PRIORITY: On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the Principal Distribution Amount will be distributed in the following order of priority: 1) to the holders of the Class A-1 Certificates, Class A-2 Certificates, Class A-3 Certificates, Class A-4 Certificates and Class A-5 Certificates, up to an amount equal to the Class A Principal Distribution Amount, in the following order of priority: a. concurrently, on a pro rata basis (based on the Certificate Principal Balance of the Class A-5 Certificates, on the one hand, and the aggregate Certificate Principal Balance of the Class A-1 Certificates and Class A-2 Certificates, on the other hand), as follows: i. to the holders of the Class A-5 Certificates, until the Certificate Principal Balance of the Class A-5 Certificates has been reduced to zero; and ii. sequentially, to the holders of the Class A-1 Certificates and Class A-2 Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero; b. sequentially, to the holders of the Class A-3 Certificates and Class A-4 Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero; and 2) sequentially, to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates in that order, up to an amount equal to the related class Principal Distribution Amount, until the Certificate Principal Balance of each such class has been reduced to zero. On or after the occurrence of the Credit Support Depletion Date, all priorities relating to distributions as described in this section in respect of principal among the Class A Certificates will be disregarded, and the Principal Distribution Amount will be distributed to the remaining Class A Certificates on a pro rata basis in accordance with their respective outstanding Certificate Principal Balances. - -------------------------------------------------------------------------------- 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. 11 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- EXCESS CASHFLOW WATERFALL NET MONTHLY EXCESS CASHFLOW With respect to any Distribution Date, any Net DISTRIBUTIONS: Monthly Excess Cashflow shall be paid as follows: 1) To the holders of the class or classes of Class A Certificates and Mezzanine Certificates then entitled to receive distributions in respect of principal, in an amount equal to the Overcollateralization Increase Amount, distributable as part of the Principal Distribution Amount; 2) Sequentially to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates, in that order, in each case up to the related Interest Carry Forward Amount related to such certificates for such Distribution Date; 3) Concurrently, on a pro rata basis, based on the amount of any Allocated Realized Loss Amounts previously allocated thereto that remain unreimbursed, to the holders of the Class A-1, Class A-2, Class A-3, Class A-4 and Class A-5 Certificates, and then sequentially to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates, in that order, in each case up to the related Allocated Realized Loss Amount for such class of certificates for such Distribution Date; 4) To the holders of the Class A Certificates and the Mezzanine Certificates, any related unpaid Net WAC Rate Carryover Amount distributed to the Class A Certificates, on a pro rata basis based on the remaining Net WAC Rate Carryover Amount for each such class and then to the holders of the Mezzanine Certificates in their order of payment priority; 5) To pay any Swap Termination Payments owed to the Swap Counterparty due to a Swap Counterparty Trigger Event; 6) To the holders of the Class CE Certificates as provided in the pooling and servicing agreement; and 7) To the holders of the Residual Certificates, any remaining amounts; provided that if such Distribution Date is the Distribution Date immediately following the expiration of the latest prepayment charge term or any Distribution Date thereafter, then any such remaining amounts will be distributed first, to the holders of the Class P Certificates, until the Certificate Principal Balance thereof has been reduced to zero; and second, to the holders of the Residual Certificates. - -------------------------------------------------------------------------------- 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. 12 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- ALLOCATION OF LOSSES ALLOCATION OF LOSSES: Any Realized Losses on the Mortgage Loans will be allocated or covered on any Distribution Date as follows: o first, by Net Monthly Excess Cash Flow; o second, by any amounts available from the Swap Agreement for the related Distribution Date; o third, to the Class CE Certificates, until the Certificate Principal Balance of the Class CE Certificates has been reduced to zero; o fourth, to the Class M-10 Certificates, until the Certificate Principal Balance of the Class M-10 Certificates has been reduced to zero; o fifth, to the Class M-9 Certificates, until the Certificate Principal Balance of the Class M-9 Certificates has been reduced to zero; o sixth, to the Class M-8 Certificates, until the Certificate Principal Balance of the Class M-8 Certificates has been reduced to zero; o seventh, to the Class M-7 Certificates, until the Certificate Principal Balance of the Class M-7 Certificates has been reduced to zero; o eighth, to the Class M-6 Certificates, until the Certificate Principal Balance of the Class M-6 Certificates has been reduced to zero; o ninth, to the Class M-5 Certificates, until the Certificate Principal Balance of the Class M-5 Certificates has been reduced to zero; o tenth, to the Class M-4 Certificates, until the Certificate Principal Balance of the Class M-4 Certificates has been reduced to zero; o eleventh, to the Class M-3 Certificates, until the Certificate Principal Balance of the Class M-3 Certificates has been reduced to zero; o twelfth, to the Class M-2 Certificates, until the Certificate Principal Balance of the Class M-2 Certificates has been reduced to zero; o thirteenth, to the Class M-1 Certificates, until the Certificate Principal Balance of the Class M-1 Certificates has been reduced to zero; and o fourteenth, concurrently, to the Class A-1, Class A-2, Class A-3, Class A-4 and Class A-5 Certificates on a pro rata basis based on the Certificate Principal Balance of each such class, until their respective Certificate Principal Balances have been reduced to zero. Once Realized Losses are allocated to the Class A and Mezzanine Certificates, such amounts with respect to such certificates will no longer accrue interest and such amounts will not be reinstated thereafter (except in the case of Subsequent Recoveries). However, Allocated Realized Loss Amounts may be distributed to the holders of the Class A and Mezzanine Certificates from Net Monthly Excess Cashflow, according to the priorities set forth under "Monthly Excess Cashflow Distributions" above and from payments under the Swap Agreement, according to the priorities set forth under "Payment Under the Swap Agreement" below. - -------------------------------------------------------------------------------- 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. 13 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DERIVATIVES SWAP AGREEMENT: The Trustee, on behalf of the trust, will enter into an interest rate swap agreement with the Swap Counterparty. On the business day prior to each Distribution Date, the Trustee will deposit into a swap account amounts, if any, received from the Swap Counterparty. From amounts on deposit in a swap account, to the extent such amounts constitute net swap payments (as described below), distributions (to the extent of the principal portion of any Realized Losses) of amounts necessary to maintain the required level of overcollateralization, distributions in respect of Prepayment Interest Shortfalls and Net WAC Rate Carryover Amounts, and distributions in respect of the principal portion of Allocated Realized Loss Amounts previously allocated to the certificates that remain unreimbursed, will be made as described below. The swap account will not be an asset of any REMIC trust. Under the Swap Agreement, on the business day prior to each Distribution Date, the Trustee, on behalf of the trust, will be obligated to pay to the Swap Counterparty the Fixed Swap Payment and the Swap Counterparty will be obligated to pay to the Trustee, on behalf of the trust, the Floating Swap Payment. A net swap payment will be required to be made on the business day prior to each Distribution Date (a) by the Trustee to the Swap Counterparty, to the extent that the Fixed Swap Payment for such Distribution Date exceeds the Floating Swap Payment payable to the trust for such Distribution Date, or (b) by the Swap Counterparty to the Trustee, to the extent that the Floating Swap Payment payable to the trust exceeds the Fixed Swap Payment for such Distribution Date. The Swap Agreement will terminate immediately following the Distribution Date in May 2010, unless terminated earlier upon the occurrence of an "Event of Default" under the Swap Agreement, an early termination event under the Swap Agrement or an "Additional Termination Event" under the Swap Agreement. Upon the occurrence of any Event of Default under the Swap Agreement, the non-defaulting party will have the right to designate an "Early Termination Date" (as defined in the ISDA Master Agreement). With respect to Termination Events (including Additional Termination Events), an Early Termination Date may be designated by one of the parties (as specified in the Swap Agreement) and will occur only upon notice and, in some circumstances, after any affected party has used reasonable efforts to transfer its rights and obligations under the Swap Agreement to a related entity within a specified period after notice has been given of the Termination Event, all as set forth in the Swap Agreement. The occurrence of an Early Termination Date under the Swap Agreement will constitute a "Swap Early Termination." Upon any Swap Early Termination, the trustee, on behalf of the trust, or the Swap Counterparty, may be liable to make a swap termination payment (the "Swap Termination Payment") to the other (regardless, if applicable, of which of the parties has caused the termination). The Swap Termination Payment will be based on the value of the Swap Agreement computed in accordance with the procedures set forth in the Swap Agreement taking into account the present value of the unpaid amounts that would have been owed to and by the Swap Counterparty under the remaining scheduled term of the Swap Agreement. In the event that the Trustee, on behalf of the trust, is required to make a Swap Termination Payment to the Swap Counterparty, that payment - -------------------------------------------------------------------------------- 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. 14 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DERIVATIVES will be paid on the business day prior to the related Distribution Date, and on the business day prior to any subsequent Distribution Dates until paid in full, prior to distributions to certificateholders, other than in the case of a Swap Termination Payment triggered upon a Swap Counterparty Trigger Event. The trust's obligation to pay amounts in respect of a Swap Termination Payment resulting from a Swap Counterparty Trigger Event will be subordinated to distributions to the holders of the Class A and Mezzanine Certificates. SWAP AGREEMENT NOTIONAL With respect to the Swap Agreement and each BALANCE: calculation period specified below, the related notional balance specified in the table below for such calculation period. The first calculation period will end on the day before the Distribution Date in October 2006 and the forty-fourth calculation period will end on the day before the Distribution Date in May 2010: PERIOD NOTIONAL BALANCE ($)(1) ------ ----------------------- 1 1,524,914,000.00 2 1,510,755,946.95 3 1,491,306,657.37 4 1,466,532,551.70 5 1,436,445,803.38 6 1,401,108,077.11 7 1,360,632,785.28 8 1,315,186,661.25 9 1,264,990,699.40 10 1,210,320,624.53 11 1,151,567,493.66 12 1,093,519,472.66 13 1,038,206,304.21 14 985,498,043.79 15 935,270,961.09 16 887,407,241.39 17 841,794,701.37 18 798,326,518.58 19 756,900,974.01 20 717,421,206.99 21 679,174,074.52 22 609,729,068.49 23 548,513,819.78 24 494,448,200.32 25 446,543,859.65 26 404,225,116.82 27 379,705,453.79 28 356,442,458.52 29 334,361,875.31 30 313,406,077.40 31 293,511,521.80 32 274,620,634.35 33 256,676,995.20 34 235,317,044.88 35 205,395,715.91 36 179,010,274.10 37 155,692,362.73 38 155,692,362.73 39 155,692,362.73 40 155,692,362.73 41 155,692,362.73 42 155,692,362.73 43 152,080,878.38 44 144,357,232.19 (1) Approximate, subject to the variance in the outstanding principal balance of the mortgage loans described in footnote 3 under the table entitled "Transaction Highlights" on page 2 above - -------------------------------------------------------------------------------- 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. 15 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DERIVATIVES PAYMENTS UNDER THE SWAP Pursuant to the Swap Agreement, amounts payable AGREEMENT: by the trust in respect of Net Swap Payments and Swap Termination Payments (other than Swap Termination Payments resulting from a Swap Counterparty Trigger Event) will be deducted from available funds before distributions to the holders of the Class A and Mezzanine Certificates. On the business day prior to each Distribution Date, such amounts will be distributed by the trust to the Swap Counterparty, first to make any net swap payment owed to the Swap Counterparty pursuant to the Swap Agreement for such Distribution Date, and second to make any Swap Termination Payment not due to a Swap Counterparty Trigger Event owed to the Swap Counterparty pursuant to the Swap Agreement. Payments by the trust to the Swap Counterparty in respect of any Swap Termination Payment triggered by a Swap Counterparty Trigger Event pursuant to the Swap Agreement will be subordinated to distributions to the holders of the Class A Certificates and Mezzanine Certificates and will be paid by the trust to the Swap Counterparty as set forth in the pooling and servicing agreement. Amounts payable by the Swap Counterparty to the Trustee, on behalf of the trust, will be deposited by the Trustee into the swap account. On each Distribution Date, to the extent required, the Trustee will withdraw the following amounts from the swap account to the extent of net swap payments on deposit therein for distribution to the certificates in the following order of priority, in the case of items (4) and (6) through (8), to the extent not covered by Net Monthly Excess Cashflow: 1) To the holders of the Class A Certificates, to pay any unpaid Senior Interest Distribution Amount allocable to such class of Class A Certificates, on a pro rata basis based on the entitlement of each such class (in each case to the extent not covered by the Interest Remittance Amount); 2) To the holders of the Class A Certificates, to pay accrued and unpaid interest to the extent unpaid from interest collections, but only to the extent of Prepayment Interest Shortfalls (not covered by Compensating Interest) allocated to such certificates on such Distribution Date, on a pro rata basis, based on the amount of such Prepayment Interest Shortfalls previously allocated thereto that remain unreimbursed; 3) To the holders of the Mezzanine Certificates, in their order of payment priority, to pay any unpaid Interest Distribution Amount allocable to each such class (in each case to the extent not covered by the Interest Remittance Amount); 4) To the holders of the Mezzanine Certificates, in their order of payment priority, in each case up to the related unpaid Interest Carry Forward Amount related to such certificates for such Distribution Date; 5) To the holders of the Mezzanine Certificates, in their order of payment priority, to pay accrued and unpaid interest to the extent unpaid from interest collections, but only to the extent of Prepayment Interest Shortfalls (not covered by Compensating Interest) allocated to such certificates on such Distribution Date; - -------------------------------------------------------------------------------- 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. 16 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DERIVATIVES 6) To the holders of the Class A Certificates, on a pro rata basis, based on the amount of Net WAC Rate Carryover Amounts previously allocated thereto that remain unreimbursed, and then sequentially to the holders of the Mezzanine Certificates, in their order of payment priority, the amount of any Net WAC Rate Carryover Amounts remaining unpaid as of that Distribution Date; 7) To the holders of the class or classes of Class A Certificates and Mezzanine Certificates then entitled to receive distributions in respect of principal, in an amount equal to the Overcollateralization Increase Amount, distributable as part of the Principal Distribution Amount, but only to the extent of the principal portion of Realized Losses for such Distribution Date; 8) To the holders of the Class A Certificates, pro rata, and then to the holders of the Mezzanine Certificates, in their order of payment priority, the principal portion of any Allocated Realized Loss Amount previously allocated thereto that remain unreimbursed; and 9) To the holders of the Class CE Certificates any balance remaining, in accordance with the terms of the pooling and servicing agreement. FIXED SWAP PAYMENT: With respect to the business day prior to any Distribution Date on or prior to the Distribution Date in May 2010, an amount equal to the product of (x) a fixed rate equal to 5.20% per annum, (y) the Swap Agreement Notional Balance for that Distribution Date and (z)(i) with respect to the business day prior to the initial Distribution Date, a fraction, the numerator of which is the number of days from and including the Closing Date to and including the day preceding the initial Distribution Date and the denominator of which is 360 and (ii) with respect to the business day prior to each Distribution Date thereafter, a fraction, the numerator of which is 30 and the denominator of which is 360. FLOATING SWAP PAYMENT: With respect to the business day prior to any Distribution Date on or prior to the Distribution Date in May 2010, an amount equal to the product of (x) one-month LIBOR as determined pursuant to the Swap Agreement, (y) the Swap Agreement Notional Balance for that Distribution Date and (z) a fraction, the numerator of which is equal to the actual number of days in the related calculation period as provided in the Swap Agreement and the denominator of which is 360. SWAP COUNTERPARTY TRIGGER An "Event of Default" (as defined in the Swap EVENT: Agreement) with respect to which the Swap Counterparty is a "Defaulting Party" (as defined in the Swap Agreement) or a "Termination Event" (as defined in the Swap Agreement) (including an "Additional Termination Event" (as defined in the Swap Agreement)) under the Swap Agreement with respect to which the Swap Counterparty is the sole "Affected Party" (as defined in the Swap Agreement). - -------------------------------------------------------------------------------- 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. 17 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DEFINITIONS ALLOCATED REALIZED LOSS An Allocated Realized Loss Amount with respect AMOUNT: to any class of Class A Certificates and Mezzanine Certificates and any Distribution Date will be an amount equal to (x) the sum of (i) any Realized Losses allocated to that class of certificates on the Distribution Date as described above under "Allocation of Losses" and (ii) any Allocated Realized Loss Amount for the class remaining unreimbursed from previous Distribution Dates minus (y) the amount of the increase in the related Certificate Principal Balance due to the receipt of Subsequent Recoveries. AVAILABLE DISTRIBUTION AMOUNT: For any Distribution Date, an amount equal to the sum of the following amounts, net of certain expenses of the trust including (i) amounts reimbursable to the servicer and the trustee, (ii) any net swap payment owed to the Swap Counterparty and (iii) any Swap Termination Payment owed to the Swap Counterparty not due to a Swap Counterparty Trigger Event: o the aggregate amount of scheduled monthly payments on the Mortgage Loans due during the related Due Period and received on or prior to the related Determination Date, after deduction of the servicing fee and the trustee fee in respect of the Mortgage Loans for that Distribution Date; o unscheduled payments in respect of the Mortgage Loans, including mortgagor prepayments, insurance proceeds, liquidation proceeds and Subsequent Recoveries from the Mortgage Loans, amounts received in respect of REO Property and proceeds from repurchases of and substitutions for the Mortgage Loans occurring during the related Prepayment Period; o all payments of Compensating Interest made by the servicer with respect to the Mortgage Loans; and o all Advances made for that Distribution Date in respect of the Mortgage Loans. CERTIFICATE PRINCIPAL BALANCE: With respect to any class of Class A Certificates and Mezzanine Certificates and any date of determination, an amount equal to its initial certificate principal balance, reduced by the aggregate of (a) all amounts allocable to principal previously distributed with respect to that class of certificates and (b) with respect to any Class A Certificate and Mezzanine Certificate, any reductions in its certificate principal balance in connection with the allocation of Realized Losses in the manner described under "Allocation of Losses" above (taking into account any increases in the certificate principal balance thereof due to the receipt of Subsequent Recoveries). The Certificate Principal Balance of the Class CE Certificates as of any date of determination is equal to the excess, if any, of the then aggregate principal balance of the Mortgage Loans over the then aggregate Certificate Principal Balance of the Class A Certificates, the Mezzanine Certificates and the Class P Certificates. - -------------------------------------------------------------------------------- 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. 18 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS A PRINCIPAL DISTRIBUTION The Class A Principal Distribution Amount is an AMOUNT: amount equal to the excess of: o the aggregate Certificate Principal Balance of the Class A Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. CLASS M-1 PRINCIPAL The Class M-1 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date and (ii) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. CLASS M-2 PRINCIPAL The Class M-2 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date and (iii) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 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. 19 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS M-3 PRINCIPAL The Class M-3 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date and (iv) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. CLASS M-4 PRINCIPAL The Class M-4 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date and (v) the Certificate Principal Balance of the Class M-4 Certificate immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 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. 20 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS M-5 PRINCIPAL The Class M-5 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date and (vi) the Certificate Principal Balance of the Class M-5 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. CLASS M-6 PRINCIPAL The Class M-6 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date and (vii) the Certificate Principal Balance of the Class M-6 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 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. 21 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS M-7 PRINCIPAL The Class M-7 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date, (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date and (viii) the Certificate Principal Balance of the Class M-7 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 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. 22 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS M-8 PRINCIPAL The Class M-8 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date, (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date, (viii) the Certificate Principal Balance of the Class M-7 Certificates after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related Distribution Date and (ix) the Certificate Principal Balance of the Class M-8 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 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. 23 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS M-9 PRINCIPAL The Class M-9 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date, (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date, (viii) the Certificate Principal Balance of the Class M-7 Certificates after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related Distribution Date, (ix) the Certificate Principal Balance of the Class M-8 Certificates after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related Distribution Date and (x) the Certificate Principal Balance of the Class M-9 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. - -------------------------------------------------------------------------------- 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. 24 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DEFINITIONS CLASS M-10 PRINCIPAL The Class M-10 Principal Distribution Amount is DISTRIBUTION AMOUNT: an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date and (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date (viii) the Certificate Principal Balance of the Class M-7 Certificates after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related Distribution Date, (ix) the Certificate Principal Balance of the Class M-8 Certificates after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related Distribution Date, (x) the Certificate Principal Balance of the Class M-9 Certificates after taking into account the distribution of the Class M-9 Principal Distribution Amount on the related Distribution Date and (xi) the Certificate Principal Balance of the Class M-10 Certificates immediately prior to the related Distribution Date over o the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess, if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. DETERMINATION DATE: The Determination Date with respect to any Distribution Date will be the 15th day of the calendar month in which such Distribution Date occurs or, if such 15th day is not a business day, the business day immediately preceding such 15th day. EXPENSE ADJUSTED MORTGAGE The Expense Adjusted Mortgage Rate for any RATE: Mortgage Loan and any Distribution Date will be a per annum rate equal to the then applicable mortgage rate for such Mortgage Loan as of the first day of the related Due Period minus the sum of the applicable Servicing Fee Rate and the Trustee Fee Rate. - -------------------------------------------------------------------------------- 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. 25 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DEFINITIONS FORMULA RATE: The Formula Rate for any class of Class A and Mezzanine Certificates is One-Month LIBOR plus the related margin. For the Interest Accrual Period for each Distribution Date after the date on which the aggregate principal balance of the Mortgage Loans remaining in the mortgage pool is reduced to less than 10.00% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, the related margin will increase to 2.0 times the related margin for each Class A Certificate, and 1.5 times for any Mezzanine Certificate. INTEREST CARRY FORWARD The Interest Carry Forward Amount with respect AMOUNT: to any class of Class A Certificates and Mezzanine Certificates and any Distribution Date is equal to the amount, if any, by which the Interest Distribution Amount for that class of certificates for the immediately preceding Distribution Date exceeded the actual amount distributed on the certificates in respect of interest on the immediately preceding Distribution Date, together with any Interest Carry Forward Amount with respect to that class of certificates remaining undistributed from previous Distribution Dates, plus interest accrued thereon at the related Pass-Through Rate on the certificates for the most recently ended Interest Accrual Period. INTEREST DISTRIBUTION The Interest Distribution Amount for the Class AMOUNT: A Certificates and Mezzanine Certificates on any Distribution Date is equal to interest accrued during the related Interest Accrual Period on the Certificate Principal Balance of that class immediately prior to the Distribution Date at the Pass-Through Rate for that class, reduced (to not less than zero) by the allocable share, if any, for that class of Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the servicer and shortfalls resulting from the application of the Relief Act. INTEREST REMITTANCE AMOUNT: The Interest Remittance Amount for any Distribution Date is the excess, if any, of (i) that portion of the Available Distribution Amount (without giving effect to any net swap payment owed to the Swap Counterparty or any Swap Termination Payment owed to the Swap Counterparty not due to a Swap Counterparty Trigger Event) for that Distribution Date that represents interest received or advanced on the Mortgage Loans over (ii) any net swap payment owed to the Swap Counterparty or Swap Termination Payment not due to a Swap Counterparty Trigger Event owed to the Swap Counterparty. NET MONTHLY EXCESS CASH FLOW: The Net Monthly Excess Cash Flow for any Distribution Date is equal to the sum of (a) any Overcollateralization Reduction Amount and (b) the excess of: o the Available Distribution Amount for the related Distribution Date over o the sum for the related Distribution Date of the aggregate of (a) the Senior Interest Distribution Amount distributable to the holders of the Class A Certificates, (b) the Interest Distribution Amount distributable to the holders of the Mezzanine Certificates and (c) the Principal Remittance Amount. - -------------------------------------------------------------------------------- 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. 26 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DEFINITIONS NET WAC PASS-THROUGH RATE: The Net WAC Pass-Through Rate for any Distribution Date and the Class A Certificates and Mezzanine Certificates is a rate per annum (which will not be less than zero) equal to the excess, if any, of (a) the product of (i) a per annum rate equal to the weighted average of the Expense Adjusted Mortgage Rates on the then outstanding Mortgage Loans, weighted based on their principal balances as of the first day of the related Due Period and (ii) a fraction expressed as a percentage the numerator of which is 30 and the denominator of which is the actual number of days in the related Interest Accrual Period, over (b) the product of (i) a fraction expressed as a percentage the numerator of which is the amount of any net swap payments due to the Swap Counterparty or Swap Termination Payment owed to the Swap Counterparty not due to a Swap Counterparty Trigger Event, and the denominator of which is the aggregate principal balance of the outstanding mortgage loans as of the first day of the related Due Period and (ii) a fraction expressed as a percentage the numerator of which is 360 and the denominator of which is the actual number of days in the related Interest Accrual Period. NET WAC RATE CARRYOVER AMOUNT: For any Distribution Date and any Class A Certificates or Mezzanine Certificates, an amount equal to the sum of (i) the excess of (x) the amount of interest that would have accrued on such class of Certificates for such Distribution Date had the applicable Pass-Through Rate not been subject to the Net WAC Pass-Through Rate (not to exceed 12.50%), over (y) the amount of interest that accrued on such class of Certificates for such Distribution Date at the Net WAC Pass-Through Rate and (ii) the undistributed portion of any related Net WAC Carryover Amount from prior Distribution Dates together with interest accrued on such undistributed portion for the most recently ended Interest Accrual Period at the Formula Rate (not to exceed 12.50%) applicable for such class for such Interest Accrual Period. The ratings on each class of Certificates do not address the likelihood of the distribution of any Net WAC Rate Carryover Amount. PASS-THROUGH RATES: With respect to each class of Class A Certificates and Mezzanine Certificates and any Distribution Date, the least of (i) the Formula Rate, (ii) the Net WAC Pass-Through Rate and (iii) 12.50%. PRELIMINARY PROSPECTUS: The Offered Certificates will be offered pursuant to a Preliminary Prospectus which includes a Preliminary Prospectus Supplement (together, the "Preliminary Prospectus"). Additional information with respect to the Offered Certificates and the Mortgage Loans is contained in the Preliminary Prospectus. The foregoing is qualified in its entirety by the information appearing in the Preliminary Prospectus, which will be conveyed to you prior to any contractual commitment to purchase any of the Offered Certificates. PREPAYMENT INTEREST SHORTFALLS: With respect to any principal prepayments on the Mortgage Loans and any Distribution Date, any interest shortfall resulting from principal prepayments in full occurring between the first day of the related Prepayment Period and the last day of the prior calendar month. - -------------------------------------------------------------------------------- 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. 27 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- DEFINITIONS PRINCIPAL DISTRIBUTION AMOUNT: The Principal Distribution Amount for any Distribution Date will be an amount, not less than zero, equal to the sum of (i) the principal portion of all monthly payments on the Mortgage Loans due during the related Due Period actually received on or prior to the related Determination Date or advanced on or prior to the related Distribution Date; (ii) the principal portion of all proceeds received in respect of the repurchase of a Mortgage Loan or, in the case of a substitution, amounts representing a principal adjustment, as required by the pooling and servicing agreement during the related Prepayment Period; (iii) the principal portion of all other unscheduled collections, including insurance proceeds, liquidation proceeds, Subsequent Recoveries and all full and partial principal prepayments, received during the related Prepayment Period net of any portion thereof that represents a recovery of principal for which an advance was made by the Servicer, and (iv) the amount of any Overcollateralization Increase Amount for such Distribution Date; minus (v) the amount of any Overcollateralization Reduction Amount for such Distribution Date and (vi) any net swap payment owed to the Swap Counterparty or Swap Termination Payment not due to a Swap Counterparty Trigger Event owed to the Swap Counterparty to the extent not covered by that portion of the Available Distribution Amount (without giving effect to any net swap payment owed to the Swap Counterparty or any Swap Termination Payment owed to the Swap Counterparty not due to a Swap Counterparty Trigger Event) for that Distribution Date that represents interest received or advanced on the Mortgage Loans. PRINCIPAL REMITTANCE AMOUNT: The Principal Remittance Amount for any Distribution Date is the sum of the amounts described in clauses (i) through (iii) of the definition of Principal Distribution Amount. SENIOR INTEREST DISTRIBUTION The Senior Interest Distribution Amount for any AMOUNT: Distribution Date is equal to the sum of the Interest Distribution Amount for that Distribution Date for the Class A Certificates and the Interest Carry Forward Amount, if any, for that Distribution Date for the Class A Certificates. SUBORDINATION PERCENTAGE: With respect to each class of Class A Certificates and Mezzanine Certificates, the applicable approximate percentage set forth in the table below. CLASS PERCENTAGE ------ ---------- A 48.10 M-1 59.40 M-2 68.80 M-3 71.90 M-4 77.10 M-5 80.80 M-6 83.50 M-7 86.70 M-8 88.80 M-9 91.60 M-10 94.60 - -------------------------------------------------------------------------------- The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering. 28 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on the Cut-off Date 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. - -------------------------------------------------------------------------------- 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. 29 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT GROSS MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 5.501--6.000 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 30 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL MORTGAGE LOAN MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 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% - ------------------------------------------------------------------------------------------------------------------------------ - -------------------------------------------------------------------------------- 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. 31 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT UNPAID PRINCIPAL MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) 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% - --------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 32 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 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 ORIGINAL LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - --------------------------------------------------------------------------------------------------------------------------- 5.01--10.00 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% - --------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 33 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE COMBINED LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS 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% - --------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 34 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 35 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE PREPAYMENT PENALTY TERMS MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 0 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% - --------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 36 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (TOTAL COLLATERAL) DISTRIBUTION BY LIEN TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - --------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 37 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on the Cut-off Date 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. - -------------------------------------------------------------------------------- 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. 38 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT GROSS MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 5.501--6.000 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 39 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL MORTGAGE LOAN MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 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% - ------------------------------------------------------------------------------------------------------------------------------ - -------------------------------------------------------------------------------- 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. 40 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT UNPAID PRINCIPAL MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 0.01--50,000.00 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - ------------------------------------------------------------------------------------------------------------------------------ - -------------------------------------------------------------------------------- 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. 41 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 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 WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE COMBINED LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ------------------------------------------------------------------------------------------------------------------------------ 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% - ------------------------------------------------------------------------------------------------------------------------------ - -------------------------------------------------------------------------------- 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. 42 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY STATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - ------------------------------------------------------------------------------------------------------------------------------ - -------------------------------------------------------------------------------- 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. 43 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY LOAN PURPOSE WEIGHTED WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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 WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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 WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS CREDIT SCORE RANGE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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% - ----------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 44 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PREPAYMENT PENALTY TERM WEIGHTED WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS PREPAYMENT PENALTY TERMS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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 WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS INITIAL CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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 WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS PERIODIC CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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% - ----------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 45 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY GROSS MARGIN WEIGHTED WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS ARM MARGIN (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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 WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS MAXIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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 WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS MINIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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% - ----------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 46 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (ADJUSTABLE RATE COLLATERAL) DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 47 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on the Cut-off Date 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 INTEREST ONLY LOANS: 0.00% 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. - -------------------------------------------------------------------------------- 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. 48 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT GROSS MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 5.501--6.000 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 49 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL MORTGAGE LOAN MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 0.01--50,000.00 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% $176,266.71 636 76.94% 7.781% - ---------------------------------------------------------------------------------------------------------------------------- DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT UNPAID PRINCIPAL MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 0.01--50,000.00 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 50 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY REMAINING TERM TO MATURITY WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 51 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (FIXED RATE COLLATERAL) DISTRIBUTION BY ORIGINAL LOAN-TO-VALUE RATIO WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 5.01--10.00 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 WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE COMBINED LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 5.01--10.00 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 52 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 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% - --------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 53 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 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% - --------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 54 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 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 PREPAYMENT PENALTY TERMS MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS (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% - --------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 55 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on the Cut-off Date 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. - -------------------------------------------------------------------------------- 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. 56 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT GROSS MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 5.501--6.000 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 57 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL MORTGAGE LOAN MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 0.01--50,000.00 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% $238,017.15 614 80.56% 8.341% - ---------------------------------------------------------------------------------------------------------------------------- DISTRIBUTION BY CURRENT UNPAID PRINCIPAL BALANCE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT UNPAID PRINCIPAL MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 0.01--50,000.00 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 58 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY REMAINING TERM TO MATURITY WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL LOAN-TO-VALUE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 5.01--10.00 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 59 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE COMBINED LOAN-TO-VALUE RATIO MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS (%) 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 60 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 61 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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 WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS CREDIT SCORE RANGE LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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 WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE PREPAYMENT PENALTY TERMS MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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% - ---------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 62 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY INITIAL INTEREST RATE CAP WEIGHTED WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS INITIAL CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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 WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS PERIODIC CAP (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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 WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS ARM MARGIN (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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% - ---------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 63 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY MAXIMUM MORTGAGE RATE WEIGHTED WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS MAXIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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 WEIGHTED WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE AVERAGE AVERAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT ORIGINAL LOAN- GROSS MINIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE TO-VALUE 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% - ---------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 64 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (BALLOON COLLATERAL) DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 - ---------------------------------------------------------------------------------------------------------------------------- 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 65 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) - -------------------------------------------------------------------------------- COLLATERAL SUMMARY - -------------------------------------------------------------------------------- Statistics for the Mortgage Loans listed below are based on the Cut-off Date 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. - -------------------------------------------------------------------------------- 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. 66 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY PRODUCT TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE CURRENT GROSS MORTGAGE MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ---------------------------------------------------------------------------------------------------------------------------- 5.501--6.000 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 67 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY ORIGINAL PRINCIPAL BALANCE WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE ORIGINAL MORTGAGE LOAN MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS 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 PRINCIPAL MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS BALANCE ($) LOANS 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% - --------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 68 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 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 PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS REMAINING TERM (MONTHS) LOANS 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 PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS ORIGINAL TERM (MONTHS) LOANS 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 ORIGINAL LOAN-TO-VALUE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS 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% - ------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 69 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY COMBINED LOAN-TO-VALUE RATIO WEIGHTED AVERAGE NUMBER WEIGHTED ORIGINAL WEIGHTED OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE COMBINED LOAN-TO-VALUE MORTGAGE PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS RATIO (%) LOANS 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 PRINCIPAL OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS STATE LOANS 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% - ------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 70 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY OCCUPANCY TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - ----------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 71 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY DOCUMENTATION TYPE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER OF PERCENTAGE AVERAGE AVERAGE LOAN- AVERAGE PREPAYMENT PENALTY TERMS MORTGAGE OF PRINCIPAL PRINCIPAL CREDIT TO-VALUE GROSS (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE SCORE RATIO COUPON - ----------------------------------------------------------------------------------------------------------------------------- 0 215 $ 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% - ----------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 72 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY INITIAL INTEREST RATE CAP WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - ----------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 73 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY MAXIMUM MORTGAGE RATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 74 CARRINGTON MORTGAGE LOAN TRUST, SERIES 2006-NC4 $1,550,814,000 (APPROXIMATE) ASSET BACKED PASS-THROUGH CERTIFICATES SEPTEMBER 18, 2006 - -------------------------------------------------------------------------------- THE MORTGAGE LOANS (INTEREST ONLY COLLATERAL) DISTRIBUTION BY INITIAL RATE ADJUSTMENT DATE WEIGHTED AVERAGE WEIGHTED ORIGINAL WEIGHTED NUMBER 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 WEIGHTED ORIGINAL WEIGHTED NUMBER 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% - ---------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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. 75