CHICAGO--(BUSINESS WIRE)--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 22.7% at the end of July compared with 22.9% at the end of June.
In July, seven banks deferring interest on a total notional of $65.6 million in 14 CDOs cured. Three of these banks, or $26.5 million in notional, were due to reach the end of the maximum allowable five-year deferral period in 2014.
One issuer representing $5 million in collateral deferred interest on its TruPS in July. There were no new defaults in July. However, a defaulted issuer with total notional of $15 million from two CDOs has been sold out of the portfolios at 8% recovery.
Across 78 Fitch-rated TruPS CDOs, 231 bank defaulted issuers remain in the portfolio, representing approximately $6.3 billion of collateral. Additionally, 197 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: Fitch: U.S. Bank TruPS CDOs Combined Default & Deferral Rate Decreased