NEW YORK--(BUSINESS WIRE)--The number of combined defaults and deferrals for U.S. bank TruPS CDOs remained at 18.8% at the end of July compared to the previous month, according to the latest index results published today by Fitch Ratings.
In July, one issuer representing $3 million of collateral in one CDO, was closed by the FDIC and was marked as defaulted in Fitch's bank TruPS universe. This is the first FDIC bank closure in Fitch rated bank TruPS CDO universe in 2015. One defaulted issuer, with a notional of $5 million in one CDO, was sold from the portfolio with an estimated recovery of 1.6%. There were no new deferrals or cures in July.
Across 76 Fitch-rated TruPS CDOs, 229 defaulted bank issuers remain in the portfolio representing approximately $5.6 billion of collateral. 127 issuers are currently deferring interest payments on $1.5 billion of collateral.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Bank TruPS CDO Index' (April 29, 2015).
Fitch: U.S. Bank TruPS CDOs Combined Default & Deferral Rate Remained Low
Bank TruPS CDO Quarterly Index