This is Not Good

From Calculated Risk, on just how some of the skeletons we're beginning to see in the credit union world.

Key sentence: NRSRO ratings did not prove to be a reliable means of determining the quality of these securities.

What does that mean? they did not have very good data on subprime loans, so the credit union in question made an educated guess about its riskiness and booked its risk-adjusted value accordingly.

I think we all know where this ended up.

This also kind of weird: "AAA rated mezzanine securities back by Alt-A and Option ARMs". Someone with more securities knowledge please explain this to me? How is mezzanine security AAA? If it were AAA then wouldn't it be rolled up to a senior tranche?