Exhibit 99
MORTGAGE SECURITIES AND LOANS COLLATERALIZING MORTGAGE SECURITIES
As of September 30, 2005
Table 1 – Summary of Securitizations (dollars in thousands)
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| Remaining |
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| Prepayment |
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| Penalty |
| Asset-Backed Bonds | ||||
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| Period |
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| Weighted |
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| 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 |
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NMFT 2000-1 |
| 3/31/2000 |
| $ 230,138 |
| $ 16,441 |
| 10.2% |
| - |
| - |
| $ 15,628 |
| 4.82% |
| - |
NMFT 2000-2 |
| 9/28/2000 |
| 339,688 |
| 22,846 |
| 10.3% |
| 4% |
| - |
| 21,864 |
| 5.50% |
| - |
NMFT 2001-1 |
| 3/31/2001 |
| 415,067 |
| 40,644 |
| 10.2% |
| 39% |
| 0.14 |
| 39,657 |
| 4.24% |
| - |
NMFT 2001-2 |
| 9/25/2001 |
| 800,033 |
| 88,959 |
| 9.7% |
| 40% |
| 0.34 |
| 85,482 |
| 4.27% |
| 5 |
NMFT 2002-1 |
| 3/28/2002 |
| 499,998 |
| 71,135 |
| 9.1% |
| 40% |
| 0.52 |
| 67,578 |
| 4.25% |
| 10 |
NMFT 2002-2 |
| 6/28/2002 |
| 310,000 |
| 49,970 |
| 9.2% |
| 38% |
| 0.58 |
| 47,222 |
| 4.28% |
| 13 |
NMFT 2002-3 |
| 9/27/2002 |
| 750,003 |
| 142,412 |
| 8.4% |
| 30% |
| 0.57 |
| 137,427 |
| 4.34% |
| 16 |
NMFT 2003-1 |
| 2/27/2003 |
| 1,300,141 |
| 322,622 |
| 8.0% |
| 54% |
| 0.72 |
| 280,755 |
| 4.94% |
| 24 |
NMFT 2003-2 |
| 6/12/2003 |
| 1,499,998 |
| 407,505 |
| 7.8% |
| 56% |
| 0.94 |
| 388,755 |
| 4.74% |
| 28 |
NMFT 2003-3 |
| 9/16/2003 |
| 1,499,374 |
| 574,476 |
| 7.5% |
| 62% |
| 1.04 |
| 551,976 |
| 4.59% |
| 36 |
NMFT 2003-4 |
| 11/20/2003 |
| 1,499,732 |
| 661,304 |
| 7.4% |
| 60% |
| 0.89 |
| 643,305 |
| 4.56% |
| 29 |
NMFT 2004-1 |
| 3/11/2004 |
| 1,750,000 |
| 882,462 |
| 7.5% |
| 79% |
| 0.83 |
| 859,711 |
| 4.34% |
| 31 |
NMFT 2004-2 |
| 6/16/2004 |
| 1,399,999 |
| 791,445 |
| 7.4% |
| 78% |
| 1.00 |
| 766,245 |
| 4.37% |
| 33 |
NMFT 2004-3 |
| 9/9/2004 |
| 2,199,995 |
| 1,412,755 |
| 7.7% |
| 79% |
| 1.13 |
| 1,368,755 |
| 4.42% |
| 34 |
NMFT 2004-4 |
| 11/18/2004 |
| 2,500,000 |
| 1,786,866 |
| 7.6% |
| 75% |
| 1.00 |
| 1,755,617 |
| 4.37% |
| 38 |
NMFT 2005-1 |
| 2/22/2005 |
| 2,100,000 |
| 1,753,705 |
| 7.6% |
| 70% |
| 1.10 |
| 1,727,455 |
| 4.20% |
| 44 |
NMFT 2005-2 |
| 5/27/2005 |
| 1,799,992 |
| 1,683,971 |
| 7.7% |
| 67% |
| 1.27 |
| 1,674,979 |
| 4.17% |
| 49 |
NMFT 2005-3 |
| 9/22/2005 |
| 1,989,468 |
| 1,978,893 |
| 7.5% |
| 65% |
| 1.37 |
| 2,422,924 |
| 4.13% |
| 53 |
Total |
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| $ 22,883,626 |
| $12,688,411 |
| 7.7% |
| 69% |
| 1.08 |
| $ 12,855,335 |
| 4.32% |
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MORTGAGE SECURITIES AND LOANS COLLATERALIZING MORTGAGE SECURITIES
As of September 30, 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 |
| $ 4,914 |
| 7.9% |
| 69.2% |
540 and below |
| 990,913 |
| 8.9% |
| 78.1% |
540 to 579 |
| 2,028,429 |
| 8.4% |
| 79.5% |
580 to 619 |
| 2,472,673 |
| 7.9% |
| 82.2% |
620 to 659 |
| 2,938,643 |
| 7.4% |
| 82.5% |
660 and above |
| 4,252,839 |
| 7.1% |
| 83.1% |
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| $ 12,688,411 |
| 7.7% |
| 81.8% |
Table 3 — Loans Collateralizing Mortgage Securities by Geographic Concentration
Percent of Current Principal
Collateral Location |
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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 |
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2-Year Fixed | $ 7,312,971 |
2-Year Fixed Interest-only | 1,593,151 |
3-Year Fixed | 465,634 |
3-Year Fixed Interest-only | 94,238 |
5-Year Fixed | 80,206 |
5-Year Fixed Interest-only | 47,082 |
15-Year Fixed | 429,265 |
30-Year Fixed | 2,106,031 |
30-Year Fixed Interest-only | 36,593 |
Other Products | 523,240 |
Outstanding principal | $ 12,688,411 |
Fair value of retained mortgage securities | $ 541,948 |
MORTGAGE LOANS HELD-FOR-SALE AND HELD-IN-PORTFOLIO
As of September 30, 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: |
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FICO score not available |
| $ 1,134 |
| 9.7% |
| 74.0% |
540 and below |
| 92,061 |
| 8.9% |
| 79.1% |
540 to 579 |
| 166,576 |
| 8.4% |
| 81.4% |
580 to 619 |
| 257,778 |
| 7.8% |
| 82.5% |
620 to 659 |
| 283,989 |
| 7.4% |
| 82.5% |
660 and above |
| 382,318 |
| 6.9% |
| 81.8% |
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| $ 1,183,856 |
| 7.6% |
| 81.8% |
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Held-in-portfolio: |
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FICO score not available |
| $ 7,934 |
| 10.4% |
| 70.9% |
540 and below |
| 5,646 |
| 10.5% |
| 78.7% |
540 to 579 |
| 7,202 |
| 10.1% |
| 79.9% |
580 to 619 |
| 10,210 |
| 9.8% |
| 83.8% |
620 to 659 |
| 7,142 |
| 9.7% |
| 80.7% |
660 and above |
| 4,364 |
| 9.4% |
| 80.0% |
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| $ 42,498 |
| 10.0% |
| 79.1% |
Table 2 — Mortgage Loans by Geographic Concentration
Percent of Current Principal
Collateral Location |
| Held-for-sale |
California |
| 19% |
Florida |
| 17% |
Virginia |
| 5% |
Maryland |
| 5% |
Ohio |
| 4% |
All other states |
| 50% |
Total |
| 100% |
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Collateral Location |
| Held-in-portfolio |
Florida |
| 11% |
Indiana |
| 7% |
Texas |
| 7% |
California |
| 6% |
North Carolina |
| 6% |
All other states |
| 63% |
Total |
| 100% |