Fitch’s New Subprime Indices Show Asset Values Stabilizing

[Update 1: Adds details on index values.] Subprime asset values within residential mortgage-backed securities (RMBS) appear to be stabilizing along with some data on overall US house prices, according to fixed-income product and service developer Fitch Solutions, a division of the Fitch Group. Fitch recently launched new indices for US subprime assets that cover all vintages as well as ’04, ’05 and ’06 vintage-specific indices, providing a broader view of the US subprime market. The indices measure the value of distressed subprime assets based on current cash prices. For exammple, the total-market US subprime index stood at 8.34 as of September 1, indicating a distressed value of little more than $0.08 on the dollar. The index remains above its May 1st all-time low of 7.27 — indicating signs of stabilization in the last few months — but sits well below the Nov. 1, 2007 opening value of 42.56, the company said. “In general, the synthetic subprime market is still seeing more activity than its cash equivalent and hence can be used as an effective proxy for asset values,” said author and managing director Thomas Aubrey. “Fitch Solutions’ new indices will fill a gap by helping market participants with broader trend analysis and improving relative valuation techniques across different asset classes.” The indices will be available through Fitch Solutions’ asset-backed securities (ABS) credit default swap (CDS) pricing service, which covers data on 12,000 ABCDS. The platform includes a benchmark service to provide a derived price for illiquid assets. Write to Diana Golobay.