The rate of improvement for U.S. subprime RMBS has slowed down, according to Fitch Ratings.
In a report released today, the agency said that we are not going to see the same stellar progress in the asset class as we have over the last three years. Weighing on further improvements are changes in collateral composition and a backdrop of declining home prices.
"While more recent vintages continue to demonstrate modest performance improvements, loans originated prior to 2005 have shown little to none over the last year," the agency said.
Playing a role in the slowdown is the fact that the rate at which borrowers became delinquent rose in 2011 more than in previous years; loss severities for subprime liquidations have inched higher; and credit enhancement remains thin for this class of RMBS.