Mortgage loans originated to U.S. borrowers this year and in late 2005 - marked by an environment of slowing home price appreciation and desperate mortgage brokers - are not performing as well as those loans originated in 2003 and 2004. In fact, subprime mortgage loans originated in the first quarter of this year were experiencing the level of foreclosures within six to seven months that loans originated in 2004 had at 13 months, Bear Stearns analysts Gyan Sinha and Mary Ann Thomas said last week.

And while foreclosures for the 2005 vintage have also been relatively high, 2006 vintage loans appear to be on a faster track to foreclosure. Whether the deals will experience principal write-downs is difficult to model at such an early stage, but is expected to hinge largely on prepayment speeds, overall default levels and deal structure, they said.

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