Five new bank defaults and an increasing rate of deferrals transferring to defaults drove CDO default rates at U.S. bank TruPS to 13.5%, according to Fitch Ratings' default and deferral index.

Eleven CDOs were affected by last month’s $86 million in new defaults. Six banks began to defer interest payments on roughly $76 million of collateral in 15 TruPS CDOs.

Managing director Kevin Kendra cited several new trends that have surfaced as a result of the increase.

“New tender offers or acquisition activity have emerged for a small number of bank TruPS issuers that were previously deferring payments,” Kendra said.

“Additionally, Fitch was notified of tender offers for two deferring banks in various TruPS CDOs,” he added.

The five additional bank defaults bring the total to 120, impacting 82 CDOs. Interest payments on $6.4 billion of collateral held by 83 TruPS CDOs are being affected by 343 banks now deferring.

Fitch’s latest default and deferral index, which is published on a monthly basis, monitors the activity of both banks and bank holding companies. It includes all types of securities issued by banks and bank holding companies, including TruPS and senior and subordinated debt.

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.