EX-99 2 ex99.htm EXHIBIT 99

Exhibit 99

 

MORTGAGE SECURITIES AND LOANS COLLATERALIZING MORTGAGE SECURITIES

As of March 31, 2006

 

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

 

$ 14,074

 

10.3%

 

-

 

-

 

$ 13,169

 

5.86%

 

-

NMFT 2000-2

 

9/28/2000

 

339,688

 

18,210

 

10.4%

 

-

 

-

 

17,332

 

6.76%

 

-

NMFT 2001-1

 

3/31/2001

 

415,067

 

31,424

 

10.4%

 

-

 

-

 

30,670

 

5.60%

 

-

NMFT 2001-2

 

9/25/2001

 

800,033

 

72,962

 

9.9%

 

42%

 

0.15

 

69,542

 

5.63%

 

-

NMFT 2002-1

 

3/28/2002

 

499,998

 

56,329

 

9.3%

 

45%

 

0.35

 

53,512

 

5.24%

 

4

NMFT 2002-2

 

6/28/2002

 

310,000

 

38,400

 

9.6%

 

40%

 

0.41

 

36,288

 

5.23%

 

6

NMFT 2002-3

 

9/27/2002

 

750,003

 

104,158

 

8.7%

 

34%

 

0.46

 

100,408

 

5.21%

 

9

NMFT 2003-1

 

2/27/2003

 

1,300,141

 

236,522

 

8.1%

 

35%

 

0.57

 

219,966

 

6.12%

 

17

NMFT 2003-2

 

6/12/2003

 

1,499,998

 

308,802

 

7.9%

 

46%

 

0.72

 

290,052

 

5.93%

 

20

NMFT 2003-3

 

9/16/2003

 

1,499,374

 

388,929

 

7.6%

 

62%

 

0.92

 

366,429

 

5.78%

 

31

NMFT 2003-4

 

11/20/2003

 

1,499,732

 

386,166

 

8.1%

 

58%

 

0.87

 

368,166

 

5.81%

 

22

NMFT 2004-1

 

3/11/2004

 

1,750,000

 

551,791

 

8.5%

 

44%

 

0.66

 

529,041

 

5.50%

 

20

NMFT 2004-2

 

6/16/2004

 

1,399,999

 

605,114

 

7.5%

 

51%

 

0.66

 

579,914

 

5.43%

 

23

NMFT 2004-3

 

9/9/2004

 

2,199,995

 

1,074,028

 

7.7%

 

81%

 

0.78

 

1,030,028

 

5.49%

 

25

NMFT 2004-4

 

11/18/2004

 

2,500,000

 

1,317,204

 

7.6%

 

76%

 

0.65

 

1,285,955

 

5.43%

 

26

NMFT 2005-1

 

2/22/2005

 

2,100,000

 

1,357,177

 

7.6%

 

72%

 

0.79

 

1,330,928

 

5.24%

 

29

NMFT 2005-2

 

5/27/2005

 

1,799,992

 

1,383,746

 

7.7%

 

70%

 

0.99

 

1,374,746

 

5.19%

 

34

NMFT 2005-3

 

9/22/2005

 

2,499,983

 

2,192,036

 

7.5%

 

68%

 

1.13

 

2,124,536

 

5.14%

 

40

NMFT 2005-4

 

12/15/2005

 

1,599,999

 

1,520,343

 

7.9%

 

67%

 

1.29

 

1,456,290

 

5.10%

 

46

Total

 

 

 

$ 24,994,140

 

$ 11,657,415

 

7.8%

 

66%

 

0.90

 

$ 11,276,972

 

5.34%

 

 

 

 

 


 

 

MORTGAGE SECURITIES AND LOANS COLLATERALIZING MORTGAGE SECURITIES

As of March 31, 2006

 

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

 

$ 9,542

 

9.8%

 

69.7%

540 and below

 

871,395

 

9.1%

 

78.1%

540 to 579

 

1,777,194

 

8.6%

 

79.6%

580 to 619

 

2,287,824

 

8.0%

 

82.0%

620 to 659

 

2,716,014

 

7.5%

 

82.1%

660 and above

 

3,995,446

 

7.2%

 

82.8%

 

 

$ 11,657,415

 

7.8%

 

81.6%

 

 

Table 3 — Loans Collateralizing Mortgage Securities by Geographic Concentration

Percent of Current Principal

Collateral Location

 

California

18%

Florida

18%

Texas

5%

All other states

59%

Total

100%

 

 

Table 4 — Loans Collateralizing Mortgage Securities

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

Product/Type

 

2-Year Fixed

$ 6,313,515

2-Year Fixed Interest-only

1,690,859

3-Year Fixed

379,164

3-Year Fixed Interest-only

96,604

5-Year Fixed

71,427

5-Year Fixed Interest-only

50,817

15-Year Fixed

780,243

30-Year Fixed

2,082,288

30-Year Fixed Interest-only

48,889

Other Products

143,609

Outstanding principal

$ 11,657,415

Fair value of retained mortgage securities

$ 399,099

 

 

 


 

 

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

As of March 31, 2006

 

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

 

$ 230

 

10.4%

 

79.3%

540 and below

 

60,428

 

9.7%

 

75.9%

540 to 579

 

126,266

 

9.3%

 

79.6%

580 to 619

 

178,592

 

8.9%

 

81.9%

620 to 659

 

192,001

 

8.3%

 

81.9%

660 and above

 

279,332

 

7.9%

 

81.9%

 

 

$ 836,849

 

8.6%

 

81.1%

 

 

 

 

 

 

 

Held-in-portfolio:

 

 

 

 

 

 

FICO score not available

 

$ 1,000

 

10.0%

 

77.5%

540 and below

 

117,742

 

9.7%

 

74.6%

540 to 579

 

230,150

 

9.3%

 

78.0%

580 to 619

 

324,690

 

8.9%

 

80.9%

620 to 659

 

425,459

 

7.9%

 

79.6%

660 and above

 

1,386,548

 

7.4%

 

77.0%

 

 

$ 2,485,589

 

8.0%

 

77.9%

 

Table 2 — Mortgage Loans by Geographic Concentration

Percent of Current Principal

Collateral Location

 

Held-for-sale

Florida

 

23%

California

 

17%

Maryland

 

6%

Virginia

 

5%

All other states

 

49%

Total

 

100%

 

 

 

Collateral Location

 

Held-in-portfolio

California

 

45%

Florida

 

15%

All other states

 

40%

Total

 

100%