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% |