| Forward-LookingStatementsStatements in this presentation regarding First Marblehead’s future expectations,performance and financial projections, including with regard to projectedfuture cash flows and the future performance of securitization trusts, as well as any other statements that are not purely historical, constitute forward looking statements forpurposes of the safe harbor provisions of The Private Securities LitigationReform Act of 1995.  These forward-looking statements are based on our plans, estimates and expectations as of May 8, 2008.  The inclusion of this forward-lookinginformation should not be regarded as a representation by us or any otherperson that the future results, plans, projections, estimates or expectations contemplated will actually be achieved.  You are cautioned that matters subject toforward-looking statements involve known and unknown risks anduncertainties, including economic, legislative, regulatory, competitive and other factors, which may cause actual results, including the performance of the trusts and resulting cash flows, or the timingof events, to be materially different than those expressed or implied by ourforward-looking statements.  Important factors that could cause or contribute to such differencesinclude:degradationofcreditqualityorperformanceofthetrusts’loanportfolios;theinabilityofTheEducation Resources Institute, Inc. (TERI), the third party guarantor of the underlying loans,which has filed a voluntary petition for reorganizationunderfederalbankruptcylaws,tomeetitsguarantyobligations;theinabilityofAmbacAssurance Corporation,whichprovidescreditenhancementforcertainsecuritizationtrusts,tomeetitsobligations;variancebetween the actual performance of securitization trusts and the key assumptions we have used inpreparing the projected cash flows; theeffectsoftheTERIreorganizationonTERI'sperformanceofitscollectionsfunctionswithregardtodelinquentand defaultedloans;andtheotherfactorssetforthunderthecaption“riskfactors”inourquarterlyreportonForm10-Qfiledwith the Securities and Exchange Commission on February 11, 2008.  Important factorsthat could cause or contribute to differencesbetweentheactualperformanceofthesecuritizationtrustsandourkeyassumptionsincludeeconomic, regulatory, competitive and other factors affecting prepayment, default and recoveryrates on the underlying securitized loan portfolio, and interest ratetrends, including the projected cost of funding for auction rate notes.  We specifically disclaim any obligation to update any forward-looking statements as a result of developmentsoccurring after May 8, 2008.DisclaimerThe information in this presentation is intended to provide a broad overview of oursecuritized portfolio. Neither First Marblehead nor any other party isoffering any securities by making this presentation or soliciting any action based upon the information provided.Nothing in this presentation should be relied upon as a representation by FirstMarblehead, or any other person, as to the futureperformanceofanysecuritizationtrustdescribedinthispresentationorastoanysecuritiesthatmaybeissuedin the future.  The information contained herein is intended to be illustrative only, andhistorical collateral pools may not be representative of any futurecollateral pool.  Neither First Marblehead nor any other person is obligated to update the information contained herein.Investing in our common stock involves a high degree of risk. Prior to purchasing anyshares, you should carefully considertherisksanduncertaintiesdescribedinthereportswefilefromtimetotimewiththeSecuritiesandExchange Commission.Exhibit 99.2 |
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Direct toConsumerSchool ChannelFY 2003FY 2004FY 2005FY 2006FY 2007$0.7$1.4$2.2$2.9$3.966.5%33.5%69.5%30.5%72.6%27.4%70.9%29.1%76.8%23.2%82.9%17.1%$4.3FY 2008*Loans Available for Securitization by Fiscal Year*FY 2008 Volume represents Q1, Q2 and Q3 FY 2008 only.
Trust parity ratiosAs of March 31, 2008Parity Ratio:trust assets (loan pool balance plus trust accounts) divided by liabilities (bonds outstanding)1As of December 31, 2007 (most recently quarterly reporting date)2As of January 31, 2008 (most recent quarterly reporting date)3As of February 29, 2008 (most recent quarterly reporting date)90%92%94%96%98%100%102%NCMSLT (closed: 11/01/01)2003-1 (closed: 12/11/03)2004-1 (closed: 06/10/04)2004-2 (closed: 10/28/04)2005-1 (closed: 02/23/05)2005-2 (closed: 06/09/05)2005-3 (closed: 10/12/05)2006-1 (closed: 03/09/06)2006-2 (closed 06/08/06)2006-3 (closed 09/28/06)2006-4 (closed 12/07/06)2007-1 (closed: 03/08/07)2007-2 (closed: 06/14/07)2007-3 (closed: 09/20/07)2007-4 (closed: 09/20/07)NCMSLT12003-122004-22004-132005-12005-22005-32006-12006-22006-32007-12006-42007-22007-3, 2007-4Months SinceInception
Net recovery ratesAs of March 31, 2008Net Recoveries:recoveries (either in the form of cash or repurchased loans) net of collection costs.  FMC assumes a 48% net recovery rate for residual valuation purposes.Note: 2002 Vintage recovery rates experienced volatility in certain months due to asmall balance of defaulted loans that experienced a delay in recovery.FMC NetRecovery Rates (by Year of Default)0.0%5.0%10.0%15.0%20.0%25.0%30.0%35.0%40.0%45.0%50.0%Months Since Default200220032004200520062007Weighted AverageProjected Net Recovery
FICO Scores for disbursedvolume by fiscal yearDecisioned FICO DistributionBy Fiscal Year10%12%15%15%12%12%14%14%14%14%14%14%39%37%35%35%25%24%21%22%0%10%20%30%40%50%60%70%80%90%100%2005200620072008*760-850700-759680-699660-679620-659Decisioned FICO Distribution - School ChannelBy Fiscal Year5%6%7%7%9%9%9%9%12%12%12%11%41%41%40%39%32%32%31%33%0%10%20%30%40%50%60%70%80%90%100%2005200620072008*760-850700-759680-699660-679620-659Decisioned FICO Scores:FICO score that is reflective of decision on cosigner, student, or borrower without cosigner*2008 represents Q1, Q2 and Q3 FY 2008 only.Decisioned FICO Distribution - Direct to ConsumerBy Fiscal Year13%15%17%16%13%14%15%15%15%15%15%15%38%36%34%35%22%21%19%19%0%10%20%30%40%50%60%70%80%90%100%2005200620072008*760-850700-759680-699660-679620-659
FMC FICO scoredistributionSources: First Marblehead, www.myfico.comDecisioned FICO Distribution for Loans Booked in CY 2007 - CY 20080%0%0%10%33%30%24%3%0%0%0%9%32%31%25%3%0%0%0%7%33%32%24%3%0%0%0%5%26%35%30%4%2%5%8%12%15%18%27%13%0%5%10%15%20%25%30%35%40%up to 499500 - 549550 - 599600 - 649650 - 699700 - 749750 - 799800+FICO Score RangeCY 2007January-08February-08March-08National Distribution of FICO Scores
NCSLT Trust PaymentStatusAs of March 31, 2008Source: First Marblehead0%10%20%30%40%50%60%70%80%90%100%NCSLT TrustDeferment - P&IDeferment - Principal OnlyForbearanceRepayment
Six month rollingprepayment ratesUpdated through March 31, 2008**Average prepayment rate during preceding six month period.  NCMSLT as of December31, 2007 (most recently quarterly reporting date).  NCSLT 2003-1 as of January 31, 2008 (most recent quarterly reporting date).  NCSLT 2004-1 as of February29, 2008 (most recent quarterly reporting date)Months Since InceptionNCMSLTNCSLT 2003-1NCSLT 2004-1NCSLT 2004-2NCSLT 2005-1NCSLT 2005-2NCSLT 2005-3NCSLT 2006-1NCSLT 2006-2NCSLT 2006-3NCSLT 2006-4NCSLT 2007-1NCSLT 2007-2NCSLT 2007-3NCSLT 2007-462.8%2.7%2.7%3.2%3.1%3.6%3.3%3.6%3.2%3.2%2.8%2.5%2.5%7#N/A2.9%3.1%3.2%3.2%3.5%3.2%3.9%3.3%2.9%3.0%2.7%2.6%83.9%2.7%#N/A2.8%3.1%3.1%3.3%3.7%3.2%3.8%3.2%2.9%3.1%9#N/A#N/A2.7%3.0%3.3%3.1%3.8%3.9%3.1%3.9%3.1%3.0%3.1%10#N/A#N/A#N/A3.0%3.4%3.3%4.0%3.8%3.3%4.0%3.1%3.0%3.3%113.6%2.7%#N/A3.1%3.6%3.3%4.4%4.0%3.3%3.9%3.2%3.1%12#N/A#N/A2.8%3.1%3.8%3.5%4.5%3.9%3.5%4.1%3.2%3.1%13#N/A#N/A#N/A3.2%3.7%3.8%4.7%4.2%3.7%3.7%3.3%3.3%142.9%2.8%#N/A3.4%3.8%4.2%4.9%4.2%3.7%3.8%3.4%15#N/A#N/A3.6%3.2%3.8%4.4%4.9%4.3%3.8%3.9%3.6%16#N/A#N/A#N/A3.2%4.0%4.5%5.0%4.5%3.6%4.0%3.7%172.7%2.7%#N/A3.1%4.3%4.7%4.9%4.5%3.6%4.1%18#N/A#N/A4.2%3.2%4.6%5.2%5.0%4.6%3.8%4.2%19#N/A#N/A#N/A3.2%5.2%5.3%5.1%4.4%4.0%4.6%202.8%2.9%#N/A3.5%5.3%5.6%5.0%4.5%4.2%21#N/A#N/A4.0%3.9%5.6%5.8%5.1%4.7%4.5%22#N/A#N/A#N/A4.2%5.9%6.1%5.0%4.7%4.8%233.2%3.8%#N/A4.7%6.0%6.0%5.0%5.0%24#N/A#N/A4.8%4.8%6.3%5.9%4.8%5.0%25#N/A#N/A#N/A5.4%6.2%6.0%4.9%5.4%263.3%4.0%#N/A5.6%6.7%5.8%5.3%27#N/A#N/A6.2%5.8%6.8%5.8%5.6%28#N/A#N/A#N/A6.1%6.8%5.5%5.9%293.2%3.9%#N/A6.2%6.8%5.9%6.1%30#N/A#N/A6.6%6.5%6.5%6.0%6.5%31#N/A#N/A#N/A6.2%6.6%6.1%323.3%4.8%#N/A6.2%6.1%6.3%33#N/A#N/A7.0%6.3%6.1%6.3%34#N/A#N/A#N/A6.2%6.2%6.6%353.3%6.2%#N/A6.2%6.2%36#N/A#N/A7.2%5.8%6.6%37#N/A#N/A#N/A6.0%6.9%383.5%7.2%#N/A6.2%7.4%39#N/A#N/A7.3%6.3%40#N/A#N/A#N/A6.3%413.8%7.3%#N/A6.6%42#N/A#N/A7.1%7.1%43#N/A#N/A#N/A443.9%7.0%#N/A45#N/A#N/A7.1%46#N/A#N/A474.8%7.1%48#N/A#N/A49#N/A#N/A505.4%7.6%51#N/A52#N/A535.5%54#N/A55#N/A566.4%57#N/A58#N/A597.5%60#N/A61#N/A627.8%63#N/A64#N/A657.9%66#N/A67#N/A687.6%69#N/A70#N/A717.0%72#N/A73#N/A746.7%75#N/A76#N/A777.2%Six Month Rolling CPR by Trust0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%4.5%5.0%5.5%6.0%6.5%7.0%7.5%8.0%8.5%9.0%9.5%10.0%67891011121314151617181920212223242526272829303132333435363738394041424344454647484950515253545556575859606162636465666768697071727374757677Months Since Trust InceptionNCMSLTNCSLT 2003-1NCLST 2004-1NCSLT 2004-2NCSLT 2005-1NCSLT 2005-2NCSLT 2005-3NCSLT 2006-1NCSLT 2006-2NCSLT 2006-3NCSLT 2006-4NCSLT 2007-1NCSLT 2007-2NCSLT 2007-3NCSLT 2007-4
Projected future cashflow streamAs of Q1, Q2 and Q3 Fiscal Year 2008 *(in $millions)*$0$50$100$150$200$250$300$0$500$1,000$1,500$2,000$2,500Annual Residuals ($M) (Total = $2,083 M)Annual ASAFs ($M) (Total = $228 M)Cumulative Cash Flow (Total = $2,311)$0$50$100$150$200$250$300$0$500$1,000$1,500$2,000$2,500Annual Residuals ($M) (Total = $1,743 M)Annual ASAFs ($M) (Total = $215 M)Cumulative Cash Flow (Total = $1,959 M)Note:Cashflowsdonotutilizea‘PresentValue’methodologyandarepre-tax.Certainoldertrusts,whoseimpactontheanalysiswouldbeimmaterial,are excluded.Pleaserefertothemostrecent10-QSECfilingonourwebsite(www.firstmarblehead.com)forimportantinformationregardingtheCritical Accounting Policies and Estimates used to prepare this projection.These charts illustrate the projected amount and timing of Residual and Additional Structural Advisory Fee cash flow payments to FMC, based upon trust valuation assumptions as of 03/31/2008, 12/31/2007, and 09/30/2007December 31, 2007September 30, 2007March 31, 2008$0$50$100$150$200$250$300$350$400$0$500$1,000$1,500$2,000$2,500Annual Residuals ($M) (Total = $2,134M)Annual ASAFs ($M) (Total = $309M)Cumulative Cash Flow (Total = $2,444M)