Our Forbearance Data just got better, and now you have it!
Obtaining accurate and complete forbearance and shared appreciation data is a real s-show. True data is more important now than ever. Modeling future recoveries can be a frustrating task. The data available, if you can find it, is either accurate, inaccurate or missing, and you are never sure what category your data falls into. Some vendors just take the data and report it as is - behavior that can surely mislead investors. As Webbs Hill’s strength is making sense out of messy data, we are releasing all the data we have obtained, corrected as needed, in a format that can help you make better decisions. You will now see what we see, and can judge for yourself how much forbearance is truly outstanding and what the expected recovery rates may be. We will include the source of the data, the servicer, forbearance by delinquency bucket, losses to date, historical recoveries via two methodologies, amount of forbearance already forgiven, unrecognized forbearance, and other important data points. When there is no forbearance data, these other important data points will help you make an educated guess. For many deals, you will discover that there are multiple data points needed to estimate future recoveries.
LIVE DEMO!!: Our spreadsheet has lots of data. Probably data overload. Currently, it is at the deal level only. Next week, we will release a version at the pool level. We believe the best way to explain how to navigate this analysis is getting on the phone with you and going through some deals that are important to you. Email us so we can set up a time.
Forbearance and shared appreciation recovery is real money to investors. Over the past 2 years, Certificateholders received approximately $634 million in recoveries, which includes $32 million in shared equity appreciation. We estimate $20 billion in deferred debt currently outstanding, with 79% associated with OTS current loans. Assuming a 93% recovery rate, this equates to another $15 billion that Certificateholders can eventually recover. We also estimate $346 million in shared equity appreciation available to Certificateholders, which depends on the direction of home prices.
If you depend on Intex for your forbearance data, you may be misled. For example, Intex reports $33.2 million in forbearance for CBASS 2006-CB9. Their data is most likely sourced from US Bank, which we know does not adjust forbearance subject to incented forgiveness. Correcting for HAMP mods with incented forbearance, brings the true number down to $19.9 million and further correcting for Ocwen SAM mods with incented forgiveness, brings the true number down to $13.7 million. A $20 million difference in forbearance is quite significant.
Another example is WMALT 2007-OA3. Intex reports $442K in forbearance. Unfortunately, there is no real source for forbearance data on this deal. However, studying other data points leads you to believe that the true amount of forbearance outstanding is far greater than $442K. We know that during the December 2017 remittance, one loan in this deal paid off and recovered $1.1 million in forbearance. Over the past 2 years, almost $3 million in forbearance had been recovered. We also know that $115 million in losses have been passed through to the trust for principal modifications and we were able to match up $42.5 million in HAMP forbearance with $21.9 million already forgiven. Using these multiple data points, our educated guess would be approximately $50 million in outstanding forbearance, far greater than $442K.
Sources of Forbearance Data and Issues with each Source
Wells Fargo - considered the most reliable source. Correctly decreases forbearance for incented forgiveness modifications. Also includes a separate field for forbearance that is subject to forgiveness.
Bank of New York Mellon - considered a reliable source. Correctly decreases forbearance for incented forgiveness modifications.
Nationstar Master Servicing - considered a semi-reliable source. Correctly decreases forbearance for incented forgiveness modifications but we’ve seen some cases not done correctly.
US Bank - Appears to have all forbearance mods BUT DOES NOT decrease forbearance for incented forgiveness. Webbs Hill adjusts the forbearance for HAMP and SAM modifications with incented forgiveness, but is not able to determine which other modifications may also have incented forgiveness. Forbearance reported by US Bank will be higher than actual. When Ocwen is the servicer, forbearance reported by US Bank will be significantly higher than actual.
Ocwen - Many problems with data. Only includes HAMP mods done since Ocwen boarded the loan. Missing Ocwen proprietary mods and any modifications done prior to Ocwen boarding the loan. Data also disappears and reappears from month to month. RFC shelf deals have many issues. Use with caution. We provide historical forbearance data so you can verify whether this month’s data is consistent with past months.
Source of Shared Appreciation Data
Shared Appreciation data just does NOT exist. These are modifications with forbearance subject to forgiveness that when the house is sold or refinanced, the borrower must share 25% of the appreciation with the investors that own the loan. As discussed in our December 5th, 2017 commentary, we discovered a path through the Ocwen REALPortal data that led us to what we believe are 21,000+ SAM loans.
Contact us at 203-276-0672 to become a client and access all reports and attachments.