Declaration of Frank C. Torchio for Settlement Purposes

Date Price Return
Case 2:07-cv-05295-MRP -MAN Document 987-4 Filed 10/11/10 Page 698 of 721 Page
ID #:39886
Appendix A
Selected Excerpts from Publicly‐Available Documents Containing Relevant Information Regarding Countrywide During the Class Period
Excess
Return t‐stat. Source Excerpt
11/13/2007 13.72 4.02% ‐0.44% ‐0.20 UBS Production Steady; Delinquencies Rise
11/13/2007 13.72 4.02% ‐0.44% ‐0.20 UBS Production Steady; Delinquencies Rise
Mortgage fundings steady at $22B in Oct vs. $21B in Sept Oct results continue to reflect difficult market conditions and tighter underwriting
guidelines, mitigated by four additional working days in the period. Total mortgageoriginations were down 48% year‐over‐year, with nonprime
fundings down 99%.
The company’s servicing portfolio grew 5% ann. to $1.47T. Servicing portfolio delinquencies were 5.94% in Oct, up from 5.85% in Sept. We
anticipate further credit deterioration throughout 4Q and 2008.
11/13/2007 13.72 4.02% ‐0.44% ‐0.20 Wachovia CFC: Countrywide Reports October Operational Data Volumes Rise Slightly From September Lows
Production by Product, Channel ‐ CFC produced very few riskier product loans in the quarter, with subprime volumes of only 0.2% of total
production. Home equity comprised 6.0% of total production while ARM loans were only 13.8% versus 7.5% and 17.8% last month.
11/13/2007 13.72 4.02% ‐0.44% ‐0.20 Wachovia CFC: Countrywide Reports October Operational Data Volumes Rise Slightly From September Lows
11/14/2007 13.37 ‐2.55% ‐2.81% ‐1.28 Merrill Lynch Fundamentals stabilizing at lower levels
11/14/2007 13.37 ‐2.55% ‐2.81% ‐1.28 Merrill Lynch Fundamentals stabilizing at lower levels
Servicing portfolio statistics on credit were mixed, as delinquencies as a percentage of unpaid principal balances (UPB) climbed to 5.94% from
5.85% in the month. However, foreclosures as a percentage of UPB declined to 1.23% from 1.27% in the month. These stats look better than
the sharp increases in September, however.
Overall, it appears that the business is at least stabilizing after the mortgage market disruptions in September. It was positive to see
foreclosures come down a bit in October and for the rise in delinquencies to decelerate somewhat from the sharp increase witnessed in
September.
CFC’s October monthly operating data reflect improvement from September’s steep decline in lending volume and accelerating credit
deterioration. The rebound in lending volumes should reassure investors that fundamentals have normalized, at least for the time being, and
that CFC’s restructuring program has right‐sized the company for the new volume paradigm.
Positively, CFC’s bank funded 93% of loans, up from 89% in September and 55% in July, which should help ease concerns that CFC encounters
near‐term borrowing capacity issues. That said, the secondary market cannot improve soon enough for CFC, in our view.
Applications stabilized at lower level
Loan applications have stabilized at $1.7B per day, following a sharp 25% decline in September, reflecting the slowdown in the mortgage
market and CFC’s focus on higher quality loans. ARM loans represented 14% of all loans funded in October, down from 18% in September and
28% in July. Sub‐prime loans were 0.2% of total loans in October, down from 1.2% in September and 4.5% in July. The $41.1B loan pipeline
suggests significantly lower volumes for Q4’07, should October’s closing ratio (55%) persist.
Forensic Economics, Inc Page 210 of 233