BKI MM Aug2022 Report

MORTGAGE MONITOR
AUGUST 2022 REPORT

MORTGAGE MONITOR
AUGUST 2022 OVERVIEW

Each month, the Black Knight Mortgage Monitor looks at a variety of issues related to the mortgage
MORTGAGE MONITOR 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 key August mortgage
performance metrics to get a clearer sense of the current delinquency landscape, including levels of
new inflow and delinquency roll rates.
Next, we provide an update on forbearance volumes, including recent starts, removals and extensions.
We also break down the population of borrowers exiting forbearance and how they are performing on
CONTENTS their mortgages post-forbearance. Finally, we look at housing market trends, including recent changes
in home prices, affordability and inventory levels, and take a deeper dive to show which markets have
been most affected by rising interest rates.
3 AUGUST FIRST LOOK
In producing the Mortgage Monitor, the Black Knight Data & Analytics division aggregates, analyzes and
4 AUGUST PERFORMANCE HIGHLIGHTS reports on the most recently available data from the company’s vast mortgage and housing related data
assets. Information is gathered from the McDash and McDash Flash loan-level mortgage performance
10 FORBEARANCE ACTIVITY UPDATE data sets; Collateral Analytics home price and sales trends data; origination and secondary market
metrics from the Optimal Blue division; eMBS agency securities data; and the company’s robust public
13 HOUSING MARKET TRENDS records database covering 99.99% of the U.S. population. For more information on gaining access to
Black Knight data assets, please call 844-474-2537 or email [email protected].
21 APPENDIX
24 DISCLOSURES
25 DEFINITIONS
Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC,
and/or an affiliate. © 2022 Black Knight Financial Technology Solutions, LLC. All Rights Reserved.
AUGUST 2022 | 2
AUGUST 2022 FIRST LOOK
MORTGAGE MONITOR Black Knight’s First Look at August mortgage performance provides a high-level overview compiled from the
Black Knight McDash loan-level database. Click on the charts to view in high resolution.
AUGUST OVERVIEW STATS
Overall mortgage performance remains

strong, and while they did rise for the
month, foreclosure starts continue to
10 BPS 14.7% 1.5% hold well below pre-pandemic levels
DELINQUENCY FORECLOSURE PREPAYMENT

RATE STARTS ACTIVITY
At 2.79%, the national delinquency August’s 20.3K starts mark a 15% M/M While up slightly from July, prepayment
rate is just 4 BPS above May 2022’s jump, but remain 44% below activity is still down by 69% from the
record low pre-pandemic levels same time last year
New 30-day delinquencies fell 4%, Foreclosure actions began on just 3.4% Sharply rising rates continue to put
while loans 90+ days past due were of serious delinquencies, less than half downward pressure on both purchase
down by 4.5% the pre-pandemic rate and refinance lending
AUGUST 2022 | 3
AUGUST 2022 PERFORMANCE HIGHLIGHTS
MORTGAGE MONITOR The Black Knight McDash loan-level mortgage performance database provides key performance metrics for a clearer picture
of the delinquency landscape, including new inflow and roll rates. Click on each chart to view its contents in high resolution.
NATIONAL DELINQUENCY RATE – FIRST LIEN MORTGAGES MORTGAGE DELINQUENCIESBY

MORTGAGE DELINQUENCIES BYSEVERITY
SEVERITY
NATIONAL DELINQUENCY RATE – FIRST LIEN MORTGAGES
30 Days DQ 60 Days DQ 90+ Days DQ Total Delinquent
Delinquency Rate 2000-2005 Average Record Low 4,500,000
11%
4,000,000
10%
3,500,000
9%
3,000,000
8%
2,500,000
7%
2,000,000
6%
1,500,000
5%
4.39%
1,000,000
4%
3%
2.79% 500,000
2% 0
8
8
-0
-1
-1
-0
-0
-0
-0
-1
-1
-0
-0
-0
-0
-1
-1
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
19
19
19
20
20
20
20
20
20
21
21
21
21
21
21
22
22
22
22
01
02
03
04
05
06
07
08
09
10
11
12
13
14
15
16
17
18
19
20
21
22
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
Source: Black Knight, McDash Source: Black Knight, McDash
Source: Black Knight, McDash
» The national delinquency rate fell 10 BPS in August to 2.79%, just 4 BPS off the » Foreclosure starts were initiated on 3.4% of serious delinquencies in August, up slightly
record low set in May of this year from July, but still less than half the rate seen in the years leading up to the pandemic
» After dropping steadily in recent months, the number of loan curing from 90 » Active foreclosure inventory edged up by 1K as volumes slowly return from record lows
or more days delinquent to current rose slightly to 62K in August from 58K the due to widespread moratoriums and forbearance protections in 2021
previous month
» Prepayment activity edged up 1.5% but is still down 69% from the same time
» Foreclosure starts increased by 15% in the month to 20K, but remained 44% below last year, as rising rates put downward pressure on both purchase and
pre-pandemic levels refinance lending
AUGUST 2022 | 4
MORTGAGE MONITOR
LOANS
LOANSROLLING
ROLLINGTO
TOAAMORE
MORE DELINQUENT STATUS
DELINQUENT STATUS CURES
CURESTO
TOCURRENT
CURRENT BY
BY PREVIOUS DQ BUCKET
PREVIOUS DQ BUCKET
Current to 30 Days DQ 30 to 60 Days DQ 60 to 90 Days DQ Cures from 30/60 Days DQ Cures from 90+ Days DQ Total Cures
800,000
2,000,000
700,000
600,000
1,500,000
500,000
1,000,000 400,000
300,000
500,000 200,000
100,000
0 0
2
8
-0
-0
-0
-0
-1
-1
-0
-0
-0
-0
-1
-1
-0
-0
-0
-0
-1
-1
-0
-0
-0
-0
8
-0
-0
-0
-0
-1
-1
-0
-0
-0
-0
-1
-1
-0
-0
-0
-0
-1
-1
-0
-0
-0
-0
19
19
19
19
19
19
20
20
20
20
20
20
21
21
21
21
21
21
22
22
22
22
19
19
19
19
19
19
20
20
20
20
20
20
21
21
21
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22
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20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
» August’s drop in past-due mortgages was broad based, with the number of borrowers » Cures – which had been dropping steadily – improved in August, likely due in part to the fact that
a single payment past due falling 4% and 90-day delinquencies falling 4.5% to a low not July ended on a Sunday, causing delayed payments
seen since April 2020
» Total outflow improved 15%, led by a bounce in cures from 30 days delinquent, up 17% to 297K
» New delinquency inflow – loans rolling from current to 30 days past due – decreased – a level not seen since March
50K (-13.6%) in August from July’s elevated level, and is 23% below pre-pandemic levels
» Cures on seriously delinquent loans rebounded to 10.5% in August, up from 9.7% in the prior
» Rolls to worsening delinquencies were largely flat, with 30- to 60-day transitions falling month and compared with a March peak of 13.3%
-2.5% and 60- to 90-day transitions rising 1.1%, both well below pre-pandemic levels
AUGUST 2022 | 5
MORTGAGE MONITOR
REFINANCE
REFINANCECANDIDATES
CANDIDATESBYBY
MONTH
MONTH
Refinance Candidates (left axis) Freddie 30-Year Fixed Rate (right axis)
30-YEAR MORTGAGE TO 10-YEAR TREASURY SPREAD
30-YEAR MORTGAGE TO 10-YEAR TREASURY SPREAD
20 M 8%
Spread 10-YR Treasury OBMMI 30-YR Conforming Rate
7%
18 M
7%
6% 16 M
6%
14 M
5%
5%
12 M
4%
10 M 4%
3% 8M
3%
6M
2%
2%
4M
1%
1%
2M
0% 0M 0%
3
9
-0
-0
-0
-1
-0
-0
-0
-1
-0
-0
-0
-1
-0
-0
-0
-0
-1
-0
-0
-0
-1
-0
-0
-0
9
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
17
17
17
17
18
18
18
18
19
19
19
19
20
20
20
20
20
21
21
21
21
22
22
22
01
02
03
04
05
06
07
08
09
10
11
12
13
14
15
16
17
18
19
20
21
22
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
Source: Black Knight, Optimal Blue Mortgage Market Index (OBMMI) Source: Black Knight, McDash
As of September 22, 2022
Source: Black Knight, Optimal Blue Mortgage Market Index (OBMMI) As of September 22, 2022
» Renewed inflation concerns and anticipation of the recent 75 BPS Fed rate hike in » Of the roughly 0.5% of mortgage holders with refi incentive, almost all have held their
September caused 30-year rates to surge to their highest level since 2008 mortgages since 2008 – more than half pre-dating 2004 – leaving little incentive to
refinance beyond accessing record equity
» 30-year rates surged to 6.29% as of Sept. 22, leaving only 278K refinance candidates –
those with 75 BPS of incentive who also meet broad-based underwriting criteria – » The spread between the 10-year Treasury and 30-year mortgage rates remains wide
the smallest such population since January 2000 – nearly 75 BPS above the long-run average – due to a combination of economic
uncertainty, questions regarding the near record balance of mortgages on the Fed’s
balance sheet and potential prepayment risk
AUGUST 2022 | 6
MORTGAGE MONITOR
RATE LOCKCOUNT
RATE LOCK COUNTBY
BYWEEK
WEEK PURCHASE
PURCHASERATE
RATELOCK
LOCK COUNTS
COUNTS BY
BY YEAR AND WEEK
YEAR AND WEEK
(TRAILING 3-WEEK MOVING AVERAGE)
(3-WEEKMOVING
(3-WEEK MOVINGAVERAGE)
AVERAGE) (TRAILING 3-WEEK MOVING AVERAGE)
160
Purchase Refi Cashout Refi Rate/Term
200
140
175
120
150
100
125
80
100
75 60
50 40
25
20
2018 2019 2020 2021 2022
-
0
3/ 8
5/ 8
7/ 8
9/ 8
12 8
8
10 19
4/ 0
6/ 0
8/ 0
1 0 /2 0
5/ 2
7/ 2
9/ 2
2
1 2 /19
2/ 9
1 2 /20
2/ 0
19
19
8/ 9
21
21
11 1
22
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
1
2
/1
/1
/1
/1
/1
/1
/2
/2
/2
/2
/2
/2
/2
/2
/2
1
2
3
4
5
6
7
8
9
1
2
4/
6/
/
2/
6/
8/
1/
3/
4/
8/
20
24
26
28
29
/1
10
15
18
20
22
27
/6
12
14
16
17
2
4
/1
/1
/2
/2
2/
4/
6/
5/
7/
9/
1/
Week Number
1/
3/
Source: Black Knight, Optimal Blue Source: Black Knight, Optimal Blue
As of September 17, 2022 As of September 17, 2022
Source: Black Knight, Optimal Blue
Source: Black Knight, Optimal Blue As of September 17, 2022
» Rising rates continue to put downward pressure on rate lock volumes » Purchase locks are down 33% from the same time last year and down 16% from pre-
pandemic levels, marking the lowest purchase demand in more than four years
» While purchase locks in the week ending September 17 were up 15% from the same
time in August – likely driven by a post-back-to-school rise in purchase demand – » Likewise, refinance rate locks continue to slump, with the three week average of rate/term
the three week average is down 6% month over month refis down another 13% month over month and cash-outs, which currently drive over 95%
of refinance activity, down a more severe 24%
AUGUST 2022 | 7
MORTGAGE MONITOR
REFINANCETRANSACTION
REFINANCE TRANSACTION DETAILS
DETAILS INTEREST RATE CHANGE ON REFINANCE TRANSACTIONS
Cash-out Share of Refi Transactions Average Interest Rate Change on All Refis
INTEREST RATE CHANGE ON REFINANCE TRANSACTIONS
+1.5% Rate Increase Down 0%-0.49% Down 0.50%-0.99% Down 1.00%-1.49% Down 1.50%-1.99% Down 2%+
+1.3%
+1.0% 100%
+0.4%
+0.5%
90%
+0.0%
-0.5% 80%
-1.0% 70%
-1.5% -1.3%
60%
-2.0%
100%
-0.025 50%
-0.03 80%
40%
-0.035
60%
-0.04 30%
-0.045 40% 20%

-0.05
20% 10%
-0.055
-0.06 0% 0%
7
7
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
05
06
07
08
09
10
11
12
13
14
15
16
17
18
19
20
21
22
05
06
07
08
09
10
11
12
13
14
15
16
17
18
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20
21
22
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20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
20
Source: Black Knight, McDash Property Module Source: Black Knight, McDash Property Module
Source: Black Knight, McDash Property Module
Source: Black Knight, McDash Property Module
» Our latest McDash® Property Module data shows that more than 95% of all refinances » That comes less than 18 months after the average borrower reduced their interest rate by
closed in July were cash-out transactions, the highest such share on record ~1.3 pp through refinance, as reported in March of last year
» More noteworthy, 86% of all refinances in the month resulted in the borrower » What’s clear in looking at refinance activity in today’s market is that traditional in-the-
increasing their interest rate, also the highest share dating back to 2005 money analysis does not capture current borrower motives; lenders looking to capture
refinance market share and predict prepayment risk need to dig deeper into the data
» The average July refinance resulted in borrowers increasing their interest rate by 1.3
percentage points (pp), the largest rise on record
AUGUST 2022 | 8
MORTGAGE MONITOR
CUMULATIVE PREPAYMENT RATE (SMM) BY BUSINESS DAY DAILY AVERAGE VS. CUMULATIVE PREPAYMENT RATE (SMM)
CUMULATIVE(MCDASH
PREPAYMENT
FLASH -RATE (SMM) BY BUSINESS DAY
GSE MORTGAGES) DAILY AVERAGE VS CUMULATIVE
(MCDASH PREPAYMENT
FLASH - GSE MORTGAGES)RATE (SMM)
(MCDASH FLASH - GSE MORTGAGES)
(MCDASH FLASH - GSE MORTGAGES)
2.0% Cumulative Prepayment Rate (SMM) Daily Average Prepayment Rate
2022-01 2.0% 0.10%
1.8% 2022-02
2022-03 1.8% 0.09%
1.6%
Cumulative Prepayment Rate (SMM)
2022-04 1.6% 0.08%
Cumulative Prepayment Rate (SMM)
Daily Average Prepayment Rate

1.4% 2022-05
1.4% 0.07%
2022-06
1.2%
2022-07 1.2% 0.06%
1.0% 2022-08
1.0% 0.05%
2022-09*
0.8%
0.8% 0.04%
0.6%
0.6% 0.03%
0.4%
0.4% 0.02%
0.2%
0.2% 0.01%
0.0%
0.0% 0.00%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23
2022-01 2022-02 2022-03 2022-04 2022-05 2022-06 2022-07 2022-08 2022-09*
Business Day of Month
Source: Black Knight, McDash Flash Source: Black Knight, McDash Flash, As of September 21, 2022
Source: Black Knight, McDash Flash
As of September 21, 2022 *Cumulative
As of SeptemberPrepayment
21, 2022 Rate (SMM) based on average daily prepays through September 21, 2022
Source: Black Knight, McDash Flash *Cumulative Prepayment Rate (SMM) based on average daily prepays through September 21, 2022
» While overall prepayment activity (SMM) was up marginally (+1 BPS), that result is due » The average daily prepayment rate has fallen another 8% from August through
to August having three more business days in the month than July, rather than an mid-September, and September will have two fewer business days for prepayment
increase in refi and purchase activity activity to accrue
» When looking specifically at GSE mortgages, Black Knight McDash Flash daily » This, along will the continued decline in both refinance and purchase locks in the Black
mortgage performance data shows the average prepayment rate per day was down Knight Optimal Blue data set, suggests a likely return to the falling prepayment trend
13% from July to August
AUGUST 2022 | 9
AUGUST 2022 FORBEARANCE ACTIVITY UPDATE
MORTGAGE MONITOR Here we take a closer look at active forbearance volumes, including starts, removals and extensions. We break down the
population of borrowers that have exited forbearance and take a closer look at how they’re performing on their mortgages post
forbearance. This information has been compiled from the Black Knight McDash Flash daily loan-level mortgage performance
database. Click on each chart to view its contents in high resolution.
ACTIVE FORBEARANCE PLANS
ACTIVE
ACTIVE
FHA/VA
FORBEARANCE
FORBEARANCE
Fannie/Freddie
PLANS
Other PLANS
Total
NEW FORBEARANCE
NEW FORBEARANCE PLAN
PLANSTARTS
STARTSBY
BYINVESTOR
INVESTOR
FHA/VA Fannie/Freddie Other Total
FHA / VA GSE Portfolio / PLS
5,000,000
40,000
5,000,000
4,000,000 35,000
4,000,000
30,000
3,000,000
25,000
3,000,000
2,000,000
20,000
2,000,000
1,000,000
15,000
10,000
1,000,000 0
0
2
20
20
21
21
22
20
21
2
02
02
02
02
02
02
02
02
02
02
02
02
02
02
02
20
20
20
20
20
20
20
20
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
5,000
1/
9/
2/
9/
4/
3/
0/
0/
11
19
30
/1
12
23
12
22
31
/1
11
23
12
23
13
4/
9/
4/
9/
4/
8/
/2
/2
12
12
5/
6/
7/
1/
2/
5/
6/
7/
1/
2/
5/
6/
9/
10
10
0
c Fannie & Freddie FHA & VA Other** Total 0
0
2
20
20
21
21
22
22
20
21
LoansSource:
in Forbearance*
McDash Flash 121,000 206,000 186,000 513,000
02
02
02
02
02
02
02
02
02
02
02
02
02
02
02
20
20
20
20
20
20
20
20
2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
20
21
21
22
22
20
20
21
21
UPB ofAsLoans
of September 13, 2022 ($Bil)*
1/
in Forbearance
9/
$24
2/
$36
9/
$30
4/
$91
3/
0/
0/
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
11
19
30
/1
12
23
12
22
31
/1
11
23
12
23
13
7/
2/
8/
4/
2/
0/
2/
2/
3/
4/
9/
4/
9/
4/
8/
/2
/2
26
18
29
16
27
20
31
15
29
10
21
13
12
12
5/
6/
7/
1/
2/
5/
6/
7/
1/
2/
5/
6/
9/
7/
2/
6/
1/
8/
/1
/2
/1
/2
10
10
Share of Loans in Forbearance* 0.4% 1.7% 1.4% 1.0%
5/
8/
9/
3/
4/
7/
8/
2/
3/
5/
6/
9/
11
12
10
11
Week Ending
Source: McDash
Source: McDash Flash, As of September 13, 2022
Flash
As of September
Source:
*Figures McDash
in this 13, 2022
report Flash
are based on observations from the Black Knight McDash Flash data set and are extrapolated to estimate the full mortgage market
*Figures inSeptember
this report are
Source: McDash Flash
As of
**Other category 13,based
includes 2022inonportfolios,
held observations fromlabeled
private Black Knight’s McDash
securities, or byFlash
otherdataset
entitiesand are extrapolated to estimate the full
mortgage market
**Other category includes held in portfolios, private labeled securities, or by other entities
» As of Sept. 13, there were 513K – 1% of total – mortgages remaining in active » We saw 28K restarts and 13K new plan starts in the week ending Sept. 13; FHA dominated
forbearance including 1.7% of FHA/VA, 1.4% of Portfolio/PLS, and 0.4% of GSE with around 6.4K starts, GSEs 4K, and PLS with 2,8K new starts, in line with intra-month
swings of recent months
» The rate of improvement held steady, with GSE volumes decreasing -9.4K (-7.2%) from
the prior month, followed by Portfolio/PLS (-8.9K, -4.6%) and FHA/VA (-2.5K, -1.2%) » FHA/VA continues to make up the largest share of plan starts, but starts for all
investor types have held relatively steady over the past few months, this week’s bump
» Despite an uptick of 20K (4.0%) in plan volume, new forbearance plan starts had notwithstanding
remained relatively flat since March, with FHA/VA starts numbering around 5K per
week and GSE and PLS each hovering around 3K (except for a spike in late April) » Servicers will face more manageable exit volumes in coming months with
fewer than 50K final plan expirations, on average, per month through the
end of the year
AUGUST 2022 | 10
MORTGAGE MONITOR
CURRENT
CURRENTSTATUS
STATUSOF
OFCOVID-19
COVID-19RELATED
RELATEDFORBEARANCES
FORBEARANCES
BREAKDOWN OFLOANS
BREAKDOWN OF LOANSTHAT
THAT REMAIN
REMAIN DELINQUENT
DELINQUENT
FOLLOWING FORBEARANCE PLAN EXIT
FOLLOWING FORBEARANCE PLAN EXIT
(EXCLUDINGLOANS
(EXCLUDING LOANS IN ACTIVE
ACTIVELOSS
LOSSMITIGATION OR FORECLOSURE)
MITIGATION OR FORECLOSURE)
Removed/Expired - 8.3 Million Already DQ Entering Pandemic Became DQ During Pandemic
Performing
4,258,000 Forbearances 200000
51%
Removed/Expired -
Delinquent - Active Loss Mit 150000
264,000
3%
Active Forbearance - 100000

Term Extended Removed/Expired -
356,000 Delinquent
4% 394,000
5%
50000
Active Forbearance -
Removed/Expired -
Original Term
Active FC
157,000
94,000
2%
1% 0
Paid Off 30 Days DQ 60 Days DQ 90 Days DQ 120+ Days DQ
Source: McDash Flash 2,728,000
As of September 13, 2022 33% Source: McDash Flash

» All in, nearly 8.3M borrowers have been in a forbearance plan at some point since the » While the number of borrowers in post-forbearance loss mitigation is dropping, the number
onset of the pandemic who remain delinquent following post-forbearance loss mitigation continues to rise
» 94% have since exited their plans, with more than half reperforming and another 33% » 394K such borrowers exist today, up from 263K at the start of the year
having paid off their mortgages in full, while 6% remain in active forbearance
» Despite the rise, more than half are only 30 days delinquent, with fewer than 90K borrowers
» The 264K loans in post-forbearance loss mitigation is down from 470K entering the year, being more than 120 days delinquent with the potential for near-term foreclosure referral
as servicers worked through the wave of plan exits in late 2021
» 94K loans are now in post-forbearance active foreclosure, with 60% involving borrowers
who were already delinquent prior to the pandemic
AUGUST 2022 | 11
MORTGAGE MONITOR
CURRENT STATUS OF LOANS THAT HAVE LEFT COVID-19 CURRENT STATUS OF LOANS THAT HAVE LEFT COVID-19
CURRENT STATUS OF LOANSFORBEARANCE PLANS
THAT HAVE LEFT COVID-19 FORBEARANCE PLANS CURRENT STATUS OF LOANS FORBEARANCE PLANS
THAT HAVE LEFT COVID-19 FORBEARANCE PLANS
Performing Paid Off Active Loss Mit Delinquent Active Foreclosure Distressed Liquidation Performing Paid Off Active Loss Mit Delinquent Active Foreclosure Distressed Liquidation
800,000 100%
90%
700,000
80%
600,000
70%
500,000
60%
400,000 50%
300,000 40%
30%
200,000
20%
100,000
10%
- 0%
11 20
12 20
1/ 0
11 21
12 21
1/ 1
5/ 0
6/ 0
7/ 0
8/ 0
9/ 0
1 0 20
2/ 1
3/ 1
4/ 1
5/ 1
6/ 1
7/ 1
8/ 1
9/ 1
1 0 21
2/ 2
22
4/ 2
22
6/ 2
7/ 2
8/ 2
9/ 2
22
11 0
12 0
0
11 1
12 1
1
20
20
20
20
20
1 0 20
21
21
21
21
21
21
21
21
1 0 21
22
22
22
22
22
22
22
22
22
2
2
/2
/2
/2
/2
/2
/2
/2
/2
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
/
/
/1
/1
/1
/1
/1
/1
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
1/
/1
/1
/1
/1
/1
/1
4/
3/
5/
4/
5/
6/
7/
8/
9/
1/
2/
3/
4/
5/
6/
7/
8/
9/
1/
2/
3/
4/
5/
6/
7/
8/
9/
Source: McDash Flash Plan Exit Month Plan Exit Month
As of September 13, 2022 12%
Source: McDash 18%
Flash 6%
As of September 13, 2022 Source: McDash Flash
» Just over 2M borrowers have left forbearance plans since the beginning of October 2021, » A rising share (approaching 20%) of borrowers exiting forbearance are having trouble
with the largest volume of exits in October and November returning to making payments
» Exits continue at a rate of more than 100K per month, with fewer than 50K per month » In total, there are more than 145K borrowers who left forbearance plans more than 120
scheduled for final expiration days ago and remain in active loss mitigation, representing more than half of all loans in
post-forbearance loss mitigation
» Around 11% of plan exits since October 2021 remain in loss mitigation awaiting a potential
workout option » We continue to keep a close eye on this population, as servicers have likely now had time
to review workout options
AUGUST 2022 | 12
AUGUST 2022 HOUSING MARKET TRENDS
MORTGAGE MONITOR Here we examine recent changes in home prices, affordability and inventory levels across the country, with a closer look at
what it may mean for borrower equity levels. We look at which markets are facing the biggest headwinds. This information has
been compiled from the original Black Knight McDash loan-level mortgage performance database, the Black Knight Home Price
Index, Collateral Analytics and other public and proprietary data sets. Click on each chart to view its contents in high resolution.
BLACK KNIGHT HOME PRICE INDEX 1-MONTHCHANGE

1-MONTH CHANGEIN
IN MEDIAN
MEDIAN HOME
HOME PRICE
PRICE
BLACK KNIGHT HOME PRICE INDEX (BLACKKNIGHT
(BLACK KNIGHTHOME
HOME PRICE
PRICE INDEX)
INDEX)
1-Month Home Price Change Annual Home Price Growth Rate Average Year (1991-2021) This Year (2022)
+25% 3.0%
+2.73%
+2.52%
+2.27%
+20% 2.4% +3.00%
+15% 1.8%
Annual Home Price Growth Rate
+1.49%
1-Month Home Price Change
+1.33%
+12.1% +2.00%
+10% 1.2%
+0.78%
+0.77%
+0.74%
+0.64%
+0.43%
+0.38%
+5% 0.6% +1.00%
+0.22%
+0.16%
+0.07%
+0.06%
+0.05%
+0.05%
0% 0.0%
0.00%
-5% -0.6%
-0.00%
-10% -1.2%
-0.98%
-1.00%
-0.98%
-1.05%
-15% -1.8%
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
20 8
8
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-2.00%
00
01
02
03
04
05
06
07
08
09
10
11
12
13
14
15
16
17
18
19
20
21
22
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
20
Source: Black Knight Home Price Index (HPI) Source: Black Knight Home Price Index (HPI)
Source: Black Knight Home Price Index (HPI) Source: Black Knight Home Price Index (HPI)
» According to the Black Knight HPI, median home prices fell 0.98% in August, only marginally » With the current rate of monthly price declines rivaling, and in many markets outpacing,
better than July's upwardly revised 1.05% monthly decline those of the Great Recession, the question becomes how long this trend will continue
» July and August 2022 mark the largest single-month price declines seen since January 2009 » All in, the average home price is down 2% ($8.8K) from its June peak nationally as we
and rank among the eight largest on record enter a five-month span from September through January in which home prices tend to
face more neutral to negative seasonal pressure
» The housing market has not seen such a significant two-month drop in prices since shortly
after the collapse of Lehman Brothers in the winter of 2008 » Prices are beginning to come off post-pandemic peaks but remain up 12.1% from the
same time last year due to the record growth seen in late 2021 and early 2022
» Annual home price growth rates are poised to continue falling

in coming months
AUGUST 2022 | 13
MORTGAGE MONITOR
CHANGE IN MEDIAN HOME PRICE FROM 2022 PEAK

CHANGE IN MEDIAN HOME PRICE FROM 2022 PEAK
Prices have pulled back from peak levels

in 97 of the nation’s 100 largest markets,
including all of the top 50
-5.3%
-3.5%
0.0%
-2.5% » While ~20% of markets have seen only marginal declines (<1%)
-1.5%
so far, a third have experienced drops of 3% or more – including
-2.5%
-1.9%
-1.4% nine where prices have fallen more than 5%
-6.4%
-1.1% -0.8%
-1.3% » San Jose (-13%/-$203K) has seen the sharpest correction,
followed by San Francisco (-10.8%/-$137K) and Seattle (-9.9%/
-1.6%
-13.0%
-3.1%
-$82.5K)
-3.1%
-0.9% -1.9%
-1.8%
» The largest declines continue to be concentrated on the West
-1.5% -2.1% Coast, but cracks are beginning to form elsewhere
-5.9%
-7.6% -1.7%
≤ -10.0%
-8.0% Change from Peak HPI » Las Vegas, Austin, Minneapolis, Washington, Raleigh and
-6.0% Slight Decline (< 0% to -1%) .
-1.1% -2.0%
Nashville have also shed 3% of home values in recent months,
-1.1%
-4.0% Modest Decline (-1% to -3%) . and that list of non-western markets is likely to continue to grow
0.0% Strong Decline (< -3%) . -1.9%
-0.8%
Source: Black Knight Home Price Index (HPI)

Source:
August Black Knight Home Price Index (HPI)
2022
August 2022
AUGUST 2022 | 14
MORTGAGE MONITOR
DECLINE ININMEDIAN
DECLINE HOME
AVERAGE HOMEPRICE FROMRECENT
PRICE FROM RECENT PEAK
PEAK
(BLACK KNIGHT
(BLACK KNIGHTHOME
HOMEPRICE INDEX––50
PRICE INDEX 50LARGEST
LARGEST MARKETS)
MARKETS)
Price pullbacks moderated in August for
As of May As of June As of July As of August
some of the most severely impacted markets,
while some, including Las Vegas, Raleigh,
A
,C
CA
N
A
C
M
NV
,C
CA
D
co
A
CA
and Nashville, saw even steeper month-over-
N
R
s,
is,
n,
,C
C
AZ
to
cis
CO
A
,T
O
o,
s,
le
to
,W
ol
,N
X
en
e,
ge
ga
se
an
eg
lle
d,
,T
x,
ap
ng
id
r,
am
igh
Jo
tl e
An
an
Ve
ni
Fr
month declines
Di
vi
e
hi
rs
in
ne
oe
sh
nv
at
le
cr
r tl
as
st
ve
n
in
s
s
Sa
Sa
Se
Sa
De
Sa
Ph
Po
Au
Ra
Na
Lo
La
W
Ri
M
0.0%
-2.0%
» Prices in San Jose, which experienced drops of 4.1% and 4.2% in
June and July respectively, fell by a still sharp, but more modest,
-3.1%
-4.0%
-3.1%
-3.2%
-3.5%
-3.8%
2.6% in August
-4.0%
-4.9%
-6.0%
-5.3%
» San Francisco, Seattle, San Diego, Denver, Sacramento and
-5.8%
-5.9%
-6.1%
-6.4%
-8.0% Los Angeles also saw smaller declines in August than in

-7.6%
preceding months
-10.0%
» Sharply rising rates and worsening affordability through
-9.9%
-10.8%
-12.0% September may put renewed pressure on prices moving into

fall and winter
-13.0%
-14.0%

August 2022

August 2022
AUGUST 2022 | 15
MORTGAGE MONITOR
PAYMENT-TO-INCOME
PAYMENT-TO-INCOMERATIO
RATIOVS.
VS. 30-YEAR RATES
30-YEAR RATES
Payment-to-Income Ratio (Left Axis) Freddie 30-Year Fixed Mortgage Rate (Right Axis)
After seeing some improvement in July
60% 20.0%
and early August, surging 30-year rates
18.0% have pushed home affordability to its
50% worst level in 37 years
16.0%
14.0%
40% 36.6%
33.8% 12.0% » As of Sept. 22, with interest rates at 6.29%, it required 36.6%
of the median household income to make the principal and
30% 10.0%
interest payment on the average home purchase, the largest
8.0% share since May 1985
20% 6.29%
6.0% » Back then, 30-year mortgage rates were 12.9%, nearly twice
what they are today, but incomes and home prices held
4.0% relatively stable
10%
2.0% » The monthly mortgage payment (P&I) required to purchase the
average-priced home with a 20% down payment is now up
0% 0.0%
$840 from the same time last year, a staggering 66% increase
9*
19 9
19 9
19 9
19 9
19 9
19 9
19 9
19 9
19 9
19 9
19 9
20 9
20 9
20 9
20 9
20 9
20 9
20 9
20 9
20 9
20 9
20 9
2 0 09
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-0
-
76
78
80
82
84
86
88
90
92
94
96
98
00
02
04
06
08
10
12
14
16
18
20
22
» Renewed affordability challenges are likely to continue to put
19
downward pressure on both purchase volumes and prices

Source: Black Knight Home Price Index, FHLMC PMMS, Census Bureau in coming months
*TheSource:
National Black Knight Home
Payment-to-Income RatioPrice
is theIndex,
share ofFHLMC PMMS,
median income Census
needed Bureau
to make the monthly principal and interest payment
on the purchase of the average-priced home using a 20% down 30-year fixed rate mortgage at the prevailing interest rate
*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 average-priced home using a
20% down 30-year fixed rate mortgage at the prevailing interest rate
AUGUST 2022 | 16
MORTGAGE MONITOR
MOST AFFORDABLE MARKETS

Payment-to-Income Payment-to-Income
Rank Geography (CBSA) Difference
Ratio 1995-2003 Avg 71 of the nation’s 100 largest markets are
1 St. Louis, MO 24.1% 19.6% +4.5%
now at more than three-decade lows in
2 Detroit, MI 24.3% 21.8% +2.5%
3 Kansas City, MO 25.1% 19.2% +5.9% terms of home affordability
4 Cincinnati, OH 25.3% 21.4% +4.0%
5 Cleveland, OH 25.4% 21.6% +3.8%
6 Chicago, IL 25.7% 23.5% +2.2%
7 Pittsburgh, PA 25.8% 21.7% +4.1%
8 Louisville, KY 26.3% 21.1% +5.2% » Some major markets, including Los Angeles and San Diego,
9 Milwaukee, WI 26.9% 20.6% +6.4% are even less affordable than they were during the lead up
10 Baltimore, MD 27.2% 21.4% +5.8% to the Global Financial Crisis, while San Jose – where prices
have already fallen 13% from their May peak – has become
LEAST AFFORDABLE MARKETS just a hair more affordable
Payment-to-Income Payment-to-Income » In Las Vegas, Miami, Los Angeles and Phoenix it requires
Rank Geography (CBSA) Difference
Ratio 1995-2003 Avg more than 2X the long-run average share of median income
41 Sacramento, CA 46.1% 27.2% +18.9% to purchase the median-priced home
42 Seattle, WA 47.4% 27.2% +20.2%
43 Riverside, CA 47.8% 25.7% +22.1%
44 New York-Newark, NY-NJ 48.7% 28.1% +20.6%
45 Miami, FL 50.4% 24.4% +26.0%
46 Las Vegas, NV 54.1% 23.6% +30.6%
47 San Francisco, CA 56.7% 35.0% +21.7%
48 San Jose, CA 61.3% 34.2% +27.1%
49 San Diego, CA 64.2% 34.2% +30.0%
50 Los Angeles, CA 72.1% 35.5% +36.6%
AUGUST 2022 | 17
MORTGAGE MONITOR
ANNUAL HOME PRICE GROWTH RATE BY CBSA
ANNUAL HOME PRICE GROWTH RATE BY CBSA MARKETS WITH HIGHEST HOME PRICE GROWTH RATES
Annual Home Price
Rank Geography (CBSA)
Growth Rate
1 Miami, FL +24.4%
6% 2 Tampa, FL +23.5%
3 Orlando, FL +21.1%
4 Dallas, TX +20.1%
6%
5% 5 Jacksonville, FL +19.1%
6 Nashville, TN +18.5%
7 Raleigh, NC +17.7%
14%
8%
8 Charlotte, NC +17.0%
8%
9 Atlanta, GA +16.6%
13% 8% 11% 10 San Antonio, TX +15.3%
12% 10%
8%
11% 10%
8% MARKETS WITH LOWEST HOME PRICE GROWTH RATES
Annual Home Price
1% 10% Rank Geography (CBSA)
Growth Rate
19% 18%
12%
11% 17% 41 Detroit, MI +7.6%
7% Current YoY HPA 42 Los Angeles, CA +7.2%
12% 17%
10% 12% 0% 30% 43 New Orleans, LA +7.1%
20%
44 Seattle, WA +6.3%
Change in HPA Growth ≤ 10%
Modest Cooling (1-5 pp) 15% 45 Washington, DC +5.8%
Strong Cooling (5-10 pp) 14% 7%
20% 46 Portland, OR +5.5%
15%
Severe Cooling (10+ pp) 25% 47 Minneapolis, MN +4.8%
24%
30% 48 Sacramento, CA +3.8%
49 San Jose, CA +1.2%
24%
Source: Black Knight Home Price Index (HPI) 50 San Francisco, CA +0.3%
August 2022

» After seeing all2022
August major U.S. markets hit double-digit home price growth earlier this year for the first » Slowing has been more moderate across the Midwest and parts of the Southeast, with
time on record, annual home price growth rates are now universally (but not uniformly) slowing Miami, Tampa, Orlando and Dallas still registering >20% annual gains as of August
» 30% of markets are now down to single-digit home price growth rates, while ~1 in 5 remain at or » While all major markets are still seeing home prices up year over year, that’s likely to
above 20% change in coming months
» The most significant slowing has come in formerly hot markets, including Austin, San Jose, » San Francisco is likely to be the first market to see annual home prices decline year
Sacramento, Phoenix, Seattle, San Diego and San Francisco, where home price growth rates over year, as prices, which rose as high as 19.5% earlier in the year, were
cooled by 15 to 26 percentage points in recent months essentially flat by the end of August; neighboring San Jose is likely
to be in a similar position
AUGUST 2022 | 18
MORTGAGE MONITOR
MONTHSOF
MONTHS OFINVENTORY
INVENTORY REMAINING
REMAININGVS
VS.INVENTORY
INVENTORYCHANGE
CHANGE CHANGE
CHANGEFROM
FROMPEAK
PEAKPRICE PER
PRICE LIVING
PER AREA
LIVING AREA
(COLLATERAL ANALYTICS
(COLLATERAL ANALYTICS ––SEASONALLY
SEASONALLYADJUSTED)
ADJUSTED) Change From Peak 2022 Peak Price Current Price
MoM Change in Inventory Months of Inventory (SA)
T
C
,U
N
,M
o,
CA
ity
16
A
200K
sc
,C
lis
O
C
IL
,
i
go
W
I
nc
X
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M
se
e
o,
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ap
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ak
a
na
e,
er
it,
Jo
ag
Fr
Di
in
ne
tl
ro
v
io
at
st
c
en
n
14 150K
lt
in
et
at
hi
Sa
Sa
Se
Au
Sa
Sa
Change from Peak Price per Square Foot
M
D
N
0%
12 100K
-5%
10 50K
-10%
8 0K -15%
-20%
6 -50K
Price per Square Foot

-25% $1,500
29
4 -100K
,0
41
3.0
$1
$9
$1,000
29
30
87
2 -150K
$5
98
$4
$3
58
1.7 $500
91
91
$2
67
46
$2
$1
$1
$1
$1
0 -200K
$0
2 0 - 02
2 0 - 09
2 0 - 04
2 0 - 11
2 0 - 06
2 0 - 01
2 0 - 08
2 0 - 03
2 0 - 10
2 0 - 05
2 0 - 12
2 0 - 07
2 0 - 02
2 0 - 09
2 0 - 04
2 0 - 11
2 0 - 06
2 0 - 01
2 0 - 08
2 0 - 03
2 0 - 10
2 0 - 05
2 0 - 12
2 0 - 07
2 0 - 02
2 0 - 09
2 0 - 04
2 0 - 11
2 0 - 06
2 0 - 01
8
-0
05
05
06
06
07
08
08
09
09
10
10
11
12
12
13
13
14
15
15
16
16
17
17
18
19
19
20
20
21
22
22
20
Source: Black Knight, Collateral Analytics Source: Black Knight, Collateral Analytics
Source: Black Knight, Collateral Analytics
Source: Black Knight, Collateral Analytics
» After rising sharply from May through July, for-sale inventory levels stalled in August, » It will be worth watching inventory levels closely in coming months for any sign of a shift
growing at just 1/10th the rate of recent months, as sellers appeared to take a step back in seller sentiment
from the market
» Collateral Analytics data shows that price per square foot declines are even sharper
» The national inventory deficit held relatively steady at -44%, with the market remaining than price corrections being picked up by traditional home price indexes
more than 600K listings short as compared to pre-pandemic levels
» Nationally the median price per square foot has fallen by more than 4% in recent months,
» Sellers are likely being deterred by both falling demand and prices, along with a growing from $199/sq ft in May to $191/sq ft in August
disincentive to give up historically low interest rate mortgages in a sharply rising rate
environment
AUGUST 2022 | 19
MORTGAGE MONITOR
In a “normal” market, all metros in this chart

Increasingly would be sitting on top of the 0%/0% axis
Inventories Returning
-70%
Baltimore, MD
Milwaukee, WI Virginia Beach, VA Philadelphia, PA Unaffordable where active listings and affordability are
Providence, RI
both at their long-run averages
to Balance
Cincinnati, OH
Active For Sale Inventory as % of 2017-2019 Same Month Average
-60%
Cleveland, OH
Jacksonville, FL
Indianapolis, IN
-50%
Chicago, IL Miami, FL
Washington, DC Charlotte, NC Orlando, FL
-40% » The further to the right on the chart, the less affordable a market
Boston, MA New York, NY
Atlanta, GA
Tampa, FL is compared to its long-run average
-30% Detroit, MI
Pittsburgh, PA Portland, OR » The higher a market appears, the larger its deficit of active listings
-20% St. Louis, MO Dallas, TX Los Angeles, CA
San Antonio, TX
Sacramento, CA Nashville, TN San Diego, CA
» We’re now seeing five major markets (Las Vegas, Phoenix, San
-10% Riverside, CA Francisco, San Jose and Austin) have returned to pre-pandemic
Kansas City, MO
Minneapolis, MN
Seattle, WA inventory, with Seattle on the cusp
0%
Austin, TX
Houston, TX
San Jose, CA
» Denver, Sacramento and Nashville, with inventory deficits below
10% 25%, have all seen strong pullbacks in recent months
Denver, CO
San Francisco, CA
20% Phoenix, AZ » Though it takes 2X the long-term average share of local median
Change from Peak HPI ≤ -10.0% income to purchase the average-priced Miami home, prices have
30% Slight Decline (< 0% to -1%) . -8.0% pulled back only slightly and inventory remains more than 50%
Modest Decline (-1% to -3%) . -6.0%
Strong Decline (< -3%) .
below pre-pandemic levels
40% -4.0%
-0.1% Las Vegas, NV
» Prices are also holding relatively strong in New York City despite
50%
only a 30% inventory deficit and similar affordability challenges to
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 110% 120% 130% west coast markets Seattle, San Jose and San Francisco, which
Payment-to-Income Ratio as % Change from 1995 to 2003 Average have seen prices pull back strongly from peak levels
Source: Black Knight, Census Bureau, Realtor.com, FHLMC PMMS, Moody’s » While markets have not shifted left toward affordability, this is
now primarily due to continued rising interest rates pushing
in the opposite direction of falling prices
AUGUST 2022 | 20
AUGUST 2022 APPENDIX
MORTGAGE MONITOR
AUGUST 2022 DATA SUMMARY

Monthly YTD Yearly
Aug-22
Change Change Change
Delinquencies 2.79% -3.61% -15.44% -30.26%
Foreclosure 0.35% -0.01% 23.69% 29.23%
Foreclosure Starts 20,300 14.69% -38.30% 185.92%
Seriously Delinquent
1.41% -3.56% -25.60% -49.58%
(90+) or in Foreclosure
New Originations
442K -25.4% -51.1% -57.5%
(data as of Jul-22)
Aug-22 Jul-22 Jun-22 May-22 Apr-22 Mar-22 Feb-22 Jan-22 Dec-21 Nov-21 Oct-21 Sep-21 Aug-21
Delinquencies 2.79% 2.89% 2.84% 2.75% 2.80% 2.84% 3.36% 3.30% 3.38% 3.59% 3.74% 3.91% 4.00%
Foreclosure 0.35% 0.35% 0.36% 0.33% 0.32% 0.32% 0.31% 0.28% 0.24% 0.25% 0.26% 0.26% 0.27%
Foreclosure Starts 20,300 17,700 23,800 18,800 21,400 24,300 25,000 32,900 4,100 3,700 4,000 3,900 7,100
Seriously Delinquent
1.41% 1.46% 1.48% 1.45% 1.52% 1.62% 1.79% 1.89% 2.02% 2.18% 2.34% 2.59% 2.79%
(90+) or in Foreclosure
New Originations 442K 593K 614K 672K 773K 672K 712K 903K 928K 1019K 1070K 1107K
TOTAL DELINQUENCIES NEW ORIGINATIONS
1107K
1070K
4.00%
3.91%
1019K
3.74%
3.59%
928K
3.38%
3.36%
903K
3.30%
2.89%
773K
2.84%
2.80%
2.84%
2.75%
2.79%
712K
672K
672K
614K
593K
442K
21
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AUGUST 2022 | 21
MORTGAGE MONITOR
LOAN COUNTS AND AVERAGE DAYS DELINQUENT
TOTAL Average Days Average Days

Total Ratio of 90 + Monthly Yearly Monthly Yearly
Month ACTIVE 30 DAYS 60 DAYS 90 + DAYS FC FC Starts Delinquent for Delinquent for DQ% FC%
Non-Current to FC Change Change Change Change
COUNT 90+ 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% 4.2% 6.5% -8.2% 0.6% 2.2% -19.2%
1/31/06 50,900,620 1,242,434 387,907 542,378 258,613 2,431,332 76,477 207 308 209.7% 4.3% -6.1% 2.0% 0.5% 5.4% -12.4%
1/31/07 53,900,458 1,425,030 468,441 551,439 393,973 2,838,883 117,419 203 267 140.0% 4.5% -7.7% 6.3% 0.7% 4.2% 43.9%
1/31/08 55,478,782 1,743,420 676,266 950,639 813,560 4,183,885 195,033 190 256 116.8% 6.1% 0.1% 33.9% 1.5% 13.1% 100.6%
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% 8.6% 1.2% 42.0% 2.4% 7.3% 61.5%
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% 10.6% 2.3% 22.5% 3.8% 1.9% 58.6%
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% 8.5% -1.2% -19.6% 4.2% -2.0% 11.0%
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% 7.7% -3.1% -9.7% 4.2% 0.2% 0.4%
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% 7.0% -2.6% -8.3% 3.4% -1.2% -18.7%
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% 6.3% -3.1% -11.1% 2.4% -4.3% -29.2%
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% 5.5% -2.4% -12.3% 1.8% 0.4% -27.1%
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% 5.1% 6.6% -7.4% 1.3% -4.5% -25.9%
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% 4.2% -3.8% -16.6% 0.9% -0.4% -27.6%
1/31/18 51,428,922 1,085,065 413,313 708,248 337,351 2,543,976 62,470 364 931 209.9% 4.3% -8.6% 1.3% 0.7% 1.8% -30.3%
1/31/19 51,896,438 1,074,044 367,750 503,655 264,875 2,210,325 50,196 391 830 190.1% 3.7% -3.4% -12.6% 0.5% -2.2% -22.2%
1/31/20 52,999,009 954,154 332,534 418,662 245,517 1,950,866 42,834 338 838 170.5% 3.2% -5.4% -14.2% 0.5% 0.4% -9.2%
1/31/21 53,491,958 729,408 310,947 2,089,527 171,259 3,301,141 5,876 266 1,374 1220.1% 5.9% -3.8% 81.8% 0.3% -3.9% -30.9%
1/31/22 53,304,783 689,073 210,355 859,022 149,004 1,907,454 32,879 397 1,574 576.5% 3.3% -2.4% -43.6% 0.3% 16.5% -12.7%
2/28/22 53,126,785 775,172 221,465 786,775 162,390 1,945,803 24,990 389 1,476 484.5% 3.4% 1.8% -44.1% 0.3% 9.3% -3.4%
3/31/22 53,303,414 621,739 196,804 694,208 168,966 1,681,716 24,321 383 1,408 410.9% 2.8% -15.5% -43.5% 0.3% 3.7% 3.9%
4/30/22 53,394,777 671,093 184,633 639,802 173,171 1,668,698 21,415 380 1,370 369.5% 2.8% -1.3% -39.9% 0.3% 2.3% 13.5%
5/31/22 53,192,014 672,117 193,844 595,203 174,294 1,635,457 18,824 378 1,343 341.5% 2.7% -1.9% -42.0% 0.3% 1.0% 17.5%
6/30/22 53,231,521 703,343 208,170 599,112 189,647 1,700,272 23,769 380 1,279 315.9% 2.8% 3.3% -35.1% 0.4% 8.7% 30.1%
7/31/22 53,323,972 733,136 216,566 593,574 184,378 1,727,655 17,718 376 1,213 321.9% 2.9% 2.0% -30.2% 0.3% -2.9% 31.5%
8/31/22 53,391,644 703,789 219,004 566,606 184,601 1,674,000 20,273 372 1,210 306.9% 2.8% -3.6% -30.3% 0.3% 0.0% 29.2%
AUGUST 2022 | 22
MORTGAGE MONITOR
DELINQUENCY AND FORECLOSURE FIGURES BY STATE

Year/Year Year/Year Year/Year
State Del % FC % NC % Change in State Del % FC % NC % Change in State Del % FC % NC % Change in
NC% NC% NC%
National 2.8% 0.3% 3.1% -26.5% National 2.8% 0.3% 3.1% -26.5% National 2.8% 0.3% 3.1% -26.5%
MS 5.9% 0.4% 6.3% -18.5% NY* 2.7% 0.9% 3.6% -37.0% WI* 2.5% 0.4% 2.9% -21.3%
LA* 5.0% 0.6% 5.6% -20.5% CT* 3.0% 0.5% 3.5% -29.4% WY 2.6% 0.3% 2.9% -22.3%
OK* 4.1% 0.6% 4.7% -18.9% RI 3.1% 0.4% 3.5% -19.0% DC 2.3% 0.4% 2.6% -37.1%
AL 4.3% 0.3% 4.6% -14.9% OH* 3.0% 0.5% 3.5% -23.3% VA 2.4% 0.2% 2.6% -30.2%
WV 4.0% 0.4% 4.4% -21.4% ME* 2.7% 0.7% 3.4% -19.3% AZ 2.4% 0.1% 2.5% -20.7%
AR 4.0% 0.4% 4.3% -19.9% KY* 3.0% 0.4% 3.4% -16.5% HI* 1.7% 0.8% 2.5% -57.0%
MD* 3.6% 0.4% 4.1% -26.1% DE* 2.9% 0.4% 3.3% -27.7% ND* 2.0% 0.4% 2.4% -26.3%
IN* 3.6% 0.5% 4.1% -18.5% MO 3.1% 0.2% 3.3% -14.4% NH 2.3% 0.2% 2.4% -21.9%
TX 3.6% 0.3% 3.9% -24.8% NM* 2.8% 0.5% 3.3% -25.3% MA 2.2% 0.2% 2.4% -30.9%
PA* 3.3% 0.5% 3.8% -18.7% FL* 2.8% 0.4% 3.2% -33.1% SD* 2.1% 0.3% 2.4% -16.7%
GA 3.5% 0.3% 3.8% -26.1% TN 2.9% 0.2% 3.1% -23.5% MT 1.8% 0.2% 2.0% -23.8%
AK 3.4% 0.4% 3.8% -25.7% VT* 2.6% 0.5% 3.1% -33.6% OR 1.7% 0.2% 2.0% -29.6%
IL* 3.2% 0.6% 3.8% -21.1% MN 2.8% 0.3% 3.0% -18.0% UT 1.9% 0.1% 2.0% -22.4%
KS* 3.4% 0.4% 3.7% -16.5% NJ* 2.6% 0.4% 3.0% -36.4% CA 1.7% 0.1% 1.8% -39.9%
NE* 3.4% 0.3% 3.7% -19.0% NC 2.7% 0.3% 3.0% -24.4% CO 1.7% 0.1% 1.8% -27.1%
SC* 3.3% 0.4% 3.7% -20.6% MI 2.8% 0.2% 3.0% -14.3% ID 1.6% 0.1% 1.7% -17.3%
IA* 3.1% 0.5% 3.6% -7.2% NV 2.6% 0.3% 2.9% -39.8% WA 1.6% 0.1% 1.7% -33.2%
*Indicates Judicial State
AUGUST 2022 | 23
AUGUST 2022 DISCLOSURES
MORTGAGE MONITOR
Mortgage Monitor Disclosures
You can reach us by email at

[email protected]
Follow us on Twitter
@Black_KnightInc
AUGUST 2022 | 24
AUGUST 2022 DEFINITIONS
MORTGAGE MONITOR
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 All delinquency statuses are calculated using the MBA methodology based on the payment due date provided
(30, 60, 90+, ETC.): 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 / Any loan that was in foreclosure in the prior month that moves into post-sale status or is flagged as a foreclosure
NEW REO: 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 2022 | 25

BKI MM Aug2022 Report

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MORTGAGE MONITOR

AUGUST 2022 REPORT

AUGUST 2022 OVERVIEW

MORTGAGE MONITOR finance and housing industries.

AUGUST OVERVIEW STATS

Overall mortgage performance remains

DELINQUENCY FORECLOSURE PREPAYMENT

NATIONAL DELINQUENCY RATE – FIRST LIEN MORTGAGES MORTGAGE DELINQUENCIESBY

-0.045 40% 20%

2022-04 1.6% 0.08%

Cumulative Prepayment Rate (SMM)

Daily Average Prepayment Rate

Share of Loans in Forbearance* 0.4% 1.7% 1.4% 1.0%

Active Forbearance - 100000

Source: McDash Flash

BLACK KNIGHT HOME PRICE INDEX 1-MONTHCHANGE

» Annual home price growth rates are poised to continue falling

CHANGE IN MEDIAN HOME PRICE FROM 2022 PEAK

Prices have pulled back from peak levels

Source: Black Knight Home Price Index (HPI)

-8.0% Los Angeles also saw smaller declines in August than in

-12.0% September may put renewed pressure on prices moving into

Source: Black Knight Home Price Index (HPI)

Source: Black Knight Home Price Index (HPI)

downward pressure on both purchase volumes and prices

MOST AFFORDABLE MARKETS

Source: Black Knight Home Price Index (HPI)

Price per Square Foot

In a “normal” market, all metros in this chart

AUGUST 2022 DATA SUMMARY

TOTAL DELINQUENCIES NEW ORIGINATIONS

LOAN COUNTS AND AVERAGE DAYS DELINQUENT

TOTAL Average Days Average Days

DELINQUENCY AND FORECLOSURE FIGURES BY STATE

Mortgage Monitor Disclosures

You can reach us by email at

NON-CURRENT: Loans in any stage of delinquency or foreclosure.

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