Final Prices from Fannie/Freddie CDS Auctions

Fannie Mae (FNM) Senior CDS: 91.51
Fannie Mae Subordinated CDS: 99.99
Freddie Mac (FRE) Senior CDS: 94.00
Freddie Mac Subordinated CDS: 98.00
Source Creditex/Markit

Add:
Some people are surprised that the sub recover more than the senior; this is due to the cheapest-to-deliver effect. Both the FNM/FRE senior have zero coupon on the deliverable list, while there are no zero sub.

List of deliverables

Fannie, Freddie CDS recovers 91.5-99.9 pct in auction

Comments

[Ishortyou:]

I wish they could put those auction in the NYSE so the public is able to participate as well, a lot of lobbyst are making good money out of this transactions fee.

2008 Oct 07 08:20 AM

[Ishortyou:]

when are the next options?

2008 Oct 07 08:20 AM