Fitch: U.S. Bank TruPS CDOs Combined Default & Deferral Rate Declined

According to the latest index results published today by Fitch Ratings, the number of combined defaults and deferrals for U.S. bank TruPS CDOs has declined to 26.5% at the end of December compared with 27.3% at the end of November.

Approximately 0.33% of this drop is attributed to the removal of the defaulted and deferring collateral of one TruPS CDO that no longer have outstanding ratings from Fitch, with the remainder of the difference due to new cures.

In the last month of 2013, there was only one new default. One issuer, representing $10 million in collateral held in two CDOs, jumped to default without prior deferral. Additionally, one bank representing $5 million of collateral re-deferred on its TruPS in one CDO. Ten banks representing $190.9 million of collateral has cured in December. The month-to-month change in the cured notional balance was less than that due to the re-deferral and removal of the collateral that was held by a CDO that is no longer rated by Fitch.

For the entire year, 17 new deferrals and defaults were significantly lower than the 51 in 2012. The cures also trended higher, with 69 new cures in 2013 compared to 50 in 2012.

Starting from this month, Fitch will be reporting the list of banks that remain in deferral at the end of the previous month and the size of the exposure across Fitch rated TruPS CDOs where the deferring status of the bank can be obtained from public sources of information. This information is available in the related Excel report titled 'Bank TruPS CDO Report Tables 2014.1.22'. This report lists issuers that comprise approximately 70% of the notional of the bank issuers deferring at the end of December.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research: Bank TruPS CDO Index

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=731199

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