Fannie Mae Senior CDS: 92.4 with Net Open interest:$12 million to buy
Fannie Mae Subordinated CDS: 92.65 with Net Open interest:$608 million to buy
Freddie Mac Senior CDS: 93.75 with Net Open interest:$79 million to buy
Freddie Mac Subordinated CDS: 93.80 with Net Open interest:$542 million to buy
Source Creditex/Markit
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October 6th, 2008 at 12:31 pm
Seems to me I read in FT an estimate of 85 to 90 for this auction. Or am I remembering that wrong. If not, then results would seem to be actually a strange bit of good news?
October 6th, 2008 at 1:19 pm
JP Morgan estimated 85%. This does appear to be good news. Not sure what this means for the upcoming Lehman and WAMU auctions. Also, there are still $ 1 trillion in Fannie/Freddie principal-only debt swaps waiting to go to auction. It was probably a good idea to send this higher-quality stuff first, from a market psychology point of view.
October 6th, 2008 at 2:02 pm
Correction to my post: the $ 1 trillion in Fannie/Freddie principal-only obligations will not be included in any auction due to a ruling in mid-September.
October 6th, 2008 at 2:08 pm
Right, SMBS aren’t part of the capital structure.
October 6th, 2008 at 2:12 pm
What does the ‘open interest’ imply?
October 6th, 2008 at 2:14 pm
barry:
the amount left to clear in this case all buyers, which means the final recovery should be higher.
Add:
this is a 2-part auction, the next one clears the open interest.
October 6th, 2008 at 5:48 pm
Considering FNM/FRE were broke, this is a huge win for the sellers. Now all we have to deal with is the liabilities from all that toxic crap on the FNM/FRE books. How many hundred billion did you say?
October 6th, 2008 at 6:05 pm
Yes, it is a big win. They were broke but there are now a mighty U.S govt risk…
FNM/FRE crap: lots of billions, will lose big time on Alt-A.