Flagstar Bancorp (FBC) 8-K Flagstar Reports Third Quarter 2011 Net Loss of $14.2 million

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