Amazingly, The Worst Subprime Toxic Junk Is Still Getting Worse

Foreclosure Phoenix

Photo: AP

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
  2006 vintages.

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