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					LPS Mortgage Monitor
February 2010 Mortgage Performance Observations


Data as of January 31, 2009 Month-end
                         February 2010 Mortgage Performance Package
                                  Data as of January 31, 2010
                                  Released February 15, 2010
                                       Outline / Agenda

•   Delinquency and Foreclosure: Inventory volumes / percentages for January 2010 with industry
    extrapolations, time in delinquent status and long-term trends.



•   Newly delinquent loans: Vintage analysis, geographic detail, 2009 trending and loss mitigation
    comparison.



•   Roll rates: including cure rates, deterioration ratios and shadow inventory migration.



•   Foreclosure trends: Covering foreclosure starts, time to foreclose and foreclosure sales



•   Vintage Analysis: Performance by vintage, origination characteristics and first payment defaults. FHA
    focus.




                                             Lender Processing Services                                     2
Total delinquencies increased slightly from December to January to new highs.
            Total Delinquencies (excluding Foreclosures) = 10.25%
     Month over Month Increase of 2.0%, Year over Year Increase of 22.1%




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    Foreclosure inventories continue to climb to record highs.
               January Foreclosure Rate = 3.27%
Month over Month Increase of 1.8%, Year over Year Increase of 61.3%




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         Beware „Picture Frame‟ thinking when looking for signs of recovery.



             Total Non-Current % and Foreclosure % by As of Month
16.00%                                                                                                             4.00%


14.00%                                                                                                             3.50%


12.00%                                                                                                             3.00%


10.00%                                                                                                             2.50%


8.00%                                                                                                              2.00%


6.00%                                                                                                              1.50%


4.00%                                                                                                              1.00%


2.00%                                                                                                              0.50%


0.00%                                                                                                              0.00%
     Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10

                                   Non-Current % (Left Axis)        Foreclosure % (Right Axis)




                                                Lender Processing Services                                                 5
January 2010 year over year deterioration for both delinquencies and foreclosures was
                     highest among the three prime categories




                                  Lender Processing Services                            6
                      Pool of Problem Loans Continues to Grow and Stagnate



•   90+ Delinquency evolution
            Time Period              Ln. Count     % Ln. Count    Avg.Days DQ
            Jan ‘08 – Jun ‘08 Avg.   1.0 million   1.9%           204
            Jan ‘08 – Jan ‘10 Avg.   1.8 million   3.3%           222
            Jan ‘10                  2.9 million   5.3%           272


•   Foreclosure evolution
            Time Period              Ln. Count     % Ln. Count    Avg.Days DQ
            Jan ‘08 – Jun ‘08 Avg.   0.8 million   1.4%           260
            Jan ‘08 – Jan ‘10 Avg.   1.2 million   2.3%           319
            Jan ‘10                  1.8 million   3.3%           410

•   Total Non-current (30+ DQ and FC) and REO evolution
            Time Period              Non-Current          Non-Current    REO Count     REO %
                                     Count                %
            Jan ‘08 – Jun ‘08 Avg.   4.1 million          7.3%           0.8 million   1.4%

            Jan ‘08 – Jan ‘10 Avg.   5.6 million          10.1%          0.9 million   1.7%

            Jan ‘10                  7.4 million          13.6%          1.0 million   1.8%

       Counts based on Extrapolated LPS Servicing Database. 70% Factor for DQ and FC counts, 40% Factor for REO

                                                    Lender Processing Services                                    7
LPS Servicing Database – Non-Performing Loan Counts Extrapolated
     (Assumed Market Share = 70% Servicing, and 40% REO)




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Delinquency and Foreclosure Rate Table
    Ranked based on Non-Current %




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                         Foreclosure Inventory by State
8 States are now above the National Average (3.27%): Florida, Nevada, New Jersey,
                  Arizona, California, Illinois, Indiana, and Ohio.




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Total Non-Current (including Delinquencies and Foreclosures) by State
                       National Average = 13.5%




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4.93% of loans that were current in December 2008 were 60 or more days delinquent or
                     in Foreclosure as of January 2010 month-end.




                                                                                   12
  Cumulative Monthly Count of Loans Current at 12/31/08 that are at Least 60 Days
Delinquent. Current loans continue to default at significant rates, though the pace has
                              slowed over last quarter




                        *Extrapolated to the US market using 70% coverage ratio.

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         New Problem loans exceed modifications / trials from 1/09 through 1/10




•   New Problem Loans
    2.46 million Current loans at 1/1/09 are 60+ or FC as of 1/31/2010



•   Permanent Modifications and Trial Mods
    947,000 = All Active HAMP Modifications
     – As reported by MHA through January 2010
     – 830,000 Active Trial Mods + 116,000 Active Permanent Mods

    1.00 million = Completed Non-HAMP mods
     – Extrapolated from OCC Q3 Mortgage Metrics Report data
     – Assumes Non-HAMP Q4 ‘09 activity is approximately equal to Q3 ‘09 activity




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  FHA product is experiencing the highest rate of new seriously delinquent loans.



        Percentage of loans that were Current at the beginning of the prior year and 60+ Delinquent
                  or in Foreclosure at the end of January of the current year by Product
10.0%

9.0%

8.0%

7.0%

6.0%

5.0%

4.0%

3.0%

2.0%

1.0%

0.0%
               2007                      2008                             2009                2010

                                          FHA   VA    All Other   Total



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 14.9% of loans current in December 2008 are now seriously delinquent in Nevada
“Big 4” continue to lead the pack relative to Current loans migrating to 60+ over the
                                   course of 2009




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      Total new delinquencies (Current to 30 rolls) in January remain range-bound
Rolls into foreclosure increased to a six month high - the third highest figure on record.
                          Foreclosure sales hit an all-time high.




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The rate of newly delinquent loans (current to delinquent roll) in January 2010 was
                            higher than any prior year.




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Almost 350k borrowers that became delinquent in January did so for the first time. This
     represents approximately 40% of all newly delinquent loans for the month.




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Older loans are making up a higher proportion of new delinquencies as more loans
                        experience repeat delinquencies.



          Percentage of loans that were Current at the beginning of
           January and missed at least one payment with Vintage
  2.00%

  1.80%

  1.60%

  1.40%                                                                     2010
                                                                            2009
  1.20%
                                                                            2008
  1.00%                                                                     2007
                                                                            2006
  0.80%
                                                                            2005
  0.60%                                                                     2004
                                                                            <2004
  0.40%

  0.20%

  0.00%
              2007            2008                      2009   2010




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The weighted average loan age of newly delinquent loans has increased from 27
           months in January of 2007 to 46 months in January 2010.



        Weighted average loan age of newly delinquent loans in
                           January by year
50.0

45.0

40.0

35.0

30.0

25.0

20.0

15.0

10.0

 5.0

 0.0
           2007              2008                          2009   2010




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Despite loss mitigation efforts, the rate at which loans are curing from delinquency has
                                     steadily declined.


                    Cure to current counts and percentages
35.0%                                                                                   600,000


30.0%
                                                                                        500,000

25.0%
                                                                                        400,000

20.0%
                                                                                        300,000
15.0%

                                                                                        200,000
10.0%

                                                                                        100,000
 5.0%


 0.0%                                                                                   0




                         Non-Current to Current Count        Non-Current to Current %




                                         Lender Processing Services                               22
5.04% of Loans Rolled to „Worse‟ Status in January „10 vs. 1.74% that Improved.




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       Six month average deterioration ratio has remained relatively stable.
2009 marks the only time out of the last 5 years that the six month deterioration ratio
                    has dropped from September to December.
           2.9 Loans Deteriorated in January 2010 for every 1 Improved




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 Roll Rates are stabilizing but at levels approximately 50% higher than long term
                                      averages



                            Historical Roll Rates - 6 month average
50.0%

45.0%

40.0%

35.0%

30.0%

25.0%
                                                                                                               30 to 60
20.0%                                                                                                          60 to 90
                                                                                                               90+ to FC
15.0%

10.0%

5.0%

0.0%
    Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Feb-00 Feb-01 Feb-02 Feb-03 Feb-04 Feb-05 Feb-06 Feb-07 Feb-08 Feb-09




                                                Lender Processing Services                                                 25
Recent 4 month average roll rates in key DQ categories are nearly twice as high as the
                  minimum 4 month averages of the past 5 years




                                  Lender Processing Services                         26
 Roll rates into Foreclosure jumped in January reflecting the increased volume of
foreclosures however the rates are still historically low due to the sheer volume of
                                 delinquent loans.




                                 Lender Processing Services                            27
The number of loans deteriorating further into delinquent status is almost 2.5 times the
      volume of foreclosure starts (down from three times in the prior month).
           This drop is due entirely to the increase in foreclosure starts.




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                 More Severely Delinquent Loans are Not in Foreclosure…



         Number of Loans not in Foreclosure as a % of Loans with 6, 12, 18, or
                                24 missed payments
         January 2010 Non-Foreclosure       January 2009 Non-Foreclosure            January 2008 Non-Foreclosure

31.5%
        25.28%
                              22.8%
                                                               17.8%
                 15.1%                                                                          13.7%            14.2%
                                        11.26%
                                                 9.0%                     9.26% 10.2%                   10.12%




  No Pmts 6 Month               No Pmts 12 Month                  No Pmts 18 Month                No Pmts 24 Month




                              Loan counts are extrapolated based on 70% market coverage.


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Foreclosure sale rate (as a percent of foreclosure inventory) = 5.6%




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Default Curves: 2009 Vintage is performing better than any of the prior five years.




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Almost 90% of all originations are greater than or equal to 660 FICO.




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In addition to higher FICO scores, lower interest rates are contributing to the improved
                           performance of 2009 originations.



                         FICO and Interest Rate by Vintage
    750                                                                           7.50%

                                                                                  7.00%
    740
                                                                                  6.50%

    730                                                                           6.00%

                                                                                  5.50%
    720
                                                                                  5.00%

    710                                                                           4.50%

                                                                                  4.00%
    700
                                                                                  3.50%

    690                                                                           3.00%




                                         WAFICO         WAIR




                                   Lender Processing Services                             33
Within higher FICO bands, first payment defaults have returned to pre-crisis levels but
                 have increased steadily from the lows in early 2009.



                                                                                     First Payment Defaults by FICO
  6.0%


  5.0%


  4.0%


  3.0%


  2.0%


  1.0%


  0.0%
                                                      200411




                                                                                                                                                                           200701




                                                                                                                                                                                                                                                                                                 200903
         200401
                  200403
                           200405
                                    200407
                                             200409


                                                               200501
                                                                        200503
                                                                                 200505
                                                                                          200507
                                                                                                   200509
                                                                                                            200511
                                                                                                                     200601
                                                                                                                              200603
                                                                                                                                       200605
                                                                                                                                                200607
                                                                                                                                                         200609
                                                                                                                                                                  200611


                                                                                                                                                                                    200703
                                                                                                                                                                                             200705
                                                                                                                                                                                                      200707
                                                                                                                                                                                                               200709
                                                                                                                                                                                                                         200711
                                                                                                                                                                                                                                  200801
                                                                                                                                                                                                                                           200803
                                                                                                                                                                                                                                                    200805
                                                                                                                                                                                                                                                             200807
                                                                                                                                                                                                                                                                      200809
                                                                                                                                                                                                                                                                               200811
                                                                                                                                                                                                                                                                                        200901


                                                                                                                                                                                                                                                                                                          200905
                                                                                                                                                                                                                                                                                                                   200907
                                                                                                                                                                                                                                                                                                                            200909
                                                                                                                                                                                                                                                                                                                                     200911
                                                                                                       < 620                           620-659                                660-719                                   >= 720




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  FHA/VA/All Other Production by Origination Month – January 2007 to November 09
FHA is 28.4% of origination for 2009 vs. 24.0% for the same period in 2008, and 5.7% for
                                 the same period in 2007


                                                                                       Origination by FHA and Other
800,000


700,000


600,000


500,000


400,000


300,000


200,000


100,000


     -
                   Feb-07
                            Mar-07
                                     Apr-07




                                                                                           Oct-07




                                                                                                                                Feb-08
                                                                                                                                         Mar-08
                                                                                                                                                  Apr-08




                                                                                                                                                                                                        Oct-08




                                                                                                                                                                                                                                            Feb-09
                                                                                                                                                                                                                                                     Mar-09
                                                                                                                                                                                                                                                              Apr-09




                                                                                                                                                                                                                                                                                                                    Oct-09
          Jan-07




                                                                                                                                                                                                                                                                                Jun-09
                                                       Jun-07


                                                                         Aug-07
                                                                                  Sep-07


                                                                                                    Nov-07
                                                                                                              Dec-07
                                                                                                                       Jan-08




                                                                                                                                                                    Jun-08


                                                                                                                                                                                      Aug-08
                                                                                                                                                                                               Sep-08


                                                                                                                                                                                                                 Nov-08
                                                                                                                                                                                                                          Dec-08
                                                                                                                                                                                                                                   Jan-09




                                                                                                                                                                                                                                                                                                  Aug-09
                                                                                                                                                                                                                                                                                                           Sep-09


                                                                                                                                                                                                                                                                                                                             Nov-09
                                                                Jul-07




                                                                                                                                                                             Jul-08




                                                                                                                                                                                                                                                                                         Jul-09
                                              May-07




                                                                                                                                                           May-08




                                                                                                                                                                                                                                                                       May-09
                                                                                                    FHA Residential                                VA Residential                              All Other

                                                                                                             Counts from LPS AA Servicing Database

                                                                                                                         Lender Processing Services                                                                                                                                                                               35
               2009 FHA Originations performing better than prior four vintages



                       90 Day Default % for FHA Loans by Loan Age
2.5%



2.0%



1.5%



1.0%



0.5%



0.0%
       2   4   6   8   10   12   14   16     18    20     22   24      26   28     30   32   34   36   38   40   42   44   46   48
                                                               Payment

                                      2005         2006         2007        2008        2009




                                                  Lender Processing Services                                                     36
       FICO profile transition has been much more pronounced within FHA product.



                           FHA Origination by FICO Band
100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

 0%




                                < 620   620-679    680-719       >= 720




                                    Lender Processing Services                     37
                                 FHA Vintage default curves: FICO 640-659


 Percent of Loans in the FICO
 bucket within each Vintage                                       FHA
               FICO 640-659                        90 Day Default % for FICO 640-659
2005                     9.29%
                                  2.50%
2006                   10.23%
2007                     9.97%
2008                   11.86%
2009                   11.87%     2.00%



                                  1.50%
                                                                                                                  2005
                                                                                                                  2006

                                  1.00%                                                                           2007
                                                                                                                  2008
                                                                                                                  2009
                                  0.50%



                                  0.00%
                                          1   4     7    10     13    16       19   22   25   28   31   34   42
                                                                           Payment




                                                  Lender Processing Services                                         38
                                 FHA Vintage default curves: FICO 680-699


 Percent of Loans in the FICO
 bucket within each Vintage                                        FHA
               FICO 680-699                         90 Day Default % for FICO 680-699
2005                     5.44%
                                  1.20%
2006                     5.73%
2007                     4.94%
2008                     8.11%    1.00%
2009                   10.89%

                                  0.80%

                                                                                                                  2005
                                  0.60%                                                                           2006
                                                                                                                  2007

                                  0.40%                                                                           2008
                                                                                                                  2009

                                  0.20%



                                  0.00%
                                          1   4     7    10     13    16       19   22   25   28   31   34   42
                                                                           Payment




                                                  Lender Processing Services                                         39
                                 FHA Vintage default curves: FICO >= 720


 Percent of Loans in the FICO
 bucket within each Vintage                                    FHA
                FICO >=720                        90 Day Default % for FICO>=720
2005                   10.02%
                                 0.80%
2006                   10.70%
2007                     8.59%
                                 0.70%
2008                   17.27%
2009                   28.31%
                                 0.60%


                                 0.50%
                                                                                                                 2005
                                 0.40%                                                                           2006
                                                                                                                 2007
                                 0.30%
                                                                                                                 2008
                                                                                                                 2009
                                 0.20%


                                 0.10%


                                 0.00%
                                         1   4     7    10     13    16       19   22   25   28   31   34   42
                                                                          Payment




                                                 Lender Processing Services                                         40
                            January 2009 Month-end data: Conclusions



•   Delinquency rates continue to rise to historic highs, though the pace of deterioration has slowed
    somewhat. However, when looking for signs of a recovery, relative stability needs to be evaluated in the
    context of delinquency rates that are 2-3 times as high as the period from 1995 to early 2007.
•   Extrapolating data from the LPS servicing database, almost 7.5 million loans are in some stage of
    delinquency or foreclosure with an additional 1 million properties in REO or post-sale foreclosure.
•   From the period January 2009 to January 2010 almost 2.5 million loans that were current became 60 or
    more days delinquent. Despite extraordinary loss mitigation efforts that resulted in the execution of
    approximately 2 million modifications (including HAMP trial periods), the number of new delinquencies
    still exceeds this number by 25%.
•   While deterioration is slowing to a degree, the current to 30 day roll rate for January 2010 was still the
    highest of any prior comparable period with the age of loans going delinquent sitting at almost 4 years
    (up from slightly over 2 years in 2007).

•   Foreclosure starts jumped back up to the third highest level (by volume) on record and foreclosure sales
    hit a new high. Despite the increased volume, roll rates into foreclosure and REO remain historically low
    due to the volume of delinquent loans.
•   2009 Vintage is performing better than any of the prior five years and has been steadily improving as
    more origination months are added to the pool. More restrictive under-writing is the primary driver of this
    behavior, though within higher FICO ranges early defaults have returned to pre-crisis levels.




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