Press Release|Structured Credit
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KBRA Upgrades Class A-1 and Affirms All Other Ratings for TruPS Financials Note Securitization 2020-2

4 Sep 2025   |   New York

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KBRA upgrades Class A-1 and affirms all other ratings for TruPS Financials Note Securitization 2020-2 (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) issued by community and regional banks and their holding companies, along with TruPS, surplus notes, and bonds issued by insurance companies and their holding companies.

The portfolio at initial rating 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 32 obligors with a total performing par value of $140.0 million and liabilities of $110.8 million while no defaults were recognized as of the latest portfolio date.

The liabilities dropped by $17.5 million while the deferred interest balance remained at zero. The decrease in the Note balances can be attributed to the underlying asset prepayments. The deal maturity is on July 15, 2041.

Since last year, the K-PD, which adjusts for the asset tenor, changed from 7.0% to 6.7% while the WAL changed from 7.7 to 6.8 years. The current KWARF, 481, is in the BBB to BBB- range. We first rated the transaction in December 15, 2020 when it closed.

The surveillance used information from the trustee report through the July 2025 payment date. All rated notes have received timely interest payments since the transaction closed.

To access ratings and relevant documents, click here.

Click here to view the report.

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Methodologies

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA), one of the major credit rating agencies (CRA), is a full-service CRA registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.

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