Guess What: Old, Toxic Subprime Assets Are Starting To Perform Well Again

Foreclosure Vallejo


More evidence that things are coming back in this economy.Here’s the latest from Fitch:

U.S.  subprime  RMBS  prices  reverse course this past month, with most vintages increasing in value, according to Fitch Solutions in its latest CDS of RMBS indices results.

Fitch  Solutions’  U.S. Subprime RMBS Total Market Price Index increased by  just  over  6% month on month to 7.63 as of March 1 (up from 7.17 at  Feb.  1).  All  vintages  increased  in  value,  with  the  2006 vintage
performance  the  strongest with a 17% increase.  Additionally, the 2005
and  2004  vintages increased by 9% and 3% respectively, month on month.The  lone outlier was the 2007 vintage, which declined by 2% hitting its lowest ever value at 2.06.

  Recent  loan level analysis conducted by Fitch Solutions on the indices’ constituents  found  that  declines in both the Constant Prepayment Rate (CPR)  and  Constant  Default Rate (CDR) drove the rise in value for the 2006  vintage.  Three-month  CPR  fell  to  1.8%  from  2.4%,  while the
  three-month   CDR  declined  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,’ said Thomas Aubrey. ‘This explains why the 2007 and 2006 vintages are showing such different pricing movements.’

Declines  in three-month CPR were also the primary drivers for the value increase  in  both  the  2004 (from 4.8% to 4.3%) and 2005 (from 3.2% to  2.4%) vintages.

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