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.
