Most mortgages underlying the tranches Scion is short have not yet reached their interest rate reset, the period of highest risk.

Judged as of 2006, when the statement was made. TRUE: loan-level or deal data for the tranches Scion was short (largely 2005-vintage subprime and Alt-A deals with adjustable-rate loans such as 2/28s) show that most of the underlying loans had not yet passed their first interest-rate reset by the date of the statement, and contemporaneous analyses identify the reset or payment-shock period as the highest-risk period. MOSTLY TRUE: resets were still mostly ahead, but the share was near half rather than clearly most, or the highest-risk framing is only partly supported. MIXED: roughly half of the loans had reset, or the reset timing was mixed across the deals Scion was short. MOSTLY FALSE: most of the underlying loans had already reset by then, or the highest-risk claim is largely unsupported. FALSE: essentially all of the loans had already reset, or the loans were not adjustable-rate products with upcoming resets.

Set before the research began.

1. E1 Scion Capital's 2006 Letter to Shareholders GuruFocus (republishing Michael Burry's Scion Capital 2006 letter) · 2006 Own record

   “Since the Funds-shorted mortgage pools mostly originated in spring through late summer 2005, I expect the pools shorted will see maximum stress during the latter half of 2007.”

2. E2 Alternative Mortgages: Causes and Policy Implications of Troubled Mortgage Resets in the Subprime and Alt-A Markets Congressional Research Service (via EveryCRSReport), by Edward V. Murphy · 27 December 2006

   “A 2-28 originated in the second half of 2005 resets in the second half of 2007.”

3. E3 The Case for Loan Modification FDIC (Federal Deposit Insurance Corporation), FDIC Quarterly 2007 Vol 1 No 3 · 2007

   “Almost three-quarters of subprime mortgages securitized in 2004 and 2005 were structured in this manner, as were more than half the subprime loans made in 2006.”

The independent evidence shows only that a 2-28 loan originated in the second half of 2005 resets in the second half of 2007 [E2]; the FDIC line [E3] does not say what loan structure it counts. That the shorted pools were mostly 2005 loans with upcoming resets comes only from the subject's own letter [E1], so no loan-level or deal data establish what share of the underlying loans had not yet reset.