![]() ® ® © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. September 17, 2007 (All data as of 8/31/07) Supplemental Portfolio Disclosure EXHIBIT 99.2 |
![]() 2 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. © E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains certain projections or other forward- looking statements regarding future events or the future performance of the company. Various factors, including risks and uncertainties referred to in the 10Ks, 10Qs, and other reports E*TRADE FINANCIAL Corporation periodically files with the SEC, could cause our actual results to differ materially from those indicated by our projections or other forward-looking statements. No statement is a guarantee of our future performance and we disclaim any duty to update any data contained herein or any forward-looking statements. Data contained herein are unaudited. This presentation also contains disclosure of non-GAAP financial measures. A reconciliation of these financial measures to the most directly comparable GAAP financial measure can be found on the investor relations site at www.etrade.com. |
![]() 3 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. This document includes updated disclosure on the mortgage loan, investment security, and funding sources of our balance sheet as of August 31, 2007. E*TRADE FINANCIAL originally disclosed similar information on August 16, 2007, with data as of June 30, 2007. * Certain numbers and percentages contained herein may not recalculate due to rounding Introduction |
![]() 4 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Executive Summary Our conservative approach to credit and funds management is demonstrated by the following key points First Lien Portfolio As of August 31, 2007, the portfolio had a total unpaid principal balance of $17.0B and delinquent loans of $338MM, or 1.98% $17.0B portfolio is supported by high FICOs, low LTVs, and private mortgage insurance All loans with an 80% or higher LTV are protected by private mortgage insurance Home Equity Portfolio As of August 31, 2007, the portfolio had a total unpaid principal balance of $12.6B and delinquent loans of $349MM, or 2.78% $9.4B, or 75%, of portfolio is to borrowers with FICOs of 700 and higher $6.1B, or 48%, of portfolio has CLTV of 80% or lower Investment Securities $16.7B, or 92% of the Investment Securities portfolio is rated AAA or AA $2.0B, or nearly 100% of the Corporate, Municipal and Preferred Stock portfolio are rated AAA or AA $2.7B, or 82%, of the Asset-Backed portfolio is rated A or higher |
![]() 5 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Balance Sheet Funding Sources Consistent and growing base of retail customer cash Thrift charter provides access to FHLB - $13B of additional borrowing capacity $250MM of undrawn committed senior secured revolving credit facility $432MM of Free Cash (1) as of June 30, 2007 No material changes to date with respect to wholesale funding availability, pricing or margin, including repurchase agreements Executive Summary (continued) |
![]() 6 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. August 31, 2007 Ending Period Interest Earning Assets $61.1B Loans $40.2B Securities $18.2B Avg. Rating: AA (92% AA-AAA) Consumer: $2.7B (Includes marine, RV) Avg. FICO: 733 Mortgage: $29.6B Avg. FICO: 735 DTI: 36% CLTV: 73% Margin: $7.9B MBS: $12.9B Agency Avg. Rating: AAA ABS: $3.3B 82% A or better 97% BBB or better Avg. Rating A 1st Lien (1-4 family): $17.0B Avg. FICO: 738 DTI: 36% CLTV: 69% 2nd Lien (HEIL & HELOC): $12.6B Avg. FICO: 731 DTI: 36% CLTV: 79% Corp/Muni/Pfd: $2.0B Avg. Rating: AA Interest-Earning Assets Composition NOTE: Loan balances are shown based on UPB, and securities are shown at amortized cost basis. Numbers may not add due to rounding. |
![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() 7 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. First Lien Mortgage Loan Distribution by FICO and LTV FICO 12 0.1% 0 0.0% 0 0.0% 8 0.0% 4 0.0% <620 574 3.4% 31 0.2% 17 0.1% 278 1.6% 248 1.5% 659-620 1,063 6.2% 30 0.2% 31 0.2% 584 3.4% 418 2.5% 679-660 11,320 66.4% 141 0.8% 122 0.7% 6,079 35.7% 4,978 29.2% >=720 294 1.7% 44 0.3% 48 0.3% >90% 1,762 10.3% 40 0.2% 1,038 6.1% 640 3.8% 699-680 LTV 719-700 Total <70% 909 5.3% 7,197 42.2% 70% - 80% 1,318 7.7% 9,305 54.6% 80% - 90% 41 0.2% 251 1.5% Total 2,316 13.6% 17,047 100.0% * Averages based upon 2006 engagement trends (Unpaid principal balances, $ in MM) $17.0B portfolio is supported by high FICOs, low LTVs, and private mortgage insurance $545MM of loans with an 80% or higher LTV are protected by private mortgage insurance |
![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() 8 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. First Lien Delinquent Loan Distribution – Traditional Method (Unpaid principal balances, $ in MM ) FICO 1 0.3% 0 0.0% 0 0.0% 0 0.1% 1 0.2% <620 39 11.6% 4 1.1% 2 0.7% 20 5.9% 13 3.9% 659-620 55 16.2% 4 1.1% 4 1.2% 32 9.6% 15 4.4% 679-660 138 40.8% 5 1.4% 4 1.0% 87 25.8% 42 12.6% >=720 17 4.9% 2 0.6% 2 0.7% >90% 55 16.2% 2 0.7% 40 11.7% 11 3.3% 699-680 LTV 719-700 Total <70% 12 3.4% 94 27.7% 70% - 80% 33 9.8% 212 62.8% 80% - 90% 3 1.0% 15 4.6% Total 50 14.9% 338 100.0% |
![]() 9 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. First Lien Portfolio Attributes Vintage 0% 10% 20% 30% 40% <=2003 2004 2005 2006 2007 Occupancy Type 0% 20% 40% 60% 80% 100% Owner Occupied 2nd Home / Vacation Investor Documentation Type 0% 20% 40% 60% Full / Alt Doc SIVA SISA NINA Geographic Concentration by MSA - Top 10 0% 2% 4% 6% 8% 10% 12% 14% LA SF NYC Wash DC San Jose San Diego Chi Riverside Phx Den |
![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() 10 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Home Equity Loan Distribution by FICO and CLTV (Unpaid principal balances, $ in MM ) $9.4B, or 75%, of portfolio to borrowers with FICOs of 700 and higher $6.1B, or 48%, of portfolio with CLTV of 80% or lower FICO 18 0.1% 0 0.0% 2 0.0% 3 0.0% 13 0.1% <620 616 4.8% 132 1.0% 238 1.9% 117 0.9% 129 1.0% 659-620 816 6.5% 215 1.7% 311 2.5% 128 1.0% 162 1.3% 679-660 7,374 58.8% 1,283 10.2% 2,076 16.5% 1,277 10.2% 2,738 21.9% >=720 2,475 19.7% 385 3.1% 460 3.7% >90% 1,753 13.9% 684 5.4% 316 2.5% 368 2.9% 699-680 CLTV 719-700 Total <70% 451 3.6% 3,861 30.8% 70% - 80% 365 2.9% 2,206 17.5% 80% - 90% 719 5.7% 4,030 32.0% Total 1,995 15.9% 12,572 100.0% |
![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() 11 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Home Equity Delinquent Loan Distribution – Traditional Method (Unpaid principal balances, $ in MM ) FICO 1 0.3% 0 0.0% 0 0.0% 0 0.0% 1 0.3% <620 57 16.3% 16 4.6% 28 8.0% 8 2.3% 5 1.4% 659-620 53 15.3% 25 7.3% 20 5.7% 5 1.4% 3 0.9% 679-660 101 28.9% 49 14.0% 35 10.0% 10 2.9% 7 2.0% >=720 156 44.8% 33 9.5% 33 9.4% >90% 71 20.3% 26 7.4% 6 1.7% 6 1.7% 699-680 CLTV 719-700 Total <70% 3 0.9% 25 7.2% 70% - 80% 8 2.3% 37 10.6% 80% - 90% 22 6.3% 131 37.4% Total 66 18.9% 349 100.0% |
![]() 12 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Home Equity Portfolio Attributes Vintage 0% 10% 20% 30% 40% 50% <=2003 2004 2005 2006 2007 Occupancy Type 0% 20% 40% 60% 80% 100% Owner Occupied 2nd Home / Vacation Investor Documentation Type 0% 10% 20% 30% 40% 50% Full / Alt Doc Stated Income Preferred Geographic Concentration by MSA - Top 10 0% 2% 4% 6% 8% 10% NYC LA SF Wash DC Phx Miami Boston San Diego Riverside Chi |
![]() 13 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. We look first to the credit quality of a borrower, as indicated by FICO and similar measures, for repayment of a loan. Should a loan become delinquent, realized future losses will be dependent on a number of factors including, but not limited to, cure rates (2) , local real estate dynamics and resulting loan-to-value (LTV) The traditional method, as shown on previous pages, categorizes the entire loan balance at the highest dollar LTV The Principal at Risk (PAR) method is an internal approach that we believe more appropriately depicts the unpaid principal balance by tranching it against the supporting collateral value at time of origination The following example demonstrates how a $45,000 home equity loan classified under the traditional method at a 95% CLTV can be tranched to several PAR LTV thresholds under the PAR method Principal at Risk (PAR) Method vs. Traditional Method |
![]() 14 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. |
![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() 15 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. First Lien Loan Distribution – PAR Method FICO 12 0.1% 0 0.0% 0 0.0% 0 0.0% 12 0.1% <620 574 3.4% 1 0.0% 5 0.0% 32 0.2% 536 3.1% 659-620 1,063 6.2% 2 0.0% 6 0.0% 62 0.4% 993 5.8% 679-660 11,320 66.4% 10 0.1% 24 0.1% 617 3.6% 10,669 62.6% >=720 18 0.1% 2 0.0% 3 0.0% >90% 1,762 10.3% 8 0.0% 111 0.7% 1,641 9.6% 699-680 PAR LTV 719-700 Total <70% 2,164 12.7% 16,015 94.0% 70% - 80% 141 0.8% 963 5.6% 80% - 90% 8 0.0% 51 0.3% Total 2,316 13.6% 17,047 100.0% * Averages based upon 2006 engagement trends (Unpaid principal balances, $ in MM) $17.0B portfolio is well supported by high FICOs, low LTVs, and private mortgage insurance $69MM of exposure greater than 80% of property value is protected by private mortgage insurance |
![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() 16 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. First Lien Delinquent Loan Distribution – PAR Method FICO 1 0.3% 0 0.0% 0 0.0% 0 0.0% 1 0.3% <620 39 11.6% 0 0.1% 1 0.2% 2 0.7% 36 10.6% 659-620 55 16.2% 0 0.1% 1 0.2% 4 1.2% 50 14.7% 679-660 138 40.8% 0 0.1% 1 0.2% 10 3.0% 127 37.5% >=720 0 0.3% 0 0.0% 0 0.0% >90% 55 16.2% 0 0.1% 5 1.3% 50 14.7% 699-680 PAR LTV 719-700 Total <70% 46 13.5% 310 91.3% 70% - 80% 4 1.2% 25 7.5% 80% - 90% 0 0.1% 3 0.9% Total 50 14.9% 338 100.0% * Averages based upon 2006 engagement trends (Unpaid principal balances, $ in MM) 98.8% of delinquent balances are mitigated by PAR LTV of 80% or lower |
![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() 17 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Home Equity Loan Distribution – PAR Method * Averages based upon 2006 engagement trends (Unpaid principal balances, $ in MM ) $8.6B, or 69%, of portfolio has a CLTV of 80% or below Of the $4.0B in loans with CLTV above 80%, $2.7B are to borrowers with FICOs of 700 or higher FICO 18 0.1% 0 0.0% 1 0.0% 1 0.0% 16 0.1% <620 616 4.8% 50 0.4% 196 1.6% 126 1.0% 244 1.8% 659-620 816 6.5% 83 0.7% 267 2.1% 156 1.2% 310 2.5% 679-660 7,374 58.8% 464 3.7% 1,555 12.4% 1,221 9.7% 4,134 33.0% >=720 906 7.2% 141 1.1% 168 1.3% >90% 1,753 13.9% 501 4.0% 385 3.1% 726 5.7% 699-680 PAR CLTV 719-700 Total <70% 876 7.0% 6,306 50.1% 70% - 80% 425 3.4% 2,314 18.4% 80% - 90% 526 4.2% 3,046 24.3% Total 1,995 15.9% 12,572 100.0% |
![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() 18 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Home Equity Delinquent Loan Distribution – PAR Method * Averages based upon 2006 engagement trends (Unpaid principal balances, $ in MM ) $201MM, or 58%, of delinquent balances have a PAR CLTV of over 80% $167MM, or 48%, of delinquent balances have a FICO of 700 or greater FICO 1 0.3% 0 0.0% 0 0.0% 0 0.0% 1 0.3% <620 57 16.3% 6 1.7% 23 6.6% 13 3.7% 15 4.3% 659-620 53 15.3% 10 2.9% 24 6.9% 10 2.9% 9 2.6% 679-660 101 28.9% 20 5.7% 39 11.1% 18 5.2% 24 6.9% >=720 62 17.7% 13 3.7% 13 3.7% >90% 71 20.3% 28 8.0% 15 4.3% 15 4.3% 699-680 PAR CLTV 719-700 Total <70% 14 4.0% 78 22.4% 70% - 80% 14 4.0% 70 20.1% 80% - 90% 25 7.2% 139 39.8% Total 66 18.9% 349 100.0% |
![]() 19 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Loan Risk Mitigation Discipline Geographic diversification with no single MSA greater than 10% of mortgage loan portfolio Low leveraged borrowers with average debt-to-income ratio of 35% across mortgage portfolio No option or negative amortization ARMs Top Sellers/Originators of mortgage loan portfolio with 70% of $29.6B in unpaid principal balance from: Bank of America JPMorgan Countrywide Morgan Stanley E-Loan National City E*TRADE (3) UBS GMAC Wells Fargo |
![]() 20 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Risk Mitigation Strategy Growth sources – Portfolio growth, if any, will be driven by prime first lien mortgage loans Mix shift - Allow home equity and consumer loan portfolios to decline with repayments/prepayments Credit line management – Evaluate revolving credit borrowers, reducing available lines based on leading indicators Loan modifications – Provide rate and term modifications to qualified borrowers |
![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() 21 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Investment Securities Composition 3,275 18.0% 65 0.4% 74 0.4% 464 2.6% 887 4.9% 1,785 9.8% ABS 74 0.4% - - Below Inv. Grade 2,046 11.2% - - 16 0.1% 2,030 11.2% Corporate, Municipal and Preferred Stock 18,181 100.0% 65 0.4% 464 2.6% 904 5.0% 16,674 91.7% Grand Total 12,860 70.7% Grand Total - Non- Rated 12,859 70.7% AA or Higher - BBB A MBS 1 0.0% ($ in MM, based on book value) $16.7B, or 92%, of the Investment Securities portfolio is rated AAA or AA Over 99% of the Investment Securities portfolio is rated investment grade |
![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() 22 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Mortgage-Backed Securities Breakdown - - - Below Inv. Grade 1,271 70.0% 0 0.0% - 1 0.0% 1,270 7.0% Private Label CMO 12,860 70.7% 0 0.0% - 1 0.0% 12,859 70.7% Total 11,589 63.8% Total - Non- Rated 11,589 63.8% AA or Higher - BBB A Agency MBS/CMO - ($ in MM, based on book value) Nearly all of the $12.9B MBS portfolio is rated AAA Percentages are measured as a percent of the $18.2B Investment Securities Portfolio |
![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() 23 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Corporate, Municipal and Preferred Stock 126 0.7% - - - 16 0.1% 110 0.6% Corporate Bonds ($78mm FNMA Note) 2,046 11.2% - - - 16 0.1% 2,030 11.2% Total 473 2.6% 512 2.8% 935 5.1% Total - - - Non- Rated - - - Below Inv. Grade 473 2.6% 512 2.8% 935 5.1% AA or Higher - - - BBB A Municipal Bonds - Agency Preferred Stock (FNM, FRE) - FHLB Stock - ($ in MM, based on book value) Nearly all of the Municipal bond, Agency stock and Corporate bond portfolio is rated AAA or AA Percentages are measured as a percent of the $18.2B Investment Securities Portfolio |
![]() 24 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Asset-Backed Securities Breakdown 48 0.3% 12 0.1% 5 0.0% 11 0.1% 14 0.1% 6 0.0% Other 99 0.5% - 9 0.1% 55 0.3% 33 0.2% 2 0.0% Sub-prime Residential First Lien Mortgage 3,275 18.0% 178 1.0% 257 1.4% 450 2.5% 2,243 12.3% Total 65 0.4% - 24 0.1% 29 0.2% - Non- Rated 74 0.4% 59 0.3% - 1 0.0% - Below Inv. Grade 1,785 9.8% 59 0.3% 125 0.7% 224 1.2% 1,369 7.5% AA or Higher 18 0.1% 42 0.2% Second Liens 464 2.6% 41 0.2% 47 0.3% 292 1.6% BBB A Prime Residential First Lien Mortgage 582 3.2% ABS CDO 149 0.8% Commercial Real Estate & Trust Pfd CDO 67 0.4% Total 887 4.9% ($ in MM, based on book value) $2.7B, or 82%, of ABS portfolio is rated A or higher Non-rated and below investment grade securities are $139MM, or 0.8% of Investment Securities portfolio Note: Includes $79MM of securities classified as Trading Securities Percentages are measured as a percent of the $18.2B Investment Securities Portfolio |
![]() 25 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Asset-Backed Securities Portfolio The net growth in the portfolio quarter-to-date has occurred nearly exclusively in the AA-AAA rating bucket From June 30th through August 31st, there have been two issues upgraded (3 bonds for $20M) and twelve issues downgraded (17 bonds for $116M) in the portfolio. All of the downgrades have been in the second lien sector and account for all of the increase in the Below Investment Grade (BIG) category Asset Backed Securities Portfolio $0 $500 $1,000 $1,500 $2,000 AA-AAA A BBB BIG NR 6/30/2007 8/31/2007 Second Lien Securities Portfolio $0 $25 $50 $75 $100 AA-AAA A BBB BIG NR 6/30/2007 8/31/2007 |
![]() 26 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Prime Residential First Lien Mortgage Securities (Alt-A) Weighted Average original FICO = 723; LTV = 72% No bonds within our Alt-A portfolio have been downgraded Recent performance and a continuation of recent performance will not result in material impairments Percentages are measured as a percent of the $18.2B Investment Securities Portfolio ($ in MM, based on book value) |
![]() 27 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Sub-prime Residential First Lien Mortgage Securities Weighted Average original FICO = 635; LTV = 82% Since the beginning of July, Moody’s has downgraded 421 subprime tranches issued in 2006, while S&P has downgraded 498. Both rating agencies continue to have additional tranches on downgrade watch There have not been any downgrades in our current subprime portfolio year-to-date. Recent performance and a continuation of recent performance will not result in any significant impairments Percentages are measured as a percent of the $18.2B Investment Securities Portfolio ($ in MM, based on book value) |
![]() 28 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. ABS, Commercial Real Estate and Trust Preferred CDOs Bonds rated AA or higher are adequately supported by excess collateralization. No impairments in these bonds are expected The most immediate risk of impairment for certain lower rated (<AA) CDO bonds will be diversion of cash flow as required under pre-determined performance criteria. The effect of this criteria is to redirect cash flow from lower rated bonds to higher rated bonds. Continued deterioration could lead to future impairments 257 1.4% 450 2.5% Grand Total 24 0.1% 29 0.2% Non- Rated - 1 0.0% Below Inv. Grade 125 0.7% 224 1.2% AA or Higher 41 0.2% 47 0.3% BBB A ABS CDO 149 0.8% Commercial Real Estate & Trust Pfd CDO 67 0.4% (Unpaid principal balances, $ in MM ) Percentages are measured as a percent of the $18.2B Investment Securities Portfolio |
![]() 29 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Second Lien Mortgage Securities Weighted Average FICO = 682; CLTV = 97% On August 16th, Moody’s downgraded 691 tranches of 2006 second liens deals, representing 84% of all such deals Moody’s rated. Approximately 61% of the universe of 2006 Second Lien Baa2 bonds are now at defaulted ratings (Ca/C) Cumulative losses to date of 6% to 8% have nearly exceeded initial lifetime expectations of 10%. Recent performance and a continuation of recent performance will result in substantial impairments Percentages are measured as a percent of the $18.2B Investment Securities Portfolio ($ in MM, based on book value) |
![]() 30 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Balance Sheet Funding Sources Retail Deposits and Customer Payables $34B – 84% from customers who also hold an investing account Average Quarterly Growth in Total Customer Cash and Deposits = $1.6B (4) Wholesale Borrowings Thrift charter provides access to FHLB Approximately $13B of excess borrowing capacity $12B in repurchase agreements Primarily AAA FNMA and GNMA backed transactions Diversified maturities with a strong group of over 20 counterparties Not dependent on warehouse lines Access to the Federal Reserve Discount Window No material changes to date with respect to wholesale funding availability, pricing or margin, including repurchase agreements Corporate Liquidity $250MM undrawn committed senior secured revolving credit facility $432MM in Free Cash (1) as of June 30, 2007 |
![]() 31 © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. Endnotes and Glossary of Terms Endnotes: (1) Free cash represents cash held at the Company and its non-Bank and non-Brokerage subsidiaries, less discretionary reserves, plus excess capital at Bank and Brokerage after application of regulatory capital requirements and the Company’s own regulatory capital guidelines. (2) Cure rates represent the rate of currently delinquent balances that return to performing status and/or fully pay off. (3) Includes direct and wholesale originated loans. (4) Average organic quarterly total cash and deposit growth since 12/31/2005. Terms: ARM – Adjustable Rate Mortgage CDO – Collateralized Debt Obligation CLTV – Combined Loan-to-Value DTI – Debt-to-Income FHLB – Federal Home Loan Bank HELOC – Home Equity Line of Credit HEIL – Home Equity Installment Loan LTV – Loan-to-Value PMI – Private Mortgage Insurance MSA – Metropolitan Statistical Area NINA – No Income No Asset SISA – Stated Income Stated Assets SIVA – Stated Income Verified Assets |
![]() © 2007 E*TRADE FINANCIAL Corp. All rights reserved. This presentation contains confidential information and may not be disclosed without E*TRADE FINANCIAL Corporation’s written permission. ® |