LPS Mortgage Monitor Report August 2011

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Lender Processing Services 1

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RFULSOLUTIONS.

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LPS Mortgage Monitor

August 2011 Mortgage Performance Observations

Data as of July, 2011 Month-end


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July 2011 First Look

McDash Online Release: August 14th


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Market Overview: 4.1 million loans are90+ days delinquent or in foreclosure


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DQs are almost 2x, and foreclosuresare 8x pre-crisis levels

*Based on 1995 2005 performance


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Florida is the only state with fewerdelinquent loans than foreclosures


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The inflow of new problem loansremains subdued


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Only 25% of new 30 daydelinquencies are first time



Increased foreclosure removals areimpacting delinquency rates



Modification dominated, late stagecures continue to decline



Over 40% of 90+ DQ loans havenot made a payment in over a year


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Foreclosures have been initiated atthe fastest pace for GSE loans


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GSE share of 90+ delinquencies hasdropped considerably since Jan-10


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Loans deteriorating over 90 days stilloutnumber foreclosure starts 2:1


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First time foreclosure startsnear three year lows


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Most of the foreclosure outflow is

back into delinquency


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Foreclosure starts outnumber salesby a factor of almost 3:1


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Foreclosure sales are downacross all investors


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Moratorium impact has dropped butremains very high in judicial states


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The pipeline ratio in judicial states ismore than 3 times that of non-judicial


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Originations remainnear three year lows


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More borrowers are choosing15 year fixed rate terms


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Even at the state level, conforminglimit reduction impact is small


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Prepayment / refi rates remained lowthrough July


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LPS Applied Analytics:Mortgage Monitor Disclosures

Includes product definition and extrapolationmethodology


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

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


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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 orforeclosure. 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 MBAmethodology based on the payment due date provided by the servicer. Loans in foreclosure arereported 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 daysdelinquent, but not in foreclosure, in the current month.

Foreclosure Inventory: The servicer has referred the loan to an attorney for foreclosure. Loansremain in foreclosure inventory from referral to sale.

Foreclosure Starts Any active loan that was not in foreclosure in the prior month that moves intoforeclosure 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 intopost-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 allproperties on and off the market.

Deterioration Ratio: The ratio of the percentage of loans deteriorating in delinquency status vs. thoseimproving.


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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 theJune 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 infull)


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

Mortgage metrics reports produced prior to June 2010 used the followingextrapolation 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 aspecific client.

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


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Performance Statistics Changes MBA DelinquencyBefore = Unextrapolated Values from prior to June 2010 Month-end data

After Unextrapolated = Actual values from servicing data reflecting removal of 2ndsAfter Extrapolated = Changes with June 2010 data; new products and extrapolations


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Performance Statistics Changes Foreclosure InventoryBefore = Unextrapolated Values from prior to June 2010 Month-end data

After Unextrapolated = Actual values from servicing data reflecting removal of 2ndsAfter 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 CountsNew Extrapolation and Product Definitions implemented with the June 2010 month-

end data.

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LPS Mortgage Monitor Report August 2011

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