Fitch Publishes Updated U.S. Surveillance Criteria for Trust Preferred CDOs

Fitch Ratings today published an updated rating criteria report for Trust Preferred collateralized debt obligations (TruPS CDOs). This report updates and replaces the prior criteria report titled 'Surveillance Criteria for Trust Preferred CDOs' dated April 21, 2014.

The only change in this criteria update has been made to the expected maturity for the banks exposed to the Collins Amendment of the Dodd-Frank Act. Previously, for its base case scenario, Fitch assumed Collins-affected banks rated at the investment grade level or, when applicable, carrying a score of at least 3.5, would redeem their TruPS by January 2016. Following this criteria update, Fitch will assume that the remaining TruPS issued by Collins-affected banks will remain outstanding until their legal maturity. This change reflects an observed reduction in the pace of redemption from these issuers over the last year and a half. Fitch analysis of the redemptions by these issuers suggests that the cost of funding for these remaining TruPS is relatively low, which would keep TruPS an attractive source of funding even if they will lose their Tier I treatment.

Fitch expects the impact of this change to be limited to one transaction that had approximately 21% of its total portfolio represented by TruPS of Collins-affected issuers. Fitch will review this CDO in the near-term future and expects the impact of the criteria change to be at least partially offset by the deleveraging since last rating action.

The criteria report 'US Surveillance Criteria for Trust Preferred CDOs' is available on the Fitch Ratings website at 'www.fitchratings.com' under the sectors:

Structured Finance >> Structured Credit >> Research

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

Applicable Criteria and Related Research: Surveillance Criteria for Trust Preferred CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864352

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.