lps mortgage monitor may 2010 mortgage performance observations

8/9/2019 LPS Mortgage Monitor May 2010 Mortgage Performance Observations

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LPS Mortgage M onitor

May 2010 Mortgage Performance Observations

Data as of April, 2010 Month-end


2/33

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%

Lender Processing Services 2


3/33


4/33

Prime product, both Agency and Non-Agency have experienced the highest rates ofdeterioration since January 2008.



5/33

The relative impact of foreclosures for Prime product is higher in the more recentvintages



6/33

Delinquent and Foreclosure inventories are starting to stabilize



7/33

Despite improvements, there remains an elevated pool of distressed loans in themarket



8/33

90 Day Default % remained stable at the March level of 0 .49%Slightly above the 2 year low of 0.46%



9/33

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



10/33

Delinquency and Foreclosure Rate TableRanked based on Non-Current %



11/33

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

Hawaii, Illinois, Indiana, and Ohio



12/33

Total Non-Current (including Delinquencies and Foreclosures) by StateNational Average = 12.17%


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%


13/33

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


-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%


14/33

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



15/33

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


Extrapolated to the US market using 70% coverage ratio.


16/33

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


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%


17/33

Volume of loans rolling further into delinquency remain stable at relatively low levelsLoans moving into REO status increased to a new all-time high


Loan counts are not extrapolated


18/33

Overall volume of loans curing to current declined to a 3 month low




19/33

Cure rates from early stage delinquency declined as the seasonal improvement periodconcludes

Late stage delinquencies remain elevated as HAMP trial modifications are converted topermanent




20/33

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



21/33

Six month average deterioration ratio declined again in AprilApproximately 2 Loans Deteriorated for every 1 Improved



22/33

Roll rates into Foreclosure declined in April



23/33

Advanced delinquency rolls remain elevated from a historical perspective



24/33

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


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



25/33

Foreclosure sale rate (as a percent of total loans) = 0.21%



26/33

Refinance opportunities are dwindling even for borrowers who are current



27/33

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




28/33

Jumbo Originations remain relatively insignificant and are focused primarily inCalifornia




29/33

Across all loan products the 2009 Vintage has returned to pre-2004 levels of default



30/33

FHA Product displays similar vintage default performance as the overall loanpopulation when not adjusting for risk characteristics



31/33

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



32/33

FHA Vintage default curves: FICO 680-699



33/33

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

lps mortgage monitor may 2010 mortgage performance observations

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