Outstanding Forbearance – Bang Head Here
The industry should be ashamed of how awful the reporting of this important data element is. The governing documents don’t require the reporting of outstanding forbearance and investors have no reliable source to go to for a definitive answer.
Wells Fargo, as securities administrator, has stepped up and provides the best and most accurate loan level detail of outstanding forbearance. They even separate out forbearance subject to forgiveness, decrease forbearance as it is forgiven and report unrecognized forbearance. [WF ~42% of all deals]
BNY Mellon and US Bank provide us with different levels of frustration. BNY Mellon does decrease outstanding forbearance as it is forgiven. However, US Bank, for most of the deals we studied, makes no attempt to do so. To help our clients with the US Bank data, Webbs Hill built an algorithm with guidance from the US Treasury dataset, that forgives the forbearance over time as the modification stays active. For both trustees, we have seen data that looks questionable and/or absurd, including negative outstanding forbearance, which we remove from our database. [BNY Mellon ~ 10% of all deals, US Bank ~9 % of all deals]
Deutsche Bank does not report loan level forbearance. [DB ~ 9.5% of all deals]
We also have forbearance data from Nationstar Master Servicing (fka Aurora) and Ocwen REALPortal, and although we can’t verify their accuracy or completeness, they both appear to correctly handle forbearance subject to forgiveness. We are more comfortable with the Nationstar Master Servicing data than with the Ocwen servicing data. The Ocwen data appears to have unexplained holes and hiccups. Both these sources provide us a way to back into actual unrecognized forbearance. [NSM ~ 8% of all deals, Ocwen RP ~ 42% of all deals]
The U.S. Treasury provides monthly data on HAMP modifications; however, the data is anonymized with no loan numbers and masked fields. It is a challenging data source, but highly useful to our efforts.
We have spent hundreds of hours looking over loan level modification data. We know how to prioritize the data sources and we understand some of the errors and holes. However, there are loans that make us bang our heads in frustration. Although our data is far from complete and we can’t verify its accuracy, we can say it is probably the best source of forbearance data available. We will continue to work on it to make it even better.
Attached is our Outstanding Forbearance – Recognized and Unrecognized at the Deal and Deal-Group level spreadsheet. We also break up Forbearance by delinquency bucket to help you estimate recovery at payoff or liquidation. We are always available to compare our data versus what you find on Intex, Bloomberg or any other source. Email us the data and we will figure out the best/correct answer.
Contact us at 203-276-0672 to become a client and access all reports and attachments.
