WTF is going on in the ABX Markets?

Monday, July 16, 2007 | 04:55 PM

Its one thing when we see that the BBB- bonds -- the junkiest sub-prime crap in the Residential Mortgage Backed Securities (RMBS) universe -- getting shellacked due to foreclosures.

But today, we see that the AA and even the AAA are getting whacked.  It looks like either a fund is getting liquidated across all asset qualities -- or someone is panicking.

UPDATE: July 16, 2007 7:28pm
On the train home, I bump into a friend from UBS, who reminds me that triple AAAs contains up to 8% toxic sludge, while the double  AAs contain up to 12%.

As we mentioned this morning in the Beyond the 'Wall of Worry,' perhaps the focus has been in the wrong place -- not the low quality junk, but the supposed AAA stuff . . .

Very ominous charts (all via Markit):

Triple A (AAA)



Double A (AA)




Maybe there is a problem at Bear Stearns.

Regardless, looks like another hardly efficient market . . .

Monday, July 16, 2007 | 04:55 PM | Permalink | Comments (63) | TrackBack (4) add to | digg digg this! | technorati add to technorati | email email this post



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» Beyond the 'Wall of Worry' from The Big Picture
There is an interesting article in the Money Investing section of the WSJ this morning: What Could Topple Bulls' 'Wall of Worry'?. The wall of worry idea is that stocks can still flourish when people are nervous. Skeptics hold money on the sidelines. A... [Read More]

Tracked on Jul 16, 2007 7:37:45 PM

» Bear Stearns doom andgloom from Phorgy Phynance
Over on Nuclear Phynance I predicted that today would be an interesting day Posted July 8, 2007: All I can add is that I think July 16 will be an interesting day The reason being that Bear Stearns was suppose to report their losses today... [Read More]

Tracked on Jul 16, 2007 8:12:41 PM

» US FX Morning Note - Street Views from Econocator
ABN - Global FX Daily Discussing sub-prime and the sudden fall in the ABX index, ABN expects the USD to suffer the brunt of the FX fall out while high yielding currencies remain resilient: The market has got used to talking about sub-prime and is no l... [Read More]

Tracked on Jul 17, 2007 7:58:15 AM

» The Big Picture | WTF is going on in the ABX Markets? from The Capitalist Resistance
Link: The Big Picture | WTF is going on in the ABX Markets?. WTF is going on in the ABX Markets?This is from about a month ago, but it is a bit on the ABX [Read More]

Tracked on Aug 1, 2007 7:58:05 PM


I mean its only 5% -- but its AAA fer cryin out loud!

Posted by: Barry Ritholtz | Jul 16, 2007 4:59:32 PM

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