March 2010 Month-end data: Conclusions

March 2010 Month-end data: Conclusions

Lender Processing Services 32

• Delinquencies declined in March – Percentage decrease was in-line with that experienced in prior years, however magnitude of impact from a loan count perspective is greater.

•The new problem loan issue has diminished somewhat from 2009 levels though, for most products (most notably prime and FHA), the rate of loans that were current at the start of the year and 60 or more days delinquent as of March remains significantly higher than historical levels.

•HAMP is having a clear impact – loan cures have hit all-time highs as trial modifications are converted to officials.

•Early stage cures (from 30 or 60 day status) also remain at or close to historical highs, indicating a higher rate of self-cures.

•Total foreclosure starts for the first quarter of 2010 increased to 480k from 438k in the prior quarter. Foreclosure sales continue to trend upwards as well.

•Given current volumes of production, FHA product remains a key focus. When filtered for similar attributes, FHA default curves show improvement from 2008 but still remain elevated compared to prior vintages. The combination of higher originations with elevated defaults has led to an unprecedented balance of FHA loans in default.

April 2010 Mortgage Performance PackageData as of March 31, 2010Released April 15, 2010

Outline / Agenda

• Delinquency and Foreclosure: Inventory figures for March 2010, historical and geographic performance

trends.

• Newly delinquent loans: Calendar year analysis, product comparison and loan volume perspective.

• Roll rates: including deterioration ratios and historical benchmarks.

• Cure rates: Impact of Home Affordable Modification Program, view of status at time of cure.

• Foreclosure trends: Covering foreclosure starts, time to foreclose and foreclosure sales

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

• FHA analysis – FICO and Vintage default curves


Total delinquencies decreased from February to March.Total Delinquencies (excluding Foreclosures) = 9.12%

Month over Month Decrease of 10.3%, Year over Year Increase of 15.7%


Foreclosure inventories dropped for the first time in over 3 years.March Foreclosure Rate = 3.27%

Month over Month Decrease of 1.2%, Year over Year Increase of 32.9%


90 Day Default % declined to 0.49% in March.Seasonality yields regular declines during this period.


LPS Servicing Database 1st liens – Non-Performing Loan Counts Extrapolated(Assumed Market Share = 70% Servicing, and 40% REO)

Total Non-Current Declined by almost 675k since January.


Pool of distressed loans is still significant though showing the first signs of improvement.


Delinquency and Foreclosure Rate TableRanked based on Non-Current %


Foreclosure Inventory by State8 States are above the National Average (3.27%): Florida, Nevada, New Jersey, Arizona,

California, Illinois, Indiana, and Ohio.


Total Non-Current (including Delinquencies and Foreclosures) by StateNational Average = 12.39%


Change in Total Non-Current by State in the last 6 months.Despite the national decline of 1.4% there are 16 states that still showed an increase.

Hawaii, Nevada, Washington, Oregon, and Utah are the top 5.


The percentage of new problem loans is lower than 2009, but still remains elevated when compared to 2008 and prior vintages.


Approximately 322k loans were current at the beginning of January and are at least 60 days delinquent or in foreclosure as of March month end. FHA is the only category that

did not experience a material decline in the number of problem loans.


*Extrapolated to the US market using 70% coverage ratio.

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


Total new delinquencies (Current to 30 rolls) dropped sharply in March.


Volume of loans curing to current hit an all time high in March.


The impact of HAMP is apparent in the cure rates from more advanced delinquency statuses.

Cures to Current from 30 day status reached an all-time high.


Deterioration rates declined while improvement rates increased.Rolls of loans to a “Worse” status remains high in context of historical averages.

3.7% of loans deteriorated in status vs. 2.6% that improved.


Six month average deterioration ratio declined again in March.1.4 Loans Deteriorated in March 2010 for every 1 Improved (Lowest since March 2007)


Roll rates into Foreclosure rose in March after hitting the historical lows in February


Advanced delinquency rolls have declined from the recent highs but still remain elevated from a historical perspective


The volume of loans deteriorating beyond 90 days declined in March. Total foreclosure starts for Q1 2010 increased to 480k from 438k in Q4 2009*.


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

Foreclosure sale rate (as a percent of foreclosure inventory) = 5.86%


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


Extrapolated Counts from LPS AA Servicing Database

FHA Origination Attributes have improved dramatically since the beginning of 2007


FHA Vintage default curves: FICO 660-679


FHA Vintage default curves: FICO 680-699


FHA Vintage default curves: FICO greater than or equal to 720


2008 Vintage FHA is performing similarly to the high risk product combination of Subprime, Option ARM and Alt-A (all vintages).


The combination of higher originations and default rates have led to unprecedented volumes of FHA loans in advanced delinquency.


Jumbo Originations have dried up, with the vast majority still concentrated in California


LPS Mortgage Monitor

April 2010 Mortgage Performance Observations

Data as of March, 2010 Month-end

Documents

March 2010 Month-end data: Conclusions