KBRA Affirms the Ratings for TruPS Financials Note Securitization 2020-1
8 Aug 2024 | New York
KBRA affirms the ratings for three classes of notes of TruPS Financials Note Securitization 2020-1 Ltd (TFINS 2020-1).
TFINS 2020-1 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 a bond backed certificate issued by insurance companies and their holding companies.
The initial portfolio at closing consisted of 72 assets from 69 obligors with a total collateral par value of $282.9 million and rated liabilities of $212.2 million. It now contains 56 obligors with a total performing par value of $237.0 and rated liabilities of $167.1 million. The non defaulted asset balance has fallen by $12.475 million and liabilities prepaid by $11.575 million since last year’s surveillance, with the difference being due to $900 million of 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 Apr 2040. Since last year, the K-PD, which adjusts for the asset tenor, increased from 9.1% to 10.8% while the WAL decreased from 8.4 to 7.5 years
The surveillance used information from the July 2024 trustee report through the July 2024 payment date. All rated notes have received timely interest payments since the transaction closed.
To access rating and relevant documents, click here.
Click here to view the report.