MORTGAGE MONITOR
[Pages:22]MORTGAGE MONITOR
SEPTEMBER 2021 REPORT
MORTGAGE MONITOR
MORTGAGE MONITOR
CONTENTS
3 SEPTEMBER FIRST LOOK 4 SEPTEMBER PERFORMANCE HIGHLIGHTS 6 FORBEARANCE ACTIVITY 12 CHANGING DYNAMICS IN THE REFINANCE MARKET 18 APPENDIX 21 DISCLOSURES 22 DEFINITIONS
SEPTEMBER 2021 OVERVIEW
Each month, the Black Knight Mortgage Monitor looks at a variety of issues related to the mortgage finance and housing industries.
As always, we begin with a review of some of the high-level mortgage performance statistics reported in our most recent First Look report. From there we dive deeper into some key September mortgage performance metrics to get a clearer sense of the current delinquency landscape, including levels of new inflow and delinquency roll rates.
Next, we revisit the forbearance landscape to take a closer look at plan volumes as well as starts, removals, extensions and final exits. We also break down the population of post-forbearance borrowers to see how they're performing on their mortgages. Finally, we look at the massive economic stimulus afforded U.S. mortgage holders by the pandemic-era refinance boom. We also explore the ways in which refinance market dynamics are changing and how savvy lenders can capitalize on those shifts.
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, eMBS agency securities data 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.
SEPTEMBER 2021 | 2
MORTGAGE MONITOR
SEPTEMBER 2021 FIRST LOOK
Here we have an overview of findings from Black Knight's First Look at September mortgage performance data. This information has been compiled from Black Knight's McDash loan-level mortgage performance database. Click on each chart to see its contents in high-resolution.
SEPTEMBER OVERVIEW STATS
2.25%
3.2K
7.0K
DELINQUENCY RATE
The national delinquency rate dropped to 3.91% in September, the first time it's been below 4% since the onset of the pandemic
Delinquencies are now down more than 41% from this time last year
FORECLOSURE STARTS
Foreclosure starts reversed course in September after August's noticeable rise in the wake of the
federal foreclosure moratoria expiration
September's 3.9K starts were the third lowest monthly total on record and within 6% of the
record low set back in April of this year
ACTIVE FORECLOSURES
The number of loans in active foreclosure hit yet another all-time low in September, for a
total of just 135K
At 0.26%, the national foreclosure rate is the lowest it's been since Black Knight began tracking the metric in January 2020
With more than 430K forbearance plan exits through the first three weeks of October alone, tracking foreclosure metrics closely in the coming months will be essential
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.
SEPTEMBER 2021 | 3
MORTGAGE MONITOR
SEPTEMBER 2021 PERFORMANCE HIGHLIGHTS
Here we look at some key September mortgage performance metrics to get a clearer sense of the current delinquency landscape, including levels of new inflow and delinquency roll rates. This information has been compiled from Black Knight's McDash loan-level mortgage performance database. Click on each chart to see its contents in high-resolution.
2001-09 2002-03 2002-09 2003-03 2003-09 2004-03 2004-09 2005-03 2005-09 2006-03 2006-09 2007-03 2007-09 2008-03 2008-09 2009-03 2009-09 2010-03 2010-09 2011-03 2011-09 2012-03 2012-09 2013-03 2013-09 2014-03 2014-09 2015-03 2015-09 2016-03 2016-09 2017-03 2017-09 2018-03 2018-09 2019-03 2019-09 2020-03 2020-09 2021-03 2021-09 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 2021-03 2021-04 2021-05 2021-06 2021-07 2021-08 2021-09
11.00% 10.00%
9.00% 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00%
NNATAITOIONANLADLEDLEINLIQNUQEUNECNYCRYARTAET?EF?IRFSITRSLTIELNIEMNOMRTOGRATGEASGES
Delinquency Rate
2000-2005 Average
Record Low
4.68% 3.91%
Source: Black Knight, McDash
? ThSeourcne:aBtlaiocknKnaiglhdt, MeclDiansqh uency rate fell below 4% in September for the first time in 18 months as mortgage performance continues to gradually improve
? What would have been even stronger improvement was partially offset by delinquencies rising 7.8K in FEMA-declared disaster areas of hurricane-impacted Louisiana and by 11K in the state as a whole
? The strength of September's performance was even more remarkable considering that seasonal economic headwinds normally contribute to a 4.3% average rise in delinquencies in the month
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.
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
MOORRTTGGAAGGEE DDEELLIINNQQUUEENNCCIEIESSBBYYSSEEVVEERRITITYY
30 Days DQ
60 Days DQ
90+ Days DQ
Total Delinquent
Source: Black Knight, McDash
Source: Black Knight, McDash
? A 105K improvement in loans 90 or more days past due was partially offset by a 48K rise in 30-day delinquencies due to both seasonal and hurricane-related pressures
? Despite the overall improvement, there are still more than three times (+824K) as many such seriously delinquent mortgages remaining as there were at the onset of the pandemic
SEPTEMBER 2021 | 4
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 2021-03 2021-04 2021-05 2021-06 2021-07 2021-08 2021-09 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 2021-03 2021-04 2021-05 2021-06 2021-07 2021-08 2021-09
MORTGAGE MONITOR
2,000,000
LOLAONANSSRROOLLLLININGGTTOO A MMOORREEDDEELLININQQUUENETNTSTSATTAUTSUS
Current to 30 Days DQ
30 to 60 Days DQ
60 to 90 Days DQ
1,500,000
1,000,000
500,000
-
Source: Black Knight, McDash
Source: Black Knight, McDash
? The number of new (30-day) delinquencies edged slightly higher (+8.5%) due to both seasonal pressures as well as hurricane-related inflow in affected areas of Louisiana
? Despite the increase, September marks the 11th straight month where new delinquency inflow has been at or below pre-COVID levels, with new inflow in the month 25% below 2019 levels
? Additionally, September saw the lowest monthly inflow of new serious delinquencies (69K) in nearly 16 years
SEPTEMBER 2021 PERFORMANCE HIGHLIGHTS
800,000 700,000 600,000 500,000 400,000 300,000 200,000 100,000
0
CUCRUERSESTOTOCCUURRRREENNTT BY PPRREEVVIOIOUUSSDDQQBUBCUKCEKTET
Cures from 30/60 Days DQ
Cures from 90+ Days DQ
Total Cures
Source: Black Knight, McDash
Source: Black Knight, McDash
? Cure activity also rose in September, with the number of borrowers curing from serious delinquency hitting the highest level since April 2021
? With significant forbearance expiration activity underway and expected through the remainder of the year, increased cure volumes are likely as borrowers work through available options and return to making mortgage payments
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.
SEPTEMBER 2021 | 5
MORTGAGE MONITOR
SEPTEMBER 2021 FORBEARANCE ACTIVITY
Here we look at forbearance volumes ? including plan starts, removals and extensions. We also break down the postforbearance population to see 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 daily McDash Flash dataset. Click on each chart to see its contents in high-resolution.
5,000,000
AACCTTIIVVEE FFOORRBBEEAARRAANNCCEEPPLLAANNSS
FHA/VA
Fannie/Freddie
Other
Total
4,000,000
3,000,000
2,000,000
1,000,000
0 3/31/204/20/20 5/8/205/29/206/18/20 7/9/207/29/208/18/20 9/8/209/28/2100/19/2011/6/2101/30/2012/18/201/11/21 2/1/212/22/213/12/21 4/1/214/21/215/11/21 6/1/216/21/217/12/217/29/218/18/21 9/8/219/28/2110/19/21
Source: McDash Flash Data as of Oct. 19, 2021
Source: McDash Flash Data as of Oct. 19, 2021
? The number of active forbearance plans saw a sharp decline in October as the first significant wave of final expirations began
? Plan volumes were down more than 25% month-over-month in early October, the fastest rate of improvement since the onset of the pandemic
c Loans in Forbearance*
UPB of Loans in Forbearance ($Bil)*
Est. Monthly P&I advances on active forbearance plans
Fannie & Freddie 373,000
$76
$.4B
FHA & VA 474,000
$80
$.4B
Other** 392,000
$75
$.7B
Total 1,239,000
$231
$1.5B
SDSDoaouataurtcaraecsa:esoM: foMcODfccaODts.cah1t9s.F,h1l2a9F0s,hl2a21s0h21 **F**MmOiFgcotiuhgDrreteurgasrcaseianhgtsetehFgiinosmlarrytesahiphrniokscrdleutratdaeterpaesobhsraetesldetadiraneonpndbooraatbfsosreeeliordvesa,oxtpintorrinavosapbtfoersollemaarbtvBeealldaetcditkoosKnenecsiusgfrthirtitomi'esmsaM, tocBerDlbaatyhscheoktFhflKuaesrnllheigndthaitttia'essset and are extrapolated to estimate the full mortgage market **Other category includes held in portfolios, private labeled securities, or by other entities
? All in, there are 356K fewer active plans than there were at the same time last month with FHA/VA (-25%), GSE (-21%) and portfolio/PLS (-20%) volumes all falling by 20% or more over the past 30 days
? Some 1.24M plans remain, representing 2.3% of all active mortgages, with additional declines expected as early forbearance entrants continue to reach the end of their terms
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.
SEPTEMBER 2021 | 6
MORTGAGE MONITOR
SEPTEMBER 2021 FORBEARANCE ACTIVITY
180,000 160,000 140,000 120,000 100,000
80,000 60,000 40,000 20,000
-
ESTEIMSTAITMEADTFEIDNAFILNFAOLRFBOERABREAANRCAENPCLEAPNLAENXPEIXRPAITRIOATNISONS
FHA/VA GSE Other
2021-09 2021-10 2021-11 2021-12 2022-01 2022-02 2022-03 2022-04 2022-05 2022-06 2022-07 2022-08
Source: McDash Flash Final forbearanScoeurpclea:nMecxDpiarashtioFnlassehstimated using plan start dates reported in McDash Flash alongside forbearance term guidelines/allowables by individual investor class
Final forbearance plan expirations estimated using plan start dates reported in McDash Flash alongside forbearance term guidelines/allowables by individual investor class
More than 450K additional expirations are expected through the end of 2021 based on current forbearance guidelines, representing more than a third of active plans
? While the largest single month of forbearance plan expirations is now behind us, the industry challenge persists
? Along with the 36K plan reviews still outstanding for September (of which 30K are expected to be final expirations), some 281K plan reviews are slated for the final two weeks of October, 166K being final expirations
? Nearly half (more than 225K) of all final expirations in coming months will be FHA/VA loans
? Nearly 100K GSE expirations are expected over the same period, alongside more than 130K expiring Portfolio/PLS plans
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.
SEPTEMBER 2021 | 7
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 3/9/21 3/23/21 4/6/21 4/20/21 5/4/21 5/18/21 6/1/21 6/15/21 6/29/21 7/13/21 7/27/21 8/10/21 8/24/21 9/7/21 9/21/21 10/5/21 10/19/21 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
3/9/21 3/23/21
4/6/21 4/20/21
5/4/21 5/18/21
6/1/21 6/15/21 6/29/21 7/13/21 7/27/21 8/10/21 8/24/21
9/7/21 9/21/21 10/5/21 10/19/21
MORTGAGE MONITOR
60,000 50,000 40,000 30,000 20,000 10,000
0
NEWNFEOWRFBOREBAERAARNANCCEEPPLLAANNSTSATRATRSTBSY IBNVYEISNTOVRESTOR
FHA / VA
GSE
Portfolio / PLS
Source: McDash Flash
Week Ending
Source: McDash Flash
? Forbearance plan starts pulled back in recent weeks after seeing a modest spike in late August and early September among FHA/VA mortgages
? Some 55K borrowers have entered new forbearance plans over the past four weeks, down 11% from the preceding 4-week period
? With new 90-day delinquencies at a nearly 16-year low in September, it's worth considering how much longer forbearance plans may need to be offered
? FHA/VA loans continue to account for the largest share (>40%) of new plan entries with GSE and Portfolio/PLS plan starts each accounting for just under 30%
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.
SEPTEMBER 2021 FORBEARANCE ACTIVITY
900,000 800,000 700,000 600,000 500,000 400,000 300,000 200,000 100,000
0
FFOORRBBEEAARRAANNCCEEPLPALNANEXETXENTESINOSNISO&NRSE&MROEVMALOSVALS
Removals
Extensions
Source: McDash Flash
Week Ending
Source: McDash Flash
? Forbearance plan removals spiked in early October driven by plan expiration activity, with the 3-week average at its highest level since October 2020
? At the same time extensions are at their lowest level since the onset of the pandemic as more borrowers reach the final expiration of their plans
SEPTEMBER 2021 | 8
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