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Black Knight Mortgage Monitor

Mortgage Market Performance Observations Data as of February, 2014 Month-end

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Black Knight Financial Services

Focus 1: Loan originations, property sales and

underwriting criteria

Focus 2: Modification volumes, performance and risks

Focus 3: Impact of CFPB regulations on foreclosure

process

Focus 4: High level mortgage market stats and home

price update

Focus Points

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Origination volume is the lowest on record with prepay

speeds signaling more drops in refi originations

Monthly sales were essentially flat year over year, but

traditional sales were up almost 15%

The government share of originations has decreased,

led by a sharp drop in HARP originations

Credit standards have shown few signs of loosening,

with very little origination activity in the lowest credit

Focus Point 1: Originations, property sales and underwriting criteria

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Black Knight Financial Services

Monthly origination volume is the lowest on record

4 Vintage Investor 2009 3.2% 2010 4.5% 2011 6.5% 2012 7.0% 2013 9.0%

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Prepayment speeds signal more

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Black Knight Financial Services

January sales were essentially flat vs. 2013, but traditional sales were up almost 15%

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Cash sales represent almost half of all

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The government share of originations has decreased, led by a sharp drop in HARP originations

Vintage Gov’t % 2009 91% 2010 89% 2011 87% 2012 84% 2013 83%

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Black Knight Financial Services

There is very little origination activity in the lowest credit score buckets

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Black Knight Financial Services

FHA seeking to increase lending to borrowers with lower credit scores

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Modification activity ended 2013 near post-crisis

lows

New HAMP regulations for FHA loans is driving

increased modification activity in early 2014

Re-default rates for underwater borrowers are

~30% higher than borrowers with equity

Over 95% of rate reduction modifications are

facing resets

Focus Point 2: Modification volumes, performance and risks

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Black Knight Financial Services

Modification activity ended 2013 near post-crisis low

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Mods activity dropped with initiation of HAMP “trials”

HAMP trial conversion campaign

Implementation of HAMP “Tier 2” Guidelines

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New HAMP regulations for FHA loans driving increased modification activity in early 2014

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Black Knight Financial Services

Re-default rates for underwater

borrowers are ~30% higher on average

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Over 95% of rate reduction modifications are facing resets

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Black Knight Financial Services

Focus Point 3: Impact of CFPB regulations on foreclosure process

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Implementation of CFPB rules caused a sharp

shift in the timing of foreclosure starts

The ratio of serious deterioration to foreclosure

starts is at the highest level since 2010

Foreclosure sales hit the lowest levels since 2007,

pushing pipeline ratios back up

The average loan in foreclosure is now 2.6 years

past due (vs. 0.7 years in 2008)

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Implementation of CFPB rules caused a sharp shift in the timing of foreclosure starts

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Black Knight Financial Services

The ratio of serious deterioration to foreclosure starts is at the highest level since 2010

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Foreclosure sales hit the lowest levels since 2007, pushing pipeline ratios back up

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Black Knight Financial Services

The average loan in foreclosure is now 2.6 years past due (vs. 0.7 years in 2008)

20 1200 Or more 0 Average days past due for

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Focus Point 4: High level mortgage market stats and home price update

Delinquencies are below 6% for the first time since

‘08; foreclosures down 34% in the last year

New York, New Jersey and Florida have the

highest rates of seriously delinquent (90+ or FC)

loans

National home prices have flattened out over the

last several months

With distressed inventory resolution and annual

price increases, “underwater” rates continue to

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Black Knight Financial Services

Delinquencies are below 6% for the first time since ‘08; foreclosures down 34% in the last year

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New York, New Jersey and Florida have the highest rates of seriously delinquent (90+ or FC) loans

10% Or more 0 Percent 90+ or Foreclosure

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Black Knight Financial Services

National home prices have flattened out over the last several months

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With distressed inventory resolution and price increases, “underwater” rates continue to improve

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Black Knight Financial Services Black Knight Financial Services

BKFS Mortgage Monitor

Appendix

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Black Knight Financial Services

Seven of the top 10 states for total non-current are judicial

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Loan counts and

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Black Knight Financial Services Black Knight Financial Services

BKFS Mortgage Monitor

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Black Knight Financial Services

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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Disclosure Page: Extrapolation Methodology Mortgage statistics are scaled to estimate the total market

performance based on coverage within the McDash database. The following table contains information on market coverage by product as of June 2012; extrapolations also include adjustments for vintage and as of date. Additional information is available

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