Remember how I said that it was the scariest word in finance?

Well, now that Harvard is trying to get its endowment out of some private-equity stakes, we are seeing illiquidity in these markets:

A push by the richest U.S. universities to unload their stakes in private-equity funds is flooding the market, driving down prices for the world’s best- known buyout firms.

Investors led by Harvard University, which manages the largest U.S. endowment at $36.9 billion, may increase so-called secondary sales of private-equity funds to more than $100 billion during the next year, overwhelming available pools of capital. Interests in funds managed by KKR & Co., Madison Dearborn LLC and Terra Firma Capital Partners Ltd. all are being offered at discounts of at least 50 percent, according to people familiar with the sales

(emphasis mine)

Illiquid: You have assets, but no buyers, so those assets are worthless, or near worthless. This is what Greenspan’s “financial innovation” have gotten us.