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

NEW YORK--(BUSINESS WIRE)-- The number of combined defaults and deferrals for U.S. bank TruPS CDOs decreased marginally to 19.7% at the end of May from 19.8% at the end of April, according to the latest index results published today by Fitch Ratings.

In May, two banks representing $15 million of notional in two CDOs cured. There were no new deferrals or defaults in May. One issuer that has been deferring since March 2010, with a notional of $4 million in one CDO, was sold from the portfolio with an estimated recovery of 13.8%.

Across 78 Fitch-rated TruPS CDOs, 231 defaulted bank issuers remain in the portfolio, representing approximately $5.8 billion of collateral. Currently 146 issuers are deferring interest payments on $1.7 billion of collateral compared with 223 issuers that were deferring on $2.6 billion of collateral in May 2014. The reduction in the deferrals is primarily due to cures, and (to a smaller extent) to defaults, sales, and removal of the deferring collateral related to CDOs that are no longer rated by Fitch.

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

Applicable Criteria and Related Research:

--'Bank TruPS CDO Index' (April 29, 2015).

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

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867340

Related Research

Bank TruPS CDO Quarterly Index

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865158

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View source version on businesswire.com: http://www.businesswire.com/news/home/20150612005716/en/

Fitch Ratings
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Source: Fitch Ratings

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