by Calculated Risk on 11/29/2007 07:26:00 PM

Brian has dug up the value of the ETrade ABS as of Sept 30, 2007. The assets included a substantial amount of prime residential first liens.

Here is Brian's spreadsheet: Etrade Haircut Spreadsheet

He would appreciate comments on the haircuts.

The importance of these marks can't be overstated.

From Dow Jones: E*Trade's CDO Sale May Mean Lower Values For Bank Holdings (no link yet)

Hedge fund Citadel Investment Group's agreement to buy a troubled debt portfolio from E*Trade Financial Corp. ... could be bad news for banks still holding similar securities on their books.

Banks like Citigroup ... and Merrill Lynch ... "mark to model" approach produced some $36 billion in losses for banks in the third quarter ... The E*Trade deal, however, could show that losses have been worse. The discount broker sold Citadel its $3 billion portfolio of asset backed securities ... at a cut-rate price of around 27 cents on the dollar.