Legal Seminar, Chicago, IL

CONTENTS

Overview

Market Size Overview

Value of the US Residential Housing Market Size of the US Residential Mortgage Market

6 6 7 7

Private Label Securities

Agency Mortgage-Backed Securities

Origination Volume and Composition

First Lien Origination Volume & Share

8

Mortgage Origination Product Type

Composition (All Originations)

9 9

Percent Refi at Issuance

Cash-Out Refinances

Loan Amount After Refinancing

10 10 10

Cash-out Refinance Share of All Originations

Total Home Equity Cashed Out

Nonbank Origination Share

Nonbank Origination Share: All Loans Nonbank Origination Share: Purchase Loans Nonbank Origination Share: Refi Loans

11 11 11

Securitization Volume and Composition

Agency/Non-Agency Share of Residential MBS Issuance

12 12 12

Non-Agency MBS Issuance Non-Agency Securitization

Credit Box

Housing Credit Availability Index (HCAI) Housing Credit Availability Index

13

Housing Credit Availability Index by Channel

13-14

Credit Availability for Purchase Loans

Borrower FICO Score at Origination Month Combined LTV at Origination Month

15 15 15 16

DTI at Origination Month

Origination FICO and LTV by MSA

Nonbank Credit Box

Agency FICO: Bank vs. Nonbank GSE FICO: Bank vs. Nonbank GinnieMae FICO: Bank vs. Nonbank

17 17 17 18 18 18 18

GSE LTV: Bank vs. Nonbank

GinnieMae LTV: Bank vs. Nonbank

GSE DTI: Bank vs. Nonbank

Ginnie Mae DTI: Bank vs. Nonbank

State of the Market

Mortgage Origination Projections & Originator Profitability Total Originations and Refinance Shares

19 19

Originator Profitability and Unmeasured Costs