Trups CDOs collateral has deteriorated sharply, according to PF2 Securities Evaluations

A recent research report by PF2 Securities Evaluations "A troubling year for trups CDOs" analyses performance in the $59 billion trups CDO market. The report finds that the average proportion of deferring and defaulted collateral in trups CDOs increased from 1% at the end of 2007 to 9.1% at the end of 2008.

Overcollateralisation (OC) ratios have consequently declined. At the start of last year, only 11% of deals were failing their junior OC ratios, but by the end of the year 100% of deals were failing this test. At the start of the year no deals were failing the senior OC trigger, but by the end of the year 23% were in breach of this test.