070711_Mortgage Market Monitor June 2011

8/6/2019 070711_Mortgage Market Monitor June 2011

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Mortgage-Backed Securities

Mortgage Market Monitor

June 2011 Remittances

MetWest is a wholly-owned subsidiaryof The TCW Grou , Inc.


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This publication is for general information purposes only and does not constitute an offer to sell, or a solicitation of an offer to buy, any security.Any holdings of a particular company or security discussed herein are under periodic review by the portfolio management group and are subject tochange without notice. In addition, TCW manages a number of separate strategies, and portfolio managers in those strategies may have differingviews or analysis with respect to a particular company, security or the economy than the views expressed herein. An investment in the strategydescribed herein has risks, including the risk of losing some or all of the invested capital. Before embarking on the described investment program,an investor should carefully consider the risks and suitability of the described strategy based on their own investment objectives and financialposition. Past performance is no guarantee of future results.

The information contained herein may include estimates, projections and other forward-looking statements. Due to numerous factors, actualevents may differ substantially from those presented herein. TCW assumes no duty to update any such forward-looking statements or any other

information or opinions in this document. Any information and statistical date contained herein derived from third party sources are believed to bereliable, but TCW does not represent that they are accurate, and they should not be relied on as such or be the basis for an investment decision.Copyright 2011 TCW


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OverviewSerious delinquencies as a percentage of outstanding balance declined in the Subprime and Alt-A sectors; they were flat in the Option Arm sector andthey increased in the Prime sector. Roll rates indicate delinquencies will be flat to slightly rising across all sectors in the months to come.

The loan data suggest that well see a decrease in foreclosures as a percentage of outstanding balance across Alt-A, Option Arm and Subprimesectors. In the Prime sector foreclosures as a percentage of outstanding balance appears to be trending flat to upwards. Roll rates indicate that theREOs as a percentage of outstanding loans will be flat or declining across all sectors in the months to come.

The percentage of borrowers with a clean 12 month pay history moving into delinquency for the first time continued dropping across all sectors thismonth. Borrowers rolling from a clean 12 month pay history to sixty days delinquent over two payment periods appears to be moving flat to upwardacross all sectors this month.

Credit scores improved across all sectors this month.

CDRs were flat across all sectors this month.Voluntary prepayments dropped in the Prime sector, and were flat in the Alt-A, Subprime and Option Arm sectors. Low voluntary prepays ratescontinue to indicate severe distress in home values relative to outstanding debt in the Subprime, Option Arm and low quality Alt-A sectors as they paybetween one and three CRR. In order for Subprime and Option Arm pools to avoid the 90%+ total collateral liquidation, voluntary prepayments mustsomehow rise over time or we must see an increase in the percentage of borrowers who pay their mortgage through maturity. Successfulmodifications have the potential to serve as a bridge for some borrowers to more prepayment activity in the future. Until that happens, the two mostimportant questions are severity and timing of the loss.

Severities are trending sideways across all sectors this month. Severities are likely to rise due to longer timelines and more supply coming to market.

On the servicing front, modifications increased, recidivism of 2010-2011 mods continues to outperform earlier mods, liquidation timelines increased,cash flow velocity was flat and stop-advancing increased. The ranking of servicers by sector is shown in the table below:


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Servicer Ranking by Sector*

Servicer All Prime Alt-AOption

Arm SubprimeAHM 10 3 7 6 5AURORA 9 4 6 4 10BANK OF AMERICA 22 10 16 8 18

CARRINGTON 12 NA NA NA 14CENTRALMORTGAGE 6 NA NA 3 NACITIMORTGAGE 14 5 9 NA 9CREDIT SUISSE 5 7 5 NA 1METLIFE 21 13 14 NA NAGMAC MORTGAGE 3 1 1 2 6

INDYMAC 11 2 2 5 13JPMORGAN CHASE 20 12 15 7 16LONE STAR 1 NA NA NA 4OCWEN 4 NA 3 1 3OCWEN (LITTON) 7 NA 4 NA 8OCWEN (SAXON) 8 NA 8 NA 7NATIONSTAR 2 NA NA NA 2NOVASTAR 13 NA NA NA 11PHH 19 11 13 NA 17PNC 15 9 10 NA NAPOPULAR 16 NA NA NA 12SUNTRUST 17 6 12 NA NAWELLS FARGO 18 8 11 NA 15

*Stronger services are in green, weaker servicers are in red.


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With the bulk of new origination coming from FHA and the GSEs, we look to our Freddie Mac loan level data to identify origination trends. The flightto quality (high credit scores, more documentation, and lower debt-to-income ratios) remains the focus at Freddie. Full documentation is an absolutemust. However, Debt-to-Income ratios are showing a troubling trend upwards across the FICO spectrum. And, the GSEs continue limitedinvolvement in the > 100% LTV program and the jumbo conforming program.

We had a slight tick upwards in home price indices this month. Case Shiller futures indicate that a new low is on the horizon for May 2012. A threepercent price drop from current levels is projected in the national futures index before bottoming out.


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Section A: Serious Delinquencies


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I. Serious Delinquencies as % of Unpaid Principal Balance


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Exhibited by TCW from First American CoreLogic LoanPerformance Data12

8.929%

23.72%

46.8%

42.6%

0%

10%

20%

30%

40%

50%

60%

Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Serious Delinquencies as % of Unpaid Principal Balance as of June 2011Serious Delinquencies as % of Unpaid Principal Balance as of June 2011Serious Delinquencies as % of Unpaid Principal Balance as of June 2011Serious Delinquencies as % of Unpaid Principal Balance as of June 2011

PrimeAlt-AOption Arm

SubprimeAlt A 3mo RRAlt A 1mo RROption Arm 3mo RROption Arm 1mo RRPrime 3mo RRPrime 1mo RRSubprime 3mo RR

Subprime 1mo RR


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II. Foreclosure and REO as % of Unpaid Principal Balance


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3.9%

0.7%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

Prime Securitized Mortgages:Foreclosure and REO as % of Unpaid Principal Balance as of June 2011

Prime FC

Prime REO

Prime REO 3mo RR

Prime REO 1mo RR

Prime FC 3mo RR

Prime FC 1mo RR


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10.4%

2.2%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Alt-A Securitized Mortgages:Foreclosure and REO as % of Unpaid Principal Balance as of June 2011

Alt-A FC

Alt-A REO

Alt-A REO 3mo RR

Alt-A REO 1mo RR

Alt-A FC 3mo RR

Alt-A FC 1mo RR


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19.7%

4.5%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

Option Arm Securitized Mortgages:Foreclosure and REO as % of Unpaid Principal Balance as of June 2011

Option Arm FC

Option Arm REO

Option Arm REO 3mo RR

Option Arm REO 1mo RR

Option Arm FC 3mo RR

Option Arm FC 1mo REO


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17.6%

3.5%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

Subprime Securitized Mortgages:Foreclosure and REO as % of Unpaid Principal Balance as of June 2011

Subprime FC

Subprime REO

Subprime REO 3mo RR

Subprime REO 1mo RR

Subprime FC 3mo RR

Subprime FC 1mo RR

Exhibited by TCW from First American CoreLogic LoanPerformance Data


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III. 12 months of Clean Delinquency History


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20

0.48%

1.0%

2.2%

2.0%

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%Percentage of 12 month Clean DQ history loans rolling to 30 Days DQ as of June 2011Percentage of 12 month Clean DQ history loans rolling to 30 Days DQ as of June 2011Percentage of 12 month Clean DQ history loans rolling to 30 Days DQ as of June 2011Percentage of 12 month Clean DQ history loans rolling to 30 Days DQ as of June 2011

PrimeAlt-A

Option ArmSubprime



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0.23%

0.5%

1.3%

0.6%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

Percentage of 12 month Clean DQ history loans rolling to 60 days Delinquent over 2Percentage of 12 month Clean DQ history loans rolling to 60 days Delinquent over 2Percentage of 12 month Clean DQ history loans rolling to 60 days Delinquent over 2Percentage of 12 month Clean DQ history loans rolling to 60 days Delinquent over 2Payment Periods as of June 2011Payment Periods as of June 2011Payment Periods as of June 2011Payment Periods as of June 2011

PrimeAlt-AOption ArmSubprime



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500

550

600

650

700

750

800

850

900

950

Credit Score Migration using Vantage Score (501 - 990)

AltA

Prime

Subprime

OptArm

Exhibited by TCW from CoreLogic LoanPerformance and Equifax Data


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11.47%

4.09%

32.70%

26.25%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

Vantage Score less than 600 as a percentage of Unpaid Balance

AltA

Prime

Subprime

OptArm

Exhibited by TCW from CoreLogic LoanPerformance and Equifax Data


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Section B: Defaults


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I. CDR by Sector


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2.7%

7.5%

11.2%

7.9%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Default Rates (CDR) as of June 2011Default Rates (CDR) as of June 2011Default Rates (CDR) as of June 2011Default Rates (CDR) as of June 2011

PrimeAlt-AOption Arm

SubprimeAlt A 3mo RRAlt A 1mo RROption Arm 3mo RROption Arm 1mo RRPrime 3mo RRPrime 1mo RRSubprime 3mo RRSubprime 1mo RR



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II. CDR and Serious Delinquencies by Sector


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7.5%

23.72%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:AltAltAltAlt----A 60+ and AltA 60+ and AltA 60+ and AltA 60+ and Alt----A CDRs as of June 2011A CDRs as of June 2011A CDRs as of June 2011A CDRs as of June 2011

Alt-A CDRAlt-A 60+Alt A CDR 3mo RRAlt A CDR 1mo RRAlt-A 60+ 3mo RRAlt-A 60+ 1mo RR


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11.2%

46.8%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Option Arm 60+ and Option Arm CDRs as of June 2011Option Arm 60+ and Option Arm CDRs as of June 2011Option Arm 60+ and Option Arm CDRs as of June 2011Option Arm 60+ and Option Arm CDRs as of June 2011

Option Arm CDROption Arm 60+Option Arm CDR 3mo RROption Arm CDR 1mo RROption Arm 60+ 3mo RROption Arm 60+ 1mo RR


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7.9%

42.6%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Subprime 60+ and Subprime CDRs as of June 2011Subprime 60+ and Subprime CDRs as of June 2011Subprime 60+ and Subprime CDRs as of June 2011Subprime 60+ and Subprime CDRs as of June 2011

Subprime CDRSubprime 60+Subprime CDR 3mo RRSubprime CDR 1mo RRSubprime 60+ 3mo RRSubprime 60+ 1mo RR



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0%10%20%

30%40%50%60%70%80%90%

100%

Prime CDR Mix by Delinquency StatusPrime CDR Mix by Delinquency StatusPrime CDR Mix by Delinquency StatusPrime CDR Mix by Delinquency Status

C 3 6 9 B F R

0%10%20%30%40%50%60%70%80%90%

100%AltAltAltAlt----A CDR Mix by Delinquency StatusA CDR Mix by Delinquency StatusA CDR Mix by Delinquency StatusA CDR Mix by Delinquency Status

C 3 6 9 B F R

0%

20%

40%

60%

80%

100%

Option Arm CDR Mix by Delinquency StatusOption Arm CDR Mix by Delinquency StatusOption Arm CDR Mix by Delinquency StatusOption Arm CDR Mix by Delinquency Status

C 3 6 9 B F R

0%10%20%30%40%50%60%70%80%90%

100%

Subprime CDR Mix by Delinquency StatusSubprime CDR Mix by Delinquency StatusSubprime CDR Mix by Delinquency StatusSubprime CDR Mix by Delinquency Status

C 3 6 9 B F R


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14.8%

6.5%

1.8%2.4%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Voluntary Prepayment Rates (CRR) as of June 2011Voluntary Prepayment Rates (CRR) as of June 2011Voluntary Prepayment Rates (CRR) as of June 2011Voluntary Prepayment Rates (CRR) as of June 2011

Prime

Alt-A

Option Arm

Subprime

Alt A 3mo RR

Alt A 1mo RR

Option Arm 3mo RR

Option Arm 1mo RR

Prime 3mo RR

Prime 1mo RR

Subprime 3mo RRSubprime 1mo RR


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II. CPR Breakout by Sector


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III. Voluntary Prepayments by Delinquency Status


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95%

96%

97%

98%

99%

100%

Prime CRR Mix by Delinquency StatusPrime CRR Mix by Delinquency StatusPrime CRR Mix by Delinquency StatusPrime CRR Mix by Delinquency Status

C 3 6 9 B F R

90%91%92%

93%94%95%96%97%98%99%

100%AltAltAltAlt----A CRR Mix by Delinquency StatusA CRR Mix by Delinquency StatusA CRR Mix by Delinquency StatusA CRR Mix by Delinquency Status

C 3 6 9 B F R

70%75%

80%85%90%95%

100%

Option Arm CRR Mix by Delinquency StatusOption Arm CRR Mix by Delinquency StatusOption Arm CRR Mix by Delinquency StatusOption Arm CRR Mix by Delinquency Status

C 3 6 9 B F R

70%

75%

80%

85%

90%

95%

100%

Subprime CRR Mix by Delinquency StatusSubprime CRR Mix by Delinquency StatusSubprime CRR Mix by Delinquency StatusSubprime CRR Mix by Delinquency Status

C 3 6 9 B F R


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Section D: Loss Severity


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I. Loss Severity by Sector


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43.6%

58.1%

61.2%

73.4%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

80.0%

Historical Loss Severity By Sector

PrimeAlt-A

Option Arm

Subprime


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0%20%40%60%80%

100%120%140%160%

O K I N A

K N H

M S

D C K

Y W I

R I A L

O H

M T F L M

I N V I L I D A

R A Z L A M

A H I

M O

N C

G A

O R

M N S C K

S T N C

T N J

W A

C O N

Y C A I A U

T M D T X P

A V A

M E

D E

Prime Loss Severity by StatePrime Loss Severity by StatePrime Loss Severity by StatePrime Loss Severity by State

1mo LossSeverity 3mo LossSeverity

0%10%20%30%

40%50%60%70%80%90%

O H F L I L M

I I N W

I M E R

I N Y

M S

N V N

J M O P A W

V A Z C

T M D D

E M N A

R M A

G A S C N

H I D D C L A K

Y S D T N C

A A L

O K

M T

V T I A

N M K

S N E

O R

N C

W A

A K

U T H

I T X W

Y V A

C O

N D

AltAltAltAlt----A Loss Severity by StateA Loss Severity by StateA Loss Severity by StateA Loss Severity by State


0%

20%

40%

60%

80%

100%

120%

M S

M E

K Y K

S I A F L I L N V

M I

O H I N L A N

E S D N

J M N W

I G A

A Z

W V

M A I D

M D S C N

Y D C R

I M O C A

C T

N M A

L N C A R

O K

O R

N H P A

M T

U T

W A H

I T N C

O V A

D E

T X W Y A K

Option Arm Loss Severity by StateOption Arm Loss Severity by StateOption Arm Loss Severity by StateOption Arm Loss Severity by State


0%10%20%30%40%50%60%70%80%90%

100%

O H M

I I L F L W I

M S N

J I N M

E N V

N Y

M O R

I A Z I A P A G

A C T

M D L A

M N A

L K Y

D E

V T

N H

D C

M A

T N S C

N E

W V A R

C A

O K K

S I D N M N

C S D W A

N D

O R H

I W Y

T X M T

V A

C O U

T A K

Subprime Loss Severity by StateSubprime Loss Severity by StateSubprime Loss Severity by StateSubprime Loss Severity by State



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37.9%

52.7%

58.8%66.1%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

80.0% Historical Loss Severity - California


55.9%

75.9%72.7%

89.9%

0.0%

10.0%

20.0%30.0%

40.0%

50.0%

60.0%

70.0%

80.0%

90.0%100.0% Historical Loss Severity - Florida


11.0%

70.3%68.9%

81.9%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

80.0%90.0% Historical Loss Severity - New York


55.6%

68.5%73.3%78.3%

0.0%

10.0%

20.0%30.0%

40.0%

50.0%

60.0%

70.0%

80.0%90.0% Historical Loss Severity - Nevada



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0%20%40%60%80%

100%120%

Prime Loss Severity Across Top 10 Cities by UPBPrime Loss Severity Across Top 10 Cities by UPBPrime Loss Severity Across Top 10 Cities by UPBPrime Loss Severity Across Top 10 Cities by UPB

1mo Loss Severity 3mo Loss Severity

0%

20%40%60%80%

100%120%

AltAltAltAlt----A Loss Severity Across Top 10 Cities by UPBA Loss Severity Across Top 10 Cities by UPBA Loss Severity Across Top 10 Cities by UPBA Loss Severity Across Top 10 Cities by UPB


0%

20%

40%

60%80%

100%

Option Arm Loss Severity Across Top 10 Cities by UPBOption Arm Loss Severity Across Top 10 Cities by UPBOption Arm Loss Severity Across Top 10 Cities by UPBOption Arm Loss Severity Across Top 10 Cities by UPB


0%

20%

40%

60%

80%

100%

120%Subprime Loss Severity Across Top 10 Cities by UPBSubprime Loss Severity Across Top 10 Cities by UPBSubprime Loss Severity Across Top 10 Cities by UPBSubprime Loss Severity Across Top 10 Cities by UPB



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IV. Loss Severity by Unpaid Principal Balance


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0%20%40%60%80%

100%120%

Prime Loss Severity by Current BalancePrime Loss Severity by Current BalancePrime Loss Severity by Current BalancePrime Loss Severity by Current Balance


0%

20%

40%

60%

80%

100%

120%AltAltAltAlt----A Loss Severity by Current BalanceA Loss Severity by Current BalanceA Loss Severity by Current BalanceA Loss Severity by Current Balance


0%20%

40%

60%

80%

100%

120%Option Arm Loss Severity by Current BalanceOption Arm Loss Severity by Current BalanceOption Arm Loss Severity by Current BalanceOption Arm Loss Severity by Current Balance


0%20%40%

60%80%

100%120%

Subprime Loss Severity by Current BalanceSubprime Loss Severity by Current BalanceSubprime Loss Severity by Current BalanceSubprime Loss Severity by Current Balance



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17.6%

7.0%

12.9%

1.8%

7.7%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Percent of NonPercent of NonPercent of NonPercent of Non----agency Securitized Loans Modified by Modificationagency Securitized Loans Modified by Modificationagency Securitized Loans Modified by Modificationagency Securitized Loans Modified by ModificationTypeTypeTypeType

TotalRateCapitalizationForgivenessPrincipal and Interest


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2.6%

9.7%

15.4%

33.2%

0%

5%

10%

15%

20%

25%

30%

35%

Percentage of Securitized Loans Modified by SectorPercentage of Securitized Loans Modified by SectorPercentage of Securitized Loans Modified by SectorPercentage of Securitized Loans Modified by Sector

Prime

AltA

Option Arm

Subprime


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II. Recidivism

M t B k d S iti


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0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

80.0%

0 10 20 30 40 50 60 70

Monthly Recidivism by Mod Vintage and Mod AgeMonthly Recidivism by Mod Vintage and Mod AgeMonthly Recidivism by Mod Vintage and Mod AgeMonthly Recidivism by Mod Vintage and Mod Age

20112010

2009

2008

2007


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Mortgage Backed Securities

61

III. Liquidation Timeline


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64/91

g g


-

5.0

10.0

15.0

20.0

25.0

30.0Prime Avg # Months from DQ to LiquidationPrime Avg # Months from DQ to LiquidationPrime Avg # Months from DQ to LiquidationPrime Avg # Months from DQ to Liquidation

Timeline 3mo Avg Timeline

-5.0

10.015.020.025.030.0

AltAltAltAlt----A Avg # Months from DQ to LiquidationA Avg # Months from DQ to LiquidationA Avg # Months from DQ to LiquidationA Avg # Months from DQ to Liquidation


-

5.0

10.0

15.0

20.0

25.0

30.0Option Arm Avg # Months from DQ to LiquidationOption Arm Avg # Months from DQ to LiquidationOption Arm Avg # Months from DQ to LiquidationOption Arm Avg # Months from DQ to Liquidation


-5.0

10.015.020.025.030.035.0

Subprime Avg # Months from DQ to LiquidationSubprime Avg # Months from DQ to LiquidationSubprime Avg # Months from DQ to LiquidationSubprime Avg # Months from DQ to Liquidation




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IV. Cash Flow Velocity



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24.8%21.4%

16.8%

29.3%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

80.0%

90.0%

Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Cashflow Velocity (P&I Paid / P&I Due) on Delinquent Loans as of May 2011Cashflow Velocity (P&I Paid / P&I Due) on Delinquent Loans as of May 2011Cashflow Velocity (P&I Paid / P&I Due) on Delinquent Loans as of May 2011Cashflow Velocity (P&I Paid / P&I Due) on Delinquent Loans as of May 2011

Prime

Alt-A

Option ArmSubprime



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0%5%

10%15%20%25%30%35%40%

Servicer Level Cashflow Velocity on DQ Prime LoansServicer Level Cashflow Velocity on DQ Prime LoansServicer Level Cashflow Velocity on DQ Prime LoansServicer Level Cashflow Velocity on DQ Prime Loans

1mo Cashflow Velocity 3mo Cashflow Velocity

0%

5%10%15%20%25%30%35%

Servicer Level Cashflow Velocity on DQ AltServicer Level Cashflow Velocity on DQ AltServicer Level Cashflow Velocity on DQ AltServicer Level Cashflow Velocity on DQ Alt----A LoansA LoansA LoansA Loans


0%

5%10%15%20%25%30%35%

Servicer Level Cashflow Velocity on DQ Option ArmServicer Level Cashflow Velocity on DQ Option ArmServicer Level Cashflow Velocity on DQ Option ArmServicer Level Cashflow Velocity on DQ Option ArmLoansLoansLoansLoans


0%5%

10%15%20%25%30%35%40%45%50%

Servicer Level Cashflow Velocity on DQ Subprime LoansServicer Level Cashflow Velocity on DQ Subprime LoansServicer Level Cashflow Velocity on DQ Subprime LoansServicer Level Cashflow Velocity on DQ Subprime Loans




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V. Short Sales


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0%

20%40%60%80%

100%

Percentage Prime Defaults Liquidated via Short Sale byPercentage Prime Defaults Liquidated via Short Sale byPercentage Prime Defaults Liquidated via Short Sale byPercentage Prime Defaults Liquidated via Short Sale byServicerServicerServicerServicer

1mo Short Sales 3mo Short Sales

0%10%20%30%40%50%60%70%80%

Percentage AltPercentage AltPercentage AltPercentage Alt----A Defaults Liquidated via Short Sale byA Defaults Liquidated via Short Sale byA Defaults Liquidated via Short Sale byA Defaults Liquidated via Short Sale byServicerServicerServicerServicer


0%10%20%30%40%50%60%70%

Percentage Option Arm Defaults Liquidated via ShortPercentage Option Arm Defaults Liquidated via ShortPercentage Option Arm Defaults Liquidated via ShortPercentage Option Arm Defaults Liquidated via ShortSale by ServicerSale by ServicerSale by ServicerSale by Servicer


0%

10%

20%

30%

40%

50%

60%

Percentage Subprime Defaults Liquidated via Short SalePercentage Subprime Defaults Liquidated via Short SalePercentage Subprime Defaults Liquidated via Short SalePercentage Subprime Defaults Liquidated via Short Saleby Servicerby Servicerby Servicerby Servicer



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25.4%

14.1%

9.3%

2.8%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:Securitized Mortgages:% 60+ Loans No Longer Advanced Upon as of June 2011% 60+ Loans No Longer Advanced Upon as of June 2011% 60+ Loans No Longer Advanced Upon as of June 2011% 60+ Loans No Longer Advanced Upon as of June 2011

Subprime

OptArm

AltA

Prime



75/91


0%5%

10%15%20%25%30%

Prime Percentage 60+ Not Advanced Upon by ServicerPrime Percentage 60+ Not Advanced Upon by ServicerPrime Percentage 60+ Not Advanced Upon by ServicerPrime Percentage 60+ Not Advanced Upon by Servicer

1mo % 60+ No Advance 3mo % 60+ No Advance

0%10%20%30%40%50%60%70%

AltAltAltAlt----A Percentage 60+ Not Advanced Upon by ServicerA Percentage 60+ Not Advanced Upon by ServicerA Percentage 60+ Not Advanced Upon by ServicerA Percentage 60+ Not Advanced Upon by Servicer


0%5%

10%15%20%25%30%35%

Option Arm Percentage 60+ Not Advanced Upon byOption Arm Percentage 60+ Not Advanced Upon byOption Arm Percentage 60+ Not Advanced Upon byOption Arm Percentage 60+ Not Advanced Upon byServicerServicerServicerServicer


0%10%20%30%40%50%60%

Subprime Percentage 60+ Not Advanced Upon bySubprime Percentage 60+ Not Advanced Upon bySubprime Percentage 60+ Not Advanced Upon bySubprime Percentage 60+ Not Advanced Upon by

ServicerServicerServicerServicer



76/91


77/91



78/91

77

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Origination Volume by FICO Band

> 730 FICO

680-730 FICO

< 680 FICO

Exhibited by TCW from LoanLevel Database



79/91

78

II. Freddie Mac New Origination by DTI


80/91



81/91

80

III. Freddie Mac New Origination in Limited Doc Loans



82/91

81

0%

2%

4%

6%

8%

10%

12%

14%

Percent Origination Volume in Limited Doc Loans

Limited Documentation




83/91

82

IV. Freddie Mac New Origination in Jumbo Conforming Loans



84/91

83

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Percentage Origination Volume in Jumbo Conforming Loans

Jumbo Conforming




85/91

84

V. Freddie Mac New Origination in Loans with LTV > 100%



86/91

85

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

Percentage Origination Volume into > 100 LTV Loans

LTV > 100




87/91

86

Section G: Home Prices



88/91

87

I. Home Price Indices


89/91



90/91

89

II. Case Shiller Summary


GeographicArea

Peak

toNow toTrough

Peak toTrough

Months

since

Months

until


91/91

90

Area toNow Trough Troughsincepeak

untiltrough

Atlanta -25% 47

Boston -19% NA -20% 69 -27

Charlotte -20% 46

Chicago -35% -3% -37% 57 17

Cleveland -21% 59

Dallas -10% 48Denver -13% -5% -17% 58 11

Detroit -51% 66

Los Angeles -39% NA -42% 57 -25

Las Vegas -59% -3% -60% 58 11

Miami -51% -5% -54% 54 5

Minneapolis -38% 57

New York -24% -3% -27% 60 17Phoenix -56% 60

Portland -29% 47

San Diego -38% NA -42% 67 -26

Seattle -30% 47

San Francisco -40% NA -46% 61 -27

Tampa -47% 59

Washington DC -26% NA -34% 61 -2710 City Aggregate -33% -3% -35% 60 11

20 City Aggregate -33% 59

Exhibited by TCW from S&P, Radar Logic, and FHFA Data

070711_Mortgage Market Monitor June 2011

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