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 marginally decreased to 20% at the end of March from 20.4% at the end of February, according to the latest index results published today by Fitch Ratings.

In March, 12 banks representing $150.5 million of notional in 19 CDOs cured. Additionally, four previously cured issuers representing $23 million of notional in four CDO redeemed their TruPS. There were no new defaults in March. Furthermore, six banks representing $55 million of notional in seven CDO's re-deferred on their TruPS.

Two defaulted banks with the notional of $29.5 million in two CDOs have been exchanged for preferred stock and the notional has been removed from the index. Additionally, full recovery was received on a defaulted issuer with total notional of $7 million across two CDOs.

Across 78 Fitch-rated TruPS CDOs, 214 defaulted bank issuers remain in the portfolio representing approximately $5.8 billion of collateral. 156 issuers are currently deferring interest payments on $1.8 billion of collateral.

Fitch's analysis of spreads and coupons on redeemed vs. outstanding TruPS from the same issuer (with at least $15 billion in assets) reveals that the remaining TruPS carry a lower cost of funding which is likely a key consideration for the issuers. Fitch recently revised its U.S. Surveillance Criteria for Trust Preferred CDOs to reflect its assumption that the remaining TruPS issued by Collins affected banks will remain outstanding until their legal maturity.

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

Applicable Criteria and Related Research: Bank TruPS CDO Quarterly Index

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

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Fitch Ratings
Azadeh Sharif
Associate Director
+1-212-908-0874
Fitch Ratings, Inc., 33 Whitehall Street, New York, NY 10004
or
Todor Sapundzhiev
Associate Analyst
+1-312-368-3198
or
Alina Pak, CFA
Senior Director
+1-312-368-3184
or
Media Relations
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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