Tag: Credit

I’m listening to the Goldman Sachs testimony and as they float around words like CDO’s and ABX, I thought I’d check on what the ABX prices currently are as per Markit.   If you recall, I actually wrote the code for CDS on ABX back when I was at Countrywide in 2006 and 2007.

Wow.

Factors Effective: 2010-04-26 27-Apr-10 Overview Index Series Version Coupon RED ID Price High Low Factor ABX.HE.PENAAA.07-2 7 2 76 0A08AWAD1 47.31 70.00 24.56 0.995918674 ABX.HE.AAA.07-2 7 2 76 0A08AHAD4 44.58 99.33 23.10 0.995918674 ABX.HE.AA.07-2 7 2 192 0A08AGAD6 5.32 97.00 3.75 0.842675865 ABX.HE.A.07-2 7 2 369 0A08AFAD8 4.63 81.94 2.97 0.383809843 ABX.HE.BBB.07-2 7 2 500 0A08AIAD2 3.58 56.61 2.89 0.15 ABX.HE.BBB-.07-2 7 2 500 0A08AOAD9 3.58 50.33 2.88 0.15 ABX.HE.PENAAA.07-1 7 1 9 0A08AWAC3 54.35 80.27 28.36 0.998941369 ABX.HE.AAA.07-1 7 1 9 0A08AHAC6 44.85 100.09 23.25 1 ABX.HE.AA.07-1 7 1 15 0A08AGAC8 5.13 100.09 2.86 0.827149338 ABX.HE.A.07-1 7 1 64 0A08AFAC0 3.77 100.01 2.33 0.432376793 ABX.HE.BBB.07-1 7 1 224 0A08AIAC4 3.68 98.35 2.19 0.15 ABX.HE.BBB-.07-1 7 1 389 0A08AOAC1 3.66 97.47 2.19 0.117129675 ABX.HE.PENAAA.06-2 6 2 11 0A08AWAB5 77.88 93.88 53.04 0.715876842 ABX.HE.AAA.06-2 6 2 11 0A08AHAB8 57.29 100.12 28.72 0.984457918 ABX.HE.AA.06-2 6 2 17 0A08AGAB0 14.83 100.12 6.94 0.92237709 ABX.HE.A.06-2 6 2 44 0A08AFAB2 5.20 100.12 3.42 0.431335167 ABX.HE.BBB.06-2 6 2 133 0A08AIAB6 6.78 100.59 2.29 0.111413346 ABX.HE.BBB-.06-2 6 2 242 0A08AOAB3 6.02 100.94 2.34 0.1 ABX.HE.PENAAA.06-1 6 1 18 0A08AWAA7 88.24 98.50 82.18 0.181987649 ABX.HE.AAA.06-1 6 1 18 0A08AHAA1 88.94 100.38 59.75 0.828696827 ABX.HE.AA.06-1 6 1 32 0A08AGAA9 45.83 100.73 15.90 0.972754188 ABX.HE.A.06-1 6 1 54 0A08AFAA7 14.79 100.51 7.50 0.826844803 ABX.HE.BBB.06-1 6 1 154 0A08AIAA4 4.98 101.20 3.95 0.424882857 ABX.HE.BBB-.06-1 6 1 267 0A08AOAA2 5.03 102.19 3.90 0.285366883

I realize this is somewhat cryptic, but take a look, say, at the price for ABX.HE.AAA.07-2. This was the AAA tranche of an ABS Index made up of Home Equity (HE) issued sometime around July of 2007. Do you see the price? 44.85. The price started at 100.0 at issue so for this particular Senior investment grade tranche, you’d have lost more than 50% of your money if you’d invested back in 2007.

Wow.

If you decided to take a little risk back then, you might have bought the Mezzanine branch, as the good ol’ boys at Goldman Sachs call it.    If you’d bought $100 worth, guess how much you’d have right about now?   $3.58.

If you think we’ve come even close to hitting housing bottom, I’ve got a bridge to sell you!