OREANDA-NEWS. The number of combined defaults and deferrals for U.S. bank TruPS CDOs decreased to 17.5% at the end of December 2015 from 18% at the end of November 2015, according to the latest index results published today by Fitch Ratings.

Approximately 0.2% of this drop is attributed to the removal of the defaulted and deferring collateral of one TruPS CDO that no longer has outstanding ratings from Fitch, with the remainder of the difference due to new cures.

In December, four banks representing $29 million of notional in seven CDOs cured. In addition, one cured issuer with notional of $6 million in one CDO redeemed its TruPS. Three defaulted issuers, with a combined notional of $52.5 million in two CDOs, were sold from their portfolios with a realized weighted average recovery of 9.5%.

One bank with total notional of $7 million in two CDOs began deferring for the first time. There were no new defaults or re-deferrals in December.

Across 74 Fitch-rated Bank and mixed Bank & Insurance TruPS CDOs, 228 defaulted bank issuers remain in the portfolio representing approximately $5.3 billion of collateral. As of the end of 2015, 104 issuers are deferring interest payments on $1.3 billion of collateral compared to 171 bank issuers ($1.9 billion of notional) deferring at the end of 2014.

Starting from this month, Fitch will be reporting the total notional and count of redemptions from underlying issuers in TruPS universe. The expanded report will be published on a monthly basis and substitute the quarterly index reports.