Fitch: U.S. Bank TruPS CDOs Combined Default & Deferral Rate Declined

NEW YORK--(BUSINESS WIRE)-- The number of combined defaults and deferrals for U.S. Bank TruPS CDOs decreased to 17% at the end of March 2016 from 17.4% at the end of February 2016, according to the latest index results published today by Fitch Ratings.

In March, eight banks representing $108.5 million of notional in 17 CDOs cured. In addition, one performing issuer with notional of $10 million in one CDO redeemed its TruPS. One defaulted issuer, with a combined notional of $27 million in two CDOs, was sold with a realized weighted average recovery of 7%.

One bank with total notional of $11 million in three CDOs began deferring for the first time. Furthermore, two issuers with a combined notional of $11 million in three CDOs re-deferred. One issuer representing $2.5 million of collateral in one CDO was closed by the FDIC and was marked as defaulted in Fitch's bank TruPS universe.

Across 74 Fitch-rated Bank and mixed Bank & Insurance TruPS CDOs, 228 defaulted bank issuers remain in the portfolio representing approximately $5.2 billion of collateral. As of March 2016, 97 issuers are deferring interest payments on $1.2 billion of collateral compared to $1.7 billion of notional deferring at the end of March 2015.

Additional information is available at 'www.fitchratings.com'.

Fitch: U.S. Bank TruPS CDOs Combined Default & Deferral Rate Declined

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=880463

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Bank TruPS CDO Index

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=872849

Bank TruPS CDOs: Increasing Concentration Moderates Upgrades

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=872566

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View source version on businesswire.com: http://www.businesswire.com/news/home/20160418006674/en/

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Source: Fitch Ratings

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