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October 2012 Mortgage Performance Observations
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Data as of September, 2012 Month-end
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September 2012 Data DashboardSeptember 2012 Data Dashboard
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September 2012 Highlights
• Delinquency Increase – Attributes and
September 2012 Highlights
Delinquency Increase Attributes and causes
• Origination Increase – HARP Activity and OpportunityOpportunity
• Judicial vs. Non-judicial Foreclosures –Pipeline and impact
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DQs up 7.7% for the month; largest monthly increase since 2008
Increase came from early stages (Appendix, slide 18):• 30 Day DQs increased from
DQs Down 30% from
Peak
1.37mm to 1.59mm• 90 Day DQs increased from
1.52mm to 1.53mm
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First time delinquencies increased by about 200k (in-line with repeats)
16% of current to 30 rolls were re-defaulted modifications vs.
17% in August
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Payment / transactional activity was
Number of Business Days
down across the board in SeptemberNumber of Business Days
September:19
August:23
2012 Average (ex Sep): 21.25
• Foreclosure starts -21% M/M (Appendix, slide 20)
( p)
• Foreclosure sales -18% M/M (Appendix, slide 20)
Delinq ent c res 25% M/M (Appendi slide 23)• Delinquent cures -25% M/M (Appendix, slide 23)
• Prepayment rates -13% M/M(Appendix, slide 24)
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New problem loan rates maintained seasonal increase in September
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Delinquency Increase
• Payment / transaction activity down
Summary PointsPayment / transaction activity down
• Seasonality pressuresN i t b d f d f lt d d• No impact observed from re-defaulted mods
• Longer term trend is still down– One month of activity could be anomaly,
monitoring the longer term trend– Delinquencies 30% lower than Jan-10 peak– Watch delinquency migration and cure rates
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next month
August originations at the highest level since 2009
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HARP originations still on the riseHARP originations still on the rise
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HARP eligible population may still be over 3 million loans
63% of 2005 and63% of 2005 and earlier current and “in the money” loans are
GSEs
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HARP Eligible: GSE, Originated pre-5/09, CurrLTV > 80, No missed prior 6 and <= 1 missed in prior 12“In the Money”: Interest Rate > 4.5%
Originations and HARP Increase
• Originations at the highest level since 2009
Summary PointsOriginations at the highest level since 2009 due to persistent low rates and increased HARP activityHARP activity
• There is still a large potential HARP eligible populationpopulation
• Large “in-the-money” market still exists ( t ti l HARP 3 0 fi i ?)(potential HARP 3.0 refinancing?)
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FC inventory in judicial states remains almost 3x non-judicial
Seven of the top 10 states for total non-current are judicial
(Appendix, slide 19)
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Judicial pipeline ratio is twice non-judicial; several states still extreme
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Loss mitigation activity is similar in both judicial and non-judicial states
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Judicial vs. Non-judicial FC Disparity
• Large differences persist in judicial and non-
Summary PointsLarge differences persist in judicial and nonjudicial foreclosure timelines and inventory over-hangover hang.
• No associated impacts/divergence noted in other statistics thus far:other statistics thus far:– Similar loss mitigation activity
Si il bl l t– Similar new problem loan rates– Similar origination activity / interest rates
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October 2012 Appendix
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The September increase in delinquencies impacted early stages
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Seven of the top 10 states for total non-current are judicial
Average year over year change in non-current percent
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(includes loans 30+ Delinquent or in Foreclosure)Judicial =0.4% Non-judicial =-4.7%
FC starts at lowest since September 2007, Sales 2nd lowest in 19 months
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Decline in foreclosure starts supported a drop in overall inventory
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First time foreclosure starts at the lowest level since 2008
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Cure counts are down sharply for early stage delinquencies
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September prepayment rates dropped from August
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Disclosures: Product / Metric Definitions and July 2012 Market Sizing Revisions
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Disclosure Page: Product DefinitionsDisclosure Page: Product Definitions
*Conforming limits do not account for temporary or high-cost area increases.
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Disclosure Page: Metrics DefinitionsDisclosure 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 q yactive 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 delinquentforeclosure 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 f l L i i f l i t f f l t lforeclosure. 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.y g q y• 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
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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 itsWith the June 2012 month end data, LPS has updated its extrapolation methodology to incorporate, among other things, improved estimates of market size, which includes hi h f t d b i d t dhigher 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 andmethodology 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
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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 declinedPrior 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 CountsPerformance Statistics Changes: Database Counts
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Performance Statistics Changes: State Level DetailPerformance Statistics Changes: State Level Detail
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