New research by JP Morgan finds that IndyMac is one of the most widely held names by trups CDOs. The report entitled "IndyMac Bancorp Failure - impact on trups CDO market" says that IndyMac is the largest name in hybrid trups CDOs and the third-largest issuer in bank trups CDOs. That is based on a survey of the original trustee reports of 35 deals.

The CDO with the greatest exposure to IndyMac trust preferred securities is Alesco Preferred Funding VII at 3.36% of the portfolio. A total of 12 deals in JP Morgan's survey had exposure of 2% or more.

The report says the recovery on IndyMac trups could be as low as zero, and says that this payment failure could wipe out the equity in some deals that have already experienced defaults. The bank calculates that annual principal losses of around 1.2-1.5% are enough to cause losses to the triple B liabilities of trups CDOs and single As could suffer losses at a 1.8-2.2% annual default rate.

However, if IndyMac's collapse is a sign of increased bank failures in future, realised default rates may be much higher than this, potentially putting double A and triple A notes at risk, concludes the report.