MORTGAGE MONITOR - Black Knight, Inc.

[Pages:22]MORTGAGE MONITOR

FEBRUARY 2021 REPORT

MORTGAGE MONITOR

MORTGAGE MONITOR

CONTENTS

3 FEBRUARY FIRST LOOK 4 FEBRUARY PERFORMANCE HIGHLIGHTS 8 FORBEARANCE ACTIVITY 13 HOUSING MARKET & AFFORDABILITY 18 APPENDIX 21 DISCLOSURES 22 DEFINITIONS

FEBRUARY 2021 OVERVIEW

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 mortgage.monitor@.

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.

FEBRUARY 2021 | 2

MORTGAGE MONITOR

FEBRUARY 2021 FIRST LOOK

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.

FEBRUARY OVERVIEW STATS

2.61%

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

8.41%

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

33.90%

FORECLOSURE STARTS

Foreclosures continue to hit record lows as newly extended moratoriums suppress

activity Starts are now down 88% year-over-year

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

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.

FEBRUARY 2021 | 3

MORTGAGE MONITOR

FEBRUARY 2021 PERFORMANCE HIGHLIGHTS

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.

11.00% 10.00%

9.00% 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00%

NNAATTIIOONNAALL DDEELLIINNQQUUEENNCCYYRRAATTEE??FFIRIRSSTTLLIEIENNMMOORTRGTGAAGGESES

Delinquency Rate

2000-2005 Average

Record Low

6.00% 4.66%

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

500,000 0

MMOORRTTGGAAGGEE DDEELLIINNQQUUEENNCCIIEESS BBYY SSEEVVEERRIITTYY

30 Days DQ

60 Days DQ

90+ Days DQ

Total Delinquent

Source: McDash

? AfStoeurrceei:gMhctDacsohnsecutive 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

Source: McDash

Source: McDash

? 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

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 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

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.

FEBRUARY 2021 | 4

MORTGAGE MONITOR

FEBRUARY 2021 PERFORMANCE HIGHLIGHTS

2,000,000

LLOOAANNS ROLLINNGG TTOOAAMMOORREEDDELEILNINQUQEUNETNSTTSATAUTSUS

Current to 30 Days DQ

30 to 60 Days DQ

60 to 90 Days DQ

1,500,000

1,000,000

500,000

-

Source: McDash

Source: McDash

? 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

800,000 700,000 600,000 500,000 400,000 300,000 200,000 100,000

0

CCUURREESSTTOO CURRENNTT BBYYPPRREEVVIOIOUUSSDDQQBUBCUKCEKTET

Cures from 30 to 60 Days DQ

Cures from 90+ Days DQ

Total Cures

Source: McDash

? DespSoiutrece:thMceDa1s6h % 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

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 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

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.

FEBRUARY 2021 | 5

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 January February

March April May June July

August September

October November December

MORTGAGE MONITOR

MOMNONTHTHLYLYCCHHAANNGGEE IINN DDEELLIINNQQUUEENNCCYYRRAATETE

Sunday Month-Ends Non-Sunday Month-Ends

25% 20% 15% 10%

5% 0% -5% -10% -15%

? 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

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.

FEBRUARY 2021 PERFORMANCE HIGHLIGHTS

12%

AAVVEERRAAGGEE MMOONN(C(TCTAHAHLLLELEYYNNDDCCAAHHRRAAYYNEENAGAGRRESES2IN2I0N00D00D-0E2E0-L21LI09NI)1N9Q)QUUEENNCCYYRRAATETE

8% 4% 0%

-1.8% -4% -2.9%

+7.4%

+2.7% +1.6%

+0.1%

+4.7%

+4.1% +1.4%

-0.2%

-2.1%

-8% -12%

-9.9%

? 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

FEBRUARY 2021 | 6

MORTGAGE MONITOR

FEBRUARY 2021 PERFORMANCE HIGHLIGHTS

CCUUMMUULATIIVVEE SSHHAARREEOOFFMMOORTRGTAGGAEGEPAPYAMYEMNETNS TRSECREEICVEIDVED

100%

Dec 2020

Jan 2021

Feb 2021

March 2021

90%

80%

70%

60%

50%

40% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25

Day of Month

Source: McDash

Source: McDash Flash

? 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

92%

90%

88.2%

88%

SHSAHRAEREOOFFMMOORRTTGGAAGGEE PPAAYYMMENETNSTRSERCEECIVEEIVD ED THTRHORUOGUHGHTTHHEE2255TTHHDDAAYYOOF FEAECAHCMHOMNOTHNTH

88.6%

89.0%

89.1%

89.7%

89.4%

90.0%

89.7%

90.2%

90.6%

91.4%

86%

84%

82%

80%

May 2020

June 2020

July 2020

Source: McDash Flash

Aug 2020 Sept 2020

Oct 2020

Nov 2020

Dec 2020

Jan 2021

Feb 2021 March 2021

Source: McDash Flash

? 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

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.

FEBRUARY 2021 | 7

MORTGAGE MONITOR

FEBRUARY 2021 FORBEARANCE ACTIVITY

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.

Mar-26 Apr-02 Apr-09 Apr-16 Apr-23 Apr-30 May-07 May-14 May-21 May-29 Jun-05 Jun-12 Jun-19 Jun-26 Jul-06 Jul-13 Jul-20 Jul-27 Aug-03 Aug-10 Aug-17 Aug-24 Aug-31 Sep-08 Sep-15 Sep-22 Sep-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-08 Jan-15 Jan-25 Feb-01 Feb-08 Feb-16 Feb-23 Mar-02 Mar-09 Mar-16 Mar-23 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

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

500,000 -

AACCTTIIVVEEFOFROBERABRAENACRE APLNANCSE PLANS

Fannie/Freddie

FHA/VA

Other

Total

Data as of 3/23/2021 Source: McDash Flash Daily Mortgage Performance Database. Data as of March 23rd, 2021

Source: McDash Flash Daily Mortgage Performance Database

Data as of March 23rd, 2021

c

Fannie & Freddie

Loans in Forbearance*

837,000

UPB of Loans in Forbearance ($Bil)*

$172

Share of Loans in Forbearance*

3.0%

Active Loan Count (Mil)*

27.9

FHA & VA

1,060,000 $179 8.8% 12.1

Other**

676,000 $155 5.2% 13.0

Total

2,573,000 $506 4.9% 53.0

*F*iFgiguurreessininthitshreisporret apreobrtasaedreonboabsseerdvatoionnsofrbosmeBrlvacaktKioninghst'fsrMomcDaBshlaFlcakshKdantaigshetta'sndMarceDexatsrahpoFlaltaesdhtodeasttimaasteetthaenfudll maorretgeagxetmraaprkoetlated to estimate the full mortgage market ***O*Oththeerr ccaatetgeogryoinrycluidnecslhuedldeinsphoertlfdolioins, pproivarttefolalbioelse,dpserciuvraititees,loarbbyeolethderseentcituiersities, or by other entities

? 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

800,000 700,000 600,000 500,000 400,000 300,000 200,000 100,000

-

SCHEDULED FORBEARANCE PLAN EXPIRATIONS

SCHEDULED FORBEARANCE PLAN EXPIRATIONS

Source: McDash Flash

Source: McDash Flash

? 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

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.

FEBRUARY 2021 | 8

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