Exhibit 99.2
MORTGAGE SECURITIES AND LOANS COLLATERALIZING MORTGAGE SECURITIES
As of December 31, 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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| (in years) |
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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 |
| $ 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 |
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| $ 24,615,196 |
| $ 12,722,279 |
| 7.7% |
| 67% |
| 1.01 |
| $ 12,695,159 |
| 4.87% |
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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% |
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| $ 12,722,279 |
| 7.7% |
| 81.7% |
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 | $ 7,112,368 |
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: |
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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% |
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| $ 1,235,159 |
| 8.1% |
| 81.2% |
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Held-in-portfolio: |
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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% |
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| $ 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% |
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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% |