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FEBRUARY 2021 REPORT

MORTGAGE MONITOR

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

https://www.blackknightinc.com/

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

FEBRUARY 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 the national delinquency rate, rising prepayment activity (for now) and record low foreclosure starts. We also break down the quirks of the calendar, and how February’s shorter length and a Sunday month-end impacted mortgage performance metrics.

We then look at the modest improvements seen in active forbearance plans over the past month. We also analyze the makeup and current status of the roughly 7 million borrowers who have been in a COVID-19-related forbearance plan since the economy was upended a year ago. Finally, we present data regarding one of the hottest housing markets on record, with affordability and inventory acting as twin factors to watch closely in their impacts on the market.

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].

FEBRUARY 2021 OVERVIEW

MORTGAGE MONITOR

FEBRUARY FIRST LOOK

FEBRUARY PERFORMANCE HIGHLIGHTS

FORBEARANCE ACTIVITY

HOUSING MARKET & AFFORDABILITY

APPENDIX

DISCLOSURES

DEFINITIONS

3

4

8

13

18

21

22

CONTENTS




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MORTGAGE MONITOR

FEBRUARY 2021 | 3

Here we have an overview of findings from Black Knight’s ‘First Look’ at February 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.

Delinquencies rose in February, but the increase was largely calendar-related – the shortest month of the year happened to end on a Sunday, cutting into an already shortened remediation timeline for servicers.

FEBRUARY OVERVIEW STATS

CHANGE IN DELINQUENCY RATE

Delinquencies rose in February after eight consecutive months of improvement

The increase was largely calendar-driven, with February ending on a Sunday, cutting

payment processing days

PREPAYMENT ACTIVITY

Prepays were up 110.35% year-over-year in February

Recent rate increases are likely to put downward pressure on prepayments

in the coming months

FORECLOSURE STARTS

Foreclosures continue to hit record lows as newly extended moratoriums suppress

activity

Starts are now down 88% year-over-year

2.61% 8.41% 33.90%

FEBRUARY 2021 FIRST LOOK






https://www.blackknightinc.com/wp-content/uploads/2021/04/BKI_MM_Feb2021_Chart01.pdf


MORTGAGE MONITOR

FEBRUARY 2021 | 4

0

500,000

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000

3,500,000

4,000,000

4,500,000

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

2021-02

MORTGAGE DELINQUENCIES BY SEVERITY30 Days DQ 60 Days DQ 90+ Days DQ Total Delinquent

Source: McDash

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

FEBRUARY 2021 PERFORMANCE HIGHLIGHTS

» After eight consecutive months of improvement, the national mortgage delinquency rate rose in February from 5.85% to 6.0%

» Delinquency rate increases were seen broadly across portfolios, geographies and asset classes

» 47 different states saw their delinquency rate rise in February, with Oklahoma seeing the largest increase at +6.2% month-over-month

» The increase was primarily seen in early-stage delinquencies (one missed payment) with the number of these borrowers rising by 87,300 for the month

» Despite the rise, 30-day delinquencies remain 19% below pre-pandemic levels, while there are still 5X (+1.7M) as many 90-day delinquencies as there were in February 2020

» Active foreclosure inventory is down 30% from the same time last year due to moratoriums and forbearance programs

6.00%

4.66%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

11.00%

2000-02

2001-02

2002-02

2003-02

2004-02

2005-02

2006-02

2007-02

2008-02

2009-02

2010-02

2011-02

2012-02

2013-02

2014-02

2015-02

2016-02

2017-02

2018-02

2019-02

2020-02

2021-02

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

Source: McDash

NATIONAL DELINQUENCY RATE – FIRST LIEN MORTGAGES MORTGAGE DELINQUENCIES BY SEVERITY

Source: McDashSource: McDash







MORTGAGE MONITOR

FEBRUARY 2021 | 5

» February’s increase was due to both an increase in new delinquent loan volumes as well as a decline in cure activity

» New delinquencies hit their highest level in six months in February at 429K, while rolls to later stages of delinquency improved on the month

» While this may signal concern, other key metrics – including daily payment activity and new forbearance plan volumes – suggest the impacts are likely calendar-related and not a sign of increased stress facing homeowners

» Despite the 16% month-over-month uptick in new delinquencies, volumes were down 2% from their pre-pandemic levels at the same time last year

» Cure activity – the number of delinquent borrowers becoming current on mortgage payments – also faltered in February, with the number of cures falling by 19% to its lowest level in more than 18 months

-

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

2021

-02

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

Source: McDash

0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

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

2021-02

CURES TO CURRENT BY PREVIOUS DQ BUCKETCures from 30 to 60 Days DQ Cures from 90+ Days DQ Total Cures

Source: McDash

Source: McDash Source: McDash

LOANS ROLLING TO A MORE DELINQUENT STATUS CURES TO CURRENT BY PREVIOUS DQ BUCKET







MORTGAGE MONITOR

FEBRUARY 2021 | 6

» As of the start of 2021, there had been 15 instances of a month ending on a Sunday over the previous decade

» Sunday month-ends curtail the number of days available for servicers to process payments, thereby seemingly impacting mortgage performance

» These 15 occurrences accounted for 10 of the largest single-month increases in the national delinquency rate over that time

» Historically, the only time delinquencies don’t rise on a Sunday month-end is when it happens in March, which typically sees nearly 10% month-over-month drops on average

» Worth noting: 2021 has started with back-to-back months ending on a Sunday, something not seen in recent history

» Given the calendar-related headwinds, it’s potentially a positive that delinquency rates have held relatively level through those two months

» There is typically a rebound in the month following one that ends on a Sunday as payments submitted, but not processed, are applied early the following month

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

2011-02

2011-08

2012-02

2012-08

2013-02

2013-08

2014-02

2014-08

2015-02

2015-08

2016-02

2016-08

2017-02

2017-08

2018-02

2018-08

2019-02

2019-08

2020-02

2020-08

2021-02

MONTHLY CHANGE IN DELINQUENCY RATESunday Month-Ends Non-Sunday Month-Ends

-2.9%-1.8%

-9.9%

+7.4%

+1.6%+2.7%

+0.1%

-0.2%

+4.7%

-2.1%

+4.1%

+1.4%

-12%

-8%

-4%

0%

4%

8%

12%

Janu

ary

Februa

ry

March

April

May

June

July

Aug

ust

Sep

tembe

r

Octob

er

Nov

embe

r

Dec

embe

r

AVERAGE MONTHLY CHANGE IN DELINQUENCY RATE(CALENDAR YEARS 2000-2019)

MONTHLY CHANGE IN DELINQUENCY RATE


AVERAGE MONTHLY CHANGE IN DELINQUENCY RATE(CALENDAR YEARS 2000-2019)






MORTGAGE MONITOR

FEBRUARY 2021 | 7

» Assessing daily mortgage payment activity through February, we see that as of Feb. 25, a larger share of borrowers had made their mortgage payments than during any of the prior eight months of the recovery

» This also implies that the underlying cause(s) for February’s poor month-end numbers were primarily calendar-related, due to a combination of the short month and the month ending on a Sunday

» The same data suggests a meaningful improvement is likely to be seen in March

» Through Mar. 25, 91.4% of mortgage holders had made their mortgage payment, up from 90.6% at the same time in February and by far the highest share of borrowers remitting their payment by the 25th of any month during the recovery to date

40%

50%

60%

70%

80%

90%

100%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25Day of Month

CUMULATIVE SHARE OF MORTGAGE PAYMENTS RECEIVEDDec 2020 Jan 2021 Feb 2021 March 2021

Source: McDash Flash

88.2%88.6%

89.0% 89.1%89.7% 89.4%

90.0% 89.7%90.2%

90.6%91.4%

80%

82%

84%

86%

88%

90%

92%

May 2020 June 2020 July 2020 Aug 2020 Sept 2020 Oct 2020 Nov 2020 Dec 2020 Jan 2021 Feb 2021 March 2021

SHARE OF MORTGAGE PAYMENTS RECEIVEDTHROUGH THE 25TH DAY OF EACH MONTH


CUMULATIVE SHARE OF MORTGAGE PAYMENTS RECEIVED


SHARE OF MORTGAGE PAYMENTS RECEIVEDTHROUGH THE 25TH DAY OF EACH MONTH

Source: McDash Source: McDash Flash






MORTGAGE MONITOR

FEBRUARY 2021 | 8

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

FEBRUARY 2021 FORBEARANCE ACTIVITY

-

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

2020

-12

2021

-01

2021

-02

2021

-03

2021

-04

2021

-05

2021

-06

2021

-07

2021

-08

2021

-09

2021

-10

2021

-11

2021

-12

SCHEDULED FORBEARANCE PLAN EXPIRATIONS


» March saw the rate of improvement in active forbearance plans improve, driven by the large volume of expiration activity in the month, with outstanding plans down 5%

» As of Mar. 23, the number of active plans had fallen to 2.57M (4.9%), the lowest such volume since early April

» The 5% monthly reduction is the strongest rate of improvement since late November 2020, a direct result of servicers evaluating the 1.2M plans which entered the month with March expirations for extension and/or removal

» As we enter the final week of the month, more than 460K active plans are still listed with March month-end expirations, providing the potential for additional improvement in coming weeks

» Another 686K plans currently expire in April, meaning servicers will continue to be extremely busy reviewing plans for removal/extension over the next 45 days

» Servicers continue to extend plans in three-month increments, resulting in a building volume of expiration activity for June of this year

- 500,000

1,000,000 1,500,000 2,000,000 2,500,000 3,000,000 3,500,000 4,000,000 4,500,000 5,000,000

Mar

-26

Apr-

02Ap

r-09

Apr-

16Ap

r-23

Apr-

30M

ay-0

7M

ay-1

4M

ay-2

1M

ay-2

9Ju

n-05

Jun-

12Ju

n-19

Jun-

26Ju

l-06

Jul-1

3Ju

l-20

Jul-2

7Au

g-03

Aug-

10Au

g-17

Aug-

24Au

g-31

Sep-

08Se

p-15

Sep-

22Se

p-29

Oct

-06

Oct

-14

Oct

-21

Oct

-28

Nov

-04

Nov

-11

Nov

-18

Nov

-25

Dec

-02

Dec

-09

Dec

-16

Dec

-23

Dec

-31

Jan-

08Ja

n-15

Jan-

25Fe

b-01

Feb-

08Fe

b-16

Feb-

23M

ar-0

2M

ar-0

9M

ar-1

6M

ar-2

3

ACTIVE FORBEARANCE PLANS

Fannie/Freddie FHA/VA Other Total

Source: McDash Flash Daily Mortgage Performance DatabaseData as of March 23rd, 2021

ACTIVE FORBEARANCE PLANS SCHEDULED FORBEARANCE PLAN EXPIRATIONS


Source: McDash Flash Daily Mortgage Performance Database. Data as of March 23rd, 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

cFannie & Freddie FHA & VA Other** Total

Loans in Forbearance* 837,000 1,060,000 676,000 2,573,000

UPB of Loans in Forbearance ($Bil)* $172 $179 $155 $506

Share of Loans in Forbearance* 3.0% 8.8% 5.2% 4.9%

Active Loan Count (Mil)* 27.9 12.1 13.0 53.0

Data as of 3/23/2021

*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






https://www.blackknightinc.com/wp-content/uploads/2021/04/BKI_MM_Feb2021_Chart10b.pdf


MORTGAGE MONITOR

FEBRUARY 2021 | 9

» Forbearance plan removals are up 48% month-over-month through the first three weeks of March, although that’s more likely a product of the number of expiring plans than broader economic improvement

» Removals currently account for only 25% of extension/removal activity (down from 38% last month) with the majority (75%) of plans reviewed having their term extended

» Given the number of expirations remaining at the end of March, these numbers are worth watching closely in coming weeks

» Start activity continues to gradually decline (-8% month-over-month) with new plan starts over the first three weeks of March down 3% from last month and re-starts down 11%

0

50,000

100,000

150,000

200,000

250,000

300,000

5/5/20

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

2/23/213/9/21

3/23/21

FORBEARANCE PLAN STARTS New Starts Re-Starts Forbearance Plan Starts


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

2/23/213/9/21

3/23/21

Week Ending

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


Source: McDash Flash Source: McDash Flash

FORBEARANCE PLAN EXTENSIONS & REMOVALS – BY WEEKFORBEARANCE PLAN STARTS







MORTGAGE MONITOR

FEBRUARY 2021 | 10

» Modest declines were seen among borrowers who entered forbearance early in the pandemic, with between 6% and 9% of borrowers who started their plans in March – May exiting those plans over the past 30 days

» Those numbers were noticeably higher than the 3% average decline of recent months among that same group due to the large number of those plans with March plan expirations

» Despite the 92K-loan decline among such plans, more than 1M plans with start dates from March – April 2020 remain active and will dictate the timing and size of the first wave of final expiration activity

» Under the current 18-month term structure, that first wave would take place at the end of September 2021

» Given the slightly larger-than-expected decline among such plans over the past 30 days, we’re currently on pace for approximately 475K plans to remain active and reach their 18-month expiration in September, with that number falling under 275K in October before flattening to 100K and below by December 2021

» Of course, these numbers can shift in either direction based on broader economic factors and upcoming extension and removal activity, and bear keeping a close eye on in coming months

-

100,000

200,000

300,000

400,000

500,000

600,000

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


0

100,000

200,000

300,000

400,000

500,000

600,000

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 are based on current monthly reduction rate of 3% observed among early forbearance starts in recent months

Source: McDash Flash Scenarios above are based on current monthly reduction rate of 3% observed among early forbearance starts in recent months

ESTIMATED FORBEARANCE EXPIRATION VOLUMES/TIMING UNDER VARIOUS EXTENSION SCENARIOS

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







MORTGAGE MONITOR

FEBRUARY 2021 | 11

» There have now been 7M borrowers who entered forbearance plans at some point over the past year

» Performance continues to remain strong among those who left plans early, with only 167K delinquent but not in loss mitigation (107K of whom were already delinquent heading into the pandemic)

» Another 306K borrowers have left their forbearance plans, remain past due, but are in loss mitigation with their servicers

» 57% of the 7M borrowers who had entered forbearance have since left and are either re-performing (43%) on their mortgage or have paid off in full through the sale of their home or refinance (14%)

» Performance results continue to vary significantly by investor class, with 68% of GSE borrowers having left their plans, 64% of whom are reperforming or have paid off their homes

» PLS loans are seeing by far the largest share of borrowers remaining delinquent post-forbearance, however the bulk were previously existing – performance among pandemic-related delinquencies has been much stronger

» FHA loans have seen the lowest share of borrowers leave their plans (53%), 45% of whom are re-performing or have paid off, with 7% of both FHA and VA post-forbearance loans current or working through loss mitigation

Removed/Expired -Performing2,965,000

43%

Removed/Expired - Delinquent -Active Loss Mit

306,000 4%

Removed/Expired -Delinquent

167,000 2%

Paid Off954,000

14%Active Forbearance

Original Term374,000

5%

Active Forbearance -Term Extended

2,198,000 32%

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

7.0 Million Forbearances


8%14% 15%

3%

14%

37%

34%

49%

51%

44%

43%

7%7%

3%

6%

3%

4%4%

8%

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 Flash, McDash PrimarySource: 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 MARCH 23RD 2021)







MORTGAGE MONITOR

FEBRUARY 2021 | 12

» 98% of borrowers with pandemic-related serious delinquencies have either been in forbearance or in active loss mitigation with their servicers

» The share is slightly lower among all pandemic-related delinquencies at 83%, with some 386K borrowers who were current on payments heading into the pandemic now delinquent but neither in active loss mitigation nor ever having been in forbearance

» The largest share of borrowers not in active forbearance/loss mitigation are those who were already delinquent heading into the pandemic; some 412K overall, of which 194K are pre-pandemic serious delinquencies

» The number of delinquent loans not in forbearance/loss mitigation edged up from 311K in January to 386K at the end of February

» A portion of this population represents milder delinquency driven by February’s calendar-related effects, but is worth watching in coming weeks to see if they resolve or if additional outreach is needed

1,575,000

443,000

228,000

86,000

118,000

108,000

386,000

412,000

-

500,000

1,000,000

1,500,000

2,000,000

2,500,000

Post-COVID Delinquencies Pre-COVID Delinquencies

BREAKDOWN OF ALL PAST DUE MORTGAGES (30+ DAYS)(FEBRUARY 2021 MONTH-END)

Active Forbearance Active Loss Mit Removed From Forbearance Never Forbearance

17% of (386K) Post-COVID and 39% of (412K) Pre-COVID past due

borrowers are not in active loss mitigation and have not entered a COVID forbearance program

Source: McDash Flash, McDash Primary

1,263,000

390,000

192,000

80,000

194,000

-

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(FEBRUARY 2021 MONTH-END)

Active Forbearance Active Loss Mit Removed From Forbearance Never Forbearance

Only 2% of (35K) Post-COVID and 27% of (194K) Pre-COVID SDQs/FCs are not in

active loss mitigation and have not entered a COVID forbearance program

Source: McDash Flash, McDash Primary

BREAKDOWN OF ALL PAST DUE MORTGAGES (30+ DAYS)(FEBRUARY 2021 MONTH-END)

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


Source: McDash Flash, McDash PrimarySource: McDash Flash, McDash Primary






MORTGAGE MONITOR

FEBRUARY 2021 | 13

Affordability and inventory continue to present unique challenges, acting together to create one of the hottest housing markets on record. Across the country, potential buyers are encountering unprecedented conditions as they compete for a record low number of available homes. This information has been compiled from the Black Knight Home Price Index, the McDash loan-level mortgage performance database, and data from our Collateral Analytics division. Click on each chart to see its contents in high-resolution.

FEBRUARY 2021 HOUSING MARKET & AFFORDABILITY

2.8% 2.7%3.5%

6.0%7.0%

8.5%

6.5%

8.5% 8.6%

12.4%11.4%

1.6%

-4.6%

-9.9%

-4.3% -4.6%

-3.0%

5.1%

7.9%

4.3%5.3% 5.5%

6.3%

4.6% 4.8%

10.8%

-15%

-10%

-5%

0%

5%

10%

15%

199

5

199

6

199

7

199

8

199

9

200

0

200

1

200

2

200

3

200

4

200

5

200

6

200

7

200

8

200

9

201

0

201

1

201

2

201

3

201

4

201

5

201

6

201

7

201

8

201

9

202

0

ANNUAL HOME PRICE APPRECIATION BY CALENDAR YEAR

Source: Black Knight Home Price Index

11.6%

6.4%

3%

3%

4%

4%

5%

5%

0%

2%

4%

6%

8%

10%

12%

2012-02

2012-05

2012-08

2012-11

2013-02

2013-05

2013-08

2013-11

2014-02

2014-05

2014-08

2014-11

2015-02

2015-05

2015-08

2015-11

2016-02

2016-05

2016-08

2016-11

2017-02

2017-05

2017-08

2017-11

2018-02

2018-05

2018-08

2018-11

2019-02

2019-05

2019-08

2019-11

2020-02

2020-05

2020-08

2020-11

2021-02

Fred

die

30-Y

ear F

ixed

Inte

rest

Rat

e

Annu

al R

ate

of H

ome

Pric

e Ap

prec

iatio

n

HOME PRICE APPRECIATION VS 30-YEAR FIXED INTEREST RATEAnnual Home Price Growth Rate Single Family Condo 30-Year Fixed Interest Rate


HOME PRICE APPRECIATION VS 30-YEAR FIXED INTEREST RATE ANNUAL HOME PRICE APPRECIATION BY CALENDAR YEAR

Source: Black Knight Home Price Index Source: Black Knight Home Price Index

» The housing market remains extremely hot entering 2021, driven by low mortgage rates and inventory shortages

» 2020 saw the strongest home price growth of any year since 2005, marking just the third year of double-digit growth in the past quarter century

» According to the Black Knight Home Price Index, home prices grew at 11.6% in January, the highest annual rate in 15 years

» Likewise, home sales data tracked by the company’s Collateral Analytics division shows a 15.9% year-over-year increase in the median single-family sales price in February

» While prices are up 12.3% year-over-year among single-family residences – the highest such annual home price growth rate of any month on record dating back to 1992 – condos have only seen half that rate of growth (6.4%) over the past 12 months

» This is a trend worth watching as condos typically appreciate more quickly when the housing market heats up as it has in 2021 and decelerate more quickly when the market cools which may suggest underlying weakness in the current condo market







MORTGAGE MONITOR

FEBRUARY 2021 | 14

» Nearly 75% of the 100 largest U.S. markets have seen annual home price growth of 10% or more

» While low rates and tight inventory have put upward pressure on home prices across the country, tightening affordability makes a few areas worth watching

» In Los Angeles for example, even with 30-year rates at 3.17% as they stand in late March, it requires 43.6% of the median monthly income to make mortgage payments on the median priced home purchase when putting 20% down – well over twice the national average

» In both San Jose (39.6% of median income) and San Francisco (37.2%) home prices were on the verge of falling in late 2018 before interest rates dropped more than two points over the following two years, releasing some of the affordability pressures on those markets.

» It remains to be seen if they will reach a similar inflection point in the near future, especially among condos where prices in such areas are showing signs of weakness

+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%

ANNUAL HOME PRICE GROWTH RATE BY STATE(FEBRUARY 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%




ANNUAL HOME PRICE GROWTH RATE BY CBSA(FEBRUARY 2021)

AFFORDABILITY BY CBSA(MARCH 2021)


Rank Geography (CBSA) Annual Home Price Growth Rate Rank Geography (CBSA) Annual Home Price

Growth Rate

1 Boise City, ID +25.7% 41 Boston, MA +9.4%2 Spokane, WA +19.8% 42 Minneapolis, MN +8.8%3 Ogden, UT +19.6% 43 Oklahoma City, OK +8.7%4 Phoenix, AZ +17.8% 44 San Francisco, CA +8.6%5 Provo, UT +17.4% 45 San Jose, CA +8.5%6 Stockton, CA +17.3% 46 Pittsburgh, PA +8.4%7 Colorado Springs, CO +16.1% 47 Orlando, FL +8.3%8 Riverside, CA +16.1% 48 New Orleans, LA +8.1%9 Salt Lake City, UT +15.9% 49 Houston, TX +8.1%10 Seattle, WA +15.1% 50 Chicago, IL +7.3%

HIGHEST HOME PRICE GROWTH RATES LOWEST HOME PRICE GROWTH RATES

ANNUAL HOME PRICE GROWTH RATE BY CBSA (FEBRUARY 2021)

Source: Black Knight Home Price Index, Black Knight

Rank Geography (CBSA) Payment To Income Ratio Rank Geography (CBSA) Payment To

Income Ratio

1 Cleveland, OH 14.2% 41 Boston, MA 25.4%2 Cincinnati, OH 14.5% 42 Portland, OR 25.7%3 Hartford, CT 14.6% 43 Riverside, CA 26.8%4 Detroit, MI 14.9% 44 New York-Newark, NY 27.8%5 Oklahoma City, OK 14.9% 45 Sacramento, CA 27.9%6 St. Louis, MO 15.0% 46 Seattle, WA 28.3%7 Kansas City, MO 15.0% 47 San Diego, CA 36.7%8 Chicago, IL 15.6% 48 San Francisco, CA 37.2%9 Pittsburgh, PA 15.9% 49 San Jose, CA 39.6%10 Indianapolis, IN 16.1% 50 Los Angeles, CA 43.6%

AFFORDABILITY BY CBSA (MARCH 2021)

MOST AFFORDABLE MARKETS LEAST AFFORDABLE MARKETS

Source: Black Knight Home Price Index, Black Knight

Source: Black Knight Home Price Index Source: Black Knight Home Price Index, Black Knight









MORTGAGE MONITOR

FEBRUARY 2021 | 15

» Each month, Black Knight’s Collateral Analytics team runs market condition ratings for every CBSA and ZIP code in the U.S. using the most recent sales and active listing data

» These ratings are based on an array of market indicators, including trends in sold/active prices, inventory levels, sold/active market times, sold-to-list price ratios, etc., to produce a qualitative rating for each ZIP, ranging from hot to distressed

» Historically, about two-thirds to four-fifths of all markets fall in the middle three categories (“good,” “normal” or “soft”), with typically less than 10% in the “hot” or “distressed” categories at the top or bottom of normal cycles

» As of February 2021, ~75% of ZIP codes are currently categorized as either “strong” (47%) or “hot” (28%), with both categories hitting their highest shares on record in early 2021 – more than 2x the previous record set back in late 2017

» ZIP codes with ratings of “soft,” “weak” or “distressed” are almost non-existent in today’s market, accounting for just 36 of the more than 14,600 ZIP codes analyzed

» Only 7% of ZIP codes are categorized as “normal,” down from February 2020 and February 2019 (43% and 44%, respectively)

» A more detailed breakdown of the recent findings can be found on the Black Knight blog, Vision.

10%

15%

20%

25%

30%

35%

40%

45%

50%

5%

%Feb-05 Feb-06 Feb-07 Feb-08 Feb-09 Feb-10 Feb-11 Feb-12 Feb-13 Feb-14 Feb-15 Feb-16 Feb-17 Feb-18 Feb-19 Feb-20 Feb-21

Perc

ent o

f Zip

Cod

es A

naly

zed

SINGLE FAMILY ZIP CODE MARKET CONDITION RATINGSGood Strong Hot

Source: Black Knight’s Collateral Analytics division

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Feb-05 Feb-06 Feb-07 Feb-08 Feb-09 Feb-10 Feb-11 Feb-12 Feb-13 Feb-14 Feb-15 Feb-16 Feb-17 Feb-18 Feb-19 Feb-20 Feb-21

Perc

ent o

f Zip

Cod

es A

naly

zed

ZIP CODE SINGLE FAMILY MARKET CONDITION RATINGSDistressed Weak Soft Normal Good Strong Hot


Source: Black Knight’s Collateral Analytics division Source: Black Knight’s Collateral Analytics division

SINGLE FAMILY ZIP CODE MARKET CONDITION RATINGSZIP CODE SINGLE FAMILY MARKET CONDITION RATINGS




https://www.blackknightinc.com/blog-posts/how-hot-can-we-get-market-condition-ratings-compared-from-2006-to-present/




MORTGAGE MONITOR

FEBRUARY 2021 | 16

» The combination of rising 30-year rates, alongside rising home prices in early 2021, has resulted in moderate tightening of affordability in the housing market

» The monthly P&I payment required to purchase the average priced home when putting 20% down has increased by $108/month to $1203 over the first quarter of 2021

» This is the highest this number has been since late 2018, when the average home price was 16% lower than today, but the average 30-year interest rate was 1.7 points higher (at 4.87%)

» It has also pushed the share of median household income needed to make monthly payments on the average-priced home purchase to 20.0%, the least affordable housing has been – factoring in interest rates, home prices and income – since mid-2019

» With the recent tightening, affordability (the share of household income needed to make payments on the average home purchase) is now back to its 5-year average (20.1%) but remains stronger than the 20-year average of 23.4%

» In recent years, the affordability inflection point between acceleration and deceleration in the housing market has been around 20.5%

» With home prices at their current levels, it would only take 30-year rates rising to 3.4% for the national payment-to-income ratio to reach that level

$1,389

$1,247 $1,203

$0

$200

$400

$600

$800

$1,000

$1,200

$1,400

$1,600

1996-03

1997-03

1998-03

1999-03

2000-03

2001-03

2002-03

2003-03

2004-03

2005-03

2006-03

2007-03

2008-03

2009-03

2010-03

2011-03

2012-03

2013-03

2014-03

2015-03

2016-03

2017-03

2018-03

2019-03

2020-03

2021-03

Mon

thly

P&I

Pay

men

t

MONTHLY P&I PAYMENT TO PURCHASE MEDIAN PRICED HOME(WITH 20% DOWN PAYMENT AT PREVAILING 30-YEAR INTEREST RATE)

Source: Black Knight

34.4%

20.0%

3.2%

2%

4%

6%

8%

10%

0%

5%

10%

15%

20%

25%

30%

35%

40%

1996-03

1997-03

1998-03

1999-03

2000-03

2001-03

2002-03

2003-03

2004-03

2005-03

2006-03

2007-03

2008-03

2009-03

2010-03

2011-03

2012-03

2013-03

2014-03

2015-03

2016-03

2017-03

2018-03

2019-03

2020-03

2021-03

Fred

die

30-Y

ear F

ixed

Rat

e

Paym

ent-To

-Inco

me

Rat

io

NATIONAL PAYMENT-TO-INCOME RATIO*Payment-To-Income Ratio (Left Axis) Freddie 30-Year Fixed Interest Rate (Right Axis)

Source: Black Knight*The National Payment-To-Income Ratio is the share of median income needed to make the monthly principal and interest payment on the purchase of the median priced home using a 20% down 30-year fixed rate mortgage at the prevailing interest rate

NATIONAL PAYMENT-TO-INCOME RATIO* MONTHLY P&I PAYMENT TO PURCHASE MEDIAN PRICED HOME(WITH 20% DOWN PAYMENT AT PREVAILING 30-YEAR INTEREST RATE)


Source: Black Knight*The National Payment-To-Income Ratio is the share of median income needed to make the monthly principal and interest payment on the purchase of the median priced home using a 20% down 30-year fixed rate mortgage at the prevailing interest rate Source: Black Knight






MORTGAGE MONITOR

FEBRUARY 2021 | 17

» Entering 2021, the number of homes listed for sale was down 32% year-over-year and had fallen to its lowest level on record, according to Black Knight’s Collateral Analytics division

» The hopes that early 2021 would bring much-needed inflow of inventory to a market starved for supply have been dashed so far, with new listing volumes coming in well below pre-pandemic levels

» In fact, the number of homes listed for sale in January was down 16% from the year prior, while new listings in February were down 21%

» Rather than an influx, we now have 125K fewer listings than over the first two months of 2020 and are trending in the wrong direction with inventory down 40% year-over-year

» Inventory shortages are most acute among single family, with such listings down 46% from the same time last year, while condo inventory is down a much more modest 15%

» New listing inventory typically reaches its seasonal peak in May – we will watch volumes closely in coming months, as inventory and interest rates will largely dictate the trajectory of the 2021 housing market

-21%

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

2018-02

2018-03

2018-04

2018-05

2018-06

2018-07

2018-08

2018-09

2018-10

2018-11

2018-12

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

2021-02

ANNUAL CHANGE IN NUMBER OF NEW LISTINGS


0

200,000

400,000

600,000

800,000

1,000,000

1,200,000

1,400,000

1,600,000

1,800,000

2016-0

8

2016-1

0

2016-1

2

2017-0

2

2017-0

4

2017-0

6

2017-0

8

2017-1

0

2017-1

2

2018-0

2

2018-0

4

2018-0

6

2018-0

8

2018-1

0

2018-1

2

2019-0

2

2019-0

4

2019-0

6

2019-0

8

2019-1

0

2019-1

2

2020-0

2

2020-0

4

2020-0

6

2020-0

8

2020-1

0

2020-1

2

2021-0

2

INVENTORY OF HOMES LISTED FOR SALEActive Listings New Listings (Actual) New Listings (Expected)


Source: Black Knight’s Collateral Analytics division Source: Black Knight’s Collateral Analytics division

ANNUAL CHANGE IN NUMBER OF NEW LISTINGSINVENTORY OF HOMES LISTED FOR SALE







MORTGAGE MONITOR

FEBRUARY 2021 | 18

Summary Statistics

Feb-21 Monthly Change

YTD Change

Yearly Change

Delinquencies 6.00% 2.61% 2.61% 83.03%Foreclosure 0.32% -1.15% -1.15% -29.90%

Foreclosure Starts 3,900 -33.90% -33.90% -87.93%Seriously Delinquent

(90+) or in Foreclosure 4.23% -0.01% -0.01% 245.06%

New Originations (data as of Jan-21) 1138K -17.0% -17.0% 73.7%

Feb-21 Jan-21 Dec-20 Nov-20 Oct-20 Sep-20 Aug-20 Jul-20 Jun-20 May-20 Apr-20 Mar-20 Feb-20Delinquencies 6.00% 5.85% 6.08% 6.33% 6.44% 6.66% 6.88% 6.91% 7.59% 7.76% 6.45% 3.39% 3.28%

Foreclosure 0.32% 0.32% 0.33% 0.33% 0.33% 0.34% 0.35% 0.36% 0.36% 0.38% 0.40% 0.42% 0.45%Foreclosure Starts 3,900 5,900 7,100 4,400 4,700 4,500 6,000 9,900 5,900 5,100 7,400 27,600 32,300

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

New Originations 1138K 1371K 1259K 1431K 1309K 1257K 1239K 1219K 1062K 1032K 918K 701K

3.28%

3.39%

6.45%

7.76%

7.59%

6.91%

6.88%

6.66%

6.44%

6.33%

6.08%

5.85%

6.00%

Feb-20

Mar-20

Apr-20

May-20

Jun-20

Jul-20

Aug-20

Sep-20

Oct-20

Nov-20

Dec-20

Jan-21

Feb-21

TOTAL DELINQUENCIES

701K 918K 1032K

1062K

1219K

1239K

1257K

1309K

1431K

1259K

1371K

1138K

Feb-20

Mar-20

Apr-20

May-20

Jun-20

Jul-20

Aug-20

Sep-20

Oct-20

Nov-20

Dec-20

Jan-21

NEW ORIGINATIONS

FEBRUARY 2021 DATA SUMMARY

FEBRUARY 2021 APPENDIX





MORTGAGE MONITOR

FEBRUARY 2021 | 19

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 FC1/31/05 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%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%2/28/21 53,068,416 816,688 294,797 2,074,707 167,944 3,354,135 3,887 280 1,413 1235.4%

LOAN COUNTS AND AVERAGE DAYS DELINQUENT






MORTGAGE MONITOR

FEBRUARY 2021 | 20

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 6.0% 0.3% 6.3% 69.4% National 6.0% 0.3% 6.3% 69.4% National 6.0% 0.3% 6.3% 69.4%MS 10.4% 0.4% 10.8% 11.1% IL* 6.6% 0.5% 7.0% 70.0% VA 5.2% 0.1% 5.4% 66.5%LA* 9.8% 0.5% 10.3% 42.8% RI 6.5% 0.6% 7.0% 39.3% MA 5.0% 0.3% 5.3% 57.1%HI* 7.6% 1.3% 8.9% 148.7% DE* 6.5% 0.5% 7.0% 48.1% IA* 4.9% 0.3% 5.3% 36.2%OK* 7.9% 0.5% 8.3% 51.9% AK 6.8% 0.2% 7.0% 117.1% AZ 5.0% 0.1% 5.1% 85.8%MD* 7.7% 0.4% 8.0% 71.3% PA* 6.5% 0.5% 7.0% 40.3% MN 5.0% 0.1% 5.1% 94.1%NY* 6.8% 1.2% 8.0% 72.3% SC* 6.4% 0.3% 6.7% 43.8% MI 4.9% 0.1% 5.0% 41.8%TX 7.8% 0.2% 8.0% 72.3% ME* 5.6% 0.9% 6.5% 42.7% WI* 4.7% 0.3% 5.0% 48.1%WV 7.6% 0.4% 8.0% 28.9% KS* 6.2% 0.3% 6.4% 52.1% NH 4.6% 0.2% 4.8% 46.2%NV 7.5% 0.4% 7.9% 165.7% OH* 5.9% 0.5% 6.3% 41.6% CA 4.5% 0.1% 4.6% 133.9%AL 7.6% 0.2% 7.8% 24.1% NM* 5.8% 0.5% 6.3% 57.1% ND* 4.3% 0.3% 4.6% 101.5%AR 7.5% 0.3% 7.8% 35.3% TN 6.1% 0.1% 6.2% 49.0% SD* 4.1% 0.2% 4.3% 61.2%GA 7.6% 0.2% 7.7% 59.8% NE* 6.1% 0.2% 6.2% 63.5% MT 4.1% 0.2% 4.2% 96.2%FL* 7.0% 0.5% 7.5% 89.1% NC 5.7% 0.2% 5.9% 46.7% OR 4.0% 0.2% 4.2% 121.5%CT* 6.9% 0.6% 7.5% 63.9% WY 5.5% 0.2% 5.7% 101.0% UT 4.0% 0.1% 4.1% 76.3%IN* 6.9% 0.5% 7.4% 38.3% KY* 5.3% 0.3% 5.7% 47.8% WA 3.7% 0.1% 3.8% 125.7%VT* 6.7% 0.7% 7.4% 69.1% MO 5.4% 0.2% 5.5% 42.7% CO 3.8% 0.1% 3.8% 122.9%NJ* 6.8% 0.5% 7.2% 78.3% DC 5.1% 0.3% 5.5% 124.3% ID 3.2% 0.1% 3.3% 76.1%

*Indicates Judicial State

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






MORTGAGE MONITOR

FEBRUARY 2021 | 21

Mortgage Monitor Disclosures

You can reach us by email [email protected]

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FEBRUARY 2021 DISCLOSURES



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MORTGAGE MONITOR

FEBRUARY 2021 | 22

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.

FEBRUARY 2021 DEFINITIONS



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