An Overview Of The Housing/Credit Crisis And
     Why There Is More Pain To Come
            T2 Accredited Fund, LP
      ...
T2 Partners Management L.P. Is A
 Registered Investment Advisor
    145 E. 57th Street 10th Floor
        New York, NY 100...
For more information…



                        3
More Mortgage Meltdown Is Now Available




                                          4
The Next Value Investing Congress is
October 19-20 in New York City




                                       5
Value Investor Insight and
SuperInvestor Insight




                             6
For the Second Half of the 20th Century,
 Housing Was a Stable Investment

                                               ...
…And Then Housing Prices Exploded


                                             300
                                     ...
From 2000-2006, the Borrowing Power of a
 Typical Home Purchaser Nearly Tripled

                       $400,000
         ...
Housing Became Unaffordable in Many
Areas

                                        80
                                    ...
Americans Have Borrowed Heavily Against Their Homes Such
That the Percentage of Equity in Their Homes Has Fallen
Below 50%...
There Was a Dramatic Decline in Mortgage
Lending Standards from 2001 through 2006
                                        ...
Among the Many Causes of The Great
Mortgage Bubble, Two Stand Out

  •   The companies making crazy loans didn’t care very...
As Long As Home Prices Rise Rapidly,
     Even Subprime Mortgages Perform Well –
     But If Home Prices Fall, Look Out Be...
Deregulation of the Financial Sector Led to a
Surge of Leverage, Profits and Compensation
                         Ratio o...
Over the Past 30 Years, We Have Become a
           Nation Gorged in Debt – To The Benefit of
           Financial Service...
There Was a Surge of Toxic Mortgages
Over the Past 10 Years

                                 $4,000
                     ...
Private Label Mortgages (Those Securitized by
Wall St.) Are 15% of All Mortgages, But Are 51%
of Seriously Delinquent Mort...
Percentage of Home Loans
                                                                                                 ...
All Types of Loans, Led by Subprime, Are
Seeing a Surge in Delinquencies

                               45%
             ...
The Decline in Lending Standards Led to a
 Surge in Subprime Mortgage Origination

                      $700             ...
The Wave of Resets from Subprime
        Loans Is Mostly Behind Us

                                            $35




  ...
Numerous Areas of the Mortgage Market Will
Suffer Significant Losses Going Forward


                        Prime Mortgag...
There Are $2.4 Trillion of Alt-A Mortgages
and Their Resets Are Mostly Ahead of Us




                                   ...
Percent Noncurrent (60+ days)
                                                     Ja
                                    ...
Alt-A Delinquencies By Vintage Show the
Collapse in Lending Standards in 2006 and 2007

                                  ...
A Primer on Option ARMs

•   An Option ARM is an adjustable rate mortgage typically made to a prime borrower
•   Sold unde...
About $750 Billion of Option ARMs Were
Written, Nearly All at the Peak of the Bubble

                                   $...
Options ARMs Were a Bubble State
Phenomenon



                                        Other
                             ...
Beginning in March 2005, High-FICO-Score
Borrowers Opted for an Above-Market-Rate
Option ARM in Exchange for the Low Tease...
Percent Noncurrent (60+ days)
                                                                            Ja
             ...
Option ARM Delinquencies By Vintage Show the
Collapse in Lending Standards in 2005-2007


                                ...
Percent Noncurrent (60+ days)
                                                     Ja
                                    ...
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
T2 Partners Presentation On The Mortgage Crisis
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T2 Partners Presentation On The Mortgage Crisis

  1. 1. An Overview Of The Housing/Credit Crisis And Why There Is More Pain To Come T2 Accredited Fund, LP Tilson Offshore Fund, Ltd. T2 Qualified Fund, LP May 19, 2009
  2. 2. T2 Partners Management L.P. Is A Registered Investment Advisor 145 E. 57th Street 10th Floor New York, NY 10022 (212) 386-7160 Info@T2PartnersLLC.com www.T2PartnersLLC.com
  3. 3. For more information… 3
  4. 4. More Mortgage Meltdown Is Now Available 4
  5. 5. The Next Value Investing Congress is October 19-20 in New York City 5
  6. 6. Value Investor Insight and SuperInvestor Insight 6
  7. 7. For the Second Half of the 20th Century, Housing Was a Stable Investment 300 Shiller Lawler 275 Real Home Price Index (1890=100) 250 225 200 175 Trend Line 150 125 100 0 4 8 2 6 0 4 8 2 6 0 4 8 5 5 5 6 6 7 7 7 8 8 9 9 9 19 19 19 19 19 19 19 19 19 19 19 19 19 Source: Robert J. Shiller, Irrational Exuberance, Princeton University Press 2000, Broadway Books 2001, 2nd edition, 2005, also Subprime Solution, 2008, as updated by the author at http://www.econ.yale.edu/~shiller/data.htm; Lawler Economic & Housing Consulting 7
  8. 8. …And Then Housing Prices Exploded 300 Shiller Lawler 275 Real Home Price Index (1890=100) 250 225 200 Housing Bubble 175 Trend Line 150 125 100 66 74 86 94 02 0 54 8 62 70 8 82 90 98 6 5 5 7 0 19 19 19 19 19 19 19 19 19 19 20 19 19 19 20 SOURCES: Robert J. Shiller, Irrational Exuberance: Second Edition, as updated by the author; Lawler Economic & Housing Consulting. 8
  9. 9. From 2000-2006, the Borrowing Power of a Typical Home Purchaser Nearly Tripled $400,000 Pre-Tax Income Borrowing Power $300,000 $200,000 9.2x in January 2006 $100,000 3.3x in January 2000 $0 Jan-95 Jan-96 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Factors contributing to the ability to borrow more and more were: 1. Slowly rising income 2. Lenders being willing to allow much higher debt-to-income ratios 3. Falling interest rates 4. Interest-only mortgages (vs. full amortizing) 5. No money down Source: Amherst Securities 9
  10. 10. Housing Became Unaffordable in Many Areas 80 Riverside, CA 70 Los Angeles, CA San Diego, CA 60 Housing Opportunity Index 50 40 30 20 10 0 96 97 98 99 00 1 05 06 07 02 04 0 20 20 20 19 20 20 19 20 19 19 20 3 3 3 1 3 1 1 1 1 1 1 Q Q Q Q Q Q Q Q Q Q Q SOURCES: NAHB/Wells Fargo Housing Opportunity Index, which measures percentage of households that could afford the average home with a standard mortgage 10
  11. 11. Americans Have Borrowed Heavily Against Their Homes Such That the Percentage of Equity in Their Homes Has Fallen Below 50% for the First Time on Record Since 1945 $12,000 90% 80% $10,000 70% Equity as a % of Home Value $8,000 60% Mortgage Debt (Bn) 1945 50% $6,000 Mortgage Debt: $18.6 billion Equity: $97.5 billion 2008 40% Mortgage Debt: $10.5 trillion Equity: $8.5 trillion $4,000 30% 20% $2,000 10% $0 0% 1945 1950 1955 1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 SOURCE: Federal Reserve Flow of Fund Accounts of the United States 11
  12. 12. There Was a Dramatic Decline in Mortgage Lending Standards from 2001 through 2006 Combined Loan to Value 100% Financing 86 18% 84 17% • In 2005, 29% of 84 83 16% new mortgages 82 81 81 14% 14% were interest only 80 12% — or less, in the Combined Loan to Value (%) Percent of Originations 78 10% 9% case of Option 76 76 8% 8% ARMs — vs. 1% 74 74 74 6% in 2001 72 4% 3% • In 1989, the 70 2% 1% average down 1% 68 2001 2002 2003 2004 2005 2006 2007 0% payment for first- 2001 2002 2003 2004 2005 2006 2007 time home buyers Limited Documentation 100% Financing & Limited Doc was 10%; by 70% 12% 2007, it was 2% 65% 63% 11% 60% • The sale of new 10% 56% homes costing 49% 50% 45% 8% 8% $750,000 or more quadrupled from Percent of Originations Percent of Originations 40% 39% 33% 6% 5% 2002 to 2006. 30% 4% The construction 4% 20% of inexpensive 2% 1% homes costing 10% 0% $125,000 or less 0% 0% 2001 2002 2003 2004 2005 2006 2007 0% 2001 2002 2003 2004 2005 2006 2007 fell by two-thirds SOURCES: Amherst Securities, LoanPerformance; USA Today (www.usatoday.com/money/economy/housing/2008-12-12-homeprices_N.htm) 12
  13. 13. Among the Many Causes of The Great Mortgage Bubble, Two Stand Out • The companies making crazy loans didn’t care very much if the homeowner ended up defaulting for two reasons: 1. Either they didn’t plan to hold the loan, but instead intended to pass it along to Wall Street, which would bundle, slice-and-dice it and sell it (along with any subsequent losses) to investors around the world; 2. Or, if they did plan to hold the loan, they assumed home prices would keep rising, such that homeowners could either refinance before loans reset or, if the homeowner defaulted, the losses (i.e., severity) would be minimal. • There were many other reasons, of course – a bubble of this magnitude requires what Charlie Munger calls “Lollapalooza Effects” – The entire system – real estate agents, appraisers, mortgage lenders, banks, Wall St. firms and ratings agencies – became corrupted by the vast amounts of quick money to be made – Regulators and politicians were blinded by free market ideology or the dream that all Americans should own their homes, causing them to fall asleep at the switch, not want to take the punch bowl away and/or get bought off by the industries they were supposed to be overseeing – Debt became increasingly available and acceptable in our culture – Millions of Americans became greedy speculators and/or took on too much debt – Greenspan kept interest rates too low for too long – Institutional investors stretched for yield, didn’t ask many questions and took on too much leverage – In general, everyone was suffering from irrational exuberance 13
  14. 14. As Long As Home Prices Rise Rapidly, Even Subprime Mortgages Perform Well – But If Home Prices Fall, Look Out Below! Cumulative Five-Year Loss Estimates for a Bubble-Era Pool of Subprime Mortgages 60% 50% 40% Cumulative Loss (%) 30% 20% 10% 0% 20% 15% 10% 5% 0% -5% -10% -15% -20% -25% -30% -35% -40% Home Price Appreciation Source: T2 Partners estimates 14
  15. 15. Deregulation of the Financial Sector Led to a Surge of Leverage, Profits and Compensation Ratio of Financial Services Wages to Nonfarm Private-Sector Wages, 1910-2006 • Among the most profitable areas for Wall Street firms was producing Asset-Backed Securities (ABSs) and Collateralized Debt Obligations (CDOs) • To produce ABSs and CDOs, Wall Street needed a lot of loan “product” • Mortgages were a quick, easy, big source • It is easy to generate higher and higher volumes of mortgage loans: simply lend at higher loan-to-value ratios, with ultra-low teaser rates, to uncreditworthy borrowers, and don’t bother to verify their income and assets (thereby inviting fraud) • There’s only one problem: DON’T EXPECT TO BE REPAID! Source: Ariell Reshef, University of Virginia; Thomas Philippon, NYU; Wall St. Journal, 5/14/09 15
  16. 16. Over the Past 30 Years, We Have Become a Nation Gorged in Debt – To The Benefit of Financial Services Firms 3.0% 350% Low Debt Era Rising Debt Era Financial Profits as Percent of GDP 2.5% Total Debt as Percent of GDP 300% 2.0% 250% 1.5% Total Debt Financial Profits 200% 1.0% 150% 0.5% 0.0% 100% Dec- 51 54 57 60 63 66 69 72 75 78 81 84 87 90 93 96 99 02 05 Sources: Federal Reserve, BEA, as of Q2 2007, GMO presentation 16
  17. 17. There Was a Surge of Toxic Mortgages Over the Past 10 Years $4,000 Conforming, FHA/VA Jumbo $3,500 Alt-A Subprime Seconds $3,000 $2,500 Originations (Bn) $2,000 $1,500 $1,000 $500 $0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 SOURCE: Inside Mortgage Finance, published by Inside Mortgage Finance Publications, Inc. Copyright 2009. 17
  18. 18. Private Label Mortgages (Those Securitized by Wall St.) Are 15% of All Mortgages, But Are 51% of Seriously Delinquent Mortgages Number of Seriously Number of Mortgages (million) Delinquent Mortgages (000) Banks & Thrifts Banks & Thrifts 397 Fannie Mae 8 444 Fannie Mae Freddie Mac 18 232 Private Label 15% 8 Ginne Mae/FHA 378 Ginne Mae/FHA 6 Private Label Freddie Mac 1734 13 51% Approximately two-thirds of homes have mortgages and of these, 56% are owned or guaranteed by the two government-sponsored enterprises (GSEs), Fannie & Freddie SOURCE: Freddie Mac, Q4 2008. 18
  19. 19. Percentage of Home Loans Q 4 Q 19 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 4 79 Q 198 4 0 Q 198 4 1 Q 19 4 82 Q 19 4 83 Q 198 4 4 Q 198 4 5 Q 198 4 6 Q 19 4 87 Q 198 4 8 Q 198 4 9 Q 19 4 90 Q 19 4 91 Q 199 4 2 Q 199 4 3 Q 19 4 94 Q 19 4 95 Q 199 4 6 Q 199 4 7 Q 19 4 98 Q 19 4 99 Q 200 4 0 Q 200 4 1 Q 200 4 2 Q 20 Were Delinquent or in Foreclosure as of Q4 2008 4 03 Nearly 8% of Mortgages on 1-to-4-Family Homes Q 200 4 4 Q 200 SOURCE: National Delinquency Survey, Mortgage Bankers Association. Note: Delinquencies (60+ days) are seasonally adjusted. 4 5 Q 200 4 6 Q 20 4 07 20 08 19
  20. 20. All Types of Loans, Led by Subprime, Are Seeing a Surge in Delinquencies 45% Alt A Option ARM 40% Jumbo Subprime 35% Prime Home Equity Lines of Credit 30% Percent Noncurrent 25% 20% 15% 10% 5% 0% Q 01 Q 01 Q 99 Q 99 Q 00 Q 00 Q 02 Q 03 Q 03 Q 04 Q 04 Q 05 Q 06 Q 06 Q 07 Q 08 08 Q 07 Q 02 Q 05 20 20 20 20 20 20 20 20 20 20 20 19 19 20 20 20 20 20 20 20 3 1 1 3 3 1 1 3 1 3 3 3 1 3 1 3 1 3 1 1 Q SOURCES: Amherst Securities, LoanPerformance; National Delinquency Survey, Mortgage Bankers Association; FDIC Quarterly Banking Profile; T2 Partners estimates. Note: Prime is seasonally adjusted. 20
  21. 21. The Decline in Lending Standards Led to a Surge in Subprime Mortgage Origination $700 25% $600 20% 20% 20% 18% % of $500 T ota l Origina tions (Bn) 15% $400 $300 10% 10% 10% 10% 10% 9% 9% 9% 8% $200 7% 8% 7% 5% $100 $0 0% 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 Source: Reprinted with permission; Inside Mortgage Finance, published by Inside Mortgage Finance Publications, Inc. Copyright 2009. 21
  22. 22. The Wave of Resets from Subprime Loans Is Mostly Behind Us $35 $30 We are here $25 Loans with Payment Shock (Bn) $20 $15 $10 $5 $0 07 7 0 6 08 09 7 0 6 8 8 09 10 0 6 7 9 06 8 9 -0 -0 -1 -0 l-0 l-0 l-1 l-0 r-0 -0 -0 -1 -0 l-0 n- n- n- r- n- n- ct pr pr pr ct ct ct ct Ju Ju Ju Ju Ju Ap Ap Ja Ja Ja Ja Ja O O O O O A A A Sources: LoanPerformance, Deutsche Bank; slide from Pershing Square presentation, How to Save the Bond Insurers, 11/28/07. 22
  23. 23. Numerous Areas of the Mortgage Market Will Suffer Significant Losses Going Forward Prime Mortgage Commercial Real Estate Alt-A Other Corporate Commercial & Industrial Subprime High-Yield / Leveraged Loans Jumbo Prime Home Equity Credit Card Auto Option ARM Construction & Development Other Consumer CDO/ CLO $0.0 $0.5 $1.0 $1.5 $2.0 $2.5 $3.0 $3.5 $4.0 $4.5 $5.0 Amount Outstanding (Trillions) SOURCES: Federal Reserve Flow of Funds Accounts of the United States, IMF Global Financial Stability Report October 2008, Goldman Sachs Global Economics Paper No. 177, FDIC Quarterly Banking Profile, OFHEO, S&P Leverage Commentary & Data, T2 Partners estimates. 23
  24. 24. There Are $2.4 Trillion of Alt-A Mortgages and Their Resets Are Mostly Ahead of Us $300 $10 We are $9 here $250 Estimated Cumulative Reset Amount (Bn) $8 $7 $200 $6 Amount (Bn) $150 $5 $4 $100 $3 $2 $50 $1 $0 $0 4 0 2 15 13 10 12 5 3 1 14 11 l-1 l-1 l- 1 l-1 l-1 l-1 n- n- n- n- n- n- Ju Ju Ju Ju Ju Ju Ja Ja Ja Ja Ja Ja SOURCES: Credit Suisse, LoanPerformance. 24 NOTE: This chart only shows resets for a small fraction of Alt-A loans, but is representative of all of them.
  25. 25. Percent Noncurrent (60+ days) Ja n- 0% 5% 10% 15% 20% 25% 99 Ju l-9 Ja 9 n- 0 Ju 0 l-0 Ja 0 n- 01 Ju SOURCES: Amherst Securities, LoanPerformance. l-0 Ja 1 n- 0 Ju 2 l-0 Mortgages Are Soaring Ja 2 n- 03 Ju l-0 Ja 3 n- 0 Ju 4 l-0 Ja 4 n- 05 Ju l-0 Delinquencies of Securitized Alt-A Ja 5 n- 0 Ju 6 l-0 Ja 6 n- 07 Ju l-0 Ja 7 n- 0 Ju 8 l-0 Ja 8 n- 09 25
  26. 26. Alt-A Delinquencies By Vintage Show the Collapse in Lending Standards in 2006 and 2007 30% 2007 2006 25% Percent Noncurrent (60+ days) 20% 15% 2005 10% 2004 5% 2003 0% 0 5 10 15 20 25 30 35 40 45 50 55 60 Months of Seasoning SOURCES: Amherst Securities, LoanPerformance. 26
  27. 27. A Primer on Option ARMs • An Option ARM is an adjustable rate mortgage typically made to a prime borrower • Sold under various names such as “Pick-A-Pay” • Banks typically relied on the appraised value of the home and the borrower’s high FICO score, so 83% of Option ARMs written in 2004-2007 were low- or no-doc (liar’s loans) • Each month, the borrower can choose to pay: 1) the fully amortizing interest and principal; 2) full interest; or 3) an ultra-low teaser interest-only rate (typically 2-3%), in which case the unpaid interest is added to the balance of the mortgage (meaning it is negatively amortizing) • Approximately 80% of Option ARMs are negatively amortizing • Lenders, however, booked earnings as if the borrowers were making full interest payments • A typical Option ARM is a 30- or 40-year mortgage that resets (“recasts”) after five years, when it becomes fully amortizing • If an Option ARM negatively amortizes to 110-125% of the original balance (depending on the terms of the loan), this triggers a reset even if five years have not elapsed • Upon reset, the average monthly payment jump 63% from $1,672 to $2,725 ($32,700 annually) • ‘My sense is that many option ARM borrowers are in a worse position than subprime borrowers,’ says Kevin Stein, associate director of the California Reinvestment Coalition, which combats predatory lending. ‘They wind up owing more and the resets are more significant.’ 27
  28. 28. About $750 Billion of Option ARMs Were Written, Nearly All at the Peak of the Bubble $300 9% 9% 8% $250 8% 7% $200 6% Originations (Bn) Percent of Total 5% 5% $150 5% 4% $100 3% 2% $50 1% 1% $0 0% 2004 2005 2006 2007 2008 SOURCES: 2008 Mortgage Market Statistical Annual, published by Inside Mortgage Finance Publications, Inc. Copyright 2008. T2 Partners estimates. 28
  29. 29. Options ARMs Were a Bubble State Phenomenon Other 25% Arizona 3% California Nevada 58% 3% Florida 10% SOURCES: Amherst Securities, LoanPerformance. 29
  30. 30. Beginning in March 2005, High-FICO-Score Borrowers Opted for an Above-Market-Rate Option ARM in Exchange for the Low Teaser Rate 8.5 Fannie Mae 30 Year FRM Index Option ARM Index 8.0 Nearly all option ARM borrowers during 7.5 this period (when nearly all option ARMS were written) can’t afford a fully- 7.0 amortizing mortgage – otherwise they would have taken one Interest Rate (%) 6.5 6.0 5.5 5.0 4.5 4.0 6 07 7 08 2 03 3 04 6 2 3 7 4 05 5 5 06 02 2 3 4 6 7 4 5 -0 -0 -0 -0 -0 -0 l-0 l-0 l-0 l-0 l-0 -0 -0 -0 -0 -0 r-0 l-0 n- n- n- n- n- n- n- pr pr ct pr pr pr ct ct ct ct ct Ju Ju Ju Ju Ju Ju Ap Ja Ja Ja Ja Ja Ja Ja O O O O O O A A A A A SOURCE: Amherst Securities, BloombergFinance, L.P. 30
  31. 31. Percent Noncurrent (60+ days) Ja n- 0% 5% 10% 15% 20% 25% 30% 35% 99 Ju l-9 Ja 9 Are Soaring n- 0 Ju 0 l-0 Ja 0 n- 01 Ju l-0 Ja 1 n- 02 Ju l-0 Ja 2 n- 03 SOURCES: Amherst Securities, LoanPerformance, T2 Partners estimates. Ju l-0 Ja 3 n- 04 Ju l-0 Ja 4 n- 05 Ju l-0 Ja 5 n- 06 Ju l-0 Ja 6 n- 07 Ju l-0 Delinquencies of Securitized Option ARMs Ja 7 n- 08 Ju l-0 Ja 8 n- 09 31
  32. 32. Option ARM Delinquencies By Vintage Show the Collapse in Lending Standards in 2005-2007 45% 2006 40% 35% 2007 Percent Noncurrent (60+ days) 30% 2005 25% 20% 2004 15% 10% 2003 5% 0% 0 5 10 15 20 25 30 35 40 45 50 55 60 Months of Seasoning SOURCE: Amherst Securities, LoanPerformance. 32
  33. 33. Percent Noncurrent (60+ days) Ja n- 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 99 Ju l-9 Ja 9 n- 0 Ju 0 l-0 Ja 0 n- 01 Ju SOURCES: Amherst Securities, LoanPerformance. l-0 Ja 1 n- 02 Ju l-0 Mortgages Are Soaring Ja 2 n- 03 Ju l-0 Ja 3 n- 04 Ju l-0 Ja 4 n- 05 Ju l-0 Ja 5 n- 06 Ju l-0 Ja 6 n- 07 Ju l-0 Delinquencies of Securitized Jumbo Prime Ja 7 n- 08 Ju l-0 Ja 8 n- 09 33

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