MORTGAGE MONITOR

MORTGAGE MONITOR

JANUARY 2019 REPORT

MORTGAGE MONITOR

MORTGAGE MONITOR

CONTENTS

3 JANUARY FIRST LOOK RELEASE 4 JANUARY PERFORMANCE SPOTLIGHT 7 PUERTO RICO: POST-HURRICANE PERFORMANCE 11 HOME PRICES & AFFORDABILITY UPDATE 16 APPENDIX 19 DISCLOSURES

JANUARY 2019 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 delinquency, foreclosure and prepayment trends. Next, we take a deeper dive into the latest delinquency numbers and January's 18-year low in prepayment activity and provide an update on refinance incentive following recent rate declines.

From there, we turn our attention to Puerto Rico, where delinquencies have significantly improved in the months following the 2017 hurricanes which hit the island. We dissect posthurricane performance and compare the recovery in delinquency rates post-Maria to other areas recently affected by hurricanes.

Finally, as the housing market continues to react to a higher interest rate environment, we then dive in to the most recent numbers from the Black Knight Home Price Index (HPI) to see how that is impacting home prices and affordability.

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, the Black Knight HPI and the company's robust public property 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. ? 2019 Black Knight Financial Technology Solutions, LLC. All Rights Reserved.

JANUARY 2019 | 2

MORTGAGE MONITOR

JANUARY 2019 FIRST LOOK RELEASE

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 OVERVIEW STATS

-3.45%

CHANGE IN DELINQUENCY RATE

January's delinquency rate is nearly 13% below last year's

3.75% of active mortgages were delinquent in January

8.42%

TOTAL FORECLOSURE STARTS

Starts rose seasonally, with 50.2K reported for the month

Monthly starts are still 19.4% below last year's level

-10.15%

PREPAYMENT RATE

January's prepayment rate was the lowest in more than 18 years

Seasonally low home sales outweighed any rate-driven rise in refi incentive

Confidential, Proprietary and/or Trade Secret TM SM ? Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate. ? 2019 Black Knight Financial Technology Solutions, LLC. All Rights Reserved.

Despite recent interest rate declines, January saw the fewest prepays since November 2000, but activity could pick up again if rates remain low through the early spring home buying season.

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JANUARY 2019 PERFORMANCE SPOTLIGHT

Here we take a deeper dive into the latest delinquency numbers and January's 18-year low in prepayment activity and provide an update on refinance incentive following recent rate declines. 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.

2000-04 2001-04 2002-04 2003-04 2004-04 2005-04 2006-04 2007-04 2008-04 2009-04 2010-04 2011-04 2012-04 2013-04 2014-04 2015-04 2016-04 2017-04 2018-04 2019-04

NNAATTIIOONNAALLDDEELLIINNQQUUEENNCCY RATEE ? FIRSSTT--LLIIEENNMMOORRTTGGAAGGEESS

11.0%

Delinquency Rate

Example Scenario

2000-2005 Average

Record Low

10.0%

9.0%

8.0%

7.0%

6.0%

5.0%

4.0%

3.0%

2.0%

Performance Month

Confidential, Proprietary and/or Trade Secret TM SM ? Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate. ? 2019 Black Knight Financial Technology Solutions, LLC. All Rights Reserved.

At 3.75%, the national delinquency rate now stands nearly a full percentage point below the pre-recession January average of 4.74%

??February and March tend to be two of the strongest performing months, with delinquencies falling by more than 12% over those two months in an average year

??The lowest (i.e. worst) recorded improvement over that two-month span was -6% in 2013

??That year, March ended on a Sunday, which has historically led to dampened performance as servicing shops are closed for the last two days of the month and cannot process payments

??If we saw the average seasonal decline this year, the national delinquency rate would fall to 3.3% in March, nearly 20BPS below the previous record low of 3.48% recorded in March of 2005

??A more pessimistic scenario ? which may be wise, as March 2019 ends on a Sunday ? has delinquencies closer to 3.5% in March (slightly above the record low), but falling to record lows in April

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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

MORTGAGE MONITOR

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