First Mortgages, Second Mortgages, and Their Default

Using 35,437 pairs of first and second mortgages matched from within a much larger set of subprime mortgages, this paper tracks and describes the tendency for either one of the mortgages to enter default, as well as the tendency for either the one or the other mortgage to ever return to being current, all this in a possibly repeated manner. Thus, the entire, interconnected default history of pairs of first and second mortgages is explored, as well as compared to theoretical predictions.