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LPS Mortgage Monitor

April 2013 Mortgage Performance Observations

Data as of March, 2013 Month-end

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• Focus 1: Delinquency trends and product

mix

• Focus 2: Foreclosure transitions and

inventory, including regional focus

• Focus 3: New problem loans and negative

equity trends

• Focus 4: Originations and prepayment

activity

April 2013 Focus Points

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• Total non-current loan counts were below 5

million for the first time since 2008

• Severe delinquencies represent over 60% of

all non-current loans vs. 30% pre-crisis.

• Government backed loans now represent

about 80% of the active and current market

Focus Point 1: Delinquency trends

and product mix

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Non-current loan count fell below 5

million for the first time since 2008

% of non-current

that are 90+ DQ

or in foreclosure:

2005: 30%

2013: 62%

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Government backed loans are ~80%

of the total active and current market

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• Foreclosure starts remain low after the

national mortgage settlement in late 2012

• Foreclosure inventory decline has slowed,

with judicial rates still over 3x non-judicial

• Regional legislative and judicial activity

continues to drive sharp differences in

resolution rates

Focus Point 2: Foreclosure starts,

sales and inventory

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Foreclosure starts remain subdued

post National Mortgage Settlement

Foreclosure

“cures” hit an

8 month high

in March-13

National

Mortgage

Settlement

Process

Reviews FHFA Moratoria

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FC inventory improvement slowing in

judicial states; still 3.3x non-judicial

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Foreclosure inventory resolution

varies widely beyond judicial vs. non

MA: Lenders have to prove

ownership at FC sale

NV: Affidavit required

prior to foreclosure

CA: Homeowner’s Bill of Rights (“HOBR”)

NY and NJ: Process

penalties imposed

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Legislative / judicial changes typically

impact the foreclosure sale stage

CA HOBR:

National

foreclosure sales

(ex. CA) increased

13% in Q1 2013

vs. Q4 2012

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• Ongoing home price improvement continues

to drive down negative equity

• New problem loan rates are at their lowest

levels since 2007

Focus Point 3: New Problem Loans

and Negative Equity

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Underwater borrowers are still

significantly more likely to default

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Improving home prices continues to

drive negative equity lower

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New problem loan rates are almost

back to pre-crisis levels

March 2013 was the first

time new problem loan

rates dropped below 1%

since 2007

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• Origination activity remains relatively strong

with increased non-government participation

• Mortgage rates have edged up over the past

several months but remain near historic

lows, keeping prepayment rates near recent

highs

Focus Point 4: Originations and

prepayment activity

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Origination activity remains relatively

strong with increased non-gov’t

Non-government % of total originations

2005 2006 2007 2008 2009 2010 2011 2012

47.9% 48.2% 31.8% 13.2% 9.3% 10.6% 13.2% 14.1%

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Prepayment speeds have remained

elevated with rates coming off lows

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LPS Mortgage Monitor

April 2013 Appendix

Data as of March, 2013 Month-end

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March 2013 Data Summary

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Seven of the top 10 states for total

non-current are judicial

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Loan counts and

average days delinquent

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LPS Mortgage Monitor

Disclosures: Product / Metric Definitions and

July 2012 Market Sizing Revisions

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Disclosure Page: Product Definitions

*Conforming limits do not account for temporary or high-cost area

increases.

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Disclosure Page: Metrics Definitions

• Total Active Count: All active loans as of month-end including loans in any state of

delinquency or foreclosure. Post-sale loans and loans in REO are excluded from the total

active count.

• Delinquency Statuses (30, 60, 90+, etc): All delinquency statuses are calculated using

the MBA methodology based on the payment due date provided by the servicer. Loans in

foreclosure are reported separately and are not included in the MBA days delinquent.

• 90 Day Defaults: Loans that were less than 90 days delinquent in the prior month and

were 90 days delinquent, but not in foreclosure, in the current month.

• Foreclosure Inventory: The servicer has referred the loan to an attorney for

foreclosure. Loans remain in foreclosure inventory from referral to sale.

• Foreclosure Starts – Any active loan that was not in foreclosure in the prior month that

moves into foreclosure inventory in the current month.

• Non-Current: Loans in any stage of delinquency or foreclosure.

• Foreclosure Sale / New REO: Any loan that was in foreclosure in the prior month that

moves into post-sale status or is flagged as a foreclosure liquidation.

• REO: The loan is in post-sale foreclosure status. Listing status is not a consideration,

this includes all properties on and off the market.

• Deterioration Ratio: The ratio of the percentage of loans deteriorating in delinquency

status vs. those improving.

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With the June 2012 month-end data, LPS has updated its

extrapolation methodology to incorporate, among other

things, improved estimates of market size, which includes

higher coverage of government and subprime products and

increases LPS’ estimate of the total first lien residential

mortgage market by three percent to 50.4 million.

To ensure consistency in trend analysis, the new

methodology has been applied to all historical data and

previously reported mortgage performance statistics have

been adjusted accordingly.

The following section contains information on market

coverage and comparisons with previously reported

statistics. Additional information is available upon request.

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The new scaling increases overall estimated industry

loan count by approximately 1.2 million loans

Prior industry estimates declined

because scaling didn’t support

current servicing transfer volumes

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New scaling reflects the higher coverage of government

loans and allows for the incorporation of new servicers

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Delinquencies decline based on higher

estimated coverage of FHA and subprime loans.

Converge due to new

servicers and transfer

issues with prior scaling

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Foreclosure inventory remains almost identical, but

shifts up in recent months as transfer bias is repaired

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Foreclosure starts remain consistent, with

rates shifting up slightly

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Performance Statistics Changes: Database Counts

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Performance Statistics Changes: State Level Detail