KBRA Affirms the Ratings for TruPS Financials Note Securitization 2020-2
2 Oct 2024 | New York
KBRA affirms the ratings for three classes of notes of TruPS Financials Note Securitization 2020-2 Ltd (TFINS 2020-2).
TFINS 2020-2 is a static cash flow CDO and will not allow for any reinvestments in the portfolio. The collateral consists of trust preferred securities (TruPS) and subordinated debt issued by community and regional banks and their holding companies, along with TruPS, surplus notes, surplus notes, and senior unsecured notes issued by insurance companies and their holding companies.
The initial portfolio at closing consisted of 43 assets from 36 obligors with a total collateral par value of $177.2 million and liabilities of $148.0 million. It now contains 35 obligors with a total performing par value of $157.5 million and liabilities of $128.3 million. The balance and liabilities did not change since last year’s surveillance, while no defaults were recognized in the past year. The decrease in the Note balances can be attributed to the underlying asset prepayments. The deal maturity is on 15 July 2041. Since last year, the K-PD, which adjusts for the asset tenor, decreased from 8.4% to 7.0% while the WAL decreased from 8.4 to 7.7 years.
The surveillance used information through the July 2024 payment date. All rated notes have received timely interest payments since the transaction closed.
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