Attached files
| file | filename |
|---|---|
| EX-99.1 - PRESS RELEASE - FLAGSTAR BANCORP INC | d247859dex991.htm |
| 8-K - FORM 8-K - FLAGSTAR BANCORP INC | d247859d8k.htm |
 Earnings
Presentation Third Quarter 2011
October 26, 2011
Presenters:
Joseph P. Campanelli
Chief Executive Officer
Paul D. Borja
Chief Financial Officer
Exhibit 99.2 |
 2
Legal Disclaimer
This presentation includes forward-looking statements (as such term is defined in the
Private Securities Litigation Reform Act of 1995) and includes comments with
respect
to
our
objectives
and
strategies,
and
the
results
of
our
operations
and
our
business.
Forward-looking
statements
can
be
identified
by
the
fact
that
they
do
not
relate
strictly
to
historical
or
current
facts.
They
often
include
words
such
as
“expects,”
“assumes,”
“anticipates,”
“intends,”
“plans,”
“believes,”
“seeks,”
“estimates”
or
words
of
similar
meaning,
or
future
or
conditional
words
such
as
“assuming,”
“will,”
“would,”
“possible,”
“proposed,”
“projected,”
“positioned,”
“vision,”
“opportunity,”
“should,”
“could,”
“indicative,”
“target”
or “may.”
Forward-looking statements provide our expectations or predictions of future conditions,
events or results. They are not guarantees of future performance. By their
nature, these forward-looking statements involve numerous assumptions, uncertainties and opportunities, both general and specific. These statements speak
only as of the date they are made. We do not undertake to update forward-looking
statements to reflect the impact of circumstances or events that arise after the date
the forward-looking statements were made. There a number of factors, many of which are beyond our control that could cause actual conditions, events or
results to differ significantly from those described in the forward looking statements.
Some of these are: •
Volatile
interest
rates
that
impact,
amongst
other
things,
(i)
the
mortgage
banking
business,
(ii)
our
ability
to
originate
loans
and
sell
assets
at
a
profit,
(iii)
prepayment speeds and (iv) our cost of funds, could adversely affect earnings, growth
opportunities and our ability to pay dividends to shareholders.
•
Our ability to maintain capital levels.
•
Competitive factors for loans could negatively impact gain on loan sale margins.
•
Competition from banking and non-banking companies for deposits and loans can affect our
growth opportunities, earnings, gain on sale margins, market share and ability to
transform business model. •
Changes in the regulation of financial services companies and government-sponsored housing
enterprises, and in particular, declines in the liquidity of the mortgage loan
secondary market, could adversely affect business. •
Changes
in
regulatory
capital
requirements
or
an
inability
to
achieve
desired
capital
ratios
could
adversely
affect
our
growth
and
earnings
opportunities
and our ability to originate certain types of loans, as well as our ability to sell certain
types of assets for fair market value or to transform business model.
•
General business and economic conditions, including unemployment rates, further movements in
interest rates, the slope of the yield curve, any increase in fraud and other criminal
activity and the further decline of asset values in certain geographic markets, may significantly affect the company’s business
activities, loan losses, reserves, earnings and business prospects.
•
Factors
concerning
the
implementation
of
proposed
enhancements
and
transformation
of
business
model
could
result
in
slower
implementation
times
than we anticipate and negate any competitive advantage that we may enjoy.
•
The
Georgia
and
Indiana
branch
sales
are
subject
to
the
satisfaction
of
customary
closing
conditions
and
receipt
of
regulatory
approval.
Because
of
business,
economic
or
market
conditions
or
for
any
other
reasons
within
or
outside
of
the
Company’s
discretion,
the
Company’s
sale
of
its
Georgia
and
Indiana branches may not result in the anticipated gain or loss and may not be consummated in
a timely manner or at all. Readers should carefully review Flagstar’s financial
statements and notes thereto, as well as the risk factors described in Flagstar’s Annual Report on Form 10-K for
the year ended December 31, 2010, Form 10-Q for the period ended June 30, 2011, and other
documents Flagstar files from time to time with the Securities and Exchange
Commission.
The
information
contained
in
this
presentation
does
not
constitute
a
solicitation
to
buy
Flagstar
securities. |
 3
Third Quarter 2011 Highlights
81% linked quarter improvement in net loss to common stockholders
$102.5 million in pre-tax, pre-credit-cost income, largest quarterly amount since
2009 Increased gain on loan sale income to $103.9 million, or 153 bps
105% increase in residential mortgage rate lock commitments
Improved bank net interest margin to 2.30%, as compared to 1.86%
in 2Q11
Grew average interest earnings assets by 3.4% from prior quarter
Entered into agreements to divest Georgia and Indiana deposit franchises, anticipated
gain of $24 million on Indiana transaction
Continued to de-risk balance sheet, selling $15.4 million of non-performing commercial
real estate assets, resulting in gain of $0.1 million
Reduced funding costs and increased core deposits
Maintained strong capital and liquidity levels --
Tier 1 ratio of 9.3% and cash and cash
equivalents equal to 6.6% of total assets |
 4
Summary Financial Results
($ in millions, except per share data)
Q3 2011
Q2 2011
Q3 2010
Net Interest Income
$65.6
$51.3
$51.2
Provision
$36.7
$48.4
$51.4
Gain on Loan Sale
$103.9
$39.8
$103.2
MSR Income
$16.9
$30.6
$23.3
Net Earnings / (Loss)
($14.2)
($74.9)
($22.6)
Diluted Earnings / (Loss) per Share
($0.03)
($0.14)
($0.15)
Total Assets
$13,734.0
$12,662.8
$13,836.6
Total Stockholders' Equity
$1,159.3
$1,174.4
$1,060.7
Book Value per Common Share
$1.63
$1.66
$5.30
NPLs / Gross Loans HFI
6.52%
6.75%
12.46%
NPAs / Total Assets (Bank)
4.09%
4.10%
8.25%
ALLL / NPLs
63.39%
67.93%
52.01%
ALLL / Gross Loans HFI
4.13%
4.59%
6.48%
NPAs / Tier 1 Capital + General Reserves
38.58%
34.42%
70.44%
Tier 1 Capital Ratio
9.31%
10.07%
9.12%
Total Risk Based Capital Ratio
17.64%
19.73%
16.87%
Total Equity / Total Assets
8.44%
9.27%
7.67% |
 5
Pre-tax, Pre-credit-cost Income
--
Largest quarterly level of earnings before taxes and credit costs since 2009…
$ in millions
Q3 2011
Q2 2011
Q1 2011
Q4 2010
Q3 2010
Loss before tax provision and dividends
($9.2)
($69.9)
($26.7)
($185.3)
($17.9)
Add back:
Provision for loan losses
36.7
48.4
28.3
225.4
51.4
Asset resolution
34.5
23.3
38.1
41.8
44.3
Other than temporary impairment on investments AFS
1.3
15.6
0.0
1.3
0.0
Secondary marketing reserve provision
39.0
21.4
20.4
10.3
13.0
Write down of residual interests
0.2
2.3
2.4
(3.8)
4.7
Total credit related costs:
111.7
110.9
89.2
275.0
113.3
Pre-tax, pre credit-cost income
$102.5
$41.0
$62.5
$89.7
$95.4 |
 6
Net Interest Margin
($ in millions)
--
Bank
net
interest
margin
increased
significantly
from
the
prior
quarter,
driven
by
increase
in
interest earning assets, higher average yields on assets and lower funding costs…
|
 7
Cost of Funds
--
Average cost of funds continues to steadily decline, driven by a decrease in deposit
funding
costs.
Refinanced
$1
billion
of
FHLB
advances,
which
is
anticipated
to
result
in
$14.1 million in annual interest savings…
($ in millions)
$41.9
$41.5
$40.3
$31.0
$27.0
$24.9
$22.7
$41.8
$42.2
$39.8
$31.2
$30.0
$30.2
$30.1
$4.8
$3.9
$2.0
$1.7
$1.6
$1.6
$1.6
3.05%
3.02%
2.86%
2.31%
2.27%
2.21%
2.09%
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
8.00%
$0
$20
$40
$60
$80
$100
$120
Q1 2010
Q2 2010
Q3 2010
Q4 2010
Q1 2011
Q2 2011
Q3 2011
Deposit Interest Expense
FHLB Interest Expense
Other Interest Expense
Average Funding Cost |
 $1,824.0
$1,899.5
$2,153.4
$2,304.1
$2,447.0
$2,514.2
35.01%
35.22%
39.99%
41.94%
46.95%
45.67%
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
$0
$500
$1,000
$1,500
$2,000
$2,500
Q2 2010
Q3 2010
Q4 2010
Q1 2011
Q2 2011
Q3 2011
Retail Core
Retail Core / Retail Deposits
8
Core Deposits
--
Retail core deposits increased for seventh consecutive quarter…
Note: Includes checking accounts, savings accounts, and money market accounts (excludes
custodial accounts). ($ in millions) |
 9
Residential Mortgage Originations
--
Third
quarter
residential
mortgage
origination
volume
increased
by
49%
from
prior
quarter…
$6,902
$4,330
$5,452
$7,614
$9,165
$4,856
$4,643
$6,926
$0
$1,000
$2,000
$3,000
$4,000
$5,000
$6,000
$7,000
$8,000
$9,000
$10,000
Residential Mortgage Originations
($ in millions) |
 10
Gain on Loan Sales
--
Third
quarter
gain
on
loan
sale
income
increased
both
in
dollar
and
in
margin,
from
prior
quarter…
($ in millions) |
 11
Historical Monthly Lock Volume
Note: Residential mortgage volume.
($ in millions)
--
Residential mortgage rate locks increased significantly during Q3, reflecting the interest rate
environment and increased refinancing activity…
$1,500
$2,500
$3,500
$4,500
$5,500
$6,500
$7,500
2006
2007
2008
2009
2010
2011 |
 12
Mortgage Servicing Rights (MSR) Income
--
Mortgage servicing rights portfolio, net of hedges, continues to generate substantial
revenues…
Note: MSR income includes net loan administration income and net gain or loss on trading
securities. ($ in millions)
$15.0
$23.3
$28.1
$39.3
$30.6
$16.9
$0
$5
$10
$15
$20
$25
$30
$35
$40
$45
Q2 2010
Q3 2010
Q4 2010
Q1 2011
Q2 2011
Q3 2011
MSR Income |
 13
Credit Related Expenses
--
Credit related expenses related to the legacy portfolio continue to be challenged…
Note:
Provision
for
Q4
2010
excludes
$176.5
million
related
to
a
loss
on
the
sale
of
$474
million
of
non-performing
loans
and
the
concurrent
transfer
of
$104.2 million of such loans to the available-for-sale category.
$86.0
$51.4
$48.9
$28.3
$48.4
$36.7
$52.6
$44.3
$41.8
$38.1
$23.3
$34.5
$11.4
$13.0
$10.3
$20.4
$21.4
$39.0
$0
$20
$40
$60
$80
$100
$120
$140
$160
Q2 2010
Q3 2010
Q4 2010
Q1 2011
Q2 2011
Q3 2011
Provision for loan losses
Asset resolution
Secondary marketing reserve provision
($ in millions) |
 14
Asset Quality
(1) Consumer loans include: residential first mortgage, second mortgage, construction,
warehouse lending, HELOC, and other consumer loans. Commercial
loans
include:
commercial
real
estate,
commercial
and
industrial,
and
commercial
lease
financing
loans.
(2) Includes non-performing loans available-for-sale.
Totals may not foot due to rounding
$ in millions
Q3 2011
Q2 2011
Q3 2010
Consumer
(1)
$91.3
$91.2
$97.7
Commercial
(1)
$13.7
$1.4
$15.1
Total 30 Day Delinquent Loans
$105.0
$92.6
$112.7
Consumer
(1)
$46.0
$46.1
$49.8
Commercial
(1)
$10.5
$0.2
$24.0
Total 60 Day Delinquent Loans
$56.5
$46.3
$73.7
Consumer
(1)
$352.4
$298.8
$670.1
Commercial
(1)
$92.5
$104.6
$241.3
Total90+ Day Delinquent Loans
$444.9
$403.4
$911.4
Non-performing Assets
(2)
$561.6
$518.8
$1,141.1
To Total Assets (Bank only)
4.09%
4.10%
8.25%
Classified Assets
$1,003.5
$895.7
$1,684.4
Provision for Loan Losses
$36.7
$48.4
$51.4
Charge-offs, Net of Recoveries
$28.7
$45.4
$107.4
Allowance for Loan Losses
$282.0
$274.0
$474.0
To Loans Held for Investment
4.13%
4.59%
6.48%
To Non-performing Loans
63.39%
67.93%
52.01%
Real Estate Owned
$113.4
$110.1
$198.6 |
 15
HFI Residential First Mortgage Delinquencies
Note: Calculated using OTS method.
--
Since beginning of 2011, pace of increase on 90+ day residential first mortgages has
declined, while 30 day and 60 day residential delinquent mortgages are flat…
|
 16
Repurchase Demands
--
Consistent
with
industry
trends,
agency
repurchase
demands
have
increased
significantly… |
 17
Allowance for Loan Losses
--
Allowance for loan losses remains at strong levels…
($ in millions)
$474
$528
$524
$538
$530
$474
$274
$271
$274
$282
50.38%
50.03%
48.90%
47.35%
52.28%
52.01%
86.05%
73.61%
67.93%
63.39%
20.00%
40.00%
60.00%
80.00%
100.00%
120.00%
140.00%
160.00%
$0
$100
$200
$300
$400
$500
$600
Allowance for Loan Losses
ALLL / Non-performing Loans |
 18
Regulatory Capital Ratios
--
Tier 1 capital ratio remains at historically high level…
7.22%
7.19%
6.39%
6.19%
9.39%
9.24%
9.12%
9.61%
9.87%
10.07%
9.31%
13.58%
13.67%
12.06%
11.68%
17.98%
17.20%
16.87%
18.55%
20.51%
19.73%
17.64%
0.00%
5.00%
10.00%
15.00%
20.00%
Mar-09
Jun-09
Sep-09
Dec-09
Mar-10
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11
Sep-11
Tier 1 (Core) Capital Ratio
Total Risk Based Capital Ratio |
  19
Pro Forma Common Book Value Per Share
--
Pro forma common book value per share of $2.28 after DTA reversal and TARP
redemption… Totals may not foot due to rounding
($ in millions, except for per share data)
Tangible Common
Equity
TCE Per Share
(1)
Preferred Equity
Total Equity
At September 30, 2011
906
$
1.63
$
253
$
1,159
$
DTA Reversal
370
0.67
-
370
Pro Forma DTA
reversal 1,276
2.30
253
1,530
TARP Redemption
-
-
(253)
(253)
Reconciling item for
TARP Redemption (difference in book value and face value is reduction in common
equity)
(15)
(0.03)
-
(15)
Pro Forma
DTA reversal and TARP Redemption 1,262
$
2.28
$
-
$
1,262
$
(1) Based on 555.0 million of total
common shares outstanding |
 20
Michigan Branch Network
Detroit Metro Area
Lansing
Saginaw
Big Rapids
Grand Rapids
Flint
Jackson
Kalamazoo
Holland
Battle Creek
Monroe
I-96
I-94
I-69
--
Ranked 6
th
largest in deposits in Michigan, with 4.43% market share…
Source: SNL Financial, as of June 30, 2010. |
 Appendix
*
*
*
*
*
* |
 22
Full Income Statement
Totals may not foot due to rounding
($ in millions, except per share data)
Q3 2011
Q2 2011
Q3 2010
Net Interest Income
$65.6
$51.3
$51.2
Provision for Loan Losses
36.7
48.4
51.4
Net Interest Income after Provision
28.9
2.9
(0.2)
Noninterest Income
112.6
58.1
144.9
Noninterest Expense
150.7
130.9
162.6
Net Earnings (before tax provision)
(9.2)
(69.9)
(17.9)
Provision for Income Taxes
0.3
0.3
0.0
Net Earnings (before preferred dividends)
(9.5)
(70.2)
(17.9)
Preferred Dividends
(4.7)
(4.7)
(4.7)
Net Earnings
($14.2)
($74.9)
($22.6)
Weighted average common shares outstanding
$554.8
$554.1
$153.5
Diluted Loss per Share
($0.03)
($0.14)
($0.15) |
 23
Select Balance Sheet Items
Totals may not foot due to rounding
($ in millions)
Q3 2011
Q2 2011
Q3 2010
Total assets
$13,734.0
$12,662.8
$13,836.6
Cash and interest earning deposits
$902.8
$757.9
$1,013.1
First mortgage loans
3,828.1
3,745.2
4,489.8
Second
mortgage loans 146.5
155.5
185.1
Commercial real estate loans
1,268.9
1,111.1
1,341.0
Warehouse
loans 995.7
513.7
913.5
Consumer lending
305.9
318.4
373.1
Non-real estate commercial loans
276.7
131.1
9.8
Investment loan portfolio
$6,821.7
$5,975.1
$7,312.2
Loans held for sale
$2,080.9
$2,002.9
$1,943.1
Loans repurchased with government guarantees
1,746.0
1,711.6
1,500.6
Securities classified as trading
312.8
292.4
161.0
Securities classifed as available for sale
521.3
551.2
503.6
Mortgage servicing rights
437.3
577.4
447.0 |
 24
Deposit Mix
Note: Represents the ending balance and rate for period noted. Retail core deposits include
retail demand, savings and money market. Totals may not foot due to rounding
($ in millions)
Balance
Rate
Balance
Rate
Balance
Rate
Retail Deposits:
Demand deposits
640
$
0.19%
623
$
0.20%
551
$
0.32%
Savings deposits
1,318
0.74%
1,236
0.74%
809
1.01%
Money market deposits
557
0.62%
588
0.73%
540
0.96%
Certificates of deposit
2,990
1.59%
2,765
1.76%
3,494
2.39%
Total retail deposits
5,504
1.13%
5,212
1.21%
5,394
1.83%
Core retail deposits / retail deposits
45.67%
46.95%
35.22%
Government Banking Deposits:
Demand deposits
97
0.45%
62
0.44%
184
0.26%
Savings deposits
502
0.65%
384
0.65%
283
0.65%
Certificates of deposit
362
0.66%
229
0.76%
303
0.94%
Total government banking deposits
961
0.63%
675
0.67%
770
0.67%
Company controlled deposits
1,043
0.00%
815
0.00%
1,140
0.00%
Wholesale deposits
619
3.04%
703
3.28%
1,258
2.73%
Total deposits
$ 8,128
1.07%
$ 7,405
1.23%
$ 8,562
1.61%
Number of banking branches
As of Sep 30, 2011
As of Jun 30, 2011
As of Sep 30, 2010
162
162
162 |
 25
First Mortgage Portfolio –
by State
Note: Reflects unpaid principal balance of underlying loans before accounting adjustments for
discounts and other items. Also excludes loans eligible for repurchase from
Ginnie Mae pools. As of Sep 30, 2011
Totals may not foot due to rounding
ARM
Fixed
Balloon
Total
% of
Total
ARM
Fixed
Balloon
First HELOC
Power
Option ARM
Total
% of
Total
CA
50,056
$
761,213
$
-
$
811,269
$
42.7%
614,198
$
501,167
$
62,843
$
443
$
40,039
$
1,218,690
$
32.1%
FL
6,599
94,954
72
101,625
5.4%
299,462
152,043
18,237
1,718
17,128
488,589
12.9%
MI
4,082
92,252
-
96,334
5.1%
268,120
57,342
23,476
758
3,846
353,543
9.3%
WA
6,131
62,455
-
68,587
3.6%
110,779
57,443
10,153
299
7,690
186,364
4.9%
AZ
1,762
32,886
-
34,648
1.8%
88,180
57,696
7,559
-
5,333
158,768
4.2%
TX
5,214
85,496
-
90,710
4.8%
61,045
53,901
4,057
-
2,450
121,453
3.2%
CO
6,459
27,281
350
34,090
1.8%
74,150
19,816
11,585
328
3,113
108,991
2.9%
MD
4,667
41,730
-
46,398
2.4%
57,077
28,652
13,924
-
1,205
100,858
2.7%
VA
5,905
31,965
-
37,870
2.0%
51,404
24,135
8,727
-
2,950
87,216
2.3%
NY
1,046
33,597
-
34,643
1.8%
36,505
38,707
5,004
-
744
80,960
2.1%
GA
4,054
28,637
642
33,333
1.8%
41,741
24,676
8,149
-
369
74,935
2.0%
NV
-
7,059
-
7,059
0.4%
45,402
22,568
2,471
-
1,193
71,634
1.9%
IL
12,736
33,994
-
46,730
2.5%
40,197
28,022
3,251
-
-
71,469
1.9%
NJ
6,303
32,349
81
38,733
2.0%
35,205
25,667
5,545
494
2,422
69,332
1.8%
OH
1,480
17,783
-
19,263
1.0%
41,219
12,327
1,110
76
69
54,801
1.4%
Other
31,097
365,780
412
397,290
20.9%
296,988
194,536
43,086
1,321
10,097
546,028
14.4%
Total :
147,589
$
1,749,433
$
1,558
$
1,898,580
$
100%
2,161,674
$
1,298,697
$
229,176
$
5,437
$
98,648
$
3,793,631
$
100%
State
AFS
HFI
$ in thousands |
 26
First Mortgage Portfolio –
by Vintage
Note: Reflects unpaid principal balance of underlying loans before accounting adjustments for
discounts and other items. Also excludes loans eligible for repurchase from
Ginnie Mae pools. As of Sep 30, 2011
Totals may not foot due to rounding
ARM
Fixed
Balloon
Total
% of
Total
ARM
Fixed
Balloon
First HELOC
Power
Option ARM
Total
% of
Total
Older
367
$
206
$
-
$
573
$
0.0%
59,286
$
29,223
$
4,906
$
-
$
355
$
93,769
$
2.5%
2003
527
-
-
527
0.0%
208,723
25,409
14,286
-
2,383
250,802
6.6%
2004
-
389
-
389
0.0%
636,333
39,278
26,359
3,354
230
705,553
18.6%
2005
-
1,483
72
1,555
0.1%
615,405
72,632
37,871
1,357
7,710
734,974
19.4%
2006
111
725
1,162
1,998
0.1%
138,479
186,283
31,135
328
20,274
376,498
9.9%
2007
-
4,944
324
5,268
0.3%
332,227
716,140
109,598
398
67,697
1,226,060
32.3%
2008
-
13,664
-
13,664
0.7%
27,660
92,572
5,021
-
-
125,254
3.3%
2009
-
8,263
-
8,263
0.4%
11,447
59,414
-
-
-
70,861
1.9%
2010
-
89
-
89
0.0%
13,894
12,665
-
-
-
26,559
0.7%
2011
146,584
1,719,670
-
1,866,254
98.3%
118,220
65,081
-
-
-
183,301
4.8%
Total :
147,589
$
1,749,433
$
1,558
$
1,898,580
$
100%
2,161,674
$
1,298,697
$
229,176
$
5,437
$
98,648
$
3,793,631
$
100%
$ in thousands
Year
AFS
HFI |
 27
First Mortgage Portfolio –
by Original FICO
Note: Reflects unpaid principal balance of underlying loans before accounting adjustments for
discounts and other items. Also excludes loans eligible for repurchase from
Ginnie Mae pools. As of Sep 30, 2011
Totals may not foot due to rounding
ARM
Fixed
Balloon
Total
% of
Total
ARM
Fixed
Balloon
First HELOC
Power
Option ARM
Total
% of
Total
No Score
218
$
7,154
$
-
$
7,372
$
0.4%
16,355
$
18,120
$
232
$
-
$
-
$
34,707
$
0.9%
< 580
-
10,089
-
10,089
0.5%
21,420
30,287
3,088
-
-
54,795
1.4%
580 - 619
1,872
31,252
-
33,124
1.7%
29,831
47,678
2,506
-
-
80,015
2.1%
620 - 659
13,290
126,247
-
139,536
7.3%
125,662
101,349
12,394
142
2,728
242,275
6.4%
660 - 699
26,736
208,652
-
235,388
12.4%
562,447
308,731
82,416
480
47,696
1,001,770
26.4%
> 699
105,473
1,366,040
1,558
1,473,071
77.6%
1,405,960
792,532
128,539
4,815
48,224
2,380,070
62.7%
Total :
147,589
$
1,749,433
$
1,558
$
1,898,580
$
100%
2,161,674
$
1,298,697
$
229,176
$
5,437
$
98,648
$
3,793,631
$
100%
$ in thousands
FICO
AFS
HFI |
 28
First Mortgage Portfolio –
by LTV
Note: Reflects unpaid principal balance of underlying loans before accounting adjustments for
discounts and other items. Also excludes loans eligible for repurchase from
Ginnie Mae pools. LTV equals current principal balance divided by appraised value at origination.
As of Sep 30, 2011
Totals may not foot due to rounding
ARM
Fixed
Balloon
Total
% of
Total
ARM
Fixed
Balloon
First
HELOC
Power
Option ARM
Total
% of
Total
< 70%
44,958
$
572,784
$
89
$
617,831
$
32.5%
871,442
$
461,776
$
54,958
$
2,817
$
16,917
$
1,407,910
$
37.1%
70% - 79.99%
23,482
354,266
72
377,820
19.9%
944,279
517,619
95,005
1,746
13,847
1,572,494
41.5%
80% - 90%
19,805
266,355
81
286,241
15.1%
259,835
177,563
60,099
874
48,676
547,046
14.4%
> 90%
59,345
556,028
1,316
616,688
32.5%
86,118
141,740
19,115
-
19,209
266,181
7.0%
Total :
147,589
$
1,749,433
$
1,558
$
1,898,580
$
100%
2,161,674
$
1,298,697
$
229,176
$
5,437
$
98,648
$
3,793,631
$
100%
$ in thousands
LTV
AFS
HFI |
 29
HFI First Mortgage Portfolio –
by Original FICO and LTV
Note: Non-performing loans include 90+ days delinquent and matured, calculated using
OTS method. LTV equals current principal balance divided by appraised value at
origination. Excludes first mortgage participations. As of Sep 30, 2011
FICO
Non-
performing
Portfolio
Balance
% of
Balance
Non-
performing
Portfolio
Balance
% of
Balance
Non-
performing
Portfolio
Balance
% of
Balance
Non-
performing
Portfolio
Balance
% of
Balance
No Score
$574
$7,828
7.3%
$806
$6,110
13.2%
$630
$9,441
6.7%
$7,057
$11,328
62.3%
< 580
1,816
11,125
16.3%
1,607
9,693
16.6%
4,645
16,018
29.0%
11,102
17,959
61.8%
580 - 619
1,282
14,622
8.8%
1,355
13,577
10.0%
6,336
24,197
26.2%
15,985
27,619
57.9%
620 - 659
6,935
110,860
6.3%
7,762
59,628
13.0%
5,193
31,986
16.2%
17,240
39,800
43.3%
660 - 699
19,576
343,101
5.7%
40,942
408,446
10.0%
32,599
168,785
19.3%
13,136
81,437
16.1%
> 699
33,825
920,374
3.7%
64,698
1,075,040
6.0%
34,455
296,619
11.6%
11,525
88,037
13.1%
$ in thousands
LTV
< 70%
70% - 79.99%
80% - 90%
> 90% |
   30
Legacy Commercial RE Portfolio
As of Sep 30, 2011
Note: 90+ days delinquent includes performing non-accruals, calculated using OTS
method. Totals may not foot due to rounding
Property Type
Balance
Percentage of
Loans
30 Days
60 Days
90+ Days
Total ($) OTS
Delinquent
90+ Days (%)
Delinquent
Specific
Reserve
General
Reserve
Total
Reserves
Land - Non Residential Development
$33,700.4
2.66%
-
1,950.9
12,008.5
13,959.5
35.63%
1,267.9
1,323.7
2,591.6
Land - Residential Development
$7,533.0
0.59%
-
-
6,772.3
6,772.3
89.90%
932.8
291.2
1,224.0
1-4 Family
$6,698.2
0.53%
-
-
4,841.6
4,841.6
72.28%
2,269.9
251.2
2,521.1
Commercial Auto Dealer
$4,964.0
0.39%
-
-
-
-
0.00%
186.2
186.2
Condo
$10,946.8
0.86%
-
-
-
-
0.00%
410.5
410.5
Hospital / Nursing
$13,926.0
1.10%
-
-
-
-
0.00%
522.3
522.3
Industrial Warehouse
$140,296.9
11.06%
304
294.7
7,610.8
8,209.0
5.42%
2,737.2
5,261.4
7,998.6
Mini Storage
$13,252.0
1.04%
-
-
1,905.5
1,905.5
14.38%
1,136.5
497.0
1,633.5
Multi Family Apartment
$154,056.5
12.14%
739
-
12,511.6
13,250.4
8.12%
259.3
5,777.5
6,036.8
Office
$346,876.9
27.34%
1,200
837.3
23,282.8
25,320.1
6.71%
6,501.3
13,008.6
19,510.0
Retail
$102,189.4
8.05%
148
-
6,867.3
7,015.2
6.72%
1,149.2
3,832.3
4,981.5
Senior Living
$64,965.2
5.12%
-
-
-
-
0.00%
-
2,436.3
2,436.3
Shopping Center
$302,975.8
23.88%
11,268
7,357.8
8,238.2
26,864.0
2.72%
15,005.1
11,362.3
26,367.4
Special Purpose
$62,201.2
4.90%
-
-
7,034.5
7,034.5
11.31%
3,016.1
2,332.7
5,348.8
Other
$10,141.7
0.80%
-
-
1,286.4
1,286.4
12.68%
-
311.8
311.8
Negative Escrow
$2,937.4
0.23%
-
-
-
-
0.00%
1,085.5
-
1,085.5
CIP, Premium, FAS 91, Rec's
($8,783.1)
-0.69%
-
-
-
-
-
-
-
-
Totals
$1,268,878.1
100.00%
$13,658
10,440.8
92,359.4
116,458.6
7.28%
35,360.9
47,804.9
83,165.8
$ in thousands |
 31
Legacy Commercial RE Portfolio –
by State
As of Sep 30, 2011
Note: Reflects unpaid principal balance of underlying loans before accounting
adjustments for discounts and other items. Also excludes commercial letters of
credit. Totals may not foot due to rounding |
 32
Legacy Commercial RE Portfolio –
by Vintage
As of Sep 30, 2011
Note: Reflects unpaid principal balance of underlying loans before accounting
adjustments for discounts and other items. Also excludes commercial letters of
credit. Totals may not foot due to rounding |
 33
Non-Agency Investment Securities AFS Portfolio
As of Sep 30, 2011
Note: excludes agency investment securities, which are sold in normal course.
Totals may not foot due to rounding
Investment Name
CUSIP
Current
Principal
OTTI
Impairment
Mark-to-
Market
Net Book
Value
M
SP
F
M
SP
F
CWALT 2006-45T1 2A5
02149JAU0
$27,915
($6,601)
($379)
$20,934
Aaa
AAA
AAA
Caa3
CCC
C
CWHL 2007-3 A1
12543RAA7
29,561
(2,865)
(2,077)
24,619
NR
AAA
AAA
NR
CCC
C
CWHL 2006-18 1A1
12543WAA6
23,505
(1,282)
(1,487)
20,735
NR
AAA
AAA
NR
CC
C
CWHL 2005-23-A1
126694GU6
30,543
(535)
(303)
29,704
NR
AAA
AAA
NR
CCC
B
CWHL 2006-1 A2
126694XC7
24,291
(1,114)
(3,192)
19,985
NR
AAA
AAA
NR
CC
C
CWHL 2007-J1 1A1
12669MAA6
51,446
(7,360)
(4,087)
39,999
NR
AAA
AAA
NR
D
D
CWALT TR 2006-J8
23245LAD2
28,921
(10,461)
(916)
17,544
NR
AAA
AAA
NR
D
D
CWALT 2007-1T1 1A1
23246KAA9
33,679
(10,758)
(1,903)
21,018
Aaa
AAA
AAA
Ca
D
D
GSR 2006-9F 2A1
3622X7AD8
23,438
(1,274)
(1,529)
20,635
Aaa
NR
AAA
Caa1
NR
C
GSR 2006-7F 2A1
36298NAD6
25,459
(2,802)
(980)
21,676
Aaa
NR
AAA
Caa1
NR
C
JPMMT 2006-S4 A7
46629SAG7
49,423
(5,831)
(3,563)
40,029
Aaa
AAA
AAA
Caa2
CCC
C
Subtotal
$348,180
($50,884)
($20,418)
$276,879
GMS Trust 2006-1
33848FAA1
$131,730
($2,793)
($12,567)
$116,370
Aaa
AAA
NR
B3
AAA
NR
Subtotal
$131,730
($2,793)
($12,567)
$116,370
Total
$479,910
($53,676)
($32,985)
$393,249
Initial
Current
$ in thousands |
 34
Real Estate Owned Portfolio
As of Sep 30, 2011
Totals may not foot due to rounding
Commercial
%
Receivership
%
Construction
%
Manufactured
Homes
%
Single Family
Homes
%
Total
%
Current Month
$ -
0.0%
$ 703
2.5%
$ -
0.0%
$ 45
20.4%
$ 11,539
21.0%
$ 12,287
10.8%
30 days
-
0.0%
1,261
4.6%
-
0.0%
-
0.0%
6,434
11.7%
7,695
6.8%
60 days
1,318
7.2%
497
1.8%
-
0.0%
-
0.0%
3,680
6.7%
5,495
4.8%
90 days
262
1.4%
922
3.3%
-
0.0%
38
17.3%
7,030
12.8%
8,252
7.3%
91 - 180 days
945
5.2%
11,414
41.4%
471
91.6%
26
11.5%
12,287
22.4%
25,142
22.2%
181 - 365 days
4,597
25.2%
9,275
33.6%
-
0.0%
0
0.1%
7,683
14.0%
21,556
19.0%
1 - 2 years
7,948
43.5%
3,512
12.7%
-
0.0%
33
15.0%
5,020
9.1%
16,512
14.6%
2 - 3 years
111
0.6%
-
0.0%
43
8.4%
27
12.0%
1,191
2.2%
1,372
1.2%
3 - 4 years
3,079
16.9%
-
0.0%
-
0.0%
53
23.7%
27
0.0%
3,158
2.8%
4 - 5 years
-
0.0%
-
0.0%
-
0.0%
-
0.0%
-
0.0%
-
0.0%
Reconciling Items
-
0.0%
-
0.0%
-
0.0%
-
0.0%
-
0.0%
-
0.0%
Loans to Facilitate
-
0.0%
-
0.0%
-
0.0%
-
0.0%
-
0.0%
11,897
10.5%
Total:
$18,259
100.0%
$27,585
100.0%
$514
100.0%
$222
100.0%
$54,889
100.0%
$113,365
100.0%
$ in thousands |
  35
Asset Quality by Loan Type –
HFI
As of Sep 30, 2011
Note: Non-performing loans include 90+ days delinquent and matured, and performing
non-accruals, calculated using OTS method. Totals may not foot due to rounding
Loan Type
Balance
Non-performing
Loans
% of Balance
% of Overall
NPLs
Q3 11 Charge
Offs, Net of
Recoveries
Collectively
Evaluated
Reserves
(1)
Individually
Evaluated
Reserves
(2)
Total Reserves
Residential first mortgage
$3,827,357
$341,081
8.91%
76.67%
$10,435
$87,606
$68,223
$155,829
Second mortgage
146,501
4,302
2.94%
0.97%
4,301
15,331
2,905
18,236
Construction
758
758
100.00%
0.17%
-
124
78
202
Warehouse
995,663
28
0.00%
0.01%
272
1,307
516
1,823
HELOC
232,796
5,916
2.54%
1.33%
2,953
14,681
-
14,681
Other
73,126
345
0.47%
0.08%
785
1,984
1
1,985
Commercial RE
1,268,878
92,359
7.28%
20.76%
9,945
49,769
35,361
85,130
Commercial NRE
276,658
98
0.04%
0.02%
-
2,354
1,760
4,114
Total:
$6,821,737
$444,887
6.52%
100.00%
$28,691
$173,156
$108,844
$282,000
(1) Represents loans collectively evaluated for impairment in accordance with ASC 450-20,
Loss Contingencies (formerly FAS 5), and pursuant to amendments by ASU 2010-20 regarding allowance for unimpaired loans
(2) Represents loans individually evaluated for impairment in accordance with ASC 310-10,
Receivables (formerly FAS 114), and pursuant to amendments by ASU 2010-20 regarding allowance for impaired loans.
$ in thousands |
 36
Non Performing Loans HFI –
by State
As of Sep 30, 2011
Totals may not foot due to rounding
Note: Non-performing loans include 90+ days delinquent and matured, and performing
non-accruals, calculated using OTS method. State
Mortgage
Percent of
Mortgage
Second
Mortgage
HELOC
Commercial
Real Estate
Commercial
Construction
Consumer
Warehouse
Total
Percent
of Total
CA
109,385
$
32.1%
1,487
$
1,468
$
11,298
$
-
$
-
$
-
$
28
$
123,666
$
27.8%
MI
17,556
5.1%
317
1,376
52,545
98
304
250
-
72,446
16.3%
FL
59,600
17.5%
255
1,063
5,287
-
384
29
-
66,618
15.0%
AZ
19,595
5.7%
296
85
-
-
-
-
-
19,977
4.5%
GA
9,260
2.7%
61
251
4,668
-
-
27
-
14,266
3.2%
MD
11,865
3.5%
101
157
-
-
-
-
-
12,124
2.7%
NV
11,872
3.5%
34
85
-
-
-
-
-
11,991
2.7%
NY
10,651
3.1%
-
-
-
-
-
-
-
10,651
2.4%
IN
3,083
0.9%
-
21
5,875
-
70
14
-
9,063
2.0%
MO
4,305
1.3%
-
97
3,768
-
-
-
-
8,171
1.8%
OH
6,486
1.9%
-
52
1,440
-
-
-
-
7,978
1.8%
NJ
7,129
2.1%
-
5
-
-
-
-
-
7,134
1.6%
CO
6,563
1.9%
283
-
-
-
-
-
-
6,846
1.5%
WA
6,383
1.9%
21
122
-
-
-
-
-
6,525
1.5%
TX
6,411
1.9%
92
-
-
-
-
-
-
6,503
1.5%
Other
50,937
14.9%
1,354
1,133
7,479
-
-
24
-
60,926
13.7%
Total
$341,081
100.0%
$4,302
$5,916
$92,359
$98
$758
$344
$28
$444,887
100.0%
$ in thousands |
 37
Non Performing Loans HFI –
by Vintage
As of Sep 30, 2011
Totals may not foot due to rounding
Note: Non-performing loans include 90+ days delinquent and matured, and performing
non-accruals, calculated using OTS method. Vintage
Mortgage
Percent of
Mortgage
Second
Mortgage
HELOC
Commercial
Real Estate
Commercial
Construction
Consumer
Warehouse
Total
Percent
of Total
Older
$5,134
1.5%
$40
$304
$8,490
$0
$70
$18
$0
$14,056
3.2%
2003
9,748
2.9%
57
390
2,906
-
-
1
-
13,103
2.9%
2004
27,076
7.9%
429
725
12,860
-
-
-
-
41,090
9.2%
2005
44,182
13.0%
29
903
5,451
-
-
64
-
50,629
11.4%
2006
42,498
12.5%
84
877
24,225
-
-
102
-
67,785
15.2%
2007
156,334
45.8%
3,527
2,471
25,415
-
384
82
-
188,213
42.3%
2008
43,768
12.8%
136
218
2,656
-
304
26
-
47,106
10.6%
2009
11,508
3.4%
-
28
577
-
-
2
28
12,144
2.7%
2010
832
0.2%
-
-
7,134
-
-
32
-
7,998
1.8%
2011
-
0.0%
-
-
2,647
98
-
17
-
2,762
0.6%
Total
$341,081
100.0%
$4,302
$5,916
$92,359
$98
$758
$344
$28
$444,887
100%
$ in thousands |
 |