OREANDA-NEWS. June 17, 2015. The number of combined defaults and deferrals for U.S. bank TruPS CDOs decreased marginally to 19.7% at the end of May from 19.8% at the end of April, according to the latest index results published today by Fitch Ratings.

In May, two banks representing \\$15 million of notional in two CDOs cured. There were no new deferrals or defaults in May. One issuer that has been deferring since March 2010, with a notional of \\$4 million in one CDO, was sold from the portfolio with an estimated recovery of 13.8%.

Across 78 Fitch-rated TruPS CDOs, 231 defaulted bank issuers remain in the portfolio, representing approximately \\$5.8 billion of collateral. Currently 146 issuers are deferring interest payments on \\$1.7 billion of collateral compared with 223 issuers that were deferring on \\$2.6 billion of collateral in May 2014. The reduction in the deferrals is primarily due to cures, and (to a smaller extent) to defaults, sales, and removal of the deferring collateral related to CDOs that are no longer rated by Fitch.