Fitch: U.S. Bank TruPS CDOs Combined Default & Deferral Rate Remained Low
OREANDA-NEWS. The number of combined defaults and deferrals for U.S. bank TruPS CDOs remained at 17.4% at the end of February compared to the previous month, according to the latest index results published today by Fitch Ratings.
In February, three performing issuers representing $20 million across three CDOs redeemed their TruPS. In addition, one deferring issuer totaling $12 million was sold across two CDOs realizing 50% recovery and was removed from the portfolio. One issuer representing $4 million of notional in one CDO, re-deferred. There were no new defaults or cures in February.
Across 74 Fitch-rated Bank and mixed Bank & Insurance TruPS CDOs, 228 defaulted bank issuers remain in the portfolio representing approximately $5.2 billion of collateral. As of February 2016, 104 issuers are deferring interest payments on $1.3 billion of collateral compared to $1.8 billion of notional deferring at the end of February 2015.
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