EX-99 3 ex99-2.htm EXHIBIT 99.2

Exhibit 99.2

 

MORTGAGE SECURITIES AND LOANS COLLATERALIZING MORTGAGE SECURITIES

As of December 31, 2005

 

Table 1 – Summary of Securitizations (dollars in thousands)

 

 

 

 

Loan Collateral

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Remaining

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Prepayment

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Penalty

 

Asset-Backed Bonds

 

 

 

 

 

 

 

 

 

 

 

 

Period

 

 

 

Weighted

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

 

(in years)

 

 

 

Average

 

Estimated

Securitization

 

Issue

 

Original

 

Current

 

Average

 

Prepayment

 

for Loans w/

 

Remaining

 

Interest

 

Months

Trust

 

Date

 

Principal

 

Principal

 

Coupon

 

Penalty

 

Penalty

 

Principal

 

Rate

 

to Call

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NMFT 2000-1

 

3/31/2000

 

$ 230,138

 

$ 14,899

 

10.2%

 

-

 

-

 

$ 13,966

 

5.40%

 

-

NMFT 2000-2

 

9/28/2000

 

339,688

 

19,671

 

10.3%

 

-

 

-

 

18,828

 

6.22%

 

-

NMFT 2001-1

 

3/31/2001

 

415,067

 

36,504

 

10.2%

 

26%

 

0.05

 

35,736

 

5.13%

 

-

NMFT 2001-2

 

9/25/2001

 

800,033

 

80,033

 

9.7%

 

42%

 

0.25

 

76,483

 

4.83%

 

2

NMFT 2002-1

 

3/28/2002

 

499,998

 

63,126

 

9.1%

 

42%

 

0.43

 

59,970

 

4.80%

 

7

NMFT 2002-2

 

6/28/2002

 

310,000

 

43,692

 

9.6%

 

38%

 

0.48

 

41,288

 

4.79%

 

9

NMFT 2002-3

 

9/27/2002

 

750,003

 

116,150

 

8.6%

 

34%

 

0.55

 

112,085

 

4.78%

 

11

NMFT 2003-1

 

2/27/2003

 

1,300,141

 

275,785

 

8.1%

 

34%

 

0.61

 

234,639

 

5.63%

 

20

NMFT 2003-2

 

6/12/2003

 

1,499,998

 

346,390

 

7.9%

 

58%

 

0.83

 

327,640

 

5.40%

 

22

NMFT 2003-3

 

9/16/2003

 

1,499,374

 

451,033

 

7.7%

 

58%

 

0.99

 

428,533

 

5.25%

 

31

NMFT 2003-4

 

11/20/2003

 

1,499,732

 

476,251

 

8.0%

 

53%

 

0.90

 

458,251

 

5.25%

 

25

NMFT 2004-1

 

3/11/2004

 

1,750,000

 

750,080

 

7.6%

 

60%

 

0.67

 

727,330

 

4.94%

 

23

NMFT 2004-2

 

6/16/2004

 

1,399,999

 

681,199

 

7.4%

 

79%

 

0.83

 

655,999

 

4.96%

 

25

NMFT 2004-3

 

9/9/2004

 

2,199,995

 

1,206,415

 

7.7%

 

81%

 

0.96

 

1,162,415

 

5.01%

 

28

NMFT 2004-4

 

11/18/2004

 

2,500,000

 

1,498,414

 

7.6%

 

76%

 

0.84

 

1,467,164

 

4.96%

 

29

NMFT 2005-1

 

2/22/2005

 

2,100,000

 

1,543,209

 

7.6%

 

71%

 

0.95

 

1,516,959

 

4.78%

 

32

NMFT 2005-2

 

5/27/2005

 

1,799,992

 

1,527,351

 

7.7%

 

69%

 

1.14

 

1,518,351

 

4.74%

 

38

NMFT 2005-3

 

9/22/2005

 

2,499,983

 

2,378,349

 

7.5%

 

66%

 

1.27

 

2,310,849

 

4.69%

 

44

NMFT 2005-4

 

12/15/2005

 

1,221,055

 

1,213,728

 

8.0%

 

64%

 

1.35

 

1,528,673

 

4.60%

 

51

Total

 

 

 

$ 24,615,196

 

$ 12,722,279

 

7.7%

 

67%

 

1.01

 

$ 12,695,159

 

4.87%

 

 

 

 

 


 

 

MORTGAGE SECURITIES AND LOANS COLLATERALIZING MORTGAGE SECURITIES

As of December 31, 2005

 

Table 2 — Loans Collateralizing Mortgage Securities by FICO Score

(dollars in thousands)

FICO Score

 

Current Principal

 

Weighted Average Coupon

 

Original Weighted Average Loan-to-Value

FICO score not available

 

$ 10,004

 

9.5%

 

70.2%

540 and below

 

965,704

 

9.0%

 

78.0%

540 to 579

 

1,981,585

 

8.4%

 

79.5%

580 to 619

 

2,505,987

 

8.0%

 

82.1%

620 to 659

 

2,946,485

 

7.5%

 

82.3%

660 and above

 

4,312,514

 

7.2%

 

83.0%

 

 

$ 12,722,279

 

7.7%

 

81.7%

 

 

Table 3 — Loans Collateralizing Mortgage Securities by Geographic Concentration

Percent of Current Principal

Collateral Location

 

California

18%

Florida

18%

Texas

5%

Virginia

4%

Ohio

4%

All other states

51%

Total

100%

 

 

Table 4 — Loans Collateralizing Mortgage Securities

Carrying Value of Loans by Product/Type (in thousands)

Product/Type

 

2-Year Fixed

$ 7,112,368

2-Year Fixed Interest-only

1,780,297

3-Year Fixed

426,512

3-Year Fixed Interest-only

99,932

5-Year Fixed

77,098

5-Year Fixed Interest-only

50,719

15-Year Fixed

836,827

30-Year Fixed

2,156,910

30-Year Fixed Interest-only

47,978

Other Products

133,638

Outstanding principal

$ 12,722,279

Fair value of retained mortgage securities

$ 549,383

 

 

 


 

 

MORTGAGE LOANS HELD-FOR-SALE AND HELD-IN-PORTFOLIO

As of December 31, 2005

 

Table 1 — Mortgage Loans by FICO Score

(dollars in thousands)

FICO Score

 

Current Principal

 

Weighted Average Coupon

 

Original Weighted Average Loan-to-Value

Held-for-sale:

 

 

 

 

 

 

FICO score not available

 

$ 898

 

10.5%

 

80.3%

540 and below

 

78,027

 

9.4%

 

76.4%

540 to 579

 

148,725

 

9.0%

 

79.5%

580 to 619

 

230,344

 

8.5%

 

81.6%

620 to 659

 

301,019

 

8.0%

 

82.1%

660 and above

 

476,146

 

7.5%

 

81.8%

 

 

$ 1,235,159

 

8.1%

 

81.2%

 

 

 

 

 

 

 

Held-in-portfolio:

 

 

 

 

 

 

FICO score not available

 

$ 892

 

10.4%

 

76.8%

540 and below

 

4,283

 

10.2%

 

77.5%

540 to 579

 

5,581

 

10.0%

 

80.6%

580 to 619

 

8,718

 

9.9%

 

83.6%

620 to 659

 

5,781

 

9.6%

 

81.1%

660 and above

 

3,829

 

9.4%

 

80.2%

 

 

$ 29,084

 

9.9%

 

81.0%

 

Table 2 — Mortgage Loans by Geographic Concentration

Percent of Current Principal

Collateral Location

 

Held-for-sale

California

 

22%

Florida

 

21%

Virginia

 

5%

Maryland

 

5%

Arizona

 

4%

All other states

 

43%

Total

 

100%

 

 

 

Collateral Location

 

Held-in-portfolio

Florida

 

12%

North Carolina

 

8%

Indiana

 

7%

Pennsylvania

 

7%

Ohio

 

6%

South Carolina

 

6%

Tennessee

 

6%

All other states

 

48%

Total

 

100%