CHICAGO--()--According to Fitch Ratings, defaults and deferrals for U.S. bank TruPS CDOs has remained stable at 30.7% of the original collateral notional balance at the end of November. Defaults and deferrals remained stable at 17.4% and 13.3%, respectively.
There have been 27 new deferrals year to date through the end of November, compared to 73 new deferrals over a comparable period in 2011. New defaults are also trending lower, with 19 new defaults year to date compared to 40 last year. Cures continued to trend higher, with 40 cures year to date compared to 33 last year.
At the end of November, 214 bank issuers were in default, representing approximately $6.6 billion held across 83 TruPS CDOs. Additionally, 348 deferring bank issuers were affecting interest payments on $5 billion of collateral held by 83 TruPS CDOs.
The latest 'Fitch Bank TruPS CDO Default, Deferral and Cure Tables' are available by clicking on the link or by going to 'www.fitchratings.com' under 'Latest Research'.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research: Fitch Bank TruPS CDO Default, Deferral and Cure Tables as of November 2012