January 2014 Mortgage Monitor

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Black Knight Mortgage Monitor Mortgage Market Performance Observations

Data as of January, 2014 Month-end

Black Knight Financial Services

January 2014 Data Summary

2

January Summary Statistics

Jan-14

Monthly

Change

YTD

Change

Yearly

Change

Delinquencies 6.27% -2.96% 0.0% -10.7%

Foreclosure 2.35% -5.32% 0.0% -31.2%

Foreclosure Starts 94,075 -10.2% 0.0% -36.3%

Seriously Delinquent (90+) or

in Foreclosure 4.92% -2.2% 0.0% -24.0%

New Originations (data as of

Dec-13) 347K 0.9% -47.1% -57.7%

12 Month History

Jan-14 Dec-13 Nov-13 Oct-13 Sep-13 Aug-13 Jul-13 Jun-13 May-13 Apr-13 Mar-13 Feb-13 Jan-13

Delinquencies 6.27% 6.47% 6.45% 6.28% 6.46% 6.20% 6.41% 6.68% 6.08% 6.21% 6.59% 6.80% 7.03%

Foreclosure 2.35% 2.48% 2.50% 2.54% 2.63% 2.66% 2.82% 2.93% 3.05% 3.17% 3.37% 3.38% 3.41%

Foreclosure Starts 94,075 104,759 104,939 118,837 108,953 107,552 112,849 109,042 116,812 127,496 121,012 131,826 147,593


in Foreclosure 4.92% 5.03% 5.05% 5.10% 5.26% 5.22% 5.53% 5.62% 5.71% 5.95% 6.29% 6.34% 6.48%

New Originations 347K 344K 493K 516K 657K 747K 778K 834K 797K 779K 714K 776K

7.0

3%

6.80

%

6.59

%

6.21

%

6.08

% 6.6

8%

6.41

%

6.20

%

6.46

%

6.28

%

6.45

%

6.4

7%

6.2

7%

Total Delinquencies

776K

714K

779K

797K

834K

778K

747K

65

7K

516K

49

3K

344K

347K

New Originations


Focus 1: Originations and Sales, Refinance opportunities and HARP update

Focus 2: Home Equity originations, quality and performance

Focus 3: Pipeline update – foreclosure start and sale focus

Focus Points

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Origination volume is the lowest since 2008, with prepayment speeds signaling more drops in refinance related originations

Increased cash purchases are supporting property sales, which are still up vs. 2012

The number of “refinancible” mortgages continues to decline with less incentive for both traditional and HARP eligible borrowers

As a result HARP and streamline activity have also dropped sharply since mid-2013

Focus Point 1: Originations and Sales, Refinance opportunities and HARP update

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Origination volume is the lowest since 2008 with further declines expected

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Gov’t Backed

Investor Property

2009 91% 3.2%

2010 89% 4.5%

2011 87% 6.5%

2012 84% 7.0%

2013 83% 9.0%


Prepayment speeds signal more drops in refinance related originations

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Increased cash purchases have been supporting overall property sales

7

Monthly sales were up 3.7% year over year, with full year ‘13 up 8.4%


“Refinancible” portion of the market continues to decline

8

In the Money and Current = 5,119k loans ($488B UPB) Lowering Credit Score to 700 adds ~829k loans


The number of loans eligible for HARP under current standards has dropped significantly

9

HARP Eligible and “In the Money” 709K (vs. 2,306K in Jan 2013)

HARP 3.0 could add over 2.5M

more (assuming non-GSE eligibility)


High LTV GSE originations (HARP and Streamlines) have dropped sharply since mid-2013

10

HARP volume down 70% year

over year*

*FHFA Refinance Report – Nov 13


Outside of Nevada and Florida, mid-western states have the highest % of HARP eligibility in the nation

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NY, OR and TX have among the highest % of loans that may be eligible for traditional refinance

12


2013 was the first year of increased HE originations since 2006 (though volumes are still lower than ‘10)

HELOC performance in recent vintages is pristine with origination activity concentrated in “super-prime” borrowers while loan sizes have begun to increase again

Focus should remain on HELOCs that have begun to amortize

Focus Point 2: Home Equity originations, quality and performance

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2013 was the first year of increased HE originations since 2006 (though volumes are still very low)

14

Total HE Volumes are still down over 90% from 2006 and about even with 2009


HE (and particularly LOC) originations are concentrated in “super-prime” borrowers

15


HELOC performance in recent vintages is pristine

16


HE loan sizes are beginning to increase again

17


HELOCs that have begun to amortize are an ongoing cause for concern

18

New problem loan rates for pre-2004 HELOC vintages are up 27% year over year


Foreclosure starts are at multi-year lows with a large drop in early stage starts (potentially CFPB and NMS rules related activity)

While starts have declined, seriously delinquent deterioration has been trending slightly upwards over the last six months

Foreclosure sales increased after holiday lull

The combination of lower starts and increased sales have pushed foreclosure inventory to the lowest level since 2008

Focus Point 3: Pipeline update – foreclosure start and sale focus

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Foreclosure starts continue to hit multi-year lows

20


The recent drop in foreclosure starts primarily impacted the newly non-current loans

21


Foreclosure starts as a percentage of seriously delinquent inventory are the lowest on record

22


The ratio of serious deterioration to foreclosure starts is at the highest level since 2010

23


After holiday moratoria, January saw an increase in foreclosure sale activity

24


DQs follow typical seasonal pattern while fewer FC starts and more sales push FC inventory lower

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BKFS Mortgage Monitor Appendix

Data as of January, 2014 Month-end


January 2014 Data Summary

27

January Summary Statistics

Jan-14

Monthly

Change

YTD

Change

Yearly

Change

Delinquencies 6.27% -2.96% 0.0% -10.7%

Foreclosure 2.35% -5.32% 0.0% -31.2%

Foreclosure Starts 94,075 -10.2% 0.0% -36.3%


in Foreclosure 4.92% -2.2% 0.0% -24.0%

New Originations (data as of

Dec-13) 347K 0.9% -47.1% -57.7%

12 Month History

Jan-14 Dec-13 Nov-13 Oct-13 Sep-13 Aug-13 Jul-13 Jun-13 May-13 Apr-13 Mar-13 Feb-13 Jan-13

Delinquencies 6.27% 6.47% 6.45% 6.28% 6.46% 6.20% 6.41% 6.68% 6.08% 6.21% 6.59% 6.80% 7.03%

Foreclosure 2.35% 2.48% 2.50% 2.54% 2.63% 2.66% 2.82% 2.93% 3.05% 3.17% 3.37% 3.38% 3.41%

Foreclosure Starts 94,075 104,759 104,939 118,837 108,953 107,552 112,849 109,042 116,812 127,496 121,012 131,826 147,593


in Foreclosure 4.92% 5.03% 5.05% 5.10% 5.26% 5.22% 5.53% 5.62% 5.71% 5.95% 6.29% 6.34% 6.48%

New Originations 347K 344K 493K 516K 657K 747K 778K 834K 797K 779K 714K 776K

7.0

3%

6.80

%

6.59

%

6.21

%

6.08

% 6.6

8%

6.41

%

6.20

%

6.46

%

6.28

%

6.45

%

6.4

7%

6.2

7%

Total Delinquencies

776K

714K

779K

797K

834K

778K

747K

65

7K

516K

49

3K

344K

347K

New Originations


Seven of the top 10 states for total non-current are judicial

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State Del % FC % Non-Curr %

Yr/Yr Change in NC%


Yr/Yr Change in NC%


Yr/Yr Change in NC%

National 6.3% 2.3% 8.6% -17.4% National 6.3% 2.3% 8.6% -17.4% National 6.3% 2.3% 8.6% -17.4%

MS 13.4% 2.0% 15.3% -9.1% GA 8.5% 1.2% 9.7% -16.6% KS * 5.9% 1.3% 7.2% -9.7%

NJ * 7.1% 7.0% 14.1% -13.5% TN 8.6% 1.1% 9.7% -10.2% IA * 5.0% 1.9% 6.9% -11.6%

FL * 6.7% 7.0% 13.7% -27.8% IL * 6.2% 3.4% 9.6% -22.5% WA 4.5% 1.8% 6.4% -27.4%

NY * 6.6% 5.6% 12.2% -9.5% HI * 4.6% 5.0% 9.5% -12.4% OR 3.8% 2.5% 6.3% -17.4%

LA * 9.8% 2.1% 12.0% -5.3% SC * 7.2% 2.3% 9.5% -14.6% UT 5.0% 1.0% 6.1% -19.7%

ME * 6.9% 4.6% 11.6% -9.3% MA 7.2% 1.8% 9.1% -6.6% VA 5.2% 0.7% 5.9% -15.0%

RI 8.7% 2.8% 11.5% -8.3% OK * 6.5% 2.3% 8.8% -9.9% ID 4.0% 1.7% 5.7% -20.7%

AL 9.5% 1.3% 10.9% -4.7% VT * 5.5% 3.0% 8.5% -7.5% NE * 4.9% 0.8% 5.7% -8.8%

CT * 6.7% 3.8% 10.5% -14.6% KY * 6.5% 1.9% 8.4% -10.7% CA 4.4% 0.8% 5.2% -29.2%

MD * 7.4% 3.1% 10.5% -16.5% NC 7.1% 1.3% 8.4% -16.6% AZ 4.4% 0.8% 5.2% -25.0%

IN * 8.0% 2.4% 10.4% -12.1% NM * 5.5% 2.6% 8.1% -12.5% MN 3.9% 0.7% 4.6% -16.5%

PA * 7.5% 2.7% 10.3% -9.6% TX 7.1% 0.9% 8.0% -8.1% WY 4.0% 0.6% 4.5% -3.0%

AR 8.5% 1.7% 10.2% -15.1% MO 6.8% 0.9% 7.8% -8.2% MT 3.3% 1.0% 4.4% -12.3%

DE * 7.5% 2.6% 10.1% -10.7% WI * 5.9% 1.8% 7.6% -15.3% CO 3.7% 0.6% 4.3% -16.9%

NV 6.9% 3.1% 9.9% -30.8% DC 5.1% 2.3% 7.5% -16.0% AK 3.6% 0.6% 4.2% -11.0%

OH * 7.3% 2.6% 9.9% -14.3% MI 6.5% 0.9% 7.4% -15.4% SD * 3.1% 0.9% 4.0% -11.6%

WV 8.4% 1.3% 9.7% -8.4% NH 6.2% 1.1% 7.3% -10.2% ND * 2.1% 0.7% 2.7% -14.5%

* - Indicates Judicial State


Loan counts and average days delinquent

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BKFS Mortgage Monitor

Disclosures: Product / Metric Definitions and Market Sizing


Disclosure Page: Product Definitions

*Conforming limits do not account for temporary or high-cost area increases.

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Disclosure Page: Metrics Definitions

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.

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Black Knight Financial Services 33

Disclosure Page: Extrapolation Methodology

Mortgage statistics are scaled to estimate the total market performance based on coverage within the McDash database.

The following table contains information on market coverage by product as of June 2012; extrapolations also include adjustments for vintage and as of date. Additional information is available upon request.

January 2014 Mortgage Monitor

Real Estate

Transcript of January 2014 Mortgage Monitor