mortgage monitor - black knight, inc. · 2021. 3. 5. · database covering 99.9% of the u.s....

JANUARY 2021 REPORT

MORTGAGE MONITOR

https://www.blackknightinc.com/data-reports/?report-type=mortgage-monitor&report

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Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate. © 2021 Black Knight Financial Technology Solutions, LLC. All Rights Reserved.

MORTGAGE MONITOR

JANUARY 2021 | 2Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate. © 2021 Black Knight Financial Technology Solutions, LLC. All Rights Reserved.

Each month, the Black Knight Mortgage Monitor looks at a variety of issues related to the mortgage finance and housing industries.

This month, as always, we begin with a review of some of the high-level mortgage performance statistics reported in our most recent First Look report, with an update on delinquency, foreclosure and prepayment trends. Then, we take a closer look at January’s mortgage data in terms of performance and the slow – yet steady – rate of improvement we’ve been seeing. We also check into the varying degrees of improvement in post-pandemic serious delinquencies at the state level.

From there we move on to an in-depth analysis of current forbearance activity, breaking down what the various program and moratoria extensions mean to the mortgage and housing markets at the current rate of improvement. Finally, we look at both 2020 origination volumes and rate lock data from the first 45 days of 2021 to get a sense of the origination market and how rising interest rates may affect volumes. We also check in on borrower retention in such a hyper-competitive market, finding retention rates plumbing new lows amid record-breaking refinance activity.

In producing the Mortgage Monitor, Black Knight’s Data & Analytics division aggregates, analyzes and reports upon the most recently available data from the company’s vast mortgage and housing related data assets. Information is gathered from the McDash loan-level mortgage performance dataset, Collateral Analytics home price trends data, origination and secondary market metrics from the company’s Secondary Marketing Technologies division and the company’s robust public records database covering 99.9% of the U.S. population. For more information on gaining access to Black Knight’s data assets, please call 844-474-2537 or email [email protected].

JANUARY 2021 OVERVIEW

MORTGAGE MONITOR

JANUARY FIRST LOOK

JANUARY PERFORMANCE HIGHLIGHTS

FORBEARANCE ACTIVITY

INTEREST RATES, RATE LOCKS & RETENTION

APPENDIX

DISCLOSURES

DEFINITIONS

3

4

7

13

17

20

21

CONTENTS




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MORTGAGE MONITOR

JANUARY 2021 | 3

Here we have an overview of findings from Black Knight’s ‘First Look’ at January mortgage performance data. This information has been compiled from Black Knight’s McDash loan-level mortgage performance database. You may click on each chart to see its contents in high-resolution.

January’s rate of improvement among overall delinquencies, as well as seriously past due mortgages, was nearly identical to the average monthly declines seen during the recovery to date.

JANUARY OVERVIEW STATS

CHANGE IN DELINQUENCY RATE

January's decline to 5.9% brought the national delinquency rate below 6%

for the first time since last March

Serious delinquencies – homeowners 90 or more days past due – remain

5X pre-pandemic levels

FORECLOSURE STARTS

Starts remain muted, and are down more than 86% year-over-year due to recently extended

foreclosure moratoriums

While reducing near-term risk, extensions may also have the effect of extending the length of

the recovery period

PREPAYMENT ACTIVITY

Prepayment speeds slowed in January as rates began to rise off record lows

Despite the slowdown, January prepays remained 86% above last year’s rate

3.82% 16.9% 17%

JANUARY 2021 FIRST LOOK RELEASE



https://www.blackknightinc.com/black-knights-first-look-at-january-2021-mortgage-data/


https://www.blackknightinc.com/wp-content/uploads/2021/03/BKI_MM_Jan2021_Chart01.pdf


MORTGAGE MONITOR

JANUARY 2021 | 4

0

500,000

1,000,000

1,500,000

2,000,000

2019-01

2019-02

2019-03

2019-04

2019-05

2019-06

2019-07

2019-08

2019-09

2019-10

2019-11

2019-12

2020-01

2020-02

2020-03

2020-04

2020-05

2020-06

2020-07

2020-08

2020-09

2020-10

2020-11

2020-12

2021-01

LOANS ROLLING TO A MORE DELINQUENT STATUSCurrent to 30 Days DQ 30 to 60 Days DQ 60 to 90 Days DQ

Source: McDash

Here we take a detailed look at January mortgage performance data. This information has been compiled from Black Knight’s original McDash loan-level mortgage performance database as well as the new daily McDash Flash data set. Click on each chart to see its contents in high-resolution.

JANUARY 2021 PERFORMANCE HIGHLIGHTS

» Early-stage delinquencies continue to stay below pre-pandemic levels, with the number of borrowers with a single missed payment down 24% and 60-day delinquencies down 6%

» However, despite some slight improvement in January, serious delinquencies (90+ days) remain 5X their pre-pandemic levels

» 370K borrowers who were current on their mortgage became 30 days delinquent in January, marking the lowest inflow in the past 12 months

» However, the number of borrowers rolling from 30-to-60 and 60-to-90 days delinquent were up 31% and 75% year-over-year respectively as borrowers may be rolling to later stages at higher rates because of participation in forbearance plans

5.85%

4.74%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

11.00%

2000-01

2001-01

2002-01

2003-01

2004-01

2005-01

2006-01

2007-01

2008-01

2009-01

2010-01

2011-01

2012-01

2013-01

2014-01

2015-01

2016-01

2017-01

2018-01

2019-01

2020-01

2021-01

NATIONAL DELINQUENCY RATE – FIRST LIEN MORTGAGESDelinquency Rate 2000-2005 Average Record Low

Source: McDash

NATIONAL DELINQUENCY RATE – FIRST LIEN MORTGAGES LOANS ROLLING TO A MORE DELINQUENT STATUS

Source: McDashSource: McDash







MORTGAGE MONITOR

JANUARY 2021 | 5

» Given recently announced extensions to both foreclosure moratoriums and forbearance plan terms, it’s worth looking at the share of excess serious delinquencies that would remain in the market over time

» There are 2.1M seriously delinquent mortgages (including borrowers who have forborne three or more payments), some 1.7M more than at the onset of the pandemic

» At the current rate of improvement – a decline of less than 3% per month – that number would fall to 1.8M by the end of June and just under 1.7M at the end of September when the first wave of forbearance plans are now set to reach final expiration under their newly-extended 18-month terms

» While the rate of improvement could accelerate/decelerate based on broader economic factors, borrowers have limited incentive to leave forbearance plans early and we could see just a 20% decline in serious delinquencies between now and the end of Q3 2021 if current trends hold true

» Not only does this place continued pressure on servicing entities, but forborne interest as well as tax and insurance payments have a negative impact on borrowers’ equity positions

» The industry must now walk the fine line of providing ample borrower protections while at the same time trying to limit equity erosion and servicer advance risk

-1%

0%

+1%

+2%

+3%

+4%

+5%

+6%

-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24Number of Months Since Event

DELINQUENCY RATE FOLLOWING NATURAL DISASTERS(DIFFERENCE IN DELINQUENCY RATE VS. 1-MONTH PRIOR TO THE EVENT)

Hurricane Harvey (2017) Hurricane Irma (2017) COVID-19 At Current Rate

Source: McDash

-0.5%

0.0%

+0.5%

+1.0%

+1.5%

+2.0%

+2.5%

+3.0%

+3.5%

+4.0%

-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21Number of Months Since Event

90+ DAY DQ RATE FOLLOWING NATURAL DISASTERS(DIFFERENCE IN 90+ DAY DQ RATE VS. 1-MONTH PRIOR TO THE EVENT)

Hurricane Harvey (2017) Hurricane Irma (2017) COVID-19 At Current Rate

Mar

202

1

June

202

1

Sep

t 202

1

Dec

202

1

Source: McDash

Source: McDash Source: McDash

DELINQUENCY RATE FOLLOWING NATURAL DISASTERS(DIFFERENCE IN DELINQUENCY RATE VS. 1-MONTH PRIOR TO THE EVENT)

90+ DAY DQ RATE FOLLOWING NATURAL DISASTERS(DIFFERENCE IN 90+ DAY DQ RATE VS. 1-MONTH PRIOR TO THE EVENT)







MORTGAGE MONITOR

JANUARY 2021 | 6

» Here we take a geographical look at excess serious delinquencies as a result of COVID, using the net increase from January 2020 to January 2021 for a rough estimate

» In Hawaii, an estimated excess 5.2% of homeowners remain seriously delinquent – well above the national average of 3.1% – likely due to pandemic-related impacts on travel and tourism

» The pandemic has pushed Hawaii from among the states with the lowest seriously delinquent rates to having the fourth highest rate as of January 2021

» Nevada also continues to see an oversized impact from the pandemic, with 4.8% of homeowners (31,500) at least 90 days past due as a result of the pandemic

» Alaska, Louisiana, Florida, Maryland and Texas round out the list of states with at least 4% of mortgage holders still three or more payments behind as a result of COVID-19

» California accounts for nearly 200K of the nation’s total excess number of such serious delinquencies, followed by Texas (161K), Florida (153K) and New York (109K)

+2.9%

+3.1%+2.8%

+2.7%

+2.2%

+3.7%

+3.2%

+4.1%

+3.9%

+2.2%

+1.6%

+3.3% +3.0%

+2.9%+2.4%

+4.5%

+2.4%

+2.8%

+2.1%

+2.8%

+2.3%

+3.2%

+2.1%

+2.6%

+2.8%

+2.8%

+2.1%

+3.9%

+2.7%

+4.8%

+3.9%

+2.7%

+3.8%

+2.4%

+2.9%

+3.0%

+2.1%

+2.6%

+4.0%

+2.0%

+2.7%

+2.1%

+2.2%

+3.2%

+3.0%

+1.0% +5.0%

Change in %

+4.5%

+5.2%

REMAINING COVID-19 IMPACT ON SERIOUS DELINQUENCIES(AS OF JANUARY 2021)

+2.9%

+3.1%+2.8%

+2.7%

+2.2%

+3.7%

+3.2%

+4.1%

+3.9%

+2.2%

+1.6%

+3.3% +3.0%

+2.9%+2.4%

+4.5%

+2.4%

+2.8%

+2.1%

+2.8%

+2.3%

+3.2%

+2.1%

+2.6%

+2.8%

+2.8%

+2.1%

+3.9%

+2.7%

+4.8%

+3.9%

+2.7%

+3.8%

+2.4%

+2.9%

+3.0%

+2.1%

+2.6%

+4.0%

+2.0%

+2.7%

+2.1%

+2.2%

+3.2%

+3.0%

+1.0% +5.0%

Change in %

+4.5%

+5.2%


+2.9%

+3.1%+2.8%

+2.7%

+2.2%

+3.7%

+3.2%

+4.1%

+3.9%

+2.2%

+1.6%

+3.3% +3.0%

+2.9%+2.4%

+4.5%

+2.4%

+2.8%

+2.1%

+2.8%

+2.3%

+3.2%

+2.1%

+2.6%

+2.8%

+2.8%

+2.1%

+3.9%

+2.7%

+4.8%

+3.9%

+2.7%

+3.8%

+2.4%

+2.9%

+3.0%

+2.1%

+2.6%

+4.0%

+2.0%

+2.7%

+2.1%

+2.2%

+3.2%

+3.0%

+1.0% +5.0%

Change in %

+4.5%

+5.2%




State January 2020 January 2021 Remaining COVID-19 Impact

HI 0.6% 5.8% +5.2%NV 0.7% 5.5% +4.8%AK 0.6% 5.1% +4.5%LA 1.7% 6.2% +4.5%FL 0.7% 4.8% +4.1%MD 1.1% 5.1% +4.0%TX 1.0% 5.0% +4.0%NY 0.9% 4.7% +3.9%GA 1.1% 5.0% +3.9%NJ 0.9% 4.8% +3.9%

SHARE OF BORROWERS 90+ DAYS DELINQUENT

State January 2020 January 2021 Remaining COVID-19 Impact

CA 25,600 224,600 +199,000TX 38,900 200,200 +161,300FL 27,500 180,400 +152,900NY 22,500 131,100 +108,600IL 20,700 101,300 +80,600GA 20,400 89,900 +69,500NJ 16,000 84,100 +68,100MD 13,600 67,600 +54,000PA 19,000 71,400 +52,300OH 18,400 68,800 +50,400

NUMBER OF BORROWERS 90+ DAYS DELINQUENT









MORTGAGE MONITOR

JANUARY 2021 | 7

Here we look at active forbearance volumes, along with start, removal and extension activity. We also break down the population of borrowers who have exited forbearance and take a closer look at how they’re performing on their mortgages. This information has been compiled from Black Knight’s original McDash loan-level mortgage performance database as well as the new daily McDash Flash data set. Click on each chart to see its contents in high-resolution.

JANUARY 2021 FORBEARANCE ACTIVITY

Source: McDash FlashData as of February 23th 2021

*Figures in this report are based on observations from Black Knight’s McDash Flash data set and are extrapolated to estimate the full mortgage market**Other category includes held in portfolios, private labeled securities, or by other entities

» The rate of improvement in active forbearance plans continues to be sluggish, with the monthly rate of decline holding steady at -2% in recent weeks

» All in, the number of active plans is down just 3% since mid-November

» As of Feb. 23, 2.7M (5.1%) homeowners remain in forbearance, including 9.3% of FHA/VA, 3.2% of GSE and 5.2% of portfolio/private mortgages

» Just 160K forbearance plans are scheduled to expire at the end of February, providing limited opportunity for significant declines in forbearance volumes in coming weeks

Forbearance volumes dipped below 2.7M in February for the first time since April 2020, but have since edged back above that threshold

Í

0

500000

1000000

1500000

2000000

2500000

3000000

3500000

4000000

4500000

5000000

5500000

Mar-24

Mar-30

Apr-03

Apr-09

Apr-15

Apr-21

Apr-27

May

-01

May

-07

May

-13

May

-19

May

-26

Jun-01

Jun-05

Jun-11

Jun-17

Jun-23

Jun-29

Jul-0

6Ju

l-10

Jul-1

6Ju

l-22

Jul-2

8Aug

-03

Aug

-07

Aug

-13

Aug

-19

Aug

-25

Aug

-31

Sep

-04

Sep

-11

Sep

-17

Sep

-23

Sep

-29

Oct-05

Oct-09

Oct-16

Oct-22

Oct-28

Nov

-03

Nov

-09

Nov

-13

Nov

-19

Nov

-25

Dec

-01

Dec

-07

Dec

-11

Dec

-17

Dec

-23

Dec

-30

Jan-06

Jan-12

Jan-19

Jan-25

Jan-31

Feb-04

Feb-10

Feb-17

Feb-23

ACTIVE FORBEARANCE PLANS Fannie/Freddie FHA/VA Other Total


ACTIVE FORBEARANCE PLANS

Fannie & Freddie FHA & VA Other** Total

Loans in Forbearance* 903,000 1,126,000 678,000 2,707,000

UPB of Loans in Forbearance ($Bil)* $187 $192 $159 $537

Share of Loans in Forbearance* 3.2% 9.3% 5.2% 5.1%

Active Loan Count (Mil)* 27.9 12.1 13.0 53.0

*Figures in this report are based on observations from Black Knight’s McDash Flash data set and are extrapolated to estimate the full mortgage market**Other category includes held in portfolios, private labeled securities, or by other entities






https://www.blackknightinc.com/wp-content/uploads/2021/03/BKI_MM_Jan2021_Chart09b.pdf


MORTGAGE MONITOR

JANUARY 2021 | 8


» New forbearance plan starts hit a post-pandemic low the week of Feb. 16, and both new plans, as well as re-starts, continue to remain relatively low

» Outflow has also been low; just one of every 77 borrowers who began the week in forbearance had left their plans by week’s end, one of the lowest removal rates we've seen

» Even though both the GSEs and HUD have extended allowable forbearance terms, the end of March will be telling, as more than 600K plans are set to reach their initial 12-month terms

» It’s unclear what should be expected; at both 3-month and 6-month extension intervals, significant numbers of plan exits took place, but at the 9-month point, exit activity significantly underperformed expectations

0

50,000

100,000

150,000

200,000

250,000

300,000

5/5/20

5/19/20

6/2/20

6/16/20

6/30/20

7/14/20

7/28/20

8/11/20

8/25/20

9/8/20

9/22/20

10/6/20

10/20/20

11/3/20

11/17/20

12/1/20

12/15/20

12/29/20

1/12/21

1/26/21

2/9/21

2/23/21

FORBEARANCE PLAN STARTS New Starts Re-Starts Forbearance Plan Starts

Source: McDash Flash

0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

900,000

4/21/205/5/20

5/19/206/2/20

6/16/20

6/30/20

7/14/20

7/28/20

8/11/20

8/25/209/8/20

9/22/20

10/6/20

10/20/20

11/3/20

11/17/20

12/1/20

12/15/20

12/29/20

1/12/21

1/26/212/9/21

2/23/21

Week Ending

FORBEARANCE PLAN EXTENSIONS & REMOVALS – BY WEEKForbearance Plan Removals Forbearance Plan Extensions


Source: McDash FlashSource: McDash Flash

FORBEARANCE PLAN EXTENSIONS & REMOVALS – BY WEEKFORBEARANCE PLAN STARTS






MORTGAGE MONITOR

JANUARY 2021 | 9

» For more than 625K (23%) of then early 2.7M homeowners remaining in forbearance, April 2020 was their first forborne payment; an additional 355K (13%) started their plans in May

» These two monthly cohorts are worth keeping a close eye on in coming months as they will dictate both the size and timing of the initial spike in final forbearance plan expirations

» After seeing significant monthly declines early in the pandemic, the rate of improvement among these early forbearance enrollees has dropped to -3% per month

» This suggests borrowers who have remained in their plans for an extended period may be much more likely to remain in those plans for the full duration (however long that may be) rather than exiting early

» At the current rate of improvement, an estimated 600K plans would have reached their original 12-month forbearance expiration at the end of March (the peak month for expiration activity)

» An extension in plan length to 18 months – as was recently made by both HUD and FHFA – would push the peak in expirations back to September month-end, but only reduce the peak expiration volume by 100K (-17%)

» All that said, improvement rates could increase or decrease in coming months, and it’s yet to be seen if a meaningful share of homeowners in forbearance choose to opt out at 12 months rather than exercising any additional extensions

-

100,000

200,000

300,000

400,000

500,000

600,000

700,000

Jan

2020

Feb

2020

Mar

202

0

Apr

202

0

May

202

0

Jun

2020

Jul 2

020

Aug

202

0

Sep

202

0

Oct

202

0

Nov

202

0

Activ

e Fo

rbea

ranc

e Pl

ans

Forbearance Plan Start Month

START MONTH OF ACTIVE FORBEARANCE PLANS(START MONTH = FIRST SCHEDULED FORBORNE PAYMENT)

GSE FHA/VA Other

Source: McDash Flash extrapolated to estimate the full first lien mortgage market

0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

Jul 2

020

Aug

202

0

Sep

202

0

Oct

202

0

Nov

202

0

Dec

202

0

Jan

2021

Feb

2021

Mar

202

1

Apr

202

1

May

202

1

Jun

2021

Jul 2

021

Aug

202

1

Sep

202

1

Oct

202

1

Nov

202

1

Dec

202

1

Forb

eara

nce

Plan

Exp

iratio

ns

Plan Final Expiration Month (Under Various Extension Scenarios)

ESTIMATED FORBEARANCE EXPIRATION VOLUMES / TIMING UNDER VARIOUS EXTENSION SCENARIOS

12-Month Forbearance Term 15-Month Forbearance Term 18-Month Forbearance Term

Scenarios above include current monthly reduction rate of 3% observed among early forbearance starts in recent months

Scenarios above include current monthly reduction rate of 3% observed among early forbearance starts in recent monthsSource: McDash Flash extrapolated to estimate the full first lien mortgage market

ESTIMATED FORBEARANCE EXPIRATION VOLUMES / TIMINGUNDER VARIOUS EXTENSION SCENARIOSSTART MONTH OF ACTIVE FORBEARANCE PLANS

(START MONTH = FIRST SCHEDULED FORBORNE PAYMENT)







MORTGAGE MONITOR

JANUARY 2021 | 10

» Factoring in home price growth through Q3 2020, just one in ten homeowners in forbearance has less than 10% equity in their home, typically the minimum necessary to be able to sell through traditional real estate channels to avoid foreclosure

» However, the average homeowner in forbearance would forbear $12.3K in interest payments over 18 months, and among those who already have less than 10% equity it would be an even larger $14.9K

» On average, these borrowers would also miss more than $9K in taxes and insurance payments over those 18 months, which could push the deferral amount to about $25K on average for higher CLTV borrowers

» When factoring in 18 months of deferred interest payments into the equity calculation, the share of borrowers with limited equity climbs from 10% to 18%

» Among FHA/VA loans that have higher CLTVs overall, that share climbs from 19% to 29%, more than a quarter of struggling borrowers

» Deferred escrow advances could push the share of homeowners with limited equity even higher to 22% and 36% respectively

» It should be noted that these calculations do not factor in future home price growth, which – especially given the current rate of growth in the housing market – could offset some of the negative impacts of deferred payments

4%

19%

5%

10%9%

26%

7%

15%

12%

31%

9%

18%

0%

5%

10%

15%

20%

25%

30%

35%

Agency Prime FHA/VA Portfolio/Private Total Market

SHARE OF MORTGAGES IN FORBEARANCE WITH LESS THAN 10% EQUITY

(FACTORING IN 12 MONTHS OF PAYMENT DEFERRALS)

Current CLTV w/ 12 mos Deferred Interest w/ 12 mos Deferred PITI

Source: McDash Flash, McDash Property Module• PITI above includes full scheduled escrow payments which may exceed actual

escrow advances allowed to be included in deferred balance• Estimates include observed home price appreciation through Q3 2020 but do not

incorporate future home price growth which could help to offset deferral amounts

4%

19%

5%

10%11%

29%

9%

18%

15%

36%

11%

22%

0%

5%

10%

15%

20%

25%

30%

35%

40%

Agency Prime FHA/VA Portfolio/Private Total Market

SHARE OF MORTGAGES IN FORBEARANCE WITH LESS THAN 10% EQUITY

(FACTORING IN 18 MONTHS OF PAYMENT DEFERRALS)

Current CLTV w/ 18 mos Deferred Interest w/ 18 mos Deferred PITI

Source: McDash Flash, McDash Property Module• PITI above includes full scheduled escrow payments which may exceed actual

escrow advances allowed to be included in deferred balance• Estimates include observed home price appreciation through Q3 2020 but do not

incorporate future home price growth which could help to offset deferral amounts

Source: McDash Flash, McDash Property Module• PITI above includes full scheduled escrow payments which may exceed actual escrow advances allowed to be included in deferred balance• Estimates include observed home price appreciation through Q3 2020 but do not incorporate future home price growth which could help to offset deferral amounts

Source: McDash Flash, McDash Property Module• PITI above includes full scheduled escrow payments which may exceed actual escrow advances allowed to be included in deferred balance• Estimates include observed home price appreciation through Q3 2020 but do not incorporate future home price growth which could help to offset deferral amounts

SHARE OF MORTGAGES IN FORBEARANCE WITH LESS THAN 10% EQUITY(FACTORING IN 18 MONTHS OF PAYMENT DEFERRALS)

SHARE OF MORTGAGES IN FORBEARANCE WITH LESS THAN 10% EQUITY(FACTORING IN 12 MONTHS OF PAYMENT DEFERRALS)







MORTGAGE MONITOR

JANUARY 2021 | 11

» Of the 6.9M homeowners – 13% of all mortgage holders – who have entered into forbearance plans over the past 11 months, 4.2M (61%) have since exited

» 3.7M (54%) are either back to performing or have paid off their mortgage in full through refinance or the sale of their home

» Of those who have exited their plans but remain past due, 282K (4%) are in post-forbearance loss mitigation with their servicers, while 171K (3%) remain delinquent and are in neither forbearance nor loss mitigation

» Only 64K such forbearance ‘failures’ were current on their mortgages entering the pandemic; the remaining 107K were previously-existing delinquencies

» While 4% of all mortgages remain in post-forbearance loss mitigation, that share has fallen from 7% over the past three months, suggesting that servicers are making headway in working through that population

Removed/Expired -Performing2,893,000

42%

Removed/Expired - Delinquent -Active Loss Mit

282,000 4%

Removed/Expired -Delinquent

171,000 3%

Paid Off846,000

12%

Active ForbearanceOriginal Term

425,000 6%

Active Forbearance -Term Extended

2,282,000 33%

CURRENT STATUS OF COVID-19 RELATED FORBEARANCES(STATUS AS OF FEBRUARY 23RD 2021)

6.9 MillionForbearances


7%14% 14%

3%

12%

35%

32%

48%

50%46%

42%

5%7%

2%

6%

3%

4%4%

7%

0%

10%

20%

30%

40%

50%

60%

70%

FHA VA GSE Portfolio Private Securities Total Market

Shar

e of

Loa

ns E

ver i

n CO

VID-

19 F

orbe

aran

ce P

lans

STATUS OF LOANS THAT HAVE LEFT COVID-19 RELATED FORBEARANCE PLANS

(REMAINING SHARE ARE STILL IN FORBEARANCE)Paid Off Performing Delinquent – Active Loss Mit Delinquent – Not in Loss Mit


Source: McDash FlashSource: McDash Flash

STATUS OF LOANS THAT HAVE LEFT COVID-19 RELATED FORBEARANCE PLANS(REMAINING SHARE ARE STILL IN FORBEARANCE)

CURRENT STATUS OF COVID-19 RELATED FORBEARANCES(STATUS AS OF FEBRUARY 23RD 2021)







MORTGAGE MONITOR

JANUARY 2021 | 12

» Of the more than 1.5M homeowners who were current on their mortgage entering the pandemic but who are currently three or more payments behind, 98% have either been in a forbearance plan and/or are currently in a loss mitigation plan with their servicer

» Participation has also been high among borrowers who were already past due on their mortgage (even prior to the onset of the pandemic) who currently remain more than three payments past due

» Among such pre-pandemic serious delinquencies, 72% have been in a forbearance plan or are currently involved in loss mitigation with their servicer

» Separately, fewer borrowers in forbearance are making mortgage payments, creating more alignment between forbearance volumes and the number of seriously delinquent mortgages

» While early in the pandemic, more than 40% of borrowers in forbearance plans remained current on mortgage payments, that number has fallen to 10% as of the end of January 2021

1,279,000

391,000

182,000

76,000

207,000

-

500,000

1,000,000

1,500,000

2,000,000

2,500,000

Post-COVID SDQs / FCs Pre-COVID SDQs / FCs

BREAKDOWN OF LOANS 90+ DAYS DQ OR IN FORECLOSURE(AS OF JANUARY 2021 MONTH-END)

Active Forbearance Active Loss Mit Removed From Forbearance Never Forbearance

Only 2% of (35k) Post-COVID and 28% of (207k) Pre-COVID SDQs/FCs are not in active loss mitigation and have not

entered a COVID forbearance program

10%7% 7% 7%

68%

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

Current 30 Days DQ 60 Days Dq 90 Days DQ 120 Days DQ

DELINQUENCY STATUS OF LOANS IN ACTIVE FORBEARANCE(AS OF JANUARY 2021 MONTH-END)

BREAKDOWN OF LOANS 90+ DAYS DQ OR IN FORECLOSURE(AS OF JANUARY 2021 MONTH-END)

DELINQUENCY STATUS OF LOANS IN ACTIVE FORBEARANCE(AS OF JANUARY 2021 MONTH-END)







MORTGAGE MONITOR

JANUARY 2021 | 13

Treasury yields have been experiencing significant growth in recent weeks and putting pressure on 30-year rates. Here, we look at rate lock data to break down what this might mean for Q1 2021 origination volumes and analyze the market’s stiff competition for borrower retention. This information has been compiled from Black Knight’s McDash loan-level mortgage performance database and rate lock data from our Secondary Marketing Technologies division. Click on each chart to see its contents in high-resolution.

JANUARY 2021 INTEREST RATES, RATE LOCKS & RETENTION

M

5M

10M

15M

20M

25M

2.50%

2.75%

3.00%

3.25%

3.50%

3.75%

4.00%

4.25%

26.Mar 14.May 02.Jul 20.Aug 08.Oct 25.Nov 14.Jan 04.Mar

REFINANCE CANDIDATES BY WEEK VS. 30-YR FIXED RATESRefi Candidates (Right Axis) 30-Year Fixed Rate Freddie PMMS (Left Axis)

Refinance Candidates: Homeowners current on their mortgage with 720+ credit scores and >= 20% equity in their home that could reduce their interest rate by 0.75% or more by refinancing into a 30-year fixed rate mortgage at the prevailing interest rate

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

1/22/19

2/22/19

3/22/19

4/22/19

5/22/19

6/22/19

7/22/19

8/22/19

9/22/19

10/22/19

11/22/19

12/22/19

1/22/20

2/22/20

3/22/20

4/22/20

5/22/20

6/22/20

7/22/20

8/22/20

9/22/20

10/22/20

11/22/20

12/22/20

1/22/21

2/22/21

10-YEAR TREASURY vs. 30-YEAR CONFORMING RATE SPREAD10-Year Treasury (Constant Maturity) 30-Year Conforming Rate (Optimal Blue) Spread

Source: Optimal Blue

10-YEAR TREASURY VS. 30-YEAR CONFORMING RATE SPREAD REFINANCE CANDIDATES BY WEEK VS. 30-YEAR FIXED RATES

Source: Optimal Blue

» Through Feb. 24, 10-year treasuries are up 45 basis points (BPS) in 2021, more than half of that coming over the past two weeks

» According to our Optimal Blue Mortgage Market Indices, 30-year conforming rates have followed suit, climbing 35 BPS YTD and >0.25% over the past two weeks alone

» After falling below 1.7% – well below its historical average of ~2% – the spread between 10-year treasures and 30-year rates had started to flatten, with 30-year rates actually rising more than treasuries in recent weeks (+0.28% vs. +0.23%)

» As recently as Feb. 11, there were still some 18.1M high-quality refinance candidates; those numbers have fallen off quickly alongside rising interest rates in recent weeks

» With rates rising to 3.02% as of Mar. 4 according to Freddie Mac’s Private Mortgage Market survey, just 12.9M remain – the lowest such volume since May 2020 and down 30% in just three weeks

» We will keep a close eye on rate movements in the coming weeks, as they could have a noticeable impact on both Q2-Q4 refinance lending as well as affordability and the broader housing market

Refinance Candidates: Homeowners current on their mortgage with 720+ credit scores and >= 20% equity in their home that could reduce their interest rate by 0.75% or more by refinancing into a 30-year fixed rate mortgage at the prevailing interest rate







MORTGAGE MONITOR

JANUARY 2021 | 14

» According to rate lock data from Black Knight’s Secondary Marketing Technologies division, lock volumes had remained relatively strong through mid-February

» However, recent increases in 30-year rates threaten continued strength in coming weeks with refinance-related locks expected to suffer

» That said, purchase locks in the first half of February were up 6% month-over-month and up 37% from the same time last year

» Refis edged back slightly from early January (-5%) but were more than double the volume seen during the same two-week span last year

» The rise in refi locks suggests that increases in 30-year rates over the first 45 days of the year may have spurred formerly procrastinating borrowers to act while rates were still near historic lows

» Given how sharply rates have risen in recent days, that burn-off could end quickly

» All in, locks in the first half of February were down a modest 2% month-over-month and were up more than 75% from 2020

2.50%

2.75%

3.00%

3.25%

3.50%

3.75%

4.00%

4.25%

-

0.20

0.40

0.60

0.80

1.00

1.20

Jan-0

2

Jan-1

6

Jan-3

1

Feb-14

Mar-02

Mar-16

Mar-30

Apr-14

Apr-28

May-12

May-27

Jun-1

0

Jun-2

4Ju

l-09

Jul-2

3

Aug-06

Aug-20

Sep-03

Sep-17

Oct-01

Oct-15

Oct-29

Nov-13

Nov-30

Dec-14

Dec-29

Jan-1

3

Jan-2

8

Feb-11

PURCHASE ORIGINATION RATE LOCKS(7-DAY MOVING AVERAGE INDEXED TO 2020 PEAK)

Purchase Locks Conv 30-Year Avg Note Rate (Right Axis)

Source: Compass Analytics & Optimal Blue

-

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

0.90

1.00

Jan-0

2

Jan-1

6

Jan-3

1

Feb-14

Mar-02

Mar-16

Mar-30

Apr-14

Apr-28

May-12

May-27

Jun-1

0

Jun-2

4Ju

l-09

Jul-2

3

Aug-06

Aug-20

Sep-03

Sep-17

Oct-01

Oct-15

Oct-29

Nov-13

Nov-30

Dec-14

Dec-29

Jan-1

3

Jan-2

8

Feb-11

2.50%

2.75%

3.00%

3.25%

3.50%

3.75%

4.00%

4.25%

REFINANCE RATE LOCKS VS. 30-YEAR INTEREST RATES(7-DAY AVERAGE RATE LOCK VOLUME INDEXED TO 2020 PEAK)

Cash-out Locks Rate-Term Locks Conv 30-Year Avg Note Rate (Right Axis)

Source: Compass Analytics & Optimal Blue

Source: Compass Analytics & Optimal Blue Source: Compass Analytics & Optimal Blue

PURCHASE ORIGINATION RATE LOCKS(7-DAY MOVING AVERAGE INDEXED TO 2020 PEAK)

REFINANCE RATE LOCKS VS. 30-YEAR INTEREST RATES(7-DAY AVERAGE RATE LOCK VOLUME INDEXED TO 2020 PEAK)







MORTGAGE MONITOR

JANUARY 2021 | 15

» All in, a record-breaking $4.3T was originated in 2020, with $2.8T in refis – also an all-time high – and $1.5T in purchase loans, the largest annual volume since 2005

» Q4 2020 set an all-time high for a single quarter across the board, with $346B in purchase lending, $869B in refinance lending and $1,322B in total lending

» By the end of March, an expected 2.8M homeowners will have taken advantage of near-record-low rates to refinance their mortgages

» It’s important to note that the same data suggests a 25% reduction from Q4 2020 in purchase loans, resulting in an overall 10% quarterly decline.

» Despite quarter-over-quarter decline, that would still put Q1 2021 purchase originations some 31% above 2020 levels

Assuming a 45-day lock-to-close timeline, Black Knight’s rate lock data through mid-February suggests refi activity could remain relatively steady in Q1 2021 before recent rate spikes begin impacting closed loan volumes in late Q1 or early Q2

$

$200

$400

$600

$800

$1,000

$1,200

$1,400

2000Q1

2000Q3

2001Q1

2001Q3

2002Q1

2002Q3

2003Q1

2003Q3

2004Q1

2004Q3

2005Q1

2005Q3

2006Q1

2006Q3

2007Q1

2007Q3

2008Q1

2008Q3

2009Q1

2009Q3

2010Q1

2010Q3

2011Q1

2011Q3

2012Q1

2012Q3

2013Q1

2013Q3

2014Q1

2014Q3

2015Q1

2015Q3

2016Q1

2016Q3

2017Q1

2017Q3

2018Q1

2018Q3

2019Q1

2035Q4

2020Q1

2020Q3

2021Q1

Firs

t Lie

n M

ortg

age

Orig

inat

ions

in $

Billi

ons

FIRST LIEN ORIGINATION ACTIVITYPurchase Originations Refinance Originations

Q1 2021 Origination Volumes Estimated Using Rate Lock Data from Black Knight's Secondary

Marketing Technologies Division

FIRST LIEN ORIGINATION ACTIVITY






MORTGAGE MONITOR

JANUARY 2021 | 16

» Despite record levels of lending activity, servicers retained just 18% of the estimated 2.8M homeowners who refinanced in Q4, the lowest share on record

» That means that 2.3M borrowers were lost to the market in Q4 alone

» Borrowers refinancing to improve their rate and/or term were retained at a significantly higher rate (23%) than those pulling cash out as part of the transaction (11%)

» Those who took out their previous mortgages in 2019 not only drove the largest volume of Q4 refis (20%), they were also retained at one of the highest paces (24%)

» Those who took out their prior mortgage earlier in 2020 drove 8% of all Q4 2020 refinances, representing a large volume of early refinance activity

» Among higher-credit quality rate/term GSE refinances, borrowers who were lost to the market received more than an eighth of a percent lower rate than those who refinanced and remained with their current servicer

» Current rate volatility underscores the critical nature of accurate and strategic pricing, as well as advanced retention analytics to help identify borrowers who still have incentive and are transacting in the market

8%

15% 15% 15%

13%14%

17%15% 15%

18%

23% 24% 24%

0%

5%

10%

15%

20%

25%

Pre2009

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

Vintage of Mortgage Being Refinanced

RETENTION RATES BY PRIOR LOAN VINTAGE(REFINANCE ORIGINATIONS IN Q4 2020)

Distribution of Refinance Originations Retention Rate

11%

23%18%

0%

10%

20%

30%

40%

50%

60%

70%

2005-Q4

2006-Q2

2006-Q4

2007-Q2

2007-Q4

2008-Q2

2008-Q4

2009-Q2

2009-Q4

2010-Q2

2010-Q4

2011-Q2

2011-Q4

2012-Q2

2012-Q4

2013-Q2

2013-Q4

2014-Q2

2014-Q4

2015-Q2

2015-Q4

2016-Q2

2016-Q4

2017-Q2

2017-Q4

2018-Q2

2018-Q4

2019-Q2

2019-Q4

2020-Q2

2020-Q4

SERVICER RETENTION RATE OF REFINANCE TRANSACTIONSCash-out Refinances Rate/Term Refinances All Refinances

SERVICER RETENTION RATE OF REFINANCE TRANSACTIONS RETENTION RATES BY PRIOR LOAN VINTAGE(REFINANCE ORIGINATIONS IN Q4 2020)







MORTGAGE MONITOR

JANUARY 2021 | 17

Summary Statistics

Jan-21 MonthlyChange

YTD Change

Yearly Change

Delinquencies 5.85% -3.82% 0.00% 81.84%Foreclosure 0.32% -3.92% 0.00% -30.89%

Foreclosure Starts 5,900 -16.90% 0.00% -86.21%Seriously Delinquent

(90+) or in Foreclosure 4.23% -2.84% 0.00% 237.25%

New Originations (data as of Dec-20) 1538K 21.5% 0.0% 101.8%

Jan-21 Dec-20 Nov-20 Oct-20 Sep-20 Aug-20 Jul-20 Jun-20 May-20 Apr-20 Mar-20 Feb-20 Jan-20Delinquencies 5.85% 6.08% 6.33% 6.44% 6.66% 6.88% 6.91% 7.59% 7.76% 6.45% 3.39% 3.28% 3.22%

Foreclosure 0.32% 0.33% 0.33% 0.33% 0.34% 0.35% 0.36% 0.36% 0.38% 0.40% 0.42% 0.45% 0.46%Foreclosure Starts 5,900 7,100 4,400 4,700 4,500 6,000 9,900 5,900 5,100 7,400 27,600 32,300 42,800

Seriously Delinquent (90+) or in Foreclosure 4.23% 4.35% 4.44% 4.57% 4.71% 4.77% 4.57% 3.89% 1.57% 1.28% 1.18% 1.22% 1.25%

New Originations 1538K 1266K 1438K 1313K 1258K 1239K 1220K 1062K 1033K 918K 700K 654K

3.22%

3.28%

3.39%

6.45%

7.76%

7.59%

6.91%

6.88%

6.66%

6.44%

6.33%

6.08%

5.85%

Jan-20

Feb-20

Mar-20Apr-20

May-20

Jun-20

Jul-20

Aug-20

Sep-20

Oct-20

Nov-20

Dec-20

Jan-21

TOTAL DELINQUENCIES

654K

700K 918K

1033K

1062K

1220K

1239K

1258K

1313K

1438K

1266K

1538K

Jan-20

Feb-20

Mar-20

Apr-20

May-20

Jun-20

Jul-20

Aug-20

Sep-20

Oct-20

Nov-20

Dec-20

NEW ORIGINATIONS

JANUARY 2021 DATA SUMMARY

JANUARY 2021 APPENDIX





MORTGAGE MONITOR

JANUARY 2021 | 18

MonthTOTAL ACTIVE

COUNT30 DAYS 60 DAYS 90+ DAYS FC

Total Non-Current

FC StartsAverage Days

Delinquent for 90+Average Days

Delinquent for FCRatio of 90+

to FC

1/31/05 47,706,128 1,197,062 339,920 458,719 276,745 2,272,446 50,922 242 324 165.8%1/31/06 50,900,620 1,242,434 387,907 542,378 258,613 2,431,332 76,477 207 308 209.7%1/31/07 53,900,458 1,425,030 468,441 551,439 393,973 2,838,883 117,419 203 267 140.0%1/31/08 55,478,782 1,743,420 676,266 950,639 813,560 4,183,885 195,033 190 256 116.8%1/31/09 55,788,441 2,001,314 932,436 1,878,981 1,321,029 6,133,760 250,621 193 323 142.2%1/31/10 55,098,009 1,945,589 903,778 2,972,983 2,068,572 7,890,922 292,308 253 418 143.7%1/31/11 53,861,778 1,750,601 746,634 2,078,130 2,245,250 6,820,615 277,374 333 527 92.6%1/31/12 52,687,781 1,592,463 652,524 1,796,698 2,205,818 6,247,503 223,394 395 666 81.5%1/31/13 51,229,692 1,464,583 587,661 1,551,415 1,742,689 5,346,348 156,654 460 803 89.0%1/31/14 50,380,779 1,341,074 529,524 1,278,955 1,213,046 4,362,599 97,467 486 935 105.4%1/31/15 50,412,744 1,238,453 465,849 1,060,002 884,901 3,649,204 93,280 509 1,031 119.8%1/31/16 50,754,010 1,300,564 444,962 832,265 660,056 3,237,847 72,021 494 1,047 126.1%1/31/17 51,159,681 1,110,977 390,341 665,258 481,613 2,648,190 70,568 454 1,012 138.1%1/31/18 51,428,922 1,085,065 413,313 708,248 337,351 2,543,976 62,470 364 931 209.9%1/31/19 51,896,438 1,074,044 367,750 503,655 264,875 2,210,325 50,196 391 830 190.1%1/31/20 52,999,009 954,154 332,534 418,662 245,517 1,950,866 42,834 338 838 170.5%2/29/20 52,950,379 1,012,320 315,219 409,432 239,058 1,976,030 32,259 341 842 171.3%3/31/20 52,879,016 1,077,439 309,101 405,840 220,271 2,012,651 27,585 338 875 184.2%4/30/20 52,739,249 2,511,419 427,419 461,530 211,316 3,611,685 7,362 316 957 218.4%5/31/20 53,103,003 1,757,871 1,734,344 631,110 200,426 4,323,750 5,077 257 1,022 314.9%6/30/20 53,152,827 1,047,342 1,112,849 1,873,938 192,176 4,226,305 5,904 156 1,068 975.1%7/31/20 53,396,885 875,566 565,706 2,250,411 189,590 3,881,272 9,943 157 1,141 1187.0%8/31/20 53,501,232 848,226 465,450 2,365,789 187,240 3,866,705 5,955 175 1,198 1263.5%9/30/20 53,141,013 820,741 397,370 2,323,447 180,659 3,722,217 4,489 194 1,240 1286.1%10/31/20 53,337,726 822,826 355,876 2,258,538 178,351 3,615,592 4,683 213 1,271 1266.3%11/30/20 53,404,358 821,940 365,508 2,193,432 175,671 3,556,551 4,447 232 1,303 1248.6%12/31/20 53,430,789 780,343 324,065 2,146,216 178,049 3,428,673 7,102 248 1,321 1205.4%1/31/21 53,491,958 729,408 310,947 2,089,527 171,259 3,301,141 5,876 266 1,374 1220.1%

LOAN COUNTS AND AVERAGE DAYS DELINQUENT






MORTGAGE MONITOR

JANUARY 2021 | 19

State Del % FC % NC %Year/Year Change in

NC%State Del % FC % NC %

Year/Year Change in

NC%State Del % FC % NC %

Year/Year Change in

NC%

National 5.9% 0.3% 6.2% 67.7% National 5.9% 0.3% 6.2% 67.7% National 5.9% 0.3% 6.2% 67.7%MS 10.0% 0.4% 10.3% 4.8% VT* 6.3% 0.6% 6.9% 65.5% MO 5.1% 0.2% 5.3% 38.5%LA* 9.4% 0.5% 9.9% 37.6% RI 6.4% 0.6% 6.9% 42.1% MA 4.9% 0.3% 5.2% 53.8%HI* 7.7% 1.3% 9.0% 159.6% IL* 6.4% 0.5% 6.9% 67.4% IA* 4.8% 0.3% 5.2% 34.1%NY* 6.7% 1.2% 7.9% 75.4% PA* 6.4% 0.5% 6.8% 36.5% MN 4.8% 0.1% 4.9% 90.1%OK* 7.4% 0.5% 7.9% 45.5% DE* 6.3% 0.5% 6.8% 44.2% AZ 4.9% 0.1% 4.9% 82.8%MD* 7.5% 0.4% 7.9% 70.9% SC* 6.3% 0.3% 6.6% 41.7% WI* 4.6% 0.3% 4.9% 44.2%WV 7.4% 0.4% 7.8% 27.9% ME* 5.4% 0.9% 6.3% 34.7% MI 4.7% 0.1% 4.8% 39.0%NV 7.4% 0.4% 7.8% 167.2% OH* 5.8% 0.5% 6.2% 40.5% ND* 4.3% 0.3% 4.6% 110.3%TX 7.4% 0.2% 7.6% 64.5% KS* 5.9% 0.3% 6.2% 47.3% CA 4.4% 0.1% 4.5% 139.3%GA 7.4% 0.2% 7.6% 59.4% NM* 5.6% 0.5% 6.1% 56.2% NH 4.4% 0.2% 4.5% 43.3%AL 7.3% 0.2% 7.6% 20.9% NE* 5.9% 0.2% 6.1% 56.2% SD* 3.9% 0.2% 4.2% 59.1%CT* 6.8% 0.6% 7.4% 62.8% TN 5.9% 0.1% 6.0% 44.5% MT 3.9% 0.2% 4.1% 89.9%AR 7.1% 0.3% 7.4% 28.3% NC 5.6% 0.2% 5.8% 44.8% OR 3.9% 0.2% 4.0% 127.2%FL* 6.8% 0.5% 7.3% 90.0% WY 5.4% 0.2% 5.5% 98.8% UT 3.8% 0.1% 3.8% 74.9%AK 7.0% 0.3% 7.2% 138.4% DC 5.1% 0.3% 5.5% 132.0% CO 3.7% 0.1% 3.7% 129.7%NJ* 6.7% 0.5% 7.2% 82.2% KY* 5.1% 0.4% 5.4% 42.2% WA 3.6% 0.1% 3.7% 122.8%IN* 6.7% 0.5% 7.2% 33.2% VA 5.2% 0.1% 5.4% 70.9% ID 3.1% 0.1% 3.2% 77.9%

*Indicates Judicial State

STATE-BY-STATE RANKINGS BY NON-CURRENT LOAN POPULATION






MORTGAGE MONITOR

JANUARY 2021 | 20

Mortgage Monitor Disclosures

You can reach us by email [email protected]

Follow us on Twitter@Black_KnightInc

JANUARY 2021 DISCLOSURES



http://www.blackknightinc.com/wp-content/uploads/2018/09/BKI_MM-Disclosures.pdf

http://www.blackknightinc.com/wp-content/uploads/2018/09/BKI_MM-Disclosures.pdf

mailto:Mortgage.Monitor%40bkfs.com%20?subject=

https://twitter.com/black_knightinc?lang=en


MORTGAGE MONITOR

JANUARY 2021 | 21

TOTAL ACTIVE COUNT: All active loans as of month-end including loans in any state of delinquency or foreclosure. Post-sale loans and loans in REO are excluded from the total active count.

DELINQUENCY STATUSES (30, 60, 90+, ETC):

All delinquency statuses are calculated using the MBA methodology based on the payment due date provided by the servicer. Loans in foreclosure are reported separately and are not included in the MBA days delinquent.

90-DAY DEFAULTS: Loans that were less than 90 days delinquent in the prior month and were 90 days delinquent, but not in foreclosure, in the current month.

FORECLOSURE INVENTORY: The servicer has referred the loan to an attorney for foreclosure. Loans remain in foreclosure inventory from referral to sale.

FORECLOSURE STARTS: Any active loan that was not in foreclosure in the prior month that moves into foreclosure inventory in the current month.

NON-CURRENT: Loans in any stage of delinquency or foreclosure.

FORECLOSURE SALE / NEW REO:

Any loan that was in foreclosure in the prior month that moves into post-sale status or is flagged as a foreclosure liquidation.

REO: The loan is in post-sale foreclosure status. Listing status is not a consideration, this includes all properties on and off the market.

DETERIORATION RATIO: The ratio of the percentage of loans deteriorating in delinquency status vs. those improving.

JANUARY 2021 DEFINITIONS



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