Market  prices  within  U.S.  subprime  RMBS  continue  to show signs of stabilization,  although  there is little sign of any increase in value, according to Fitch Solutions in its latest CDS of RMBS indices results.

Fitch  Solutions'  Total  Market Index fell slightly this month by three basis  points (bps) to 8.31 as of Sept. 1 (compared to 8.34 last month). 

However,  asset  values  have  not  shown  any  signs  of  recovery,  as highlighted by slight falls in the 2004 & 2005 vintage indices. 'What is important to note is that one of the most maligned subprime vintages did show  some  signs  of  relative  improvement,'  said author and Managing Director Thomas Aubrey.

Considered  by most market participants to be among the worst performing  subprime  deals, the 2007 vintage index improved by just under 5%, while the  2006  vintage  index  fell by just over 5% in value month on month. 

This  relative  shift  between  the  two  indices  is highlighted by the three-month  default  rates showing that the 2007 rates compared to 2006 have improved somewhat over the last few months.

The  difference between the three-month CDR has narrowed between the two vintages  from 4.4% in May to 2.3% in September.

In essence, three-month default rates for 2007 are improving at an increasing rate over the 2006 vintage  with  the 2007 vintage default rates being 18% less than it was  in May whereas the 2006 vintage default rates is only 14% less.


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