Tuesday, April 20, 2010

Moody and S&P Had Rated The GS Abacus Triple-A

As a follow-up to our rating agencies (and MCO straddles) post from yesterday, the Wall St. Journal reports today that both Moody's and Standard & Poor's had placed triple-A ratings on the Abacus deal. However, it turned out to be one of the worst-performing mortgage deals of the housing crisis, based on one measure of rating-firm downgrades:

"Both Moody's Investors Service and Standard & Poor's Ratings Service placed their once-revered triple-A ratings on the Abacus deal".

"Less than a year after the deal was completed, 100% of the bonds selected for Abacus had been downgraded, according to a February 2008 report by Wachovia Capital Markets".

Please take a look at the chart showing what happened with the 90 mortgage bonds inside the Abacus 2007-AC1, from the day it was issued in April 2007, to October 2007 and then January 2008:

Grid is 10x9:

(please click to enlarge)

MCO is down again today.

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