The data monthly, is currently available for January through June 2008, and exists only at the national level.  Aggregated data (OCC plus OTS) is unavailable prior to January 2008.  Values are expressed as millions of dollars, number of loans and number of loans per category, and percent of loans.  All values are not seasonally adjusted (NSA).

Note: The time series are monthly, but the data is released once per quarter, three months at a time.

Following the table is a detailed explanation of definitions, the statistical universe, and indicators.

The source explains:

The OCC and OTS Mortgage Metrics Report presents key performance data on first lien residential mortgages serviced by national banks and thrifts, focusing on delinquencies, loss mitigation actions, and foreclosures. The OCC and OTS collect these data from the nine national banks and five thrifts that have the largest mortgage servicing portfolios among all national banks and thrifts. This represents more than 90 percent of all mortgages serviced by national banks and thrifts, and approximately 60 percent of all mortgages outstanding. Approximately 88 percent of the mortgages in the total servicing portfolio are held by third parties via securitization by government-sponsored enterprises and other financial institutions. At the end of June 2008, these 14 institutions serviced more than 34.7 million first mortgage loans, totaling $6.1 trillion in outstanding balances.

The report is based on a data collection process covering 64 data elements for each of the mortgages held or serviced by the participating lenders from January through June 2008. The OCC and OTS use a data vendor to aggregate, validate, store, and generate reports, but the agencies retain ownership and control of the data.

In addition to providing important information to the public, the data gathered for this report support the supervision of national bank and thrift mortgage practices. This report provides an additional tool to help examiners assess emerging trends, identify anomalies, compare a lender with the rest of the industry, evaluate asset quality and loan loss reserve needs, and evaluate the effectiveness of loss mitigation actions.

Despite its relatively comprehensive coverage, readers should not use the data in this report to draw conclusions about overall conditions in mortgage lending. The portfolio of loans serviced by these banks and thrifts does not represent a statistically random sample of all mortgage loans. The characteristics of these loans differ in notable ways from the overall population of mortgages.

Additionally, there are known seasonal effects in mortgage lending. This report does not attempt to quantify those seasonal effects.

The OCC, OTS, and the participating institutions devoted significant resources to validating the data to ensure that the information was reliable, accurate, and consistent with information presented elsewhere. Steps to ensure the validity of the data included comparisons with institutions’ quarterly call and thrift financial reports, and internal quality reviews conducted by the banks and thrifts and by the external vendor that compiled the data. However, data sets of this size and scope inevitably suffer from a degree of inconsistency, missing data, and other imperfections. The OCC and OTS expect future data submissions to be adjusted as errors and omissions are detected. As a result of this ongoing process, readers of this report should exercise caution when comparing the data presented for the first three months of 2008 with data released previously by the OCC and OTS independently. Data presented in this report, in some cases, reflect resubmissions from institutions that restate and correct earlier information.

Definitions and Methods

The OCC and OTS Mortgage Metrics Report uses standardized definitions for three categories of mortgage creditworthiness: prime, Alt-A, and subprime. These are defined using ranges of borrowers’ credit scores at the time of origination, as follows: prime—660 and above; Alt-A—620 to 659; and subprime—below 620.

Roughly 15 percent of loans in the data were not accompanied by credit scores. The report classifies these loans "other." This group of loans includes a mix of prime, Alt-A, and subprime loans, and is, in large part, as the result of acquisitions of mortgage portfolios from third parties where scores were not readily available. The OCC and OTS are working with the participating banks and thrifts to obtain and include credit scores with future submissions to reduce the percentage of loans in this category.

Other standard definitions in the report include:

Seriously delinquent loans—All mortgages that are 60 or more days past due and all mortgages held by bankrupt borrowers who are 30 or more days past due. Loan delinquencies are reported following the Mortgage Bankers Association (MBA) convention that a loan is past due when a scheduled payment is unpaid for 30 days or more.

Loss mitigation action—Loan modification or payment plan.

Loan modification—Mortgage for which terms of the loan are contractually changed, usually with respect to interest rates or terms of the loan.

Payment plan—Mortgage for which the servicer and a borrower have agreed to a short- to medium-term change in scheduled terms and payments to return the mortgage to a current and performing status.

New foreclosure—Mortgage for which the servicer commences a formal foreclosure proceeding during the month (e.g., public notice, judicial filing).

The statistics and calculated ratios in this report are based on the number of loans rather than on the dollar balance outstanding.