KBRA Releases Structured Credit Research: Return of the TruPS - Overview of New Issue Bank and Insurance CDOs

Kroll Bond Rating Agency (KBRA) releases a research report on newly issued Collateralized Debt Obligations (CDOs) containing bank and insurance securities. Many of these new deals are formed with a mix of collateral from legacy trust preferred securities (TruPS) CDOs issued prior to the financial crisis. The report compares these new deals to the legacy TruPS CDOs to highlight some key differences.

This research includes a brief overview of the different bank and insurance collateral types held by both recently issued CDOs and legacy TruPS CDOs. The new CDOs, containing different mixes of collateral types and with varying spreads and maturities on the assets, have amortization profiles that can substantially change from portfolio to portfolio. The report addresses unique risk factors embedded in the new CDOs and describes why a thorough analysis is necessary to gain an insight into the potential risks, including both default risk and prepayment risk. A side by side comparison is provided as a reference between legacy TruPS CDOs and new issue CDOs.

KBRA’s Structured Credit, Bank and Insurance teams will continue to work together in monitoring the market as this asset class continues to evolve.

To access the full report, click here.

Related Publications: (available at www.kbra.com)

• Par Wars: Attack on the Loans
• Global Structured Credit Rating Methodology
• Credit Suisse ABS Repackaging Trust 2018-PS1 New Issue Report

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About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus, is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

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