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 marginally decreased to 19.9% at the end of April from 20% at the end of March, according to the latest index results published today by Fitch Ratings.

In April, four banks representing $51.1 million of notional in nine CDOs cured. Additionally, three previously cured issuers representing $23 million of notional in four CDOs redeemed its TruPS.

Additionally, three banks representing total notional of $16.2 million across three CDOs re-deferred on their TruPS in April. For each of the issuers, the length of the previous deferral was close to the maximum allowed number of periods. All three issuers re-deferred on the next payment date, suggesting that they may be resetting the clock on their deferral. Fitch noted the recent re-deferral trend in its quarterly index report 'Bank TruPS CDO Index'.

Across 78 Fitch-rated TruPS CDOs, 231 defaulted bank issuers remain in the portfolio, representing approximately $5.8 billion of collateral. Currently 152 issuers are deferring interest payments on $1.7 billion of collateral compared with 224 issuers that were deferring on $2.6 billion of collateral in April 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).

Applicable Criteria and Related Research: Fitch: U.S. Bank TruPS CDOs Combined Default & Deferral Rate Declined

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=866079

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

Source: Fitch Ratings

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