BofE says: Prices of AAA tranches of the ABX index appear to be particularly out of line with credit fundamentals.
Risk premia are unusually high across a number of other markets under stress.
Note: Total principal writedowns on ABX tranches to date: ZERO
Unfortunately, there will be a brief delay in service while I dry off my undergarments and descend into the plateaued euphoria of the newly minted Icahn Report.
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May 1st, 2008 at 8:53 am
i recommend looking at mish shedlocks analysis of a 2007 wamu AAA pool.
May 1st, 2008 at 9:21 am
I think I have seen something on Alt-A. There are some really bad pools, no doubt about that. But so far the principal writedowns on subprime are very low, zero for ABX components and a few basis points for all subprime tranches issued 2005 and after.
May 25th, 2008 at 11:02 am
[...] should be tracking this as well, albeit at lower levels due to a crappier liquidity situation. Alea mentioned the on-going AAA situation, in my eyes this is a fat liquidity premium that will tighten up over [...]