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Analysis and Disclosure of National Bank Mortgage Loan Data

First Quarter 2008

Executive Summary

The OCC Mortgage Metrics Report presents key performance data on first residential mortgages serviced by national banks, focusing on delinquencies, loss mitigation actions, and foreclosures.

The Office of the Comptroller of the Currency (OCC) collects this data from the nine national banks1 that have the largest mortgage servicing portfolios among all national banks. These nine banks combine to service more than 23 million first mortgage loans, totaling $3.8 trillion. Their combined servicing portfolio constitutes more than 90 percent of all mortgages serviced by national banks, and approximately 40 percent of all mortgages outstanding. Approximately 90 percent of the mortgages in the total servicing portfolio are held by third parties via securitization by government–sponsored enterprises and other financial institutions.

This first OCC Mortgage Metrics Report provides monthly mortgage performance data for two calendar quarters, from October 1, 2007, to March 31, 2008. Future reports will be issued quarterly.

There are at least three key differences between this report and other reports and data collections that provide information about mortgage performance.

First, the data contained in the OCC Mortgage Metrics Report are comprehensive. The report reflects the activities of many of the industry's largest mortgage servicers, and incorporates information on all mortgages serviced, not just subprime.

Second, the OCC Mortgage Metrics Report reflects loan–level data rather than aggregated data: information was collected for each of the more than 23 million individual loans in the total portfolio.

Third, the OCC Mortgage Metrics Report uses terms and definitions that are standardized. In particular, the report establishes standard definitions for prime, Alt-A, and subprime mortgages using credit score ranges reported by the Fair Isaac Corporation (FICO). It also standardizes the terms used for delinquencies and for loss mitigation actions such as loan modifications and payment plans. With such standardized definitions and data elements, the OCC can compare data in a consistent way, month to month, across a large segment of the industry.

Among the key findings of this first report are the following:

  • The proportion of mortgages in the total portfolio that was current and performing remained relatively constant during the reporting period at approximately 94 percent.
  • Serious delinquencies, defined as bankrupt borrowers who are 30 days delinquent and all delinquencies greater than 60 days, increased just one–tenth of a percentage point during the period, from 2.1 percent to about 2.2 percent.
  • As in other studies, the report confirms that foreclosures in process are plainly on the rise, with the total number increasing steadily and significantly through the reporting period from 0.9 percent of the portfolio to 1.23 percent. Interestingly, the number of new foreclosures has been quite variable. While one month does not make a trend, new foreclosures in March declined to 45,696, down 21 percent from January's high and down about 4.5 percent from the start of the reporting period last October.
  • The majority of serious delinquencies was concentrated in the highest risk segment — subprime mortgages. Though these mortgages constituted less than 9 percent of the total portfolio, they sustained twice as many delinquencies as either prime or Alt-A mortgages.
  • Consistent with other reports, payment plans predominated, outnumbering loan modifications in March by more than four to one. But loan modifications increased at a much faster rate during the period.
  • Although subprime mortgages constituted less than 9 percent of the total portfolio, subprime loss mitigation actions constituted 43 percent of all loss mitigation actions in March.
  • The emphasis on loss mitigation for subprime mortgages corresponds to the nationwide focus on this higher risk sector. Total loss mitigation actions exceeded newly initiated foreclosure proceedings by a margin of nearly 2 to 1.

1 The nine banks are Bank of America, Citibank, First Horizon, HSBC, JPMorgan Chase, National City, USBank, Wachovia, and Wells Fargo.