Fitch: Subprime Securities Values Increased in February

Reversing recent trends, most U.S. subprime vintages increased in value during the past month, according to a Fitch Solutions index. The U.S. Subprime RMBS Total Market Price Index, which is based on credit default swaps of residential mortgage-backed securities, had increased by a little over 6% from the previous month as of March 1. The index was 7.63 as of that day, up from 7.17 as of Feb. 1. The 2006 vintage performance was the strongest with a 17% increase. The 2004 and 2005 vintages respectively saw 3% and 9% increases month over month. Only the 2007 vintage declined in value, dropping 2% to a record low at 2.06. Fitch Solutions loan level analysis found that declines in both the constant prepayment rate and constant default rate drove the rise in value for the 2006 vintage. The three-month CPR dropped to 1.8% from 2.4% and the three-month CDR fell to 25.7% from 26.3% for the vintage. In addition, that vintage's historical 60-day delinquencies dropped to 1.65% from 1.77%. "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 Fitch Solutions managing director Thomas Aubrey. "This explains why the 2007 and 2006 vintages are showing such different pricing movements."