Fitch: U.S. Bank TruPS CDO Deferral Cures Reach Highest Level Experienced Post Crisis

Wed Apr 24, 2013 10:35am EDT

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Fitch: U.S. Bank TruPS CDO Deferral Cures Reach Highest Level Experienced Post Crisis

Combined defaults and deferrals for U.S. bank TruPS CDOs has further decreased to 28.2% at the end of the first quarter of 2013 (1Q'13) from 29.8% at the end of 4Q'12, according to Fitch Ratings.

In 1Q'13, 25 banks representing $443.9 million of collateral in 42 CDOs resumed interest payments and repaid accrued interest on their TruPS. This is the highest level of deferral cures experienced in the Fitch rated TruPS CDOs index, which tracks deferral, default and cure activity since 3Q'07. Previous quarter recorded 14 banks representing $267.8 million of collateral curing a prior deferral.

There were no new deferrals in the 1Q'13.

Two banks representing $8 million of collateral in two CDOs defaulted in 1Q'13. The number of defaulted banks in 1Q'13 was similar to that of 4Q'12, however, the notional amount was considerably lower than the previous quarter's $28.5 million.

At the end of 1Q'13, 217 bank issuers were in default, representing approximately $6.4 billion held across 79 TruPS CDOs. Additionally, 312 deferring bank issuers were affecting interest payments on $4.2 billion of collateral held by 78 TruPS CDOs.

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

Applicable Criteria and Related Research Fitch Bank TruPS CDO Index (As of March 2013)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=706496

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Fitch Ratings
Alina Pak
Senior Director
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Fitch Ratings, Inc.
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Chicago, IL 60602
or
Cristina Feracota
Analyst
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or
Azadeh Sharif
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or
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