Currently, 103 bank issuers representing approximately $4.4 billion held across 81 TruPS CDOs are in default. "Negative TruPS CDO pressure will continue due primarily to the underperformance among the small and medium sized U.S. banks," said Managing Director Kevin Kendra.
Bank deferral rates also climbed 1.5% to 17.7% this past month, bringing the total number of bank deferrals to 330. Another trend worth noting is the increase in the average amount of time that banks are deferring interest payments on their TruPS. Time spent in deferral among the 330 banks rose to 241 days, indicating the new deferral rate is increasing faster than the deferral-to-default rate. "While deferrals normally migrate to default, there was one observed instance of a deferral curing and resuming payments on its TruPS this past month," said Kendra.
Fitch's Bank Default and Deferral Index tracks defaults and deferrals by banks and bank holding companies within Fitch's rated universe of 85 bank TruPS CDOs (encompassing approximately $37.6 billion of bank collateral originated). The index includes all types of securities issued by banks and bank holding companies such as TruPS and senior and subordinated debt. Fitch will publish the Index results during the first full week of every month.
'Fitch Bank TruPS CDO Default and Deferral Index' is available by clicking on the link or by going to 'www.fitchratings.com' under the following headers:
Sectors >> Structured Finance >> Structured Credit >> Research
Additional information is available at 'www.fitchratings.com'
Related Research: Fitch Bank TruPS CDO Default and Deferral Index (As of March 2010)
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=510505
No comments:
Post a Comment