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

NEW YORK--(BUSINESS WIRE)--

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 further decreased to 22.2% at the end of September compared with 22.6% at the end of August.

In September, eight banks representing $80 million of collateral in 12 CDOs re-deferred on their TruPS. One bank, Albina Community Bancorp with total notional of $6 million in two CDOs has filed a chapter 7 bankruptcy petition a day before the expiration of its maximum allowed deferral period. Additionally, 13 deferring banks representing $142.1 million of collateral in 18 CDOs cured. Three cured bank issuers in three CDOs redeemed their TruPS in September.

Additionally, an auction sale of a previously defaulted issuer representing $61.3 million of notional in six CDOs with recovery of 7.4% of par resulted in reduction of the cumulative defaulted notional reported by the index.

Across 78 Fitch-rated TruPS CDOs, 234 bank defaulted issuers remaining in the portfolio, represent approximately $6.2 billion of collateral. Additionally, 187 issuers are currently deferring interest payments on $2.1 billion of collateral.

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=801168

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