mortgage monitor...2020/10/05 · 2000-08 2001-08 2002-08 2003-08 2004-08 2005-08 2006-08 2007-08...

AUGUST 2020 REPORT

MORTGAGE MONITOR

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate. © 2020 Black Knight Financial Technology Solutions, LLC. All Rights Reserved.

MORTGAGE MONITOR

AUGUST 2020 | 2Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate. © 2020 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 and foreclosure trends. Next, we take a closer look at the improved mortgage delinquency numbers for August, including new delinquency and cure rates, and an example recovery scenario based on improvement rates to date.

Next, we look at the latest forbearance activity data from Black Knight’s McDash Flash daily performance dataset. Forbearances continue to improve incrementally, with some promising figures in early-stage delinquencies and currently performing mortgages. Finally, we examine how current market conditions, compounded by an unprecedented public health crisis, along with record-low rates and housing inventory have impacted home affordability and tappable equity.

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 [email protected].

AUGUST 2020 OVERVIEW

MORTGAGE MONITOR

AUGUST FIRST LOOK RELEASE

AUGUST PERFORMANCE HIGHLIGHTS

FORBEARANCE ACTIVITY UPDATE

HOME PRICE AND EQUITY TRENDS

APPENDIX

DISCLOSURES

DEFINITIONS

3

4

8

12

17

20

21

CONTENTS


MORTGAGE MONITOR

AUGUST 2020 | 3

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

The divergence of early-stage delinquencies and seriously delinquent loans has compounded in August, with improvement in the former and a worsening in the latter. Overall, it appears we may be reaching the peak of serious delinquencies related to the COVID-19 pandemic.

AUGUST OVERVIEW STATS

CHANGE IN DELINQUENCY RATEImprovement in early-stage

delinquencies continues, though the rate of improvement has slowed

In August, the sum of all early-stage delinquencies fell 9%, dropping

below pre-pandemic levels

SERIOUS DELINQUENCIES

August’s improvement in early-stage delinquency rates was offset by a

5% increase in mortgages that are 90+ days past due

This was the mildest increase in five months, suggesting we may be reaching the peak

FORECLOSURE START RATE

Despite the vast numbers of seriously delinquent loans, foreclosure rates

continued to drop due to forbearance plans and moratoriums

Nearly 2.4M properties are 90+ days past due, but there were only 6K foreclosure

starts in August

0.53% 5% 40%

AUGUST 2020 FIRST LOOK RELEASE


MORTGAGE MONITOR

AUGUST 2020 | 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

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

Source: McDash

Here we take a detailed look at August mortgage performance data as well as forbearance trends. In addition, we provide an updated comparison of early COVID-19 impacts to natural disaster events from a mortgage performance perspective. This information has been compiled from Black Knight’s original McDash loan-level mortgage performance database as well as the company’s daily McDash Flash data set and Payment Tracker. You may click on each chart to see its contents in high-resolution.

AUGUST 2020 PERFORMANCE HIGHLIGHTS

» The chasm between early-stage delinquencies and seriously past-due mortgages continued to widen in August

» Overall delinquencies nationwide fell by 0.03% from July after declining a combined 0.85% over the prior two months, a noticeable slowing in the rate of improvement

» The share of borrowers with a single missed payment had already fallen below pre-pandemic levels; in August, the sum of all early-stage delinquencies (those 30- and 60-days past due) fell 9%, to drop below that benchmark as well

» However, the improvement in early-stage delinquencies was offset by a 5% increase in serious delinquencies – 90 or more days past due – which have now risen in each of the past five months

» At 6.88%, the national delinquency rate is now 3.6% above its pre-pandemic level

6.88%

4.39%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

11.00%

2000

-08

2001

-08

2002

-08

2003

-08

2004

-08

2005

-08

2006

-08

2007

-08

2008

-08

2009

-08

2010

-08

2011

-08

2012

-08

2013

-08

2014

-08

2015

-08

2016

-08

2017

-08

2018

-08

2019

-08

2020

-08

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: McDash


MORTGAGE MONITOR

AUGUST 2020 | 5


» August’s lackluster delinquency rate improvement was primarily a result of declining cure activity

» When looking at the volume of new delinquencies (current to 30 days delinquent), the rise in August was limited (+6%), with 445K new past due mortgages; this number increased from 419K in July

» The number of loans rolling from 30 to 60 and from 60 to 90 days delinquent actually declined from July

» The biggest month-over-month difference came in cure activity (the number of past due borrowers paying their mortgages current), which fell by more than 40% in August, from 710K to 421K

» Similar declines in cure activity were seen in both early-stage and serious delinquencies

» This decline in cure activity could be due in part to the lack of forbearance expirations that scheduled to take place in the month of August

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

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

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

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

CURES TO CURRENT BY PREVIOUS DQ BUCKETCures from Less than 90 Days DQ Cures from 90+ Days DQ Total Cures

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

CURES TO CURRENT BY PREVIOUS DQ BUCKETCures from Less than 90 Days DQ Cures from 90+ Days DQ Total Cures

Source: McDash

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

Source: McDash Source: McDash


MORTGAGE MONITOR

AUGUST 2020 | 6

» Taking a side-by-side look at the impacts of both COVID-19 and recent natural disasters on mortgage performance, we can see the trend lines begin to diverge

» Carrying forward the 3-month average rate of improvement since mortgage delinquencies peaked in late May shows that delinquencies wouldn’t return to pre-pandemic levels until March 2022

» Delinquencies would still be elevated by nearly 2% when the first wave of mortgages in forbearance reach their 12-month expiration period in March 2020, leaving more than 1M excess mortgage delinquencies

» The rate of 90-day delinquencies has also broken with trending data from recent natural disasters, with more than 3.5% of all mortgages currently seriously delinquent as a result of COVID-19

» While 90-day delinquencies typically peak 3-4 months after a natural disaster, we saw an additional increase in August, the fifth month of the pandemic’s impact

» That said, August’s increase was the smallest in the past five months, which – along with falling levels of early-stage delinquencies – suggests that 90-day delinquencies could be nearing their peak

-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 18Number 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

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 18Number of Months Since Event



Source: McDash

-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 24

Number of Months Since Event

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


EXAMPLE SCENARIO:Based on 3-Mo Average Rate of

Improvement

Source: McDash


Source: McDash

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


Source: McDash


MORTGAGE MONITOR

AUGUST 2020 | 7

» An early look at September via Black Knight's McDash Flash Payment Tracker shows some positive signs for the industry

» Despite September seeing delinquencies rise by an average of 5.1% over the past 19 years, payment activity is improving from where it’s been at the same time over the past five months

» This suggests that we could see the national delinquency rate fall again in September if increased payment activity persists during the last week of the month

» Through September 22, 88.9% of first-lien mortgage holders had made their monthly payment, up from 88.6% in August, and 87.5% at the same time in June

88.6%

87.8%87.5%

88.2%88.6%

88.9%

80%

81%

82%

83%

84%

85%

86%

87%

88%

89%

90%

April 2020 May 2020 June 2020 July 2020 Aug 2020 Sept 2020

SHARE OF MORTGAGE PAYMENTS RECEIVEDTHROUGH THE FIRST THREE WEEKS OF EACH MONTH

Source: McDash Flash Payment Tracker

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 25 26 27 28 29 30

Day of Month

CUMULATIVE SHARE OF MORTGAGE PAYMENTS RECEIVEDApril 2020 May 2020 June 2020 July 2020 August 2020 September 2020

Source: McDash Flash Payment Tracker

CUMULATIVE SHARE OF MORTGAGE PAYMENTS RECEIVEDSHARE OF MORTGAGE PAYMENTS RECEIVED

THROUGH THE FIRST THREE WEEKS OF EACH MONTH

Source: McDash Flash Payment Tracker Source: McDash Flash Payment Tracker



MORTGAGE MONITOR

AUGUST 2020 | 8

0

200,000

400,000

600,000

800,000

1,000,000

1,200,000

1,400,000

1,600,000

3/24/20

3/31/204/7/20

4/14/20

4/21/20

4/28/205/5/20

5/12/20

5/19/20

5/26/206/2/20

6/9/20

6/16/20

6/23/20

6/30/207/7/20

7/14/20

7/21/20

7/28/208/4/20

8/11/20

8/18/20

8/25/209/1/20

9/8/20

9/15/20

9/22/20

Week Ending

NEW FORBEARANCE PLANS – BY WEEK

Source: McDash Flash

Here, we look at the latest forbearance activity data, finding that incremental improvement continues, with some promising figures in early-stage delinquencies and currently performing mortgages. This information has been compiled from Black Knight’s McDash loan-level mortgage performance database as well as the company’s daily McDash Flash data set. You may click on each chart to see its contents in high-resolution.

AUGUST 2020 FORBEARANCE ACTIVITY UPDATE

» Overall forbearance volumes are continuing their slow and steady improvement

» The number of loans in pandemic-related forbearance plans decreased by 357K (-9%) over the past 30 days as servicers continue to proactively work their way through the wave of plans set to expire in September

» The largest declines have been among portfolio-held loans, which are down 153K (-21%) over that period

» Active GSE forbearances have also seen significant reductions, falling by 154K (-10%) followed by FHA/VA forbearances, which are down 56K (-4%) over the past 30 days

» Strong improvement among GSE loans has pushed those forbearance volumes down to 1.33M, falling below FHA/VA loans in terms of active forbearance cases for the first time since the onset of the pandemic

» As of September 22, 3.6M loans (6.8% of all mortgages) remain in COVID-19-related forbearance plans

» Forbearance starts also noticeably declined in September, with more than 25% fewer starts over the first three weeks of the month than during the same span in August

0500000

1000000150000020000002500000300000035000004000000450000050000005500000

Mar

-24

Mar

-30

Apr-

03Ap

r-09

Apr-

15Ap

r-21

Apr-

27M

ay-0

1M

ay-0

7M

ay-1

3M

ay-1

9M

ay-2

6Ju

n-01

Jun-

05Ju

n-11

Jun-

17Ju

n-23

Jun-

29Ju

l-06

Jul-1

0Ju

l-16

Jul-2

2Ju

l-28

Aug-

03Au

g-07

Aug-

13Au

g-19

Aug-

25Au

g-31

Sep-

04Se

p-11

Sep-

17

ACTIVE FORBEARANCE PLANS

Fannie/Freddie FHA/VA Other Total


ACTIVE FORBEARANCE PLANS

NEW FORBEARANCE PLANS – BY WEEK

Source: McDash FlashSource: McDash Flash


MORTGAGE MONITOR

AUGUST 2020 | 9

» Entering September, more than half of all active forbearances (nearly 2M) were set to expire in the month, meaning September's mortgage payment was the last payment covered under the forbearance plan

» Through the first three weeks of the month, that number has fallen to 1.1M as servicers have proactively worked through expiring forbearances

» The majority of forbearance plans continue to be extended, with nearly 740K plans extended over the first three weeks of the month and 316K loans removed over that same span

» Given the 1.1M remaining plans set to expire in September, we expect elevated levels of removal/extension activity over the new few weeks

» Another 1M forbearance plans are set to expire in October, setting up another wave of extension/removal activity as we get toward the end of the month

» Following October, we will be in a better position to gauge the outlook for the remainder of 2020 and early 2021 from a forbearance perspective

0

500,000

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000

Jun-

2020

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

SCHEDULED FORBEARANCE EXPIRATIONS(LAST MONTH COVERED UNDER FORBEARANCE PLAN)

Entering June Entering September As of September 22nd


0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

900,000

3/24/2

0

3/31/2

04/7

/20

4/14/2

0

4/21/2

0

4/28/2

05/5

/20

5/12/2

0

5/19/2

0

5/26/2

06/2

/206/9

/20

6/16/2

0

6/23/2

0

6/30/2

07/7

/20

7/14/2

0

7/21/2

0

7/28/2

08/4

/20

8/11/2

0

8/18/2

0

8/25/2

09/1

/209/8

/20

9/15/2

0

9/22/2

0

Week Ending

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


FORBEARANCE PLAN EXTENSIONS & REMOVALS – BY WEEK

Source: McDash Flash Source: McDash Flash


SCHEDULED FORBEARANCE EXPIRATIONS(LAST MONTH COVERED UNDER FORBEARANCE PLAN)


MORTGAGE MONITOR

AUGUST 2020 | 10

0

1,000,000

2,000,000

3,000,000

4,000,000

5,000,000

6,000,000

7,000,000

3/17/2

0

3/24/2

0

3/31/2

04/7

/20

4/14/2

0

4/21/2

0

4/28/2

05/5

/20

5/12/2

0

5/19/2

0

5/26/2

06/2

/206/9

/20

6/16/2

0

6/23/2

0

6/30/2

07/7

/20

7/14/2

0

7/21/2

0

7/28/2

08/4

/20

8/11/2

0

8/18/2

0

8/25/2

09/1

/209/8

/20

9/15/2

0

9/22/2

0

NUMBER OF FORBEARANCE PLANS OVER TIMEEver in COVID-19 Forbearance Active COVID-19 Forbearance


NUMBER OF FORBEARANCE PLANS OVER TIME

» Of the 6.1M borrowers who have been in COVID-19-related forbearance plans, 41% have since exited, with the vast majority of those (1.8M) currently performing on their mortgages

» Another 6% (363K) have since paid off their mortgages in full, either through refinancing or the sale of their home

» 267K (4%) currently remain past due on their mortgage, but are in an active loss mitigation status, suggesting they are working with their servicer to get back to a current status

» Just 54K loans are past due and not in active loss mitigation, and 70% of these were already delinquent in February before the pandemic began to impact mortgage performance



Removed/Expired -Performing1,804,000

30%

Removed/Expired - Delinquent - Active Loss Mit

267,0004%

Removed/Expired -Delinquent

54,000 1%

Paid Off363,000

6%

Active ForbearanceOriginal Term

824,000 13%

Active Forbearance -Term Extended

2,801,000 46%

CURRENT STATUS OF COVID-19 RELATED FORBEARANCES(STATUS AS OF SEPTEMBER 22ND 2020)


CURRENT STATUS OF COVID-19 RELATED FORBEARANCES(STATUS AS OF SEPTEMBER 22ND 2020)



MORTGAGE MONITOR

AUGUST 2020 | 11

» 35% of that population are back to performing on their mortgage, with another 8% having paid off their mortgage in full – either through refinancing or the sale of their home – both of which are the highest such rates among any investor category

» FHA/VA loans have seen a significantly lower share of borrowers exit their forbearance plans, at 33% and 31% respectively

» Among FHA loans, 21% are performing, while 7% remain past due and in active loss mitigation; just 4% of FHA loans have been paid in full

» VA loans have seen a higher paid-in-full rate at 8%, while only 19% of COVID-19 forbearance loans are currently performing

Analyzing the current status of loans that had entered COVID-19 forbearance plans since mid-March, we see that nearly half (47%) of GSE loans have now exited those plans


4%8% 8%

2%6%

21%19%

35%

33%

27%

30%

7% 4%

3%

5%

3%

4%

2%

2%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

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

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

(REMAINING SHARE ARE STILL IN FORBEARANCE)


MORTGAGE MONITOR

AUGUST 2020 | 12

AUGUST 2020 HOME PRICE AND EQUITY TRENDS

34.34%

2.86%

2.0%

3.5%

5.0%

6.5%

8.0%

0%

5%

10%

15%

20%

25%

30%

35%

40%

1996

-09

1997

-09

1998

-09

1999

-09

2000

-09

2001

-09

2002

-09

2003

-09

2004

-09

2005

-09

2006

-09

2007

-09

2008

-09

2009

-09

2010

-09

2011

-09

2012

-09

2013

-09

2014

-09

2015

-09

2016

-09

2017

-09

2018

-09

2019

-09

2020

-09

Fred

die

30-Y

ear F

ixed

Rat

e

Paym

ent t

o In

com

e Ra

tio

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

19.38%

*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*

Here, we look at how current market conditions, compounded by an unprecedented public health crisis, along with record-low rates and housing inventory, have impacted affordability and tappable equity. This information has been compiled from Black Knight’s Home Price Index and Collateral Analytics Daily Home Price Flash data as well as the company’s McDash loan-level mortgage performance database. You may click on each chart to see its contents in high-resolution.

*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

» As of September, it now takes 19.4% of the median household income to make the monthly payment on the average priced home, assuming a 20% down payment on a 30-year fixed rate mortgage at the prevailing interest rate

» That’s an improvement of 0.4% over August and marks the strongest affordability in the housing market since October 2016

» Each of the 25 largest U.S markets are seeing their strongest affordability since Q1 2018, with 16 seeing the strongest affordability levels since 2016 (or prior)

Falling 30-year interest rates continue to improve home affordability across the U.S.


MORTGAGE MONITOR

AUGUST 2020 | 13

» Detroit has the lowest payment-to-income ratio at 13.4%, while Los Angeles is the least affordable, with a 41.1% payment-to-income ratio

» While 41.1% is extremely high in comparison to other markets, this figure marks the most affordable housing has been in Los Angeles since late 2016

It’s worth noting that current affordability is primarily a result of record-low rates rather than income growth, and a shift in rates could dramatically change the affordability landscape


Geography (CBSA) Most Affordable Since (YYYYMM)Current Payment- -to-Income Ratio

Size Rank

Baltimore, MD Pre-2005 15.6% 20Houston, TX 201504 15.8% 5Chicago, IL 201602 14.8% 3Philadelphia, PA 201602 16.3% 6San Diego, CA 201610 33.3% 17San Francisco, CA 201610 34.4% 11St. Louis, MO 201610 14.1% 19Washington, DC 201610 17.9% 7Dallas, TX 201610 17.1% 4Los Angeles, CA 201610 41.1% 2Miami, FL 201610 23.9% 8New York-Newark, NY-NJ 201610 26.3% 1Pittsburgh, PA 201610 14.8% 22Portland, OR 201610 22.8% 24Riverside, CA 201610 24.1% 12San Antonio, TX 201611 17.2% 25Boston, MA 201701 23.7% 10Denver, CO 201701 22.5% 21Detroit, MI 201702 13.4% 14Minneapolis, MN 201702 15.6% 16Seattle, WA 201702 25.2% 15Phoenix, AZ 201801 20.2% 13Tampa, FL 201801 19.0% 18Charlotte, NC 201801 17.8% 23Atlanta, GA 201801 15.2% 9

LAST TIME HOUSING WAS THIS AFFORDABLE – 25 LARGEST MARKETS


MORTGAGE MONITOR

AUGUST 2020 | 14


» Improved affordability levels may be better news for current homeowners rather than homebuyers

» While falling rates have increased buying power, the combination of record low rates and the lowest inventory levels in years have resulted in skyrocketing price growth

» As of the end of July, there were 1.5M existing homes for sale, down more than 20% from the year prior and the lowest July month-end number since the housing recovery began in 2012

» The seasonal inflow of homes for sale in 2020 was almost non-existent, likely due to homeowners concerned about listing their home for sale in the midst of a pandemic

» While home prices stagnated in May and June, price growth has since recovered in a big way

» August saw an annual home price growth rate of 11.5%, the highest since mid-2013, with early numbers from September suggesting record highs could be seen in coming months

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

0

500,000

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000

2013

-07

2013

-10

2014

-01

2014

-04

2014

-07

2014

-10

2015

-01

2015

-04

2015

-07

2015

-10

2016

-01

2016

-04

2016

-07

2016

-10

2017

-01

2017

-04

2017

-07

2017

-10

2018

-01

2018

-04

2018

-07

2018

-10

2019

-01

2019

-04

2019

-07

2019

-10

2020

-01

2020

-04

2020

-07

Annu

al C

hang

e

Num

ber o

f Use

d Ho

mes

For

Sal

e

FOR SALE INVENTORYNumber of Used Homes For Sale (Left Axis) Annual Change (Right Axis)

Source: NAR

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

0%

2%

4%

6%

8%

10%

12%

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

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 (Collateral Analytics) 30-Year Fixed Interest Rate

Source: Collateral Analytics

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

0%

2%

4%

6%

8%

10%

12%

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

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 (Collateral Analytics) 30-Year Fixed Interest Rate

Source: Collateral Analytics

HOME PRICE APPRECIATION VS 30-YEAR FIXED INTEREST RATE FOR SALE INVENTORY

Source: NARSource: Collateral Analytics


MORTGAGE MONITOR

AUGUST 2020 | 15


» Rising home prices continue to improve equity positions across the country

» Even when applying distressed valuations to the 2.5M+ homes now seriously delinquent or in active foreclosure, tappable equity still hit a new record high in Q2 2020 at $6.6T

» In total, nearly 45M homeowners have tappable equity in their homes, the largest volume ever

» The average homeowner now has nearly $125K in tappable equity; an increase of more than $3,200 from last year – also a record

» The slowing of tappable equity growth in Q2 was largely due to the increase in serious delinquencies and distressed valuations applied to those properties

» The weighted average combined loan-to-value (CLTV) for homes with a mortgage is 51.5%, again factoring in distressed home prices for seriously delinquent borrowers

» These strong equity positions help to provide a backstop to elevated delinquency levels and slow recovery from COVID-19-related impacts

+16.5%

+9.0%

+4.5%

+0.0%

+5.0%

+10.0%

+15.0%

+20.0%

+25.0%

2016-09

2016-12

2017-03

2017-06

2017-09

2017-12

2018-03

2018-06

2018-09

2018-12

2019-03

2019-06

2019-09

2019-12

2020-03

2020-06

ANNUAL GROWTH RATE OF TAPPABLE EQUITY

Source: McDash Property Module

ANNUAL GROWTH RATE OF TAPPABLE EQUITY

Tappable Equity: Equity available on all residential properties with an existing mortgage before reaching a current CLTV of 80% Source: McDash Property Module

$4,285

$4,914

$4,627

$3,755

$2,830

$2,603

$2,370

$2,234

$2,557

$3,123

$3,557

$4,122

$4,690

$5,425

$5,714

$5,982

$6,317

$6,238

$6,227

$6,469

$6,599

$

$1,000

$2,000

$3,000

$4,000

$5,000

$6,000

$7,000

2004-12

2005-12

2006-12

2007-12

2008-12

2009-12

2010-12

2011-12

2012-12

2013-12

2014-12

2015-12

2016-12

2017-12

2018-12

2019-03

2019-06

2019-09

2019-12

2020-03

2020-06

Tapp

able

Equ

ity in

$Bi

llion

s

TAPPABLE EQUITY OF U.S. MORTGAGE HOLDERS

• Tappable Equity: Equity available on all residential properties with an existingmortgage before reaching a current CLTV of 80%

Tappable Equity: Equity available on all residential properties with an existing mortgage before reaching a current CLTV of 80%

TAPPABLE EQUITY OF U.S. MORTGAGE HOLDERS


MORTGAGE MONITOR

AUGUST 2020 | 16

» Rising home prices continue to keep the number of underwater borrowers in check, despite the rising number of homeowners that are seriously delinquent

» Even applying distressed valuations to properties 90 or more days past due, the national negative equity rate has risen only 40 basis points YTD, from 1.4% of all first-lien mortgages at the start of the year to 1.8% as of mid-2020

» Fewer than 1M mortgage holders currently owe more than their homes are worth

» Looking at the current CLTV of loans in forbearance shows relatively strong equity positions there as well

» Only 9% of borrowers in forbearance have less than 10% equity in their homes, with just 1% underwater

» GSE and Portfolio/PLS loans in forbearance have even stronger equity positions, with 4% and 5% respectively having less than 10% equity in their homes

» Equity positions are more of a challenge among FHA/VA loans in forbearance, of which 17% have less than 10% equity

» In total, an estimated 172K loans are in forbearance, have missed three or more payments under their plans, and have less than 10% equity in their homes

» With 111K such loans, FHA/VA loans make up nearly 2/3 of that population


67%

47%

72%

62%

17% 19% 16% 17%

11%

17%

7%12%

4%

16%

3%8%

0% 1% 2% 1%0%

10%

20%

30%

40%

50%

60%

70%

80%

GSE FHA/VA Portfolio/Private Securities All Loans in Forbearance

DISTRIBUTION OF LOANS IN ACTIVE FORBEARANCE BY CURRENT COMBINED LTV

Less than 70% 70 - 79% 80 - 89% 90 - 99% 100% or Higher

DISTRIBUTION OF LOANS IN ACTIVE FORBEARANCEBY CURRENT COMBINED LTV

15.1 Mil28.5%

748K1.4%

969K1.8%

0%

5%

10%

15%

20%

25%

30%

35%

Mil

4 Mil

8 Mil

12 Mil

16 Mil

2004

12

2005

12

2006

12

2007

12

2008

12

2009

12

2010

12

2011

12

2012

12

2013

12

2014

12

2015

12

2016

12

2017

12

2018

12

2019

12

2020

06

NEGATIVE EQUITY VOLUMES AND RATESNumber of Underwater Mortgages Negative Equity Rate

NEGATIVE EQUITY VOLUMES AND RATES


MORTGAGE MONITOR

AUGUST 2020 | 17

Aug-20 Monthly ChangeYTD

ChangeYearly

ChangeDelinquencies 6.88% -0.53% 113.73% 99.22%

Foreclosure 0.35% -1.43% -24.45% -27.31%Foreclosure Starts 6,000 -39.39% -85.98% -83.43%

Seriously Delinquent (90+) or in Foreclosure 4.77% 4.43% 280.78% 259.62%

New Originations (data as of Jul-20) 1422K 13.0% 87.5% 87.0%

Aug-20 Jul-20 Jun-20 May-20 Apr-20 Mar-20 Feb-20 Jan-20 Dec-19 Nov-19 Oct-19 Sep-19 Aug-19Delinquencies 6.88% 6.91% 7.59% 7.76% 6.45% 3.39% 3.28% 3.22% 3.40% 3.53% 3.39% 3.53% 3.45%

Foreclosure 0.35% 0.36% 0.36% 0.38% 0.40% 0.42% 0.45% 0.46% 0.46% 0.47% 0.48% 0.48% 0.48%Foreclosure Starts 6,000 9,900 5,900 5,100 7,400 27,600 32,300 42,800 39,500 33,500 43,900 39,400 36,200

Seriously Delinquent (90+) or in Foreclosure 4.77% 4.57% 3.89% 1.57% 1.28% 1.18% 1.22% 1.25% 1.27% 1.30% 1.31% 1.32% 1.33%

New Originations 1422K 1258K 1085K 1052K 928K 708K 657K 758K 741K 869K 807K 802K

3.45

%

3.53

%

3.39

%

3.53

%

3.40

%

3.22

%

3.28

%

3.39

% 6.4

5% 7.76

%

7.59

%

6.91

%

6.88

%

Aug-1

9

Sep-1

9

Oct-1

9

Nov-1

9

Dec-1

9

Jan-2

0

Feb-2

0

Mar-2

0

Apr-2

0

May-2

0

Jun-2

0Ju

l-20

Aug-2

0

TOTAL DELINQUENCIES

802K

807K

869K

741K

758K

657K

708K 92

8K

1052

K

1085

K

1258

K

1422

K

Aug-1

9

Sep-1

9

Oct-1

9

Nov-1

9

Dec-1

9

Jan-2

0

Feb-2

0

Mar-2

0

Apr-2

0

May-2

0

Jun-2

0Ju

l-20

NEW ORIGINATIONS

AUGUST 2020 DATA SUMMARY

AUGUST 2020 APPENDIX


MORTGAGE MONITOR

AUGUST 2020 | 18

MonthTOTAL ACTIVE

COUNT30 DAYS 60 DAYS 90+ DAYS FC

Total Non-Current

FC StartsAverage Days Delinquent

for 90+

Average Days Delinquent

for FC

Ratio 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%

LOAN COUNTS AND AVERAGE DAYS DELINQUENT



MORTGAGE MONITOR

AUGUST 2020 | 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 6.9% 0.3% 7.2% 84.3% National 6.9% 0.3% 7.2% 84.3% National 6.9% 0.3% 7.2% 84.3%MS 11.3% 0.4% 11.7% 13.8% IN* 7.3% 0.5% 7.8% 36.4% KY* 5.6% 0.4% 5.9% 44.0%LA* 10.7% 0.6% 11.3% 46.5% AR 7.4% 0.3% 7.8% 28.3% DC 5.6% 0.3% 5.9% 129.1%HI* 8.3% 1.3% 9.6% 158.9% VT* 7.0% 0.7% 7.7% 73.5% MI 5.8% 0.1% 5.9% 53.4%NY* 8.2% 1.3% 9.4% 88.9% IL* 7.2% 0.5% 7.7% 82.5% AZ 5.6% 0.1% 5.7% 108.9%FL* 8.6% 0.6% 9.1% 119.9% SC* 7.3% 0.4% 7.7% 55.0% NH 5.4% 0.2% 5.6% 58.3%CT* 8.4% 0.7% 9.0% 82.7% DE* 7.0% 0.5% 7.5% 49.4% WI* 5.3% 0.3% 5.6% 51.2%TX 8.8% 0.2% 9.0% 88.0% ME* 6.6% 0.9% 7.5% 41.0% IA* 5.1% 0.4% 5.5% 34.8%NJ* 8.5% 0.5% 9.0% 105.3% TN 6.9% 0.2% 7.1% 52.7% CA 5.4% 0.1% 5.5% 170.4%MD* 8.6% 0.4% 9.0% 81.5% KS* 6.7% 0.3% 7.0% 58.4% MN 5.2% 0.1% 5.3% 104.6%NV 8.6% 0.4% 9.0% 202.0% OH* 6.4% 0.5% 6.9% 48.1% ND* 4.9% 0.3% 5.2% 135.2%GA 8.8% 0.2% 9.0% 77.2% NM* 6.4% 0.5% 6.9% 61.3% UT 5.0% 0.1% 5.1% 112.4%AK 8.7% 0.2% 8.9% 179.3% NC 6.6% 0.2% 6.8% 61.7% SD* 4.5% 0.3% 4.8% 69.7%AL 8.4% 0.2% 8.6% 29.2% NE* 6.2% 0.2% 6.4% 61.3% CO 4.6% 0.1% 4.7% 167.9%WV 8.0% 0.4% 8.4% 32.0% VA 6.2% 0.1% 6.3% 88.3% OR 4.5% 0.2% 4.6% 150.8%OK* 7.6% 0.6% 8.2% 46.8% MA 5.9% 0.3% 6.2% 65.3% MT 4.4% 0.2% 4.6% 81.1%RI 7.5% 0.6% 8.1% 52.7% WY 5.9% 0.2% 6.1% 97.8% WA 4.3% 0.2% 4.5% 134.3%PA* 7.6% 0.5% 8.1% 51.5% MO 5.8% 0.2% 6.0% 48.9% ID 3.7% 0.1% 3.8% 91.5%

*Indicates Judicial State

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



MORTGAGE MONITOR

AUGUST 2020 | 20

Mortgage Monitor Disclosures

You can reach us by email [email protected]

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AUGUST 2020 DISCLOSURE


MORTGAGE MONITOR

AUGUST 2020 | 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.

AUGUST 2020 DEFINITIONS

mortgage monitor...2020/10/05 · 2000-08 2001-08 2002-08 2003-08 2004-08 2005-08 2006-08 2007-08...

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