U.S. subprime residential mortgage-backed securities prices are continuing to stabilize but there is little sign of any increase in value, according to a Fitch Solutions index. The index, which tracks credit default swaps of RMBS, as of Sept. 1 had fallen just slightly from the previous month, dropping three basis points to 8.31 from 8.34. The index also showed improvement in some vintages' default rates. The 2007 vintage's default rates were 18% less than they were in May while the 2006 vintage's default rates were 14% less than they were in May. Despite this, "asset values have not shown any sign of recovery," the company said.
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