Fitch Unit: Some U.S. Subprime Default Rates Better But ...

Some default rates for U.S. subprime residential mortgage-backed securities show signs of slowing but only marginally in some cases, and overall prices are continuing to fall, according to Fitch Solutions. U.S. subprime residential mortgage-backed securities prices overall dropped nearly 6% month-to-month to 7.17% in the latest period, down from 7.62% a month ago, according to Fitch Solutions' indices. The 2007 vintage dropped by 17.7% and its historical 90-day delinquencies jumped to 14.2% from 13.7%, according to the credit default swaps of RMBS-based indices. "The rise in delinquencies is signaling a potential increase in 2007 loan defaults," said Fitch managing director Thomas Aubrey. Six-month constant default rates declined but only marginally in 2007 and 2005 vintages. The six-month CDR for the 2007 vintage inched down to 29.3% from 29.5% and the six-month CDR for the 2005 vintage slid slightly to 23.68% from 23.71%. "This is in stark contrast to much larger declines among the 2004 and 2006 vintages," Fitch said.