Mortgage derivative indexes

AAA is investment grade, A is Alt-A, BBB is subprime. Even AAA is selling at 90% of face value. Alt-A is a sickening 35% and subprime is dead at 20%.

That’s assuming you can even sell them, which you can’t, because there are no bids. And there are hundreds of billions, maybe trillions, of dollars worth of these out there.

(update: The ABX may be more of a sentiment indicator than pricing, but with ETrade recntly selling some of their holdings, albeit in a forced manner, at 27 cents on the dollar, it would seem to be an accurate indicator too.)