posted by Prince of Wall Street

Check out this interactive chart from Bloomberg which looks at the 80 AAA bonds in the ABX.  It compares the ratio of credit support to collateral at risk for these 80 bonds.  It makes it pretty clear that 74 of 80 of these funds fail the test used by the ratings agency’s for investment grade i.e. above two times credit support.  Yet, miraculously many of these bonds still remain AAA according to the rating agencies. 12 of the bonds in the ABX, mostly those issued in 2006 and 2007 have collateral at risk