LPS Mortgage Monitor

June 2010 Mortgage Performance Observations

Data as of May, 2010 Month-end

 June 2010 Mortgage Performance Package
Data as of May 31, 2010
Data released June 15, 2010
Outline / Agenda

• Delinquency and Foreclosure: Inventory figures for May 2010 including longer-term trend analysis.

• Geographic Analysis: Inventories and trends at the state level.

• Newly delinquent loans and delinquency migrations (roll rates) – focus on first time delinquent
borrowers with historical trends and static pool performance.

• Cure rates and performance post-cure.

• Modification and other loss mitigation activity – volumes and recidivism rates

• Foreclosure trends: Covering foreclosure starts and foreclosure sales, volumes and percentages.

• Origination analysis – Attributes / performance with FHA and Jumbo focus

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 Total Delinquencies increased from April to May
Total Delinquencies (excluding Foreclosures) = 9.20%
Month over Month Increase of 2.3%, Year over Year Increase of 7.9%

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Foreclosure inventories remained stable in May
May Foreclosure Rate = 3.18%
Year over Year Increase of 13.5%

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Delinquent and Foreclosure inventories continue to stabilize but have yet to show
annual declines

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Stabilization in delinquencies and foreclosures is at extremely high historical rates

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90 Day Default % increased slightly from March/April level level of 0.49% to 0.50%

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 LPS Servicing Database 1st liens – Non-Performing Loan Counts
Extrapolated Assuming Market Share = 70% Servicing and 40% REO
Early stage delinquencies are back on the rise

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Delinquency and Foreclosure Rate Table
Ranked based on Non-Current %

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Total Non-Current (including Delinquencies and Foreclosures) by State
National Average = 12.38%

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Change in Total Non-Current by State in the last 6 months: Decline of 6.49% nationally
Alaska is the only state that experienced an increase (2.5%) – 27 states are performing
worse than national.

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Volume of loans rolling into early stage delinquency has increased with “New 30s”
reverting back to 2009 levels
New REOs declined from all time highs

Loan counts are not extrapolated

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Approximately 583k loans were current at the beginning of January and are at least 60
days delinquent or in foreclosure as of May month end
(Prior years are: 873k in 2009, 543k in 2008, 235k in 2007 and 136k in 2006)

Extrapolated to the US market using 70% coverage ratio.

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New problem loans are still elevated in Nevada, Arizona, Florida and California

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First-time 60 day delinquencies have declined significantly from 2009 levels

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Far more loans are still in late stage delinquency or foreclosure 12 months after a first-
time 60 day default

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Overall volume of loans curing to current declined to a 6 month low

Loan counts are not extrapolated

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Cure rates from all stages of delinquency declined, with the exception of 6+ month
delinquent cures which are dominated by HAMP conversions

Loan counts are not extrapolated

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A higher percentage of loans that cured in February and March remained current vs.
prior month cures

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 Deterioration rates continue to increase after the sharp decline in March while
improvement rates dropped back to the range experienced over the last 5 years
4.1% of loans deteriorated in status vs. 1.7% that improved

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After a 2 month drop in February and March, deterioration ratios rapidly reverted back
to 2008 to 2009 levels
Approximately 2.5 Loans deteriorated for every 1 Improved

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OCC and OTS Mortgage Metrics Report shows modification activity back on the rise as
HAMP Trial Period Plans are converted to permanent modifications

Data from Q1 2010 OCC and OTS Mortgage Metrics Report

http://www.occ.treas.gov/ftp/release/2010-69a.pdf

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90+ Delinquency Rate by Modification Quarter: The performance of modifications is
steadily improving

Data from Q1 2010 OCC and OTS Mortgage Metrics Report

http://www.occ.treas.gov/ftp/release/2010-69a.pdf

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Short-sale activity is on the rise but Deeds in Lieu remain limited

Data from Q1 2010 OCC and OTS Mortgage Metrics Report

http://www.occ.treas.gov/ftp/release/2010-69a.pdf

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 Foreclosure starts increased slightly in May.
Total foreclosure starts for 2010 are at 767k (vs. 851k for the same period in 2009 and
596k in 2008)

Loan counts are not extrapolated

*As servicers continue to identify ways to assist borrowers there may be instances where the
process impacts the month to month figures.

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Foreclosure Starts – Nevada and Florida are still the hot spots

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Foreclosure sale rate (as a percent of total loans) = 0.21%

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Production by Origination Month – January 2007 to December 2009 by Product
FHA is 28.4% of origination for 2009 vs. 24.0% for 2008 and 5.7% in 2007

Loan counts are not extrapolated

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The percentage of originations relative to active loans has declined drastically in
Florida and Michigan

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 May 2010 Month-end data: Conclusions

• Delinquencies and Foreclosures remain stable, but elevated vs. historical levels.

• Early stage delinquencies are on the rise again as the seasonal improvement period has expired.

• First time 60 day delinquencies have declined from the extreme levels of 2009 with higher percentages
remaining in serious delinquent status after 12 months.

• Cure rates (most notably, early stage cures) have dropped back down to the levels experienced over
the prior 2 years, though higher percentages are remaining current in the immediate term post-cure.

• OCC and OTS Mortgage Metrics Report shows that modification activity remains high with
performance improving by vintage of modification.

• Foreclosure starts increased slightly in May with the total for the year still significantly higher than
experienced in 2008.

• Foreclosure sales declined from historic highs, but as with all other delinquency statistics, still remain
elevated.

• Originations increased slightly in May but still remain very low – viewed as a percentage of total active
loans, regional differences are becoming apparent.

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