BKFS Mortgage Monitor
Mortgage Market Performance Observations

Data as of November, 2013 Month-end

Black Knight Financia...
Focus Points
 Focus 1: Mortgage Performance Update –
Delinquencies, Foreclosures and Prepayments
 Focus 2: Originations ...
Focus Point 1: Mortgage
Performance Update

 DQs following typical seasonal pattern, FCs
continue to improve (with reduce...
DQs following typical seasonal pattern,
FCs continue to improve

Average Delinquent 1995 to
2005 – 4.33%

Down 42% from
Oc...
Non-current %: NJ and NY now on par
with FL and NV, 2x rates in CA and AZ

Black Knight Financial Services
Foreclosure activity declined with the
onset of the holiday season

Black Knight Financial Services
Total home retention actions are down,
but activity remains strong

More HAMP trials were initiated
in Q2 and Q3 2013 than...
Refi activity continues to decline (with rates up
another 25 bps as of Jan-14)

Black Knight Financial Services
Focus Point 2: Originations update

 Originations are at the lowest levels since early
2010 with purchases over 50% of to...
Originations are at the lowest
levels since early 2010

Refi activity
indicates another
drop coming in
November

Black Kni...
Purchase share of originations
is now above 50%

Black Knight Financial Services
Non-agency participation has increased
relative to government

Non-agency originations were
~20% of total in Aug and Sep
v...
2013 originations are the
best performing vintage on record

Performance has improved
significantly even in the
lowest ris...
Few 2013 jumbo originations
carry Mortgage Insurance

Black Knight Financial Services
Second lien prevalence is still much
lower in recent vintages

Black Knight Financial Services
Home equity originations are up
significantly vs. a year ago

100% = unchanged
vs. last year

Black Knight Financial Servi...
Focus Point 3: Risks and Opportunities

 The “refinancible” loan universe continues to
decline, but there is opportunity ...
~4M fewer loans are “refinancible”
today vs. Dec 2012

5.9M Loans are “In the
Money” and Current
Lowering Credit Score
cri...
First Lien Mortgages Which
Have a Second Lien

Higher rates and home prices may lead to
more HE opportunity
70%
60%
50%

B...
New problem loans continue to improve,
though judicial states lag

Black Knight Financial Services
Hybrid ARM reset risk
is relatively low

Indices would need to rise over
200 bps for most pre-crisis
hybrid borrowers to e...
Risk of HELOC payment shock with the
onset of amortization is high

Black Knight Financial Services
New problems are emerging with
HELOCs that have begun to amortize

Black Knight Financial Services
BKFS Mortgage Monitor
Appendix

Data as of November, 2013 Month-end

Black Knight Financial Services
November 2013 Data Summary

Black Knight Financial Services
Seven of the top 10 states for total non-current are
judicial

Black Knight Financial Services
Loan counts and
average days delinquent

Black Knight Financial Services
BKFS Mortgage Monitor
Disclosures: Product / Metric Definitions and July 2012 Market
Sizing Revisions

Black Knight Financ...
Disclosure Page: Product Definitions

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

Black ...
Disclosure Page: Metrics Definitions
 Total Active Count: All active loans as of month-end including loans in any state o...
With the June 2012 month-end data, we have updated our
extrapolation methodology to incorporate, among other things,
impro...
The new scaling increases overall estimated industry
loan count by approximately 1.2 million loans

Prior industry estimat...
New scaling reflects the higher coverage of government
loans and allows for the incorporation of new servicers

Black Knig...
Delinquencies decline based on higher
estimated coverage of FHA and subprime loans.

Converge due to new
servicers and tra...
Foreclosure inventory remains almost identical, but
shifts up in recent months as transfer bias is repaired

Black Knight ...
Foreclosure starts remain consistent, with
rates shifting up slightly

Black Knight Financial Services
Performance Statistics Changes: Database Counts

Black Knight Financial Services
Performance Statistics Changes: State Level Detail

Black Knight Financial Services
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Mortgage Monitor November 2013

  1. 1. BKFS Mortgage Monitor Mortgage Market Performance Observations Data as of November, 2013 Month-end Black Knight Financial Services
  2. 2. Focus Points  Focus 1: Mortgage Performance Update – Delinquencies, Foreclosures and Prepayments  Focus 2: Originations update; Mortgage and HE volumes and characteristics  Focus 3: Remaining risks and upcoming opportunities in the market Black Knight Financial Services
  3. 3. Focus Point 1: Mortgage Performance Update  DQs following typical seasonal pattern, FCs continue to improve (with reduced holiday activity)  NJ and NY non-current rates are now on par with FL and NV, 2x rates in CA and AZ  Total home retention actions are down, but activity remains strong  Refi activity continues to decline (with rates up another 25 bps as of Jan-14) Black Knight Financial Services
  4. 4. DQs following typical seasonal pattern, FCs continue to improve Average Delinquent 1995 to 2005 – 4.33% Down 42% from Oct-11 Peak Black Knight Financial Services
  5. 5. Non-current %: NJ and NY now on par with FL and NV, 2x rates in CA and AZ Black Knight Financial Services
  6. 6. Foreclosure activity declined with the onset of the holiday season Black Knight Financial Services
  7. 7. Total home retention actions are down, but activity remains strong More HAMP trials were initiated in Q2 and Q3 2013 than the prior three quarters combined Data from the OCC’s Q3 2013 Mortgage Metrics Report Black Knight Financial Services
  8. 8. Refi activity continues to decline (with rates up another 25 bps as of Jan-14) Black Knight Financial Services
  9. 9. Focus Point 2: Originations update  Originations are at the lowest levels since early 2010 with purchases over 50% of total  Non-agency participation has increased relative to government  2013 originations are the best performing vintage on record  Second lien prevalence is still low in recent vintages but HE originations are on the rise Black Knight Financial Services
  10. 10. Originations are at the lowest levels since early 2010 Refi activity indicates another drop coming in November Black Knight Financial Services
  11. 11. Purchase share of originations is now above 50% Black Knight Financial Services
  12. 12. Non-agency participation has increased relative to government Non-agency originations were ~20% of total in Aug and Sep vs. 10% in 2010 (Jumbo Prime up 75% Y/Y) Black Knight Financial Services
  13. 13. 2013 originations are the best performing vintage on record Performance has improved significantly even in the lowest risk cohorts Black Knight Financial Services
  14. 14. Few 2013 jumbo originations carry Mortgage Insurance Black Knight Financial Services
  15. 15. Second lien prevalence is still much lower in recent vintages Black Knight Financial Services
  16. 16. Home equity originations are up significantly vs. a year ago 100% = unchanged vs. last year Black Knight Financial Services
  17. 17. Focus Point 3: Risks and Opportunities  The “refinancible” loan universe continues to decline, but there is opportunity if risk appetite increases  Higher rates and home prices may lead to more HE opportunity  New problem loans continue to improve; risk from pre-crisis hybrids remains low  Risk of HELOC payment shock with the onset of amortization is high Black Knight Financial Services
  18. 18. ~4M fewer loans are “refinancible” today vs. Dec 2012 5.9M Loans are “In the Money” and Current Lowering Credit Score criteria to 700 adds an additional 1M Loans Black Knight Financial Services
  19. 19. First Lien Mortgages Which Have a Second Lien Higher rates and home prices may lead to more HE opportunity 70% 60% 50% By 2017, if recent vintages follow the pattern of the 2003 vintage. Today At Origination 40% 30% 20% 10% 0% 2000 Black Knight Financial Services 2002 2004 2006 2008 Vintage 2010 2012
  20. 20. New problem loans continue to improve, though judicial states lag Black Knight Financial Services
  21. 21. Hybrid ARM reset risk is relatively low Indices would need to rise over 200 bps for most pre-crisis hybrid borrowers to experience rate increases, though ~1/3 are still interest-only Black Knight Financial Services
  22. 22. Risk of HELOC payment shock with the onset of amortization is high Black Knight Financial Services
  23. 23. New problems are emerging with HELOCs that have begun to amortize Black Knight Financial Services
  24. 24. BKFS Mortgage Monitor Appendix Data as of November, 2013 Month-end Black Knight Financial Services
  25. 25. November 2013 Data Summary Black Knight Financial Services
  26. 26. Seven of the top 10 states for total non-current are judicial Black Knight Financial Services
  27. 27. Loan counts and average days delinquent Black Knight Financial Services
  28. 28. BKFS Mortgage Monitor Disclosures: Product / Metric Definitions and July 2012 Market Sizing Revisions Black Knight Financial Services
  29. 29. Disclosure Page: Product Definitions *Conforming limits do not account for temporary or high-cost area increases. Black Knight Financial Services
  30. 30. 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. Black Knight Financial Services
  31. 31. With the June 2012 month-end data, we have updated our extrapolation methodology to incorporate, among other things, improved estimates of market size, which includes higher coverage of government and subprime products and increases our estimate of the total first lien residential mortgage market by three percent to 50.4 million. To ensure consistency in trend analysis, the new methodology has been applied to all historical data and previously reported mortgage performance statistics have been adjusted accordingly. The following section contains information on market coverage and comparisons with previously reported statistics. Additional information is available upon request. Black Knight Financial Services
  32. 32. The new scaling increases overall estimated industry loan count by approximately 1.2 million loans Prior industry estimates declined because scaling didn’t support current servicing transfer volumes Black Knight Financial Services
  33. 33. New scaling reflects the higher coverage of government loans and allows for the incorporation of new servicers Black Knight Financial Services
  34. 34. Delinquencies decline based on higher estimated coverage of FHA and subprime loans. Converge due to new servicers and transfer issues with prior scaling Black Knight Financial Services
  35. 35. Foreclosure inventory remains almost identical, but shifts up in recent months as transfer bias is repaired Black Knight Financial Services
  36. 36. Foreclosure starts remain consistent, with rates shifting up slightly Black Knight Financial Services
  37. 37. Performance Statistics Changes: Database Counts Black Knight Financial Services
  38. 38. Performance Statistics Changes: State Level Detail Black Knight Financial Services

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