(The following statement was released by the rating agency)NEW YORK, May 15 (Fitch) Fitch Ratings has taken the following rating actions on tranches from 20 Collateralized Debt Obligations (CDOs) backed primarily by Trust Preferred (TruPS) securities issued by banks:--Affirmed 69 tranches;--Upgraded seven tranches;--Affirmed and withdrew the rating on one tranche;--Downgraded and withdrew the ratings on two tranches;--Assigned various Rating Outlooks.The key rating factors for today's rating actions are highlighted below.KEY RATING DRIVERS:Credit Quality of Collateral: For most of the transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and ratings, remained stable or improved. As reported in the rating action report, in 16 CDOs average credit quality has improved since last review. Six transactions experienced new deferrals and/or defaults, with all of new defaults deferring at last review. Collateral Redemptions: 13 CDOs received a meaningful level of redemptions that paid down the senior-most notes and increased credit enhancement (CE) levels for rated liabilities. The magnitude of redemptions for each CDO is reported in the rating action report. Potential upgrades were weighed against the risk of adverse selection in the remaining portfolios and the likelihood of the remaining balance to be outstanding for an extended period of time.Excess Spread and CDO Structure: Excess spread continued to contribute to deleveraging some CDOs. Improving portfolio performance and deleveraging can lead to some coverage tests becoming compliant that, in turn, will cause redirection of excess spread to pay down cumulative deferred interest on mezzanine classes and diminished excess spread available to pay down senior classes in the future. Fitch estimates future levels of excess spread as described in the criteria 'Surveillance Criteria for TruPS CDOs,' dated April 21, 2014. Resolution and Recovery of Defaults and Deferrals: The number of cures continued to trend upward, as Fitch reports in its quarterly Fitch Bank TruPS CDO index. Fitch assesses the likelihood of a cure for a current deferral based on the score history of a deferring issuer since deferral as described in its criteria. Currently deferring issuers defined as 'strong' are assigned a higher likelihood of curing than 'weak' deferrals. RATING SENSITIVITIESChanges in the rating drivers described above could lead to rating changes in the TruPS CDO notes. To account for uncertainty around the pace of redemptions and cures and, consequently, magnitude of future excess spread, Fitch's rating analysis capped the levels of excess spread to the amounts projected only over the near-term future.In addition, to address potential risks of adverse selection and increased portfolio concentration after likely redemptions by the issuers with asset size of $15 billion or more, Fitch applied a sensitivity scenario, as described in the criteria. Contact: Primary AnalystBradley Howe, CFAAssociate Director+1-312-368-2081Fitch Ratings, Inc.70 W. Madison StreetChicago, IL 60602 Committee ChairpersonAlina Pak Senior Director+1-312-368-3184 Media Relations: Sandro Scenga, New York, Tel: +1 212-908-0278, Email: sandro.scenga@fitchratings.com.Additional information is available at 'www.fitchratings.com'. The information used to assess these ratings was sourced from trustee reports, collateral manager reporting Web sites and the public domain. Applicable Criteria and Related Criteria:--'Surveillance Criteria for Trust Preferred CDOs' (April 21, 2014);--'Global Rating Criteria for Corporate CDOs' (Aug. 8, 2013);--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014);--'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (June 12, 2013).Applicable Criteria and Related Research: Fitch Takes Various Actions on 20 Trust Preferred CDOshttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748770 Surveillance Criteria for Trust Preferred CDOshttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=745339 Global Rating Criteria for Corporate CDOshttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=715492 Counterparty Criteria for Structured Finance and Covered Bondshttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158 Criteria for Rating Caps and Limitations in Global Structured Finance Transactionshttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709840 Additional Disclosure Solicitation Statushttp://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=830330 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. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM 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 FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.
Fitch Takes Various Actions on 20 Trust Preferred CDOs
(The following statement was released by the rating agency)NEW YORK, May 15 (Fitch) Fitch Ratings has taken the following rating actions on tranches from 20 Collateralized Debt Obligations (CDOs) backed primarily by Trust Preferred (TruPS) securities issued by banks:--Affirmed 69 tranches;--Upgraded seven tranches;--Affirmed and withdrew the rating on one tranche;--Downgraded and withd
May 15, 2014
