The number of combined defaults and deferrals for U.S. bank TruPS CDOs marginally decreased to 21.1% at the end of December from 22% at the end of November, according to the latest index results published today by Fitch Ratings.
Approximately 0.5% of this drop is attributed to the removal of the defaulted and deferring collateral from two TruPS CDOs that are no longer rated by Fitch, and the remainder of the difference is due to new cures and redemptions.
In December, six banks representing $52.9 million of notional in nine CDOs began deferring on their TruPS. All six banks are re-deferrals that had previously cured their TruPS. Fifteen banks representing $155.2 million notional in 19 CDOs cured. In addition, four banks representing $42.2 million of notional in five CDOs redeemed their TruPS.
There were no new defaults in December. Recovery of $8 million was received on $66 million of notional of three banks in eight TruPS CDOs. For further details on the recovery refer to Fitch's Bank TruPS CDO Index for 4Q14, available at www.fitchratings.com or by clicking on the link.
Across 78 Fitch-rated TruPS CDOs, 235 defaulted bank issuers remain in the portfolio, representing approximately $6.0 billion of collateral; 171 issuers are currently deferring interest payments on $1.9 billion of collateral.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research: Bank TruPS CDO Index as of December 2014
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=861008
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