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

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 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

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=761567

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Contacts

Fitch Ratings, Inc.
Azadeh Sharif, +1-212-908-0874
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Alina Pak, CFA, +1-312-368-3184
Senior Director
or
Media Relations
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com

Sharing

Contacts

Fitch Ratings, Inc.
Azadeh Sharif, +1-212-908-0874
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Alina Pak, CFA, +1-312-368-3184
Senior Director
or
Media Relations
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com