Friday, June 11, 2010

TruPS CDO Ratings Performance

Click on the diagram to enlarge it


(1) Performance includes bank, insurance and REIT TruPS CDOs.

(2) The data show no upgrades on any tranches by any of the rating agencies.

(3) The migration tables indicate an average downgrade in the region of 12 rating subcategories; downgrades are continuing to this day.

(4) Often the same tranche is rated by more than one rating agency.

(5) The tranche ratings exhibited, in some instances, continue to benefit from the rating of the insurer, to the extent the insurer's rating remains stronger than that of the underlying tranche.

(6) The vast majority (91.76%) of the deals closed in the region between 2003 and late 2007.

(7) Please visit for more information on TruPS CDOs.

(8) Data on TruPS CDO issuance can be found here.

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