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LPS Mortgage Monitor

June 2013 Mortgage Performance Observations

Data as of May, 2013 Month-end

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• Focus 1: Delinquency trend improvement

with new problem loan update

• Focus 2: Home price advances and

negative equity impact

• Focus 3: Originations, attributes and loan

prepayment activity

June 2013 Focus Points

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• Delinquencies continued to decline in May;

largest year-to-date drop since ’02

• Improvement supported by low new problem

loan rates that now approach the pre-crisis

average

• Prime delinquencies have experienced the

greatest decline since the Jan-10 peak;

down 40-50%

Focus Point 1: DQ trend improvement

with new problem loan update

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DQs down over 15% since Dec ‘12;

largest year-to-date drop since ‘02

May-13 vs. ‘95-’05 average

Delinquencies 1.4x

Foreclosures 5.7x

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New problem loan rates continue to

decline towards pre-crisis average

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Prime delinquencies are down

40-50% from Jan-10 peak

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While volumes have declined, serious

DQ inventories continue to age

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• Equity status continues to be a strong driver

of new problem loan rates

• Home prices increase continued as of the

latest data; up over 8% year over year

• Improvement in home prices has lowered

national negative equity rates to below 15%

Focus Point 2: Home price advances

and negative equity impact

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Equity status continues to drive new

problem loan rates

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Home prices have increased

over 8% since April 2012

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Negative equity percentage has

dropped below 15% nationally

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Distressed sales ~23% of total for

2013; lowest levels since ‘08

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• 2013 origination activity remained strong

through April

• Prepayment rates indicate higher May

refinance activity despite increased rates

• Recent vintages continue to display pristine

credit quality and performance

Focus Point 3: Originations, attributes

and loan prepayment activity

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Strength in 2013 originations

continued through April

2005 2006 2007 2008 2009 2010 2011 2012 2013

Count 13.1M 11.2M 9.1M 6.7M 8.3M 7.2M 6.4M 8.8M 3.2M

(thru Apr)

% Gov 52% 52% 69% 87% 91% 89% 87% 84% TBD

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Prepayments indicate higher May refi

activity despite increased rates

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Recent vintages continue to display

pristine credit quality & performance

The weighted

average credit

score for 2013

originations is

754

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LPS Mortgage Monitor

June 2013 Appendix

Data as of May, 2013 Month-end

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May 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