Subprime RMBS prices in the U.S. reversed course this past month, with most vintages rising in value, reported Fitch Solutions based on the firm's latest CDS of RMBS indices results.
The U.S. subprime RMBS total market price index from Fitch Solutions rose by just more than 6% month-over-month to 7.63 as of March 1 (up from 7.17 at Feb. 1).
According to Fitch, all the vintages rose in value, with the 2006 vintage performance being the strongest, with a 17% increase. Additionally, the 2005 and 2004 vintages rose by 9% and 3% respectively, month-over-month. The lone outlier was the 2007 vintage, which declined by 2% hitting its lowest ever value at 2.06.
Fitch Solutions' recent loan level analysis conducted by Fitch Solutions on the indices'
constituents showed that dips in both the Constant Prepayment Rate (CPR) and Constant Default Rate (CDR) drove the value increase for the 2006 vintage. Three-month CPR fell to 1.8% from 2.4%, while the three-month CDR dropped from 26.3% to 25.7%. Historical 60-day delinquencies also decreased from 1.77% to 1.65%.
"The different performance of the CPR and CDR across diverse vintages reinforces the need to drill down and extensively assess each vintage from a broader perspective," managing director Thomas Aubrey said. "This explains why the 2007 and 2006 vintages are showing such different pricing movements."
Drops in three-month CPR were also the primary drivers for the value rise in both the 2004 (from 4.8% to 4.3%) and 2005 (from 3.2% to 2.4%) vintages.