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I recently came across a animated chart workbook that I created back in the summer of ’08 that tracked the Market Price and Moody’s Rating of corporate bonds in a SIV. I was tasked with creating an Excel-based rating agency compliance application, so I had all the daily price and ratings data for the bonds. The animated chart tracks a subset of the total data, from May 2007 to May 2008.

Each token in the chart represents a single asset. The shape and color identify the industry of the asset. See the Legend Key at the bottom of the chart.

I thought that anyone who was in the structured finance business during that period would appreciate the optics on this (while re-living that sinking feeling…)

Notice the following:

* The portfolio starts off with all assets clustered right around par (100), and rated in the Baa3 to B2 range (with a liberal sprinkling of Ba’s and Caa’s).

* In June ’07 we see a very slight downward drift in Moody’s ratings.

* In July ’07 the first price shock is seen, as clusters of assets drift down into the mid-to-high 90’s.

* Jan-Feb ’08 – The next major price shock. This was the first “big one”.

* Also notice that the ratings remained relatively unchanged, give or take a few outliers. This chart only displays prices down to 70, but there were quite a few assets that were priced well below that. And yet they retained their ratings. Interesting.

Click here for an AVI clip of the animated workbook, located on my Skydrive
(In order to keep the file size as small as possible, the clarity of the video clip suffers a bit, but hopefully you can still get the gist of what transpired)

Price & Moody's Rating - May 2007

Price & Moody's Rating - May 2007 (snapshot)

Price & Moody's Rating - May 2008

Price & Moody's Rating - May 2008 (snapshot)

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