U.S. Subprime CDS prices more than doubled their increase from the previous month, rising 1.7% overall.  According to the latest Fitch Solutions report, this brings the subprime rally to its unprecedented seventh consecutive month.

However, not all vintages enjoyed the same success last month.  While the 2007 vintage price rose 4.9% and the 2004 vintage increased by 84 basis points, the 2006 vintage suffered another decrease of -8.4%. After February’s drop of -11.3%, this is its second largest decline of the year.

Prices are down -16.9% overall, making it the worst performer of 2011. Conversely, the 2007 vintage is the best performer of the year, with a year-to-date price increase of 20.1%.

Another area in which the 2006 vintage has struggled as compared to the 2007 vintage has been in its loss severities from real estate owned (REO) properties. This rate is currently at 83.1% and rising, while the 2007 vintage is only at 79.2%. The percent of REO loans is also higher at 4.8% as compared to 3.8% for the 2007 vintage.  

The 2006 vintage had the highest one-month constant default rate at 10.8%, while simultaneously having the lowest one-month voluntary prepayment rate at 0.85%. Yet it was still in trend with other vintages with an increase in delinquency rate of 1.6%.

The 30-Day delinquency rate broke its recent trend of improvement with an increase in of 4.8%. It was suggested in the report that this could be due to the current weakened labor market.

Roll rates also suffered a break in trend as cure rates dropped from 7.5% to 5%, despite recent progress. This brings it to a -33.3% month-over-month decline. Also, the rate at which borrowers 30-days delinquent become current has dropped from 34.3% to 19.4%.

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