LPS Mortgage Monitor - February 2013

Lender Processing Services 1

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LPS Mortgage Monitor

March 2013 Mortgage Performance Observations

Data as of February, 2013 Month-end


• Focus 1: Prepayment rates with vintage and

product view

• Focus 2: Delinquency trends and late stage

focus

• Focus 3: Loan “cure” rates and modification

activity

• Focus 4: Performance by vintage - default

curves

February 2013 Focus Points


• Increased mortgage rates have led to a

slight decline in loan prepayments

• Recent vintages are reacting similarly during

this refinance wave

• GNMA and portfolio loans have been

relatively unreactive to lower interest rates

Focus Point 1: Prepayment Rates


Increased mortgage rates

led to a decline in prepayments


‘08-’11 vintages have participated

similarly in the recent refi wave


GNMA & portfolio-owned loans have

been relatively immune to lower rates


• Non-current rates continue to decline, but

remain almost 2x pre-crisis levels

• 90 day delinquencies continue to improve,

but at a slower pace while inventory

continues to age

• New 90 day delinquencies are improving

nationwide, but at a slower pace in judicial

states

Focus Point 2: Delinquency Trends


Delinquency and foreclosure

trends continue to improve


Improvement in late stage DQs

has slowed since 2011

Feb-13

1.5 million loans

474 avg days DQ

42% > 1 year DQ

Jan-10 Peak

2.9 million loans

252 avg days DQ

22% > 1 year DQ


DQs declined for all products since

’10 peak, FCs up only for FHA/VA


New 90+ day delinquencies in judicial

states are improving at a slower pace


• February and March typically see the

highest increase in loan “cures”

• This year’s increase was driven almost

entirely by FHA / GNMA loans

• Modification volumes have begun to

increase again over the last six months with

recidivism rates remaining relatively low

Focus Point 3: Cure Rates and

Modification activity


There is a seasonal increase in

cure rates in February and March


Increase in loan cures was driven

almost entirely by FHA / GNMA loans


After 2 years of decline, modifications

have increased for the last 2 quarters

Data from Q4 2012 OCC Mortgage Metrics Report


More recent modifications

continue to perform well

Data from Q4 2012 OCC Mortgage Metrics Report


• More restrictive underwriting guidelines

have led to extremely low default rates

relative to “bubble” vintages

• The improvement in recent vintages extends

to loans with similar risk attributes

• FHA is still supporting lower quality

borrowers with higher default rates as a

result

Focus Point 4: Default Curves


Tighter underwriting reflected in the

performance of 2010-2012 vintages


Even in high quality cohorts, recent

vintages are performing better


FHA is still supporting the lower

credit quality borrowers

Product

Wtd Avg

Credit Score

Wtd Avg

LTV

FHA 707 92%

GSE 762 69%

Other 765 63%


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March 2013 Appendix

Data as of February, 2013 Month-end


February 2013 Summary February Summary Statistics

Feb-13

Monthly

Change YTD Change

Yearly

Change

Delinquencies 6.80% -3.2% -5.1% -6.5%

Foreclosure 3.38% -1.0% -1.8% -19.6%

Foreclosure Starts 131,826 -10.7% -3.3% -27.6%

Seriously Delinquent (90+) or in

Foreclosure 6.34% -2.2% -3.1% -16.1%

New Originations (data as of

Jan-13) 835K 8.1% 15.5% 45.2%

12 Month History

Feb-13 Jan-13 Dec-12 Nov-12 Oct-12 Sep-12 Aug-12 Jul-12 Jun-12 May-12 Apr-12 Mar-12 Feb-12

Delinquencies 6.80% 7.03% 7.17% 7.12% 7.03% 7.40% 6.87% 7.03% 7.14% 6.91% 6.87% 6.80% 7.28%

Foreclosure 3.38% 3.41% 3.44% 3.51% 3.61% 3.87% 4.04% 4.08% 4.09% 4.17% 4.20% 4.19% 4.20%

Foreclosure Starts 131,826 147,593 136,289 130,053 124,292 159,078 201,173 185,811 173,556 218,909 183,489 195,128 182,184

Seriously Delinquent (90+) or in

Foreclosure 6.34% 6.48% 6.54% 6.66% 6.71% 6.94% 7.08% 7.19% 7.24% 7.28% 7.34% 7.38% 7.55%

New Originations 835K 772K 828K 892K 769K 875K 745K 695K 670K 622K 723K 645K

7.28

%

6.80

%

6.87

%

6.9

1%

7.14

%

7.03

%

6.87

%

7.4

0%

7.0

3%

7.12

%

7.1

7%

7.03

%

6.80

%

Total Delinquencies

64

5K

72

3K

622K

670K

695K

745K 87

5K

769K 89

2K

82

8K

772K

835K

New Originations


Seven of the top 10 states for total

non-current are judicial

Average year over year change in non-current percent

(includes loans 30+ Delinquent or in Foreclosure)

Judicial = -10.5% Non-judicial = -5.8%

State Del % FC % Non-Curr

%

Yr/Yr

Change

in NC%


%

Yr/Yr

Change

in NC%


%

Yr/Yr

Change

in NC%

National 6.8% 3.4% 10.2% -11.3% National 6.8% 3.4% 10.2% -11.3% National 6.8% 3.4% 10.2% -11.3%

FL * 7.3% 11.2% 18.5% -16.1% PA * 7.7% 3.4% 11.0% -0.8% MO 6.9% 1.3% 8.2% -9.5%

NJ * 8.0% 8.2% 16.3% 3.0% HI * 5.0% 6.0% 11.0% -7.0% KS * 6.1% 1.7% 7.8% -6.7%

MS 13.0% 3.0% 16.0% -6.0% SC * 7.2% 3.6% 10.8% -10.4% OR 4.4% 3.3% 7.7% -9.3%

NV 8.8% 5.2% 14.0% -16.3% TN 8.7% 1.5% 10.2% -8.1% UT 5.8% 1.7% 7.5% -11.9%

NY * 7.5% 6.0% 13.5% 1.9% WV 8.3% 1.7% 10.1% -3.7% IA * 4.9% 2.6% 7.5% -4.5%

ME * 7.0% 5.8% 12.7% 0.4% MA 7.5% 2.4% 9.9% -1.2% CA 5.7% 1.5% 7.3% -25.6%

RI 8.5% 4.0% 12.5% -1.2% NC 7.3% 2.3% 9.6% -10.4% ID 4.6% 2.5% 7.0% -11.5%

CT * 7.3% 5.0% 12.3% 0.4% OK * 6.3% 3.2% 9.5% -3.6% AZ 5.2% 1.5% 6.7% -31.4%

MD * 8.4% 4.0% 12.3% -5.0% VT * 5.3% 3.9% 9.2% 4.2% VA 5.7% 1.0% 6.7% -10.8%

LA * 9.5% 2.8% 12.3% -5.0% KY * 6.5% 2.5% 9.0% -10.9% NE * 4.9% 1.1% 5.9% -6.2%

IL * 6.7% 5.4% 12.1% -13.7% NM * 5.4% 3.5% 8.9% -8.1% MN 4.1% 1.2% 5.4% -18.6%

IN * 7.8% 3.5% 11.3% -7.5% DC 6.4% 2.4% 8.8% -5.4% CO 4.1% 1.0% 5.2% -18.1%

AR 8.3% 3.0% 11.3% 2.0% WI * 6.0% 2.7% 8.8% -10.4% MT 3.6% 1.3% 4.9% -15.5%

GA 9.2% 2.0% 11.2% -12.8% WA 5.8% 2.8% 8.5% -10.7% WY 4.0% 0.7% 4.7% -6.5%

OH * 7.5% 3.7% 11.1% -9.1% MI 7.0% 1.5% 8.5% -14.4% AK 3.8% 0.8% 4.7% -8.9%

AL 9.5% 1.5% 11.1% -3.1% TX 7.1% 1.2% 8.3% -8.2% SD * 3.1% 1.3% 4.3% -9.7%

DE * 7.8% 3.2% 11.0% -1.2% NH 6.6% 1.6% 8.2% -4.1% ND * 2.3% 0.9% 3.2% -13.5%

* - Indicates Judicial State


Short month contributed to a

decline in foreclosure starts and sales


Originations rebounded in January


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Disclosures: Product / Metric Definitions and

July 2012 Market Sizing Revisions


Disclosure Page: Product Definitions

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

increases.


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.


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.


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


New scaling reflects the higher coverage of government

loans and allows for the incorporation of new servicers


Delinquencies decline based on higher

estimated coverage of FHA and subprime loans.

Converge due to new

servicers and transfer

issues with prior scaling


Foreclosure inventory remains almost identical, but

shifts up in recent months as transfer bias is repaired


Foreclosure starts remain consistent, with

rates shifting up slightly


Performance Statistics Changes: Database Counts


Performance Statistics Changes: State Level Detail

LPS Mortgage Monitor - February 2013

Real Estate

lowlender processing

mortgage rates

prepayment rates

loan cure rates

increased mortgage

modificationactivity

view focus

focus points