Index: Price Stabilization Continues for Some U.S. B&C RMBS

While some U.S. subprime residential MBS prices are continuing to stabilize, 2004 and 2007 vintages are still showing notable declines, according to a Fitch Solutions credit default swap-based price index. On a month-to-month basis, prices for RMBS overall as of Jan. 1 had jumped just over 5% to 7.62 from 7.25 the previous month. "The 2005 vintage was the main driver of the positive trend, showing strong growth up 4.7% to 8.42," the company said. "The 2006 vintage also showed marginal improvement by rising to 2.81." However, the 2004 and 2007 vintages dropped 7% and 11%, respectively. "Higher quality borrowers' ability to refinance this summer resulted in higher prepayment rates, but left 2004 vintage pools on average with lower credit quality borrowers," said Fitch Solutions managing director Thomas Aubrey. He also noted the historical 90-day plus delinquencies in the 2007 vintage "jumped significantly," which he said suggests "default rates may begin increasing within the 2007 vintage."