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

CHICAGO--()--According to the latest index results published today by Fitch Ratings, the number of combined defaults and deferrals for U.S. bank TruPS CDOs has declined to 24.5% at the end of March compared with 25.8% at the end of February.

In March, 18 banks deferring interest on a total notional of $523 million in 42 CDOs cured. Ten of these banks, or $391 million in notional, were due to reach the end of the maximum allowable five-year deferral period in 2014.

Three issuers representing $59 million in collateral deferred interest on their TruPS in March. Two defaulted issuers and two deferring issuers, representing $19 million and $15 million in notional, respectively, were sold out of four CDOs. There were no new defaults in the month.

Additionally, six issuers representing $202 million in collateral were reclassified as defaulted from deferring. The issuers have voluntarily filed for Chapter 11 bankruptcy for the purpose of completing a sale of assets in accordance with the Section 363 bankruptcy code. The issuers, along with footnotes detailing further information, are included on the related Excel report titled 'Bank TruPS CDO Report Tables 2014.04.28'.

Across 78 TruPS CDOs, 230 bank issuers have defaulted and remain in the portfolio, representing approximately $6.6 billion of collateral. Additionally, 226 issuers are currently deferring interest payments on $2.6 billion of collateral. This compares to 312 deferring issuers totaling $4.2 billion of collateral at this time a year ago.

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

Applicable Criteria and Related Research: Bank TruPS CDO Index

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=747153

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Contacts

Fitch Ratings
Bradley Howe, CFA
Associate Director
+1-312-368-2081
Fitch Ratings, Inc.
70 W. Madison Street
Chicago, IL 60602
or
Azadeh Sharif
Associate Director
+1-212-9078-0874
or
Alina Pak, CFA
Senior Director
+1-312-368-3184
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
Email: sandro.scenga@fitchratings.com

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Contacts

Fitch Ratings
Bradley Howe, CFA
Associate Director
+1-312-368-2081
Fitch Ratings, Inc.
70 W. Madison Street
Chicago, IL 60602
or
Azadeh Sharif
Associate Director
+1-212-9078-0874
or
Alina Pak, CFA
Senior Director
+1-312-368-3184
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
Email: sandro.scenga@fitchratings.com