The standard view about counterfactuals is that a counterfactual (A > C) is true if and only if the A-worlds most similar to the actual world @ are C-worlds. I argue that the worlds conception of counterfactuals is wrong. I assume that counterfactuals have non-trivial truth-values under physical determinism. I show that the possible-worlds approach cannot explain many embeddings of the form (P > (Q > R)), which intuitively are perfectly assertable, and which must be true if the contingent falsity of (Q > R) is to be explained. If (P > (Q > R)) has a backtracking reading then the contingent facts that (Q > R) needs to be true in the closest P-worlds are absent. If (P > (Q > R)) has a forwardtracking reading, then the laws required by (Q > R) to be true in the closest P-worlds will be absent, because they are violated in those worlds. Solutions like lossy laws or denial of embedding won't work. The only approach to counterfactuals that explains the embedding is a pragmatic metalinguistic approach in which the whole idea that counterfactuals are about a modal reality, be it abstract or concrete, is given up.