2009-11-10 16:17:09 -

While prices among recent vintage U.S. subprime RMBS continue to stabilize, 2004 saw a substantial drop-off in performance with no signs of improvement, according to Fitch Solutions in its latest CDS of RMBS indices results.

Fitch Solutions' 2004 vintage Subprime RMBS Price Index fell by 16.7% this month to 11.57, down from 13.91 the month before. However, the Fitch Total Market

Subprime RMBS Price Index showed only a marginal fall to 8.02, down from 8.40 the previous month. All other vintages from 2005, 2006 & 2007 showed small gains on a month on month basis.

Recent loan level analysis conducted by Fitch Solutions of the indices' constituents found that the constant prepayment rate (CPR) and the constant default rate (CDR) were largely responsible for not just precipitating the fall in the 2004 vintage, but also explaining why the 2005-2007 vintages have not been affected.

--When looking at the average six-month CPR of the constituents of the indices, Fitch Solutions saw a significant uptick from June this year towards the 7% mark. This was largely due to the higher quality loans of the 2004 vintages being able to refinance given the current low interest rates. The six-month CPR for the 2005-2007 vintages remained stable in the 3-4% region due to the lower quality loan-to-value ratios precluding much refinancing.

--While Fitch Solutions saw the six-month CDR for 2005-2007 vintages improving somewhat from all time highs in May, there has been no significant improvement in the six-month CDR of the 2004 vintage.

'As the good quality loans are refinanced, the remaining pools are on average of lower credit quality, a factor that largely caused the drop in price for the 2004 Subprime Price Index,' said Author and Managing Director Thomas Aubrey. 'Credit quality among the pools will continue to converge over time as better quality borrowers take advantage of refinancing opportunities, thus leaving the remaining pool with more consistent weaker borrowers.'


Fitch Solutions, a division of the Fitch Group, focuses on the development of fixed-income products and services, bringing to market a wide range of data, analytical tools and related services. The division is also the distribution channel for Fitch Ratings content.

The Fitch Group also includes Fitch Ratings and Algorithmics, and is a majority-owned subsidiary of Fimalac, S.A. For additional information, please visit ' www.fitchsolutions.com : '; ' www.fitchratings.com : '; ' www.algorithmics.com : '; and ' www.fimalac.com : '.


Fitch RatingsThomas Aubrey, +44 (0)20 7682 7226, LondonRichard

Hrvatin +1-212-908-0690, New YorkMedia Relations:Peter
Fitzpatrick, +44 (0)20 7417 4364, London peter.fitzpatrick@fitchratings.com : mailto:peter.fitzpatrick@fitchratings.com Sandro

Scenga, +1-212-908-0278, New York sandro.scenga@fitchratings.com : mailto:sandro.scenga@fitchratings.com