LPS Mortgage Monitor

December 2010 Mortgage Performance Observations

Data as of November, 2010 Month-end

December 2010 Mortgage Performance Package Data as of November 30, 2010 Released December 15, 2010 Outline / Agenda
Delinquency and Foreclosure Rates: Dashboard performance statistics and time-series analysis with
product comparisons.

Roll Rates: Including foreclosure sale and impact of moratorium

New Problem Loans and Borrower Cure Rates

Shadow inventory and extremely delinquent loan tracking

Foreclosure Starts / Sales and Aging: Volumes, with investor views and state level timelines..

Refinance Activity and Origination Analysis: CPRs, Production Volumes and First Payment Defaults

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Mortgage Monitor: November 2010 Dashboard

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

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Delinquencies remain about 2.1 times historical average, foreclosure inventories are 7.7 times and rising.

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LPS Servicing Database 1st liens Non-Performing Loan Counts

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Delinquencies dropped across all product types as more loans move to foreclosure.

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Foreclosure inventories increased across all products as foreclosure starts remain elevated and foreclosure sales (outflow) declined.

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Increases in foreclosure inventories become more pronounced when viewed relative to 2008 levels.

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Foreclosure to REO (or other involuntary liquidation) dropped again in November. New 30 day delinquencies also declined.

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New problem loans declined in November despite upward seasonal propensity.

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Self-cures, or cures from 1-2 month status increased in November to a six month high.

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More loans are starting to move into foreclosure in the six and 12 month delinquency range, however the extremely delinquent categories are still stagnating.

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A third of all loans that are in 90+ delinquency status have not made a payment in a year.

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The volume of loans rolling to seriously delinquent statuses beyond 90 days still far outnumbers foreclosure starts.

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Florida and Nevada no longer appear in the top MSAs for 90+ to Foreclosure rolls.

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GSE foreclosure starts continue to decline from the July peak.

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The average days past due of loans at foreclosure start has declined for the last three months. Foreclosure sale timing dropped sharply as a result of the moratorium.

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California, New York, Florida, Maryland and Massachusetts are among the nations slowest to refer for foreclosure. Californias average days delinquent at foreclosure start in November was over a year.

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Refinancing activity remains elevated, particularly for the GSE investor category.

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FHA share of origination for October 2010 was 20%, the lowest since April 2008.

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First payment defaults are down about 28% from January 2008 levels for loans with less than 660 credit score and over 50% for loans greater than 660.

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For FHA loans, overall first payment defaults are down 36%, but within specific credit score bands, improvements are much more subdued.

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November Month-End Data: Conclusions

Delinquency rates are down across all products as more loans entered foreclosure and new delinquencies declined. Foreclosure inventory increases are being driven both by elevated levels of foreclosure starts as well as a very limited amount of foreclosure sale activity. Seasonal trends were reversed as both newly delinquent loan rates and self-cure rates improved. More six and 12 month delinquent loans are moving to foreclosure, but the extremely delinquent category continues to grow.

Refinance activity continued to be strong in November, GSE prepayment rates are at the highest levels in the last two years.
Origination activity remains close to 2010 highs with the government percentage declining. Early payment defaults on new originations remains very low with improvements across all credit score bands for non-FHA product. FHA improvements are more subdued or nonexistent within credit score bands.

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LPS Applied Analytics: Mortgage Monitor Disclosures

Includes product definition and extrapolation methodology updates implemented with the June month-end data

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Disclosure Page: Product Definitions as of June month-end Data

*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 postsale 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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Disclosure Page: Product Shifts pre and post-June 2010 Report

The table below contains the counts using the definitions implemented with the June 2010 and the change in count and percentage from those used prior. Counts are based on May 2010 Data Active Loans (excludes post-sale and paid in full)

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Disclosure Page: Product Shift Matrix, pre and post-June 2010 Report

Counts are based on May 2010 Data Active Loans (excludes post-sale and paid in full)

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Disclosure Page: Industry Extrapolations pre and post-June 2010 Report

Mortgage metrics reports produced prior to June 2010 used the following extrapolation method when estimating full industry numbers:
Active loans (non-REO) are extrapolated based on a 70% market-share assumption. REO loans prior to March 2009 are extrapolated based on a 40% market-share assumption REO loans from March 2009 on contain an additional adjustment for under-reporting by a specific client.

Mortgage metrics reports produced from June 2010 on extrapolate based on vintage and product. Product coverage is highlighted below. Loan counts and extrapolation are based on May 2010 active loan counts (excludes post-sale and paid in full):

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Performance Statistics Changes MBA Delinquency Before = Unextrapolated Values from prior to June 2010 Month-end data After Unextrapolated = Actual values from servicing data reflecting removal of 2nds After Extrapolated = Changes with June 2010 data; new products and extrapolations

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Performance Statistics Changes Foreclosure Inventory Before = Unextrapolated Values from prior to June 2010 Month-end data After Unextrapolated = Actual values from servicing data reflecting removal of 2nds After Extrapolated = Changes with June 2010 data; new products and extrapolations

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Performance Statistics Changes: Foreclosure Starts

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Performance Statistics Changes: Database Counts New Extrapolation and Product Definitions implemented with the June 2010 month-end data.

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