Exhibit 99.2
MORTGAGE SECURITIES AND LOANS COLLATERALIZING MORTGAGE SECURITIES
As of September 30, 2006
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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| 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 (A) |
| Rate (A) |
| to Call |
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NMFT 2002-1 |
| 3/28/2002 |
| $499,998 |
| $46,270 |
| 9.65% |
| 47% |
| 0.14 |
| $ (B) |
| (B) |
| (B) |
NMFT 2002-2 |
| 6/28/2002 |
| 310,000 |
| 29,503 |
| 10.09% |
| 45% |
| 0.24 |
| 29,701 |
| 6.05% |
| 5 |
NMFT 2002-3 |
| 9/27/2002 |
| 750,003 |
| 80,429 |
| 8.96% |
| 38% |
| 0.34 |
| 76,874 |
| 5.71% |
| 3 |
NMFT 2003-1 |
| 2/27/2003 |
| 1,300,141 |
| 190,152 |
| 8.18% |
| 37% |
| 0.42 |
| 176,841 |
| 6.22% |
| 12 |
NMFT 2003-2 |
| 6/12/2003 |
| 1,499,998 |
| 236,886 |
| 7.98% |
| 40% |
| 0.60 |
| 226,226 |
| 6.22% |
| 14 |
NMFT 2003-3 |
| 9/16/2003 |
| 1,499,374 |
| 315,644 |
| 7.68% |
| 44% |
| 0.72 |
| 304,493 |
| 6.74% |
| 25 |
NMFT 2003-4 |
| 11/20/2003 |
| 1,499,732 |
| 299,684 |
| 8.19% |
| 41% |
| 0.67 |
| 282,214 |
| 6.50% |
| 17 |
NMFT 2004-1 |
| 3/11/2004 |
| 1,750,000 |
| 357,450 |
| 9.04% |
| 53% |
| 0.58 |
| 335,197 |
| 6.28% |
| 14 |
NMFT 2004-2 |
| 6/16/2004 |
| 1,399,999 |
| 320,916 |
| 8.87% |
| 51% |
| 0.70 |
| 295,716 |
| 6.21% |
| 16 |
NMFT 2004-3 |
| 9/9/2004 |
| 2,199,995 |
| 630,324 |
| 9.47% |
| 45% |
| 0.67 |
| 588,324 |
| 6.22% |
| 19 |
NMFT 2004-4 |
| 11/18/2004 |
| 2,500,000 |
| 975,189 |
| 7.92% |
| 39% |
| 0.32 |
| 945,331 |
| 6.00% |
| 20 |
NMFT 2005-1 |
| 2/22/2005 |
| 2,100,000 |
| 1,045,194 |
| 7.60% |
| 73% |
| 0.45 |
| 1,043,888 |
| 5.75% |
| 23 |
NMFT 2005-2 |
| 5/27/2005 |
| 1,799,992 |
| 1,083,498 |
| 7.65% |
| 72% |
| 0.66 |
| 1,074,498 |
| 5.76% |
| 49 |
NMFT 2005-3 |
| 9/22/2005 |
| 2,499,983 |
| 1,752,279 |
| 7.46% |
| 70% |
| 0.83 |
| 1,684,780 |
| 5.68% |
| 36 |
NMFT 2005-4 |
| 12/15/2005 |
| 1,599,999 |
| 1,257,568 |
| 7.91% |
| 69% |
| 0.99 |
| 1,204,768 |
| 5.65% |
| 41 |
NMFT 2006-2 |
| 6/19/2006 |
| 1,021,102 |
| 956,873 |
| 8.78% |
| 66% |
| 1.24 |
| 938,572 |
| 5.51% |
| 47 |
NMFT 2006-3 |
| 6/29/2006 |
| 1,100,000 |
| 1,066,737 |
| 8.98% |
| 66% |
| 1.34 |
| 1,041,988 |
| 5.52% |
| 49 |
NMFT 2006-4 |
| 8/29/2006 |
| 1,025,359 |
| 1,014,261 |
| 9.26% |
| 58% |
| 1.27 |
| 983,550 |
| 5.76% |
| 49 |
NMFT 2006-5 (C) |
| 9/28/2006 |
| 740,283 |
| 738,814 |
| 9.37% |
| 62% |
| 1.42 |
| 1,266,931 |
| 5.92% |
| 51 |
Total |
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| $27,095,958 |
| $12,397,671 |
| 8.32% |
| 61% |
| 0.86 |
| $12,499,892 |
| 5.84% |
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(A) | Does not include subordinated bonds retained by the Company. |
(B) | On October 25, 2006 the Company exercised its call right for the NMFT Series 2002-1 securitization trust. |
(C) | All of the bonds, net of what the Company retained, were sold to third party investors at the date of the initial close of the securitization, but the Company did not deliver the remaining $559.7 million of loans collateralizing NMFT Series 2006-5 until October 20, 2006. |
MORTGAGE SECURITIES AND LOANS COLLATERALIZING MORTGAGE SECURITIES
As of September 30, 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 |
| $ 8,110 |
| 10.05% |
| 69.3% |
540 and below |
| 914,475 |
| 9.66% |
| 77.3% |
540 to 579 |
| 1,886,489 |
| 9.08% |
| 79.6% |
580 to 619 |
| 2,631,093 |
| 8.60% |
| 82.3% |
620 to 659 |
| 2,862,217 |
| 8.05% |
| 82.3% |
660 and above |
| 4,095,287 |
| 7.66% |
| 82.8% |
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| $ 12,397,671 |
| 8.32% |
| 81.7% |
Table 3 — Loans Collateralizing Mortgage Securities by Geographic Concentration
Percent of Current Principal
Collateral Location |
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Florida | 19% |
California | 16% |
All other states | 65% |
Total | 100% |
Table 4 — Loans Collateralizing Mortgage Securities
Carrying Value of Loans by Product/Type (in thousands)
Product/Type |
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| Percent of Total |
2-Year Fixed | $ 6,252,152 |
| 50% |
30-Year Fixed | 2,254,410 |
| 18% |
2-Year Fixed Interest-only | 1,735,051 |
| 14% |
2-Year Fixed 40/30 | 596,391 |
| 5% |
30/15-Year Fixed | 446,933 |
| 4% |
15-Year Fixed | 366,719 |
| 3% |
3-Year Fixed | 308,726 |
| 2% |
Other Products | 437,289 |
| 4% |
Outstanding principal | $ 12,397,671 |
| 100% |
MORTGAGE LOANS HELD-FOR-SALE AND HELD-IN-PORTFOLIO
As of September 30, 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: |
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FICO score not available |
| $ 921 |
| 9.97% |
| 70.1% |
540 and below |
| 123,074 |
| 10.08% |
| 80.2% |
540 to 579 |
| 251,444 |
| 9.78% |
| 83.0% |
580 to 619 |
| 360,987 |
| 9.31% |
| 85.0% |
620 to 659 |
| 339,564 |
| 8.85% |
| 84.8% |
660 and above |
| 383,880 |
| 8.16% |
| 84.4% |
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| $ 1,459,870 |
| 9.05% |
| 84.0% |
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Held-in-portfolio: |
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FICO score not available |
| $ 15,240 |
| 7.62% |
| 73.6% |
540 and below |
| 95,476 |
| 9.78% |
| 75.0% |
540 to 579 |
| 192,767 |
| 9.36% |
| 78.1% |
580 to 619 |
| 296,823 |
| 8.90% |
| 80.7% |
620 to 659 |
| 409,795 |
| 8.20% |
| 79.3% |
660 and above |
| 1,356,591 |
| 7.84% |
| 77.2% |
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| $ 2,366,692 |
| 8.23% |
| 78.0% |
Table 2 — Mortgage Loans by Geographic Concentration
Percent of Current Principal
Collateral Location |
| Held-for-sale |
Florida |
| 18% |
California |
| 10% |
Ohio |
| 6% |
Michigan |
| 5% |
All other states |
| 61% |
Total |
| 100% |
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Collateral Location |
| Held-in-portfolio |
California |
| 42% |
Florida |
| 18% |
All other states |
| 40% |
Total |
| 100% |