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.