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

June 17, 2014



CHICAGO--(BUSINESS WIRE)-- Link to Fitch Ratings' Report: Fitch: U.S. Bank TruPS CDOs Combined Default & Deferral Rate Remained Stable

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750692

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 remained stable at 24.4% at the end of May compared with the previous month.

One bank, American Bancorporation, represented $37 million of notional in three CDOs marked as defaulted in Fitch's bank TruPS universe. American Bancorporation had been deferring interest payments on its TruPS since May 2008 and reached the end of its five-year deferral period in 2013 without paying interest due on its TruPS. The involuntary bankruptcy filed by the CDO managers to enforce the TruPS holders' rights was the first such instance observed in the TruPS universe.

Across 78 TruPS CDOs, 230 bank defaulted issuers remain in the portfolio, representing approximately $6.6 billion of collateral. Additionally, 223 issuers are currently deferring interest payments on $2.6 billion of collateral.

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

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Fitch Ratings

Azadeh Sharif, +1 212-908-0874

Associate Director

Fitch Ratings, Inc.

33 Whitehall St.

New York, NY 10004

or

Alina Pak, CFA, +1 312-368-3184

Senior Director

or

Media Relations:

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com

Source: Fitch Ratings


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