lps mortgage monitor - june 2012

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LPS Mortgage MonitorJuly 2012 Mortgage Performance Observations

Data as of June, 2012 Month-end

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June 2012 “First Look”McDash Online Release: July 16th

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DQs are down over 30% from peak;FCs still near all-time highs

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Non-judicial non-current rates continue to decline faster than judicial

Average year over year change in non-current percent (includes loans 30+ Delinquent or in Foreclosure)

Judicial =0.2% Non-judicial =-6.2%

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New problem loan rates are slightly higher in judicial states

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90+ delinquent inventory rateis now higher in judicial states

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National 90+ DQs stable, % of aged inventory is higher in judicial states

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Cures are seasonally low; modification activity is limited

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First time foreclosure starts are at multi-year lows

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Judicial and non-judicial foreclosure starts have diverged

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Foreclosure inventory in judicial states is over 3x non-judicial

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Almost 60% of judicial foreclosures have not made a payment in 2 years

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Foreclosure starts stilloutnumber sales by over 2:1

*Foreclosure sales figures include short sales and other involuntary liquidations

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Foreclosure sales have been slowly increasing in judicial states

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Pipeline rations in judicial states have improved

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Prepayment speeds remain stable despite historically low rates

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HARP activity has jumped sharply since January

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Refi opportunities have extended to lower credit score borrowers

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Origination activity is stable, closely tracking refinance trends

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LPS Mortgage MonitorDisclosures: 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, withrates shifting up slightly

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Performance Statistics Changes: Database Counts

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Performance Statistics Changes: State Level Detail