You might have assumed that the really bad, late-vintage subprime junk had long bottomed out.You’d be wrong, according to Fitch:
Heightened concerns about the valuation of U.S. subprime RMBS assets
manifested in an across-the-board drop for all vintages, according to
Fitch Solutions in its latest CDS of RMBS indices results.
Fitch Solutions’ U.S. Subprime RMBS Price Index fell by just under 6%
month on month to 7.17 as of Feb. 1, down from 7.62 from Jan. 1. All
vintages dropped in value, highlighting concerns about the valuation of
RMBS subprime assets across the board. Driving the declines was the 2007
vintage, which dropped by 17.7%, with the 2005 vintage falling by 9.5%
month on month.
Recent loan level analysis conducted by Fitch Solutions on the indices’
constituents found that the 2007 vintage showed a significant jump in
historical 90-day plus delinquencies rising from 13.7% to 14.2%. ‘The
rise in delinquencies is signaling a potential increase in 2007 loan
defaults,’ said Author and Managing Director Thomas Aubrey.
Further evidence of a potential rise in defaults is in the six-month
constant default rate (CDR) for both 2007 (to 29.3% from 29.5%) and 2005
(to 23.68% from 23.71%) vintages, both of which fell only marginally.
This is in stark contrast to much larger declines among the 2004 and
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