Trups CDO default rate ticks up to 11%, calculates Fitch

In a new report to be published today, Fitch calculates that the cumulative default rate in trups CDOs rose from 10.8% at the end of January to 11% at the end of last month. This was as a result of two new defaults, taking the total to date to 87 within the deals rated by Fitch.

The agency adds that both new defaults were by banks that had previously been deferring payments on their trups. La Jolla Bancorp was the biggest of the two defaults last month. The Californian bank has $65 million of trups outstanding across six Fitch-rated CDOs. The other defaulter, George Washington Bancorp, based in Illinois, has only $10 million outstanding and is found in two deals.

While the number of trups defaults continues to tick upwards, Fitch recorded no increase last month in the deferral rate, which remained at 16.7%. Although six banks began deferring on their trust preferreds, this was presumably balanced out by a similar number of institutions curing their deferrals.

The west coast continues to be the hardest hit part of the US banking sector by this measure. Fitch’s region comprising the three Pacific coast states has the highest rate of defaults and deferrals by notional amount.