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

NEW YORK--()--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 decreased to 23.4% at the end of June compared with 24.4% at the end of May. The decrease was due to new cures and removal of the collateral securities issued by Corus Bankshares, Inc.

In June, 18 banks deferring interest on a total notional of $211.5 million in 19 CDOs cured. Eleven of these banks, or $125.5 million in notional, were due to reach the end of the maximum allowable five-year deferral period in 2014.

One issuer representing $6 million in collateral deferred interest on its TruPS in June. Two issuers representing $32 million of collateral defaulted on their TruPS. $157.5 of TruPS issued by Corus Bancshares into seven CDOs has been exchanged for equity as a result of Chapter 11 bankruptcy proceedings. The notional of the exchanged collateral has been excluded from the defaulted notional amount tracked by Fitch index.

Across 78 Fitch-rated TruPS CDOs, collateralized with $34.1 million of TruPS and subordinate debt issued by bank and other issuers, 232 bank defaulted issuers remain in the portfolio, representing approximately $6.5 billion of collateral. Additionally, 204 issuers are currently deferring interest payments on $2.3 billion of collateral.

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=752885

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Contacts

Fitch Ratings
Azadeh Sharif
Associate Director
+1-212-908-0874
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
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
Azadeh Sharif
Associate Director
+1-212-908-0874
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
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