Link to Fitch Ratings report: Fitch Bank TruPS CDO Default and Deferral Tables (As of May 2011)
US bank TruPS CDO default and carryover activity was minimal during May, according to the latest Fitch Ratings index results.
Bank defaults within TruPS CDOs rose three basis points (bps) to 15.65% at the end of May. Likewise, bank deferrals fell by the same amount to 17.61%. “While the activity of the past month may reinforce the belief that stabilization is near, it is still too early to say if the short-term volatility trend of TruPS bank CDOs has run its course,” said director Johann Juan.
There were 40 deferrals and 20 defaults for TruPS bank CDOs up to the end of May, significantly lower than the 74 deferrals and 33 defaults recorded up to the end of May of last year.
At the end of May, 177 bank issuers were in default, affecting around $ 5.89 billion held on 83 CDO TruPS. In addition, 390 deferred bank issuers impacted interest payments on $ 6.63 billion in collateral held by 84 CDO TruPS.
The Fitch Bank TruPS CDO Default and Deferral Index is available by clicking on the link or by going to ‘www.fitchratings.com’ under ‘Latest Research’.
Further information is available at ‘www.fitchratings.com’
ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. FURTHER, THE DEFINITIONS OF RATINGS AND THE CONDITIONS OF USE OF THESE RATINGS ARE AVAILABLE ON THE PUBLIC WEBSITE OF THE AGENCY “WWW.FITCHRATINGS.COM”. THE PUBLISHED RATINGS, CRITERIA AND METHODS ARE AVAILABLE ON THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE IN THE “CODE OF CONDUCT” SECTION OF THIS SITE.