ISDA®

    International
      Swaps and Derivatives Association, Inc.

    


    CREDIT
      SUPPORT ANNEX

     

    to
      the
      Schedule to the

    ISDA
      MASTER AGREEMENT

     

    dated
      as
      of December 19, 2006

    between

    SWISS
      RE FINANCIAL PRODUCTS CORPORATION
      (“Party
      A”)

    and

    WELLS
      FARGO BANK, N.A., not individually but solely as trustee for Carrington Mortgage
      Loan Trust, Series 2006-NC5 with respect to the Carrington Mortgage Loan Trust,
      Series 2006-NC5 Asset-Backed Pass-Through Certificates
      (“Party
      B”)

    


    This
      Annex supplements, forms part of, and is subject to, the ISDA Master Agreement
      referred to above (this “Agreement”), is part of its Schedule and is a Credit
      Support Document under this Agreement with respect to Party A and, as to the
      Return Amount, Party B.

    


    Accordingly,
      the parties agree as follows: 

    


    
      	 	
              (1)

            	
              Paragraphs
                1 - 12. Incorporation

            


    

    


    Paragraphs
      1 through 12 inclusive of the ISDA Credit Support Annex (Bilateral Form) (ISDA
      Agreements Subject to New York Law Only) published in 1994 by the International
      Swaps and Derivatives Association, Inc. are incorporated herein by reference
      and
      made a part hereof:

    


    Paragraph
      13. Elections and Variables

    


    
      	
              (a)

            	
              Security
                Interest for “Obligations”.
                The term “Obligations”
                as
                used in this Annex includes no additional obligations of Secured
                Party
                and, for purposes of the definition of Obligations in Paragraph 12,
                includes no additional obligations of
                Pledgor.

            


    

    


    (b)    Credit
      Support Obligations.

    


    
      	 	
              (i)

            	
              Delivery
                Amount, Return Amount and Credit Support
                Amount.

            


    

    


    (A)
       “Delivery
      Amount”
      has the
      meaning specified in Paragraph 3(a) as amended (I) by deleting the words “upon a
      demand made by the Secured Party on or promptly following a Valuation Date” and
      inserting in lieu thereof the words “not later than the close of business on
      each Valuation Date” and (II) with respect to S&P and Moody’s, by deleting
      in its entirety the sentence beginning “Unless otherwise specified in Paragraph
      13” and ending “(ii) the Value as of that Valuation Date of all Posted Credit
      Support held by the Secured Party.” and inserting in lieu thereof the
      following:

    


    The
      “Delivery
      Amount”
      applicable to the Pledgor for any Valuation Date will equal the greatest
      of

    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    

     

    
      	 	
              (1)

            	
              the
                amount by which (a) the S&P Credit Support Amount for such Valuation
                Date exceeds (b) the S&P Value as of such Valuation Date of all Posted
                Credit Support held by the Secured
                Party,

            


    

     

    
      	 	
              (2)

            	
              the
                amount by which (a) the Moody’s Credit Support Amount with respect to a
                Moody’s First Trigger Event, for such Valuation Date exceeds (b) the
                Moody’s First Trigger Value as of such Valuation Date of all Posted Credit
                Support held by the Secured Party,

            


    

     

    
      	 	
              (3)

            	
              the
                amount by which (a) the Moody’s Credit Support Amount with respect to a
                Moody’s First Trigger Event for such Valuation Date exceeds (b) the
                Moody’s Second Trigger Value as of such Valuation Date of all Posted
                Credit Support held by the Secured Party,
                and

            


    

     

    
      	 	
              (4)

            	
              the
                amount by which (a) the Credit Support Amount with respect to Fitch
                for
                such Valuation Date exceeds (b) the Value with respect to Fitch as
                of such
                Valuation Date of all Posted Credit Support held by the Secured
                Party.

            


    

     

    (B) “Return
      Amount” has
      the
      meaning specified in Paragraph 3(b) as amended by deleting in its entirety
      the
      sentence beginning “Unless otherwise specified in Paragraph 13” and ending “(ii)
      the Credit Support Amount.” and inserting in lieu thereof the following:


    


    The
      “Return
      Amount”
      applicable to the Secured Party for any Valuation Date will equal the least
      of:

    


    
      	 	
              (1)
                

            	
              the
                amount by which (a) the S&P Value as of such Valuation Date of all
                Posted Credit Support held by the Secured Party exceeds (b) the S&P
                Credit Support Amount for such Valuation Date,


            


    

    


    
      	 	
              (2)
                

            	
              the
                amount by which (a) the Moody’s First Trigger Value as of such Valuation
                Date of all Posted Credit Support held by the Secured Party exceeds
                (b)
                the Moody’s First Trigger Credit Support Amount for such Valuation
                Date,

            


    

    


    
      	 	
              (3)
                

            	
              the
                amount by which (a) the Moody’s Second Trigger Value as of such Valuation
                Date of all Posted Credit Support held by the Secured Party exceeds
                (b)
                the Moody’s Second Trigger Credit Support Amount for such Valuation
                Date.

            


    

    


    
      	 	
              (4)

            	
              the
                amount by which (a) the Value as of such Valuation Date with respect
                to
                Fitch of all Posted Credit Support held by the Secured Party exceeds
                (b)
                the Credit Support Amount with respect to Fitch for such Valuation
                Date.

            


    

    


    (C) “Credit
      Support Amount”
      shall
      not apply. For purposes of calculating any Delivery Amount or Return Amount
      for
      any Valuation Date, reference shall be made to the S&P Credit Support
      Amount, the Moody’s First Trigger Credit Support Amount, or the Moody’s Second
      Trigger Credit Support Amount, in each case for such Valuation Date, as provided
      in Paragraphs 13(b)(i)(A) and 13(b)(i)(B), above. 

    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    

    


    (D) “S&P
      Value”
      means,
      on any date and with respect to any Eligible Collateral other than Cash, the
      product of (A) the bid price obtained by the Valuation Agent for such Eligible
      Collateral and (B) the S&P Valuation Percentage for such Eligible Collateral
      set forth in paragraph 13(b)(ii).

     

     

     

     

     

    
 

    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    


    


    


    
      	 	
              (ii)

            	
              Eligible
                Collateral.
                The following items denominated in U.S. Dollars will qualify as
                “Eligible
                Collateral”:

            


    

    

      
        	 	 	
                Valuation

                Percentage:

              	
                The
                  Moody’s Credit Support Amount under Para 13(q)(1) below is greater than
                  zero

              	
                The
                  Moody’s Credit Support Amount under Para 13(q)(2) below is greater than
                  zero

              	
                S&P
                  Valuation Percentage

              	
                Fitch

              
	
                (A)

              	
                Cash:
                  US
                  Dollars in depository account form.

              	 	
                100%

              	
                100%

              	
                100%

              	
                100%

              
	
                (B)

              	
                U.S.
                  Treasury Securities:
                  fixed rate negotiable debt obligations issued by the U.S. Treasury
                  Department (“Fixed Rate Treasuries”) having a remaining maturity of up to
                  and not more than 1 year.

              	 	
                100%%

              	
                100%

              	
                98.6%

              	
                99%

              
	
                (C)

              	
                Fixed
                  Rate Treasuries having a remaining maturity of greater than 1 year
                  but not
                  more than 10 years.

              	 	
                100%

              	
                99%
                  (1-2yr)

                98%
                  (2-3yr)

                97%(3-5yr)

                95%
                  (5-7yr)

                94%
                  (7-10yr)

              	
                97.3%
                  (1-2yr)

                95.8%
                  (2-3yr)

                93.8%(3-5yr)

                91.4%
                  (5-7yr)

                90.3%
                  (7-10yr

              	
                98%

              
	
                (D)

              	
                Fixed
                  Rate Treasuries having a remaining maturity of greater than 10
                  years

              	 	
                100%

              	
                89%(10-20yr)

                87%
                  (>20yr)

              	
                86.9%(10-20yr)

                84.6%
                  (>20yr)

              	
                97%

              
	
                (E)

              	
                Agency
                  Securities:
                  Fixed rate negotiable debt obligations of the Federal National
                  Mortgage
                  Association (FNMA), Federal Home Loan Mortgage Corporation (FHLMC),
                  Federal Home Loan Banks (FHLB), Federal Farm Credit Banks (FFCB),
                  Student
                  Loan Marketing Association (SLMA), Tennessee Valley Authority (TVA)
                  (collectively, “Fixed Rate Agency Securities”) having a remaining maturity
                  of not more than 1 year.

              	 	
                100%

              	
                99%

              	
                98%

              	
                95%

              
	
                (F)

              	
                Fixed
                  Rate Agency Securities having a remaining maturity of greater than
                  1 year
                  but not more than 5 years.

              	 	
                100%

              	
                98%
                  (1-2yr)

                97%
                  (2-3 yr)

                96%
                  (3-5yr)

              	
                96.8%
                  (1-2yr)

                96.3%
                  (2-3 yr)

                92.5%
                  (3-5yr)

              	
                92%

              
	
                (G)

              	
                Fixed
                  Rate Agency Securities having a remaining maturity of greater than
                  5 years
                  but not more than 10 years.

              	 	
                100%

              	
                94%
                  (5-7 yr)

                93%
                  (7-10 yr)

              	
                90.3%
                  (5-7 yr)

                86.9%
                  (7-10 yr)

              	
                88%

              
	
                (H)

              	
                Fixed
                  Rate Agency Securities having a remaining maturity of greater than
                  10
                  years but not more than 20 years.

              	 	
                100%

              	
                88%

              	
                81.6%

              	
                82%

              


      

       

      
        
          
          

        

        
          
          

          
            

          

        

        
          
          

        

      

       

      
        	 	 	
                Valuation

                Percentage:

              	
                The
                  Moody’s Credit Support Amount under Para 13(q)(1) below is greater than
                  zero

              	
                The
                  Moody’s Credit Support Amount under Para 13(q)(2) below is greater than
                  zero

              	
                S&P
                  Valuation Percentage

              	
                Fitch

              
	
                (I)

              	
                Fixed
                  Rate Agency Securities having a remaining maturity of greater than
                  20
                  years but not more than 30 years.

              	 	
                100%

              	
                86%

              	
                77.9%

              	
                82%

              
	
                (J)

              	
                FHLMC
                  Certificates.
                  Mortgage participation certificates issued by FHLMC evidencing
                  undivided
                  interests or participations in pools of first lien conventional
                  or FHA/VA
                  residential mortgages or deeds of trust, guaranteed by FHLMC, and
                  having a
                  remaining maturity of not more than 30 years.

              	 	
                0%
                  (or such other amount subject to Moody’s rating affirmation in respect of
                  the rated notes)

              	
                0%
                  (or such other amount subject to Moody’s rating affirmation in respect of
                  the rated notes)

              	
                86.4%

              	
                82%

              
	
                (K)

              	
                FNMA
                  Certificates. Mortgage-backed
                  pass-through certificates issued by FNMA evidencing undivided interests
                  in
                  pools of first lien mortgages or deeds of trust on residential
                  properties,
                  guaranteed by FNMA, having a remaining maturity of not more than
                  30
                  years.

              	 	
                0%
                  (or such other amount subject to Moody’s rating affirmation in respect of
                  the rated notes)

              	
                0%
                  (or such other amount subject to Moody’s rating affirmation in respect of
                  the rated notes)

              	
                86.4%

              	
                82%

              
	
                (L)

              	
                GNMA
                  Certificates.
                  Mortgage-backed pass-through certificates issued by private entities,
                  evidencing undivided interests in pools of first lien mortgages
                  or deeds
                  of trust on single family residences, guaranteed by the Government
                  National Mortgage Association (GNMA) with the full faith and credit
                  of the
                  United States, and having a remaining maturity of not more than
                  30
                  years.

              	 	
                0%
                  (or such other amount subject to Moody’s rating affirmation in respect of
                  the rated notes)

              	
                0%
                  (or such other amount subject to Moody’s rating affirmation in respect of
                  the rated notes)

              	
                86.4%

              	
                82%

              
	
                (M)

              	
                Commercial
                  Paper.
                  Commercial Paper with a rating of at least P-1 by Moody’s, at least F-1 by
                  Fitch and at least A-1+ by S&P and having a remaining maturity of not
                  more than 30 days.

              	 	
                0%
                  (or such other amount subject to Moody’s rating affirmation in respect of
                  the rated notes)

              	
                0%
                  (or such other amount subject to Moody’s rating affirmation in respect of
                  the rated notes)

              	
                99%

              	
                99%

              
	
                (N)

              	
                Other.
                  Other
                  items of Credit Support approved by each applicable rating agency
                  with
                  such valuation percentages as determined by each applicable rating
                  agency.

              	 	
                0%
                  (or such other amount subject to Moody’s rating affirmation in respect of
                  the rated notes)

              	
                0%
                  (or such other amount subject to Moody’s rating affirmation in respect of
                  the rated notes)

              	
                %
                  to be determined

              	
                %
                  to be determined

              


      



     

    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    

     

    
      	 	
              (iii)
                

            	
              Other
                Eligible Support.
                Not applicable.

            


    

    


    
      	 	
              (iv)
                

            	
              Thresholds.

            


    

    


    
      	 	
              (A)

            	
              “Independent
                Amount” means
                for Pledgor: zero.

            


    

     

    “Independent
      Amount” means
      for
      Secured Party: zero

     

    
      	 	
              (B)

            	
              “Threshold”
                means, (1) with respect to Pledgor, infinity; provided that for so
                long as
                no Relevant Entity has the Moody’s First Trigger Required Ratings and
                either (i) no Relevant Entity has had the Moody’s First Trigger Required
                Ratings since this Annex was executed or (ii) at least 30 Local Business
                Days have elapsed since the last time a Relevant Entity had the Moody’s
                First Trigger Required Ratings, the Threshold with respect to Party
                A
                shall be zero; further, provided, if a Ratings Event (as described
                in Part
                5(f) of the Schedule) has occurred and is continuing pursuant to
                Part 5(f)
                of the Agreement, the threshold shall be zero in the event (i) Party
                A
                fails to assign all of its rights and obligations under the Agreement
                on
                or before the thirtieth (30) day after the date of a Ratings Event
                (as
                described in Part 5(f) of the Schedule) continues to exist or (ii)
                a
                S&P Required Ratings Downgrade Event has occurred and is continuing
                and (2) with respect to Party B and any Valuation Date, infinity.
                

            


    

    


    
      	 	
              (C)

            	
              “Minimum
                Transfer Amount” means
                USD 100,000 with respect to Party A and Party B; provided, however,
                that
                if the aggregate Certificate Principal Balance and note principal
                balance
                of Certificates and Notes rated by S&P ceases to be more than USD
                50,000,000, the “Minimum
                Transfer Amount”
                shall be USD 50,000.

            


    

    


    
      	 	
              (D)

            	
              Rounding:
                The Delivery Amount will be rounded up to the nearest integral multiple
                of
                $1,000, and the Return Amount will be rounded down to the nearest
                integral
                multiple of $1,000.

            


    

    


    
      	
              (c)

            	
              Valuation
                and Timing.

            


    

    


    
      	 	
              (i)

            	
              “Valuation
                Agent”
                means Party A; provided,
                however,
                that if an Event of Default shall have occurred with respect to which
                Party A is the Defaulting Party, Party B shall have the right to
                designate
                as Valuation Agent an independent party, reasonably acceptable to
                Party A,
                the cost for which shall be borne by Party A. All calculations by
                the
                Valuation Agent must be made in accordance with standard market practice,
                including, in the event of a dispute as to the Value of any Eligible
                Credit Support or Posted Credit Support, by making reference to quotations
                received by the Valuation Agent from one or more Pricing
                Sources.

            


    

     

    
      	 	
              (ii)

            	
              “Valuation
                Date”
                means the first Local Business Day of each
                week.

            


    

    


    
      	 	
              (iii)

            	
              “Valuation
                Time” means
                the close of business in the city in which the Valuation Agent is
                located
                on the Local Business Day before the Valuation Date or date of
                calculation, as applicable; provided
                that the calculations of Value and Exposure will be made as of
                approximately the same time on the same
                date.

            


    

    


    
      	 	
              (iv)

            	
              “Notification
                Time”
                means 10:00 a.m., New York time, on a Local Business
                Day.

            


    

     

    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    

     

    
      	 	
              (v)

            	
              “External
                Verification”.
                Notwithstanding anything to the contrary in the definitions of Valuation
                Agent or Valuation Date, at any time at which Party A (or, to the
                extent
                applicable, its Credit Support Provider) does not have a long-term
                unsubordinated and unsecured debt rating of at least “BBB+” from S&P,
                the Valuation Agent shall (A) calculate the Secured Party’s Exposure and
                the S&P Value of Posted Credit Support on each Valuation Date based on
                internal marks and (B) verify such calculations with external marks
                monthly by obtaining on the last Local Business Day of each calendar
                month
                two external marks for each Transaction to which this Annex relates
                and
                for all Posted Credit Support; such verification of the Secured Party’s
                Exposure shall be based on the higher of the two external marks.
                Each
                external mark in respect of a Transaction shall be obtained from
                an
                independent Reference Market-maker that would be eligible and willing
                to
                enter into such Transaction in the absence of the current derivative
                provider, provided that an external mark may not be obtained from
                the same
                Reference Market-maker more than four times in any 12-month period.
                The
                Valuation Agent shall obtain these external marks directly or through
                an
                independent third party, in either case at no cost to Party B.
                The
                Valuation Agent shall calculate on each Valuation Date (for purposes
                of
                this paragraph, the last Local Business Day in each calendar month
                referred to above shall be considered a Valuation Date)
                the Secured Party’s Exposure based on the greater of the Valuation Agent’s
                internal marks and the external marks received. If the S&P Value on
                any such Valuation Date of all Posted Credit Support then held by
                the
                Secured Party is less than the S&P Credit Support Amount on such
                Valuation Date (in each case as determined pursuant to this paragraph),
                Party A shall, within three Local Business Days of such Valuation
                Date,
                Transfer to the Secured Party Eligible Credit Support having an S&P
                Value as of the date of Transfer at least equal to such
                deficiency.

            


    

    


    
      	 	
              (vi)

            	
              Notice
                to S&P.
                At any time at which Party A (or, to the extent applicable, its Credit
                Support Provider) does not have a long-term unsubordinated and unsecured
                debt rating of at least “BBB+” from S&P, the Valuation Agent shall
                provide to S&P not later than the Notification Time on the Local
                Business Day following each Valuation Date its calculations of the
                Secured
                Party’s Exposure and the S&P Value of any Eligible Credit Support or
                Posted Credit Support for that Valuation Date. The Valuation Agent
                shall
                also provide to S&P any external marks received pursuant to the
                preceding paragraph.

            


    

    


    
      	
              (d)

            	
              Conditions
                Precedent and Secured Party’s Rights and
                Remedies.
                No
                Specified Conditions apply.

            


    

    


    
      	
              (e)

            	
              Substitution.

            


    

    


    
      	 	
              (i)

            	
              “Substitution
                Date” has
                the meaning specified in Paragraph
                4(d)(ii).

            


    

    


    
      	 	
              (ii)

            	
              Consent.
                The Pledgor is not required to obtain the Secured Party’s consent for any
                substitution pursuant to Paragraph
                4(d).

            


    

    


    
      	
              (f)

            	
              Dispute
                Resolution.

            


    

    


    
      	 	
              (i)

            	
              “Resolution
                Time”
                means 1:00 p.m., New York time, on the Local Business Day following
                the
                date on which the notice is given that gives rise to a dispute under
                Paragraph 5.

            


    

    


    
      	 	
              (ii)

            	
              Value.
                For the purpose of Paragraphs 5(i)(C) and 5(ii), the Value of Posted
                Credit Support other than Cash will be calculated based upon the
                mid-point
                between the bid and offered purchase rates or prices for that Posted
                Credit Support as reported on the Bloomberg electronic service as
                of the
                Resolution Time, or if unavailable, as quoted to the Valuation Agent
                as of
                the Resolution Time by a dealer in that Posted Credit Support of
                recognized standing selected in good faith by the Valuation Agent,
                which
                calculation shall include any unpaid interest on that Posted Credit
                Support to the extent it is the established practice in the relevant
                market.

            


    

    


    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    

    (iii)    Alternative.
      The
      provisions of Paragraph 5 will apply.

    


    
      	
              (g)

            	
              Holding
                and Using Posted
                Collateral.

            


    

    


    
      	 	
              (i)

            	
              Eligibility
                to Hold Posted Collateral; Custodians.
                Secured Party will not be entitled to hold Posted Collateral itself,
                and
                instead the Secured Party will be entitled to hold Posted Collateral
                through the Trustee which Posted Collateral (i) shall not be commingled
                or
                used with any other asset held by the Trustee but shall be held in
                a
                separate account for this purpose only and (ii) shall not be transferred
                to any other person or entity but Party A pursuant to the provisions
                herein except (x) in any case contemplated by Paragraph 8(a) of this
                Annex
                with respect to Party A or (y) as directed by Party A.
                

            


    

    


    
      	 	
              (ii)

            	
              Use
                of Posted Collateral.
                The provisions of Paragraph 6(c) will not apply to Secured Party
                and
                without prejudice to Secured Party’s rights under Paragraph 8 of the
                Credit Support Annex, Secured Party will not take any action specified
                in
                such Section 6(c).

            


    

    


    
      	
              (h)

            	
              Interest
                Amount.

            


    

    


    
      	 	
              (i)

            	
              Interest
                Rate. The“Interest
                Rate” means,
                for any day, the rate of interest actually earned for that day on
                Eligible
                Collateral constituting cash under Paragraph
                13(b)(ii)(A).

            


    

    


    
      	 	
              (ii)

            	
              Transfer
                of Interest Amount.
                The Transfer of the Interest Amount, if any, will be made on the
                first
                Local Business Day of each calendar month and on any Local Business
                Day
                that Posted Collateral in the form of Cash is Transferred to the
                Pledgor
                pursuant to Paragraph 3(b). Any Interest Amount paid by Party B to
                Party A
                hereunder with respect to cash collateral posted by Party A shall
                not
                exceed the actual amount of interest received by Party B with respect
                thereto.

            


    

    


    
      	 	
              (iii)

            	
              Alternative
                to Interest Amount.
                The provisions of Paragraph 6(d)(ii) will
                apply.

            


    

    


    
      	
              (i)

            	
              Additional
                Representation(s). Not
                applicable.

            


    

    


    
      	
              (j)

            	
              Other
                Eligible Support and Other Posted Support. Not
                applicable.

            


    

    


    
      	
              (k)

            	
              Demands
                and Notices. All
                demands, specifications and notices under this Annex will be made
                to a
                party as follows unless otherwise specified from time to time by
                that
                party for purposes of this Annex in a written notice given to the
                other
                party:

            


    

    


    To
      Pledgor:

    


    As
      set
      forth in the Schedule.

    


    To
      Secured Party:

    


    As
      set
      forth in the Schedule.

    


    
      	
              (l)

            	
              Addresses
                for Transfers.

            


    

    


    
      	 	
              (i)

            	
              For
                each Transfer hereunder to Pledgor:

            


    

    


    To
      be
      provided in written instructions.

    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    

    


    
      	 	
              (ii)

            	
              For
                each Transfer hereunder to Secured Party, instructions will be provided
                by
                Secured Party for that specific
                Transfer.

            


    

    


    
      	
              (m)

            	
              Agreement
                as to Single Secured Party and Pledgor.
                Party A and Party B agree that, notwithstanding anything to the contrary
                in the recital of this Annex, Paragraph 1(b) or Paragraph 2 of the
                definitions in Paragraph 12, (a) the term “Secured Party” as used in this
                Annex means only Party B, (b) the term “Pledgor” as used in this Annex
                means only Party A, (c) only Party A makes the pledge and grant in
                Paragraph 2, the acknowledgment in the final sentence of Paragraph
                8(a)
                and the representations in Paragraph 9 and (d) only Party A shall
                be
                required to post Eligible Credit Support hereunder. Party A also
                agrees
                that it shall pay all reasonable costs of transferring Eligible Credit
                Support required to be delivered by Party A to Party B
                hereunder.

            


    

    


    
      	
              (n)

            	
              No
                Gross Up.
                The Secured Party will have no obligation to pay any additional amount
                of
                the kind specified in Section 2(d)(i)(4) of the Agreement with respect
                to
                any Interest Amounts or
                Distributions.

            


    

    


    
      	
              (o)

            	
              Elimination
                of Demand Requirements.
                The parties agree that the phrase “upon a demand made by the Secured
                Party” shall be deleted from Paragraph 3(a) of this Credit Support
                Annex.

            


    

    


    
      	
              (p)

            	
              S&P
                Credit Support Amount.
                The “S&P
                Credit Support Amount”
                means, for any Valuation Date, the excess, if any, of
                

            


    

     

    (I)    (A)     for
      any
      Valuation Date on which (i) an S&P Rating Threshold Event has occurred and
      been continuing for at least 30 days, or (ii) a S&P Required Ratings
      Downgrade Event has occurred and is continuing, an amount equal to the sum,
      for
      each Transaction to which this Annex relates, of (1) 100.0% of the Secured
      Party’s Transaction Exposure for such Valuation Date and (2) the product of the
      Volatility Buffer for such Transaction and the Notional Amount of such
      Transaction for the Calculation Period of such Transaction which includes such
      Valuation Date, or 

    


    
      	 	
              (B)

            	
              for
                any other Valuation Date, zero,
                over

            


    

    


    
      	 	
              (II)

            	
              the
                Threshold for Party A for such Valuation
                Date.

            


    

    


    “S&P
      Required Ratings Downgrade Event”
      means
      that no Relevant Entity has credit ratings at least equal to the S&P
      Required Ratings Threshold.

    


    “S&P
      Required Ratings Threshold” means,
      with respect to Party A, the guarantor under an Eligible Guarantee or an
      Eligible Replacement, a long-term unsecured and unsubordinated debt rating
      or
      counterparty rating from S&P of “BBB-“.

    


    “S&P
      Rating Threshold Event”
      means,
      on any date, no Relevant Entity has credit ratings from S&P which equal or
      exceed the S&P Approved Ratings Threshold.

    


    “Relevant
      Entity” means
      Party A and, to the extent applicable, a guarantor under an Eligible
      Guarantee.

    


    “S&P
      Approved Ratings Threshold”
      means,
      with respect to Party A, the guarantor under an Eligible Guarantee or an
      Eligible Replacement, a short-term unsecured and unsubordinated debt rating
      from
      S&P of “A-1”, or, if such entity does not have a short-term unsecured and
      unsubordinated debt rating from S&P, a long-term unsecured and
      unsubordinated debt rating from S&P of “A+”.

    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    

    


    “Transaction
      Exposure”
      means,
      for any Transaction, Exposure determined as if such Transaction were the only
      Transaction between the Secured Party and the Pledgor.

    


    “Exposure”
      has the
      meaning specified in Paragraph 12, except that after the word “Agreement” the
      words “(assuming, for this purpose only, that Part 1(f) of the Schedule is
      deleted)” shall be inserted. 

     

    TABLE
      A

    


    
      	
              Volatility
                Buffer

            
	
              Counterparty

            	
              Less
                than 5 years to Termination Date of the Transaction.

            	
              Less
                than 10 years, but more than 5 years to Termination Date of the
                Transaction.

            	
              Greater
                than 10 years to Termination Date of the Transaction.

            
	
              The
                rating by S&P of Party A’s long-term unsecured, unsubordinated
                obligations is at least equal to “A”

            	
              3.25%

            	
              4.00%

            	
              4.75%

            
	
              The
                rating by S&P of Party A’s long-term unsecured, unsubordinated
                obligations is equal to “A-”

            	
              4.00%

            	
              5.00%

            	
              6.25%

            
	
              The
                rating by S&P of Party A’s long-term unsecured, unsubordinated
                obligations is equal to or less than “BB+”

            	
              4.50%

            	
              5.75%

            	
              7.50%

            


    

     

    (q)    Moody’s
      Ratings
      Criteria 

    


    “Ratings
      Criteria” means, the criteria used by Moody’s (“Moody’s Criteria”) for the
      purposes of determining the amount of Eligible Credit Support Party A is
      required to transfer at any time when the Threshold with respect to Party A
      is
      zero.

    


    Moody's
      Criteria:

    


    Moody’s
      Credit Support Amount.*
      With
      respect to a Ratings Event (as described in Part 5(f) of the Schedule) relating
      to an action taken by Moody’s, the “Credit
      Support Amount”
      shall
      mean with respect to a Pledgor on a Valuation Date the sum of :

    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    

    


     

    (1)   (A)    for
      any
      Valuation Date on which (I) a Moody’s First Trigger Event has occurred and has
      been continuing (x) for at least 30 Local Business Days or (y) since this Annex
      was executed and (II) it is not the case that a Moody’s Second Trigger Event has
      occurred and been continuing for at least 30 Local Business Days, an amount
      equal to the following:

    


    the
      greater of (a) zero and (b) the sum of (i) the Secured Party’s Transaction
      aggregate Exposure for all Transactions and such Valuation Date and and
      the
      aggregate of Moody’s Additional Collateralized Amounts for each
      Transaction.

    


    For
      the
      purposes of this definition, the “Moody’s
      Additional Collateralized Amount”
with
      respect to any Transaction shall mean: the
      least
      of (x) the product of the Moody’s First Trigger DV01 Multiplier and DV01 for
      each Transaction and such Valuation Date, (y) the product of Moody’s First
      Trigger Notional Amount Multiplier and the Notional Amount for such Transaction
      for the Calculation Period which includes such Valuation Date, and (z) the
      product of the applicable Moody’s First Trigger Factor set forth in Table B and
      the Notional Amount for each Transaction for the Calculation Period which
      includes such Valuation Date; or 

    


    
      	 	
              (B)

            	
              for
                any other Valuation Date, zero,
                over

            


    

     

    the
      Threshold for Party A for such Valuation Date.

     

    “DV01”
      means
      the sum of the estimated change in the Secured Party’s Exposure that would
      result from a one basis point change in the relevant swap curve, as determined
      by the Valuation Agent in good faith and in a commercially reasonable manner
      in
      accordance with the relevant customary methodology used by the Valuation
      Agent.

     

    “Moody’s
      First Trigger Event”
means
      that no Relevant Entity has credit ratings from Moody’s at least equal to the
      Moody’s First Trigger Required Ratings.

    


    “Moody’s
      First Trigger DV01 Multiplier”
means
      (A) if each Local Business Day is a Valuation Date, 15, or (B) otherwise,
      25.


    


    “Moody’s
      First Trigger Notional Amount Multiplier”
means
      (A) if each Local Business Day is a Valuation Date, 2%, or (B) otherwise,
      4%.


     

    OR
      

     

    (2)   (A)   for
      any
      Valuation Date on which it is the case that a Moody’s Second Trigger Event has
      occurred and been continuing for at least 30 Local Business Days, an amount
      equal to the greatest of (a) zero, (b) the
      aggregate amount of the Next Payments for all Next Payment Dates
      and (c)
      the sum of the Secured Party’s aggregate Exposure and the aggregate of Moody’s
      Additional Collateralized Amounts for each Transaction.

    


    For
      the
      purposes of this definition, the “Moody’s
      Additional Collateralized Amount”
with
      respect to any Transaction shall mean: 

    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    

    


    if
      such
      Transaction is not a Transaction-Specific Hedge,

    


    the
      least
      of (i) the product of the Moody’s Second Trigger DV01 Multiplier and DV01 for
      each Transaction and such Valuation Date and (ii) the product of the Moody’s
      Second Trigger Notional Amount Multiplier and the Notional Amount for each
      Transaction for the Calculation Period which includes such Valuation Date,
      and
      (z) the product of the applicable Moody’s Second Trigger Factor set forth in
      Table B and the Notional Amount for each Transaction for the Calculation Period
      which includes such Valuation Date; or

    


    if
      such
      Transaction is a Transaction-Specific Hedge, 

    


    the
      least
      of (i) the product of the Moody’s Second Trigger Transaction-Specific Hedge DV01
      Multiplier and DV01 for each Transaction and such Valuation Date and (ii) the
      product of the Moody’s Second Trigger Transaction-Specific Hedge Notional Amount
      Multiplier and the Notional Amount for each Transaction for the Calculation
      Period which includes such Valuation Date and (z) the product of the applicable
      Moody’s Second Trigger Factor set forth in Table B and the Notional Amount for
      each Transaction for the Calculation Period which includes such Valuation Date;
      or 

    


    
      	 	
              (B)

            	
              for
                any other Valuation Date, zero,
                over

            


    

     

    the
      Threshold for Party A for such Valuation Date.

    


    “Moody’s
      Second Trigger Event”
means
      that no Relevant Entity has credit ratings from Moody’s at least equal to the
      Moody’s Second Trigger Required Ratings.

    


    “Moody’s
      Second Trigger DV01 Multiplier”
means
      (A) if each Local Business Day is a Valuation Date, 50, or (B) otherwise,
      60.

    


    “Moody’s
      Second Trigger Transaction-Specific Hedge DV01
      Multiplier”
means
      (A) if each Local Business Day is a Valuation Date, 65, or (B) otherwise,
      75.

    


    “Moody’s
      Second Trigger Transaction-Specific Hedge Notional Amount
      Multiplier”
means
      (A) if each Local Business Day is a Valuation Date, 10%, or (B) otherwise,
      11%.


    


    “Moody’s
      Second Trigger Notional Amount Multiplier”
means
      (A) if each Local Business Day is a Valuation Date, 8% or (B) otherwise,
      9%.

    


    “Next
      Payment”
means,
      in respect of each Next Payment Date, the greater of (i) the amount of any
      payments due to be made by Party A under Section 2(a) on such Next Payment
      Date
      less any payments due to be made by Party B under Section 2(a) on such Next
      Payment Date (in each case, after giving effect to any applicable netting under
      Section 2(c)) and (ii) zero.

    


    “Next
      Payment Date”
means
      each date on which the next scheduled payment under any Transaction is due
      to be
      paid.

    


    “Transaction-Specific
      Hedge” means
      any
      Transaction that is an interest rate cap, interest rate floor or interest rate
      swaption, or an interest rate swap if (x) the notional amount of the interest
      rate swap is “balance guaranteed” or (y) the notional amount of the interest
      rate swap for any Calculation Period otherwise is not a specific dollar amount
      that is fixed at the inception of the Transaction.

    


    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    

    


    
      	
              (r)

            	
              Other
                Provisions.

            


    

    


    (i)
      Events
      of Default.
      Paragraph 7 will not apply to cause any Event of Default to exist with respect
      to Party B except that Paragraph 7(i) will apply to Party B solely in respect
      of
      Party B’s obligations under Paragraph 3(b) of the Credit Support Annex.
      Notwithstanding anything to the contrary in Paragraph 7, any failure by Party
      A
      to comply with or perform any obligation to be complied with or performed by
      Party A under the Credit Support Annex shall only be an Event of Default if
      (A)
      a Required Ratings Downgrade Event has occurred and been continuing for 30
      or
      more Local Business Days and (B) such failure is not remedied on or before
      the
      third Local Business Day after notice of such failure is given to Party
      A.

    


    (ii)
      Expenses.
      Notwithstanding anything to the contrary in Paragraph 10, the Pledgor will
      be
      responsible for, and will reimburse the Secured Party for, all transfer and
      other taxes and other costs involved in any Transfer of Eligible
      Collateral.

    


    (iii)
      Calculation
      of Value.
      Paragraph 4(c) is hereby amended by deleting the word “Value” and inserting in
      lieu thereof “S&P Value, Moody’s First Trigger Value, Moody’s Second Trigger
      Value”. Paragraph 4(d)(ii) is hereby amended by (A) deleting the words “a Value”
and inserting in lieu thereof “an S&P Value, Moody’s First Trigger Value,
      and Moody’s Second Trigger Value” and (B) deleting the words “the Value” and
      inserting in lieu thereof “S&P Value, Moody’s First Trigger Value, and
      Moody’s Second Trigger Value”. Paragraph 5 (flush language) is hereby amended by
      deleting the word “Value” and inserting in lieu thereof “S&P Value, Moody’s
      First Trigger Value, or Moody’s Second Trigger Value”. Paragraph 5(i) (flush
      language) is hereby amended by deleting the word “Value” and inserting in lieu
      thereof “S&P Value, Moody’s First Trigger Value, and Moody’s Second Trigger
      Value”. Paragraph 5(i)(C) is hereby amended by deleting the word “the Value, if”
and inserting in lieu thereof “any one or more of the S&P Value, Moody’s
      First Trigger Value, or Moody’s Second Trigger Value, as may be”. Paragraph
      5(ii) is hereby amended by (1) deleting the first instance of the words “the
      Value” and inserting in lieu thereof “any one or more of the S&P Value,
      Moody’s First Trigger Value, or Moody’s Second Trigger Value” and (2) deleting
      the second instance of the words “the Value” and inserting in lieu thereof “such
      disputed S&P Value, Moody’s First Trigger Value, or Moody’s Second Trigger
      Value”. Each of Paragraph 8(b)(iv)(B) and Paragraph 11(a) is hereby amended by
      deleting the word “Value” and inserting in lieu thereof “least of the S&P
      Value, Moody’s First Trigger Value, and Moody’s Second Trigger Value”.


    


    (iv)
      Valuation
      Percentage
      shall
      mean, for purposes of determining the S&P Value, Moody's First Trigger
      Value, or Moody's Second Trigger Value with respect to any Eligible Collateral
      or Posted Collateral, the applicable S&P Valuation Percentage, Moody's First
      Trigger Valuation Percentage, or Moody's Second Trigger Valuation Percentage
      for
      such Eligible Collateral or Posted Collateral, respectively, in each case as
      set
      forth in Paragraph 13(b)(ii).

    


    (v) Withholding.
      Paragraph 6(d)(ii) is hereby amended by inserting immediately after “the
      Interest Amount” in the fourth line thereof the words “less any applicable
      withholding taxes.”

    


    (vi)
      Notice
      of Failure to Post Collateral. Upon
      any
      failure by Party A to post collateral as required under this Agreement, Party
      B
      shall, no later than the next Business Day after the date such collateral was
      required to be posted, give a written notice of such failure to Party A and
      to
      Depositor. For the avoidance of doubt, notwithstanding anything in this
      Agreement to the contrary, the failure of Party B to comply with the
      requirements of this paragraph shall not constitute an Event of Default or
      Termination Event.


    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    


    TABLE
      B


    


    
      	
              Weighted
                Average Life of Hedge in Years

            	
              Moody’s
                First Trigger Factor

            	
              Moody’s
                Second Trigger Factor for Transactions other than Transaction-Specific
                Hedges

            	
              Moody’s
                Second Trigger Factor for Transaction-Specific
                Hedges

            
	
              Less
                than 1

            	
              0.25%

            	
              0.60%

            	
              0.75%

            
	
              More
                than 1 but no more than 2

            	
              0.50%

            	
              1.20%

            	
              1.50%

            
	
              More
                than 2 but no more than 3

            	
              0.70%

            	
              1.70%

            	
              2.20%

            
	
              More
                than 3 but no more than 4

            	
              1.00%

            	
              2.30%

            	
              2.90%

            
	
              More
                than 4 but no more than 5

            	
              1.20%

            	
              2.80%

            	
              3.60%

            
	
              More
                than 5 but no more than 6

            	
              1.40%

            	
              3.30%

            	
              4.20%

            
	
              More
                than 6 but no more than 7

            	
              1.60%

            	
              3.80%

            	
              4.80%

            
	
              More
                than 7 but no more than 8

            	
              1.80%

            	
              4.30%

            	
              5.40%

            
	
              More
                than 8 but no more than 9

            	
              2.00%

            	
              4.80%

            	
              6.00%

            
	
              More
                than 9 but no more than 10

            	
              2.20%

            	
              5.30%

            	
              6.60%

            
	
              More
                than 10 but no more than 11

            	
              2.30%

            	
              5.60%

            	
              7.00%

            
	
              More
                than 11 but no more than 12

            	
              2.50%

            	
              6.00%

            	
              7.50%

            
	
              More
                than 12 but no more than 13

            	
              2.70%

            	
              6.40%

            	
              8.00%

            
	
              More
                than 13 but no more than 14

            	
              2.80%

            	
              6.80%

            	
              8.50%

            
	
              More
                than 14 but no more than 15

            	
              3.00%

            	
              7.20%

            	
              9.00%

            
	
              More
                than 15 but no more than 16

            	
              3.20%

            	
              7.60%

            	
              9.50%

            
	
              More
                than 16 but no more than 17

            	
              3.30%

            	
              7.90%

            	
              9.90%

            


    

     

    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    

     

    
      	
              Weighted
                Average Life of Hedge in Years

            	
              Moody’s
                First Trigger Factor

            	
              Moody’s
                Second Trigger Factor for Transactions other than Transaction-Specific
                Hedges

            	
              Moody’s
                Second Trigger Factor for Transaction-Specific
                Hedges

            
	
              More
                than 17 but no more than 18

            	
              3.50%

            	
              8.30%

            	
              10.40%

            
	
              More
                than 18 but no more than 19

            	
              3.60%

            	
              8.60%

            	
              10.80%

            
	
              More
                than 19 but no more than 20

            	
              3.70%

            	
              9.00%

            	
              11.00%

            
	
              More
                than 20 but no more than 21

            	
              3.90%

            	
              9.00%

            	
              11.00%

            
	
              More
                than 21 but no more than 30

            	
              4.00%

            	
              9.00%

            	
              11.00%

            


    

    


    


    



    
      
        
        

      

      
        
        

        
          

        

      

      
        
        

      

    


    IN
      WITNESS WHEREOF
      the
      parties have executed this Credit Support Annex as of the date
      hereof.

    


    SWISS
      RE FINANCIAL PRODUCTS CORPORATION

     

    


    By:
      /s/
      Robert Spuler

    Name:
      Robert Spuler

    Title:
      Senior Vice President

     

     

    WELLS
      FARGO BANK, N.A., not individually but solely as trustee for Carrington Mortgage
      Loan Trust, Series 2006-NC5 with respect to the Carrington Mortgage Loan Trust,
      Series 2006-NC5 Asset-Backed Pass-Through Certificates

     

     

    By: 
      /s/
      Darron C. Woodus
Name:
      Darron C. Woodus
Title:
      Assistant Vice President

     

    


    
      
        
        

      

      
        S-1