I approximate this by maintaining "Late" and "Grace Period" portfolios. I will periodically filter notes and move all the Lates into the Late portfolio, Grace Period to Grace Period portfolio, etc. to preserve the state at that time. When I check again in a couple weeks, some of the notes in the Late portfolio will have moved back to Current and I can decide if I want to list them for sale, move them out of the Late portfolio or still keep an eye on them. One could keep taking this further, maintaining additional "watch list" portfolios that track specific state transitions, etc.