New Fitch Index: U.S. Bank TruPS CDO Defaults Nearing 11%

CHICAGO--(BUSINESS WIRE)--Bank default rates within U.S. TruPS CDOs continued their steady climb this past month and are now approaching 11%, according to Fitch Ratings in the inaugural edition of its Bank Default and Deferral Index.

“Seven new banks defaulted, while 20 additional financial institutions began deferring this past month.”

Bank default rates on TruPS CDOs have climbed from a near non-existent level of 0.1% in January 2008 to 10.8% as of Jan. 31 of this year.

"Banks will continue to default at an escalated rate in the coming months," said Managing Director Kevin Kendra. "Seven new banks defaulted, while 20 additional financial institutions began deferring this past month."

The newly defaulted bank issuers adversely affected 20 TruPS CDOs. Additionally, the deferrals impacted interest proceeds on $156 million of collateral held by these CDOs. These results bring the cumulative combined default and deferral rate to over 27%.

Fitch's Bank Default and Deferral Index tracks defaults and deferrals by banks and bank holding companies within Fitch's rated universe of 85 bank TruPS CDOs (encompassing approximately $37.6 billion of bank collateral originated). The index includes all types of securities issued by banks and bank holding companies such as TruPS and senior and subordinated debt. Fitch plans to publish the Index results during the first full week of every month.

'Fitch Bank TruPS CDO Default and Deferral Index' is available at 'www.fitchratings.com' under the following headers:

Sectors >> Structured Finance >> Structured Credit >> Research

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

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