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Actual Delinquency and Foreclosure Rate
The Figure shows the age pattern in the actual delinquency and foreclosure rate for the different vintages.
Source: Paper linked to above
"Utilizing loan-level data, we analyze the quality of subprime loans by adjusting their performance for differences in borrower characteristics, loan characteristics, and economic circumstances. We find that during the explosive growth of the subprime market in 2001-2006 the quality of loans monotonically deteriorated and underwriting criteria loosened. In this respect, the rise and fall of the subprime market resembles a classic lending boom-bust scenario, in which unsustainable growth leads to the collapse of the market. We show that the problems in the subprime market were imminent long before the crisis in 2007, securitizers were to some extent aware of it, but a high house price appreciation in 2003-2005 masked the true riskiness of subprime mortgages."
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