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LPS Mortgage M onitor
May 2010 Mortgage Performance Observations
Data as of April, 2010 Month-end
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Total delinquencies decreased slightly from March to AprilTotal Delinquencies (excluding Foreclosures) = 8 .99%
Month over Month Decrease of 1.4%, Year over Year Increase of 10.7%
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Prime product, both Agency and Non-Agency have experienced the highest rates ofdeterioration since January 2008.
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The relative impact of foreclosures for Prime product is higher in the more recentvintages
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Delinquent and Foreclosure inventories are starting to stabilize
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Despite improvements, there remains an elevated pool of distressed loans in themarket
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90 Day Default % remained stable at the March level of 0 .49%Slightly above the 2 year low of 0.46%
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LPS Servicing Database 1 st liens Non-Performing Loan CountsExtrapolated Assuming Market Share = 7 0% Servicing and 40% REO
Total Non-Current has declined by almost 790k since January
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Delinquency and Foreclosure Rate TableRanked based on Non-Current %
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Foreclosure Inventory by State8 States are above the National Average (3.27%): Florida, Nevada, New Jersey, Arizona,
Hawaii, Illinois, Indiana, and Ohio
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Total Non-Current (including Delinquencies and Foreclosures) by StateNational Average = 12.17%
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5.8%
11.5%
9.7%
8.5%
8.6%
9.5%
9.3%
11.6%
4.7%
11.4%
9.7%
8.2%
9.1%
12.6%
11.5%
21.9%
8.9%
8.9%
6.5%
3.9%
10.6%
6.4%
15.8%
9.2%
7.9%
12.7%10.4%
12.0%
12.5%
9.9%
8.1%
12.6%13.2%
9.5%
7.6%
14.4%
22.3%
10.6%
7.5%
14.0%
14.6%9.4%
11.3%
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Change in Total Non-Current by State in the last 6 monthsDespite the national decline of 3.9% there are 8 states that still showed an increase
Alaska, Washington, Hawaii, Nevada, Oregon are the top 5
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-5%
-7%
-5%
5%
-2%
-6%
1%
-10%
-7%
-4%
-4%
-3%
-5%
3%
-5%
-6%
0%
3%
-3%
-3%
-9%
-9%
-3%
0%
-7%
-8%
-6%
-8% -1%
-4%
-5%
-5%
-6%
-8%0%
-4%
-6%
-4%
-2%
0%
-2%
-5%
-4%
-7%-8%
-7%
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The percentage of new problem loans is lower than 2009, but still remains elevatedwhen compared to 2008 and prior vintages
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Approximately 439k loans were current at the beginning of January and are at least 60days delinquent or in foreclosure as of April month end
FHA is the only category that did not experience a material decline in the number ofproblem loans
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Extrapolated to the US market using 70% coverage ratio.
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New problem loans are still elevated in Nevada, Arizona, Florida and California
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0.5%
0.7%
0.7%
0.8%
0.4%
0.7%
1.0%
0.6%
0.7%
0.3%
0.8%
1.0%
0.6%
0.8%
0.6%
0.8%
0.7%
2.5%
0.7%
0.6%
0.4%
0.2%
0.8%
0.5%
0.9%
0.7%
0.7%
1.1%0.7%
0.9%
0.7%
0.6%
0.6%
0.7%1.1%
0.9%
0.5%
1.1%
1.5%
0.7%
0.7%
1.3%
1.6%
0.6%
0.7%
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Volume of loans rolling further into delinquency remain stable at relatively low levelsLoans moving into REO status increased to a new all-time high
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Loan counts are not extrapolated
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Overall volume of loans curing to current declined to a 3 month low
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Loan counts are not extrapolated
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Cure rates from early stage delinquency declined as the seasonal improvement periodconcludes
Late stage delinquencies remain elevated as HAMP trial modifications are converted topermanent
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Loan counts are not extrapolated
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Deterioration rates increased after the sharp decline in March while improvement ratesdeclined as cure rates dropped
Rolls of loans to a W orse status remain high in context of historical averages
3 .8% of loans deteriorated in status vs. 1 .9% that improved
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Six month average deterioration ratio declined again in AprilApproximately 2 Loans Deteriorated for every 1 Improved
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Roll rates into Foreclosure declined in April
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Advanced delinquency rolls remain elevated from a historical perspective
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The volume of loans deteriorating beyond 90 days declined further in AprilTotal foreclosure starts for 2010 are at 617k compared to 678k for the same period last
year
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*As servicers continue to identify ways to assist borrowers there may be instances where theprocess impacts the month to month figures.
Loan counts are not extrapolated
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Foreclosure sale rate (as a percent of total loans) = 0.21%
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Refinance opportunities are dwindling even for borrowers who are current
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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
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Loan counts are not extrapolated
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Jumbo Originations remain relatively insignificant and are focused primarily inCalifornia
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Loan counts are not extrapolated
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Across all loan products the 2009 Vintage has returned to pre-2004 levels of default
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FHA Product displays similar vintage default performance as the overall loanpopulation when not adjusting for risk characteristics
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When accounting for FICO ranges, default performance for the FHA 2009 vintage isperforming better than only the 2007 and 2008 vintages
FHA Vintage default curves: FICO 660-679
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FHA Vintage default curves: FICO 680-699
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FHA Vintage default curves: FICO greater than or equal to 720