Fannie Mae and Freddie Mac CDS Auctions, 6th October 2008
Fannie Mae Senior
Final Price:
91.51
Fannie Mae Subordinated
Final Price:
99.9
Freddie Mac Senior
Final Price:
94
Freddie Mac Subordinated
Final Price:
98
For the ISDA Protocol please see the Fannie Mae and Freddie Mac CDS Protocol (PDF)
Final Results of the Fannie Mae Senior Auction, Monday 6th October 2008
Final Price:
91.51
On Monday 6th October 2008, 13 dealers submitted inside markets, physical settlement requests and limit orders to the Fannie Mae Senior auction administered by Creditex and S&P Global to settle trades across the market referencing Fannie Mae Senior.
The inputs and results are detailed below.
Dealer Inside Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Banc of America Securities LLC | 92 | 94 | Banc of America Securities LLC |
| Barclays Bank PLC | 91.5 | 93.5 | Barclays Bank PLC |
| BNP Paribas | 89.75 | 91.75 | BNP Paribas |
| Citigroup Global Markets Inc. | 91.5 | 93.5 | Citigroup Global Markets Inc. |
| Credit Suisse Securities (USA) LLC | 90.5 | 92.5 | Credit Suisse Securities (USA) LLC |
| Deutsche Bank AG | 92 | 94 | Deutsche Bank AG |
| Goldman Sachs & Co. | 84 | 86 | Goldman Sachs & Co. |
| HSBC Bank USA, National Association | 89.9 | 91.9 | HSBC Bank USA, National Association |
| J.P. Morgan Securities Inc. | 91.5 | 93.5 | J.P. Morgan Securities Inc. |
| Merrill Lynch Government Securities, Inc. | 92.2 | 94.2 | Merrill Lynch Government Securities, Inc. |
| Morgan Stanley & Co. Incorporated | 87 | 89 | Morgan Stanley & Co. Incorporated |
| The Royal Bank of Scotland PLC | 92 | 94 | The Royal Bank of Scotland PLC |
| UBS Securities LLC | 93 | 95 | UBS Securities LLC |
Inside Market Midpoint:
92.4
Adjustment Amounts
Goldman Sachs:
$640,000
Morgan Stanley:
$340,000
BNP Paribas:
$65,000
HSBC:
$50,000
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Banc of America Securities LLC | Offer | 0 |
| Citigroup Global Markets Inc. | Offer | 0 |
| Credit Suisse Securities (USA) LLC | Offer | 0 |
| Deutsche Bank AG | Offer | 0 |
| J.P. Morgan Securities Inc. | Offer | 5 |
| Morgan Stanley & Co. Incorporated | Offer | 100 |
| The Royal Bank of Scotland PLC | Offer | 0 |
| BNP Paribas | Bid | 17 |
| Barclays Bank PLC | Bid | 30 |
| Goldman Sachs & Co. | Bid | 17 |
| HSBC Bank USA, National Association | Bid | 30 |
| Merrill Lynch Government Securities, Inc. | Bid | 23 |
| UBS Securities LLC | Bid | 0 |
Net Open interest:
$12 million to buy
| Sum of Buy Physical Requests | $117m |
| Sum of Sell Physical Requests | $105m |
| Sum of Physical Request Trades | $105m |
| Sum of Limit Order Trades | $12m |
Limit Orders
| Dealer | Offer | Size |
|---|---|---|
| Goldman Sachs & Co. | 91.51* | 12 |
| Morgan Stanley & Co. Incorporated | 92.4 | 12 |
| Morgan Stanley & Co. Incorporated** | 92.4 | 10 |
| HSBC Bank USA, National Association** | 92.4 | 10 |
| BNP Paribas** | 92.4 | 10 |
| Goldman Sachs & Co.** | 92.4 | 10 |
| Credit Suisse Securities (USA) LLC** | 92.5 | 10 |
| Barclays Bank PLC** | 93.5 | 10 |
| Citigroup Global Markets Inc.** | 93.5 | 10 |
| J.P. Morgan Securities Inc.** | 93.5 | 10 |
| Banc of America Securities LLC** | 94 | 10 |
| Deutsche Bank AG** | 94 | 10 |
| The Royal Bank of Scotland PLC** | 94 | 10 |
| Merrill Lynch Government Securities, Inc.** | 94.2 | 10 |
| UBS Securities LLC** | 95 | 10 |
| BNP Paribas | 98.5 | 17 |
| Merrill Lynch Government Securities, Inc. | 99.5 | 50 |
| Merrill Lynch Government Securities, Inc. | 99.75 | 100 |
| Goldman Sachs & Co. | 100 | 100 |
| Merrill Lynch Government Securities, Inc. | 100 | 23 |
| Merrill Lynch Government Securities, Inc. | 102 | 100 |
** Limit Orders that were derived from inside markets
* Limit Orders that were filled.
^ Limit Orders that were partially filled.
Back to topFinal Results of the Fannie Mae Subordinated Auction, Monday 6th October 2008
Final Price:
99.9
On Monday 6th October 2008, 13 dealers submitted inside markets, physical settlement requests and limit orders to the Fannie Mae Subordinated auction administered by Creditex and S&P Global to settle trades across the market referencing Fannie Mae Subordinated.
The inputs and results are detailed below.
Dealer Inside Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Banc of America Securities LLC | 92 | 94 | Banc of America Securities LLC |
| Barclays Bank PLC | 91.5 | 93.5 | Barclays Bank PLC |
| BNP Paribas | 92 | 94 | BNP Paribas |
| Citigroup Global Markets Inc. | 91.5 | 93.5 | Citigroup Global Markets Inc. |
| Credit Suisse Securities (USA) LLC | 91 | 93 | Credit Suisse Securities (USA) LLC |
| Deutsche Bank AG | 93 | 95 | Deutsche Bank AG |
| Goldman Sachs & Co. | 92 | 94 | Goldman Sachs & Co. |
| HSBC Bank USA, National Association | 89.9 | 91.9 | HSBC Bank USA, National Association |
| J.P. Morgan Securities Inc. | 91.5 | 93.5 | J.P. Morgan Securities Inc. |
| Merrill Lynch Government Securities, Inc. | 92.4 | 93.4 | Merrill Lynch Government Securities, Inc. |
| Morgan Stanley & Co. Incorporated | 87 | 89 | Morgan Stanley & Co. Incorporated |
| The Royal Bank of Scotland PLC | 91.5 | 93.5 | The Royal Bank of Scotland PLC |
| UBS Securities LLC | 92.5 | 94.5 | UBS Securities LLC |
Inside Market Midpoint:
92.65
Adjustment Amounts
Morgan Stanley:
$365,000
HSBC:
$75,000
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Banc of America Securities LLC | Offer | 0 |
| Citigroup Global Markets Inc. | Offer | 0 |
| J.P. Morgan Securities Inc. | Offer | 0 |
| Morgan Stanley & Co. Incorporated | Offer | 0 |
| The Royal Bank of Scotland PLC | Offer | 0 |
| UBS Securities LLC | Offer | 0 |
| BNP Paribas | Bid | 100 |
| Barclays Bank PLC | Bid | 181 |
| Credit Suisse Securities (USA) LLC | Bid | 0 |
| Deutsche Bank AG | Bid | 178 |
| Goldman Sachs & Co. | Bid | 24 |
| HSBC Bank USA, National Association | Bid | 0 |
| Merrill Lynch Government Securities, Inc. | Bid | 125 |
Net Open interest:
$608 million to buy
| Sum of Buy Physical Requests | $608m |
| Sum of Sell Physical Requests | $0 |
| Sum of Physical Request Trades | $0 |
| Sum of Limit Order Trades | $608m |
Limit Orders
| Dealer | Offer | Size |
|---|---|---|
| J.P. Morgan Securities Inc. | 92* | 1 |
| Morgan Stanley & Co. Incorporated** | 92.65* | 10 |
| HSBC Bank USA, National Association** | 92.65* | 10 |
| Credit Suisse Securities (USA) LLC** | 93* | 10 |
| Merrill Lynch Government Securities, Inc.** | 93.4* | 10 |
| Citigroup Global Markets Inc.** | 93.5* | 10 |
| J.P. Morgan Securities Inc.** | 93.5* | 10 |
| Barclays Bank PLC** | 93.5* | 10 |
| The Royal Bank of Scotland PLC** | 93.5* | 10 |
| Goldman Sachs & Co.** | 94* | 10 |
| Banc of America Securities LLC** | 94* | 10 |
| BNP Paribas** | 94* | 10 |
| UBS Securities LLC** | 94.5* | 10 |
| J.P. Morgan Securities Inc. | 95* | 3 |
| Deutsche Bank AG** | 95* | 10 |
| J.P. Morgan Securities Inc. | 97* | 8 |
| J.P. Morgan Securities Inc. | 98* | 42 |
| Deutsche Bank AG | 98.25* | 18 |
| Citigroup Global Markets Inc. | 98.25* | 14 |
| BNP Paribas | 98.5* | 100 |
| Deutsche Bank AG | 98.5* | 25 |
| Deutsche Bank AG | 98.75* | 25 |
| Goldman Sachs & Co. | 99* | 5 |
| The Royal Bank of Scotland PLC | 99* | 25 |
| The Royal Bank of Scotland PLC | 99* | 10 |
| Deutsche Bank AG | 99* | 25 |
| Deutsche Bank AG | 99.25* | 25 |
| Deutsche Bank AG | 99.5* | 25 |
| Banc of America Securities LLC | 99.74* | 22 |
| Goldman Sachs & Co. | 99.75* | 1 |
| Deutsche Bank AG | 99.75* | 25 |
| Merrill Lynch Government Securities, Inc. | 99.9^ | 100 |
| Banc of America Securities LLC | 99.95 | 37 |
| Banc of America Securities LLC | 99.97 | 6 |
| Merrill Lynch Government Securities, Inc. | 100 | 126 |
| HSBC Bank USA, National Association | 100 | 1 |
| Goldman Sachs & Co. | 100.09 | 100 |
| Goldman Sachs & Co. | 100.49 | 100 |
| Banc of America Securities LLC | 100.7 | 100 |
| Banc of America Securities LLC | 100.9 | 100 |
| Goldman Sachs & Co. | 100.99 | 200 |
| Merrill Lynch Government Securities, Inc. | 101 | 100 |
| Merrill Lynch Government Securities, Inc. | 102 | 100 |
| Goldman Sachs & Co. | 102.97 | 100 |
| Goldman Sachs & Co. | 105 | 10 |
| Goldman Sachs & Co. | 106 | 10 |
| Goldman Sachs & Co. | 107 | 10 |
| Goldman Sachs & Co. | 108 | 10 |
| Goldman Sachs & Co. | 110 | 300 |
** Limit Orders that were derived from inside markets
* Limit Orders that were filled.
^ Limit Orders that were partially filled.
Back to topFinal Results of the Freddie Mac Senior Auction, Monday 6th October 2008
Final Price:
94
On Monday 6th October 2008, 13 dealers submitted inside markets, physical settlement requests and limit orders to the Freddie Mac Senior auction administered by Creditex and S&P Global to settle trades across the market referencing Freddie Mac Senior.
The inputs and results are detailed below.
Dealer Inside Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Banc of America Securities LLC | 92.75 | 94.75 | Banc of America Securities LLC |
| Barclays Bank PLC | 92.5 | 94.5 | Barclays Bank PLC |
| BNP Paribas | 93.5 | 95.5 | BNP Paribas |
| Citigroup Global Markets Inc. | 92.5 | 94.5 | Citigroup |
| Credit Suisse Securities (USA) LLC | 91.5 | 93.5 | Credit Suisse Securities (USA) LLC |
| Deutsche Bank AG | 91.5 | 93.5 | Deutsche Bank AG |
| Goldman Sachs & Co. | 95 | 97 | Goldman Sachs & Co. |
| HSBC Bank USA, National Association | 91.5 | 93.5 | HSBC Bank USA, National Association |
| J.P. Morgan Securities Inc. | 93.5 | 95.5 | J.P. Morgan Securities Inc. |
| Merrill Lynch Government Securities, Inc. | 93 | 95 | Merrill Lynch Government Securities, Inc. |
| Morgan Stanley & Co. Incorporated | 87 | 89 | Morgan Stanley & Co. Incorporated |
| The Royal Bank of Scotland PLC | 93 | 95 | The Royal Bank of Scotland PLC |
| UBS Securities LLC | 93.75 | 95.75 | UBS Securities LLC |
Inside Market Midpoint:
93.75
Adjustment Amounts
Morgan Stanley:
$475,000
HSBC:
$25,000
Deutsche Bank:
$25,000
Credit Suisse:
$25,000
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Banc of America Securities LLC | Offer | 0 |
| Citigroup Global Markets Inc. | Offer | 0 |
| Credit Suisse Securities (USA) LLC | Offer | 2 |
| Deutsche Bank AG | Offer | 0 |
| J.P. Morgan Securities Inc. | Offer | 0 |
| Morgan Stanley & Co. Incorporated | Offer | 100 |
| The Royal Bank of Scotland PLC | Bid | 0 |
| BNP Paribas | Bid | 27 |
| Barclays Bank PLC | Bid | 32 |
| Goldman Sachs & Co. | Bid | 12 |
| HSBC Bank USA, National Association | Bid | 55 |
| Merrill Lynch Government Securities, Inc. | Bid | 41 |
| UBS Securities LLC | Bid | 14 |
Net Open interest:
$79 million to buy
| Sum of Buy Physical Requests | $181 |
| Sum of Sell Physical Requests | $102 |
| Sum of Physical Request Trades | $102 |
| Sum of Limit Order Trades | $79 |
Limit Orders
| Dealer | Offer | Size |
|---|---|---|
| HSBC Bank USA, National Association** | 93.75* | 10 |
| Credit Suisse Securities (USA) LLC** | 93.75* | 10 |
| Morgan Stanley & Co. Incorporated** | 93.75* | 10 |
| Deutsche Bank AG** | 93.75* | 10 |
| Morgan Stanley & Co. Incorporated | 94^ | 79 |
| Barclays Bank PLC** | 94.5 | 10 |
| Citigroup Global Markets Inc.** | 94.5 | 10 |
| Banc of America Securities LLC** | 94.75 | 10 |
| The Royal Bank of Scotland PLC** | 95 | 10 |
| Merrill Lynch Government Securities, Inc.** | 95 | 10 |
| J.P. Morgan Securities Inc.** | 95.5 | 10 |
| BNP Paribas** | 95.5 | 10 |
| UBS Securities LLC** | 95.75 | 10 |
| Goldman Sachs & Co.** | 97 | 10 |
| BNP Paribas | 98.5 | 27 |
| HSBC Bank USA, National Association | 100 | 1 |
| Merrill Lynch Government Securities, Inc. | 100 | 41 |
| Merrill Lynch Government Securities, Inc. | 102 | 50 |
| Goldman Sachs & Co. | 103 | 100 |
** Limit Orders that were derived from inside markets
* Limit Orders that were filled.
^ Limit Orders that were partially filled.
Back to topFinal Results of the Freddie Mac Subordinated Auction, Monday 6th October 2008
Final Price:
98
On Monday 6th October 2008, 13 dealers submitted inside markets, physical settlement requests and limit orders to the Freddie Mac Subordinated auction administered by Creditex and S&P Global to settle trades across the market referencing Monday 6th October 2008.
The inputs and results are detailed below.
Dealer Inside Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Banc of America Securities LLC | 92.75 | 94.75 | Banc of America Securities LLC |
| Barclays Bank PLC | 92.5 | 94.5 | Barclays Bank PLC |
| BNP Paribas | 93.5 | 95.5 | BNP Paribas |
| Citibank Global Markets Inc. | 92 | 94 | Citibank Global Markets Inc. |
| Credit Suisse Securities (USA) LLC | 91.5 | 93.5 | Credit Suisse Securities (USA) LLC |
| Deutsche Bank AG | 93.5 | 95.5 | Deutsche Bank AG |
| Goldman Sachs & Co. | 95 | 97 | Goldman Sachs & Co. |
| HSBC Bank USA, National Association | 91.5 | 93.5 | HSBC Bank USA, National Association |
| J.P. Morgan Securities Inc. | 93.5 | 95.5 | J.P. Morgan Securities Inc. |
| Merrill Lynch Government Securities, Inc. | 93 | 95 | Merrill Lynch Government Securities, Inc. |
| Morgan Stanley & Co. Incorporated | 87 | 89 | Morgan Stanley & Co. Incorporated |
| The Royal Bank of Scotland PLC | 92.5 | 94.5 | The Royal Bank of Scotland PLC |
| UBS Securities LLC | 93.75 | 95.75 | UBS Securities LLC |
Inside Market Midpoint:
93.8
Adjustment Amounts
Morgan Stanley:
$480,000
HSBC:
$30,000
Credit Suisse:
$30,000
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Banc of America Securities LLC | Offer | 0 |
| Credit Suisse Securities (USA) LLC | Offer | 0 |
| HSBC Bank USA, National Association | Offer | 0 |
| J.P. Morgan Securities Inc. | Offer | 0 |
| Morgan Stanley & Co. Incorporated | Offer | 0 |
| The Royal Bank of Scotland PLC | Offer | 0 |
| UBS Securities LLC | Offer | 0 |
| BNP Paribas | Bid | 70 |
| Barclays Bank PLC | Bid | 152 |
| Citibank Global Markets Inc. | Bid | 5 |
| Deutsche Bank AG | Bid | 180 |
| Goldman Sachs & Co. | Bid | 28 |
| Merrill Lynch Government Securities, Inc. | Bid | 107 |
Net Open interest:
$542 million to buy
| Sum of Buy Physical Requests | $542 |
| Sum of Sell Physical Requests | $0 |
| Sum of Physical Request Trades | $0 |
| Sum of Limit Order Trades | $542 |
Limit Orders
| Dealer | Offer | Size |
|---|---|---|
| Goldman Sachs & Co. | 92.8* | 28 |
| Credit Suisse Securities (USA) LLC** | 92.8* | 3 |
| HSBC Bank USA, National Association** | 93.8* | 10 |
| Credit Suisse Securities (USA) LLC** | 93.8* | 10 |
| Morgan Stanley & Co. Incorporated** | 93.8* | 10 |
| Citibank Global Markets Inc.** | 94* | 10 |
| The Royal Bank of Scotland PLC** | 94.5* | 10 |
| Barclays Bank PLC** | 94.5* | 10 |
| Banc of America Securities LLC** | 94.75* | 10 |
| Merrill Lynch Government Securities, Inc. | 95* | 10 |
| J.P. Morgan Securities Inc.** | 95* | 1 |
| BNP Paribas** | 95.5* | 10 |
| J.P. Morgan Securities Inc.** | 95.5* | 10 |
| Deutsche Bank AG** | 95.5* | 10 |
| UBS Securities LLC | 95.75* | 10 |
| J.P. Morgan Securities Inc.** | 97* | 9 |
| Goldman Sachs & Co. | 97* | 10 |
| J.P. Morgan Securities Inc. | 97* | 7 |
| J.P. Morgan Securities Inc. | 97* | 2 |
| Credit Suisse Securities (USA) LLC | 97.75* | 48 |
| J.P. Morgan Securities Inc. | 98^ | 150 |
| Citibank Global Markets Inc. | 98^ | 50 |
| J.P. Morgan Securities Inc. | 98^ | 141 |
| Deutsche Bank AG | 98.25 | 20 |
| Deutsche Bank AG | 98.5 | 25 |
| BNP Paribas | 98.5 | 70 |
| Deutsche Bank AG | 98.75 | 25 |
| The Royal Bank of Scotland PLC | 99 | 2 |
| Deutsche Bank AG | 99 | 25 |
| Deutsche Bank AG | 99.25 | 25 |
| Deutsche Bank AG | 99.5 | 25 |
| Goldman Sachs & Co. | 99.5 | 20 |
| Deutsche Bank AG | 99.75 | 25 |
| Banc of America Securities LLC | 99.94 | 41 |
| HSBC Bank USA, National Association | 100 | 1 |
| Merrill Lynch Government Securities, Inc. | 100 | 107 |
| Goldman Sachs & Co. | 100.5 | 100 |
| Banc of America Securities LLC | 100.58 | 100 |
| Banc of America Securities LLC | 100.61 | 100 |
| Banc of America Securities LLC | 100.65 | 100 |
| Merrill Lynch Government Securities, Inc. | 100.75 | 25 |
| Merrill Lynch Government Securities, Inc. | 102.75 | 150 |
| Goldman Sachs & Co. | 105 | 200 |
| Goldman Sachs & Co. | 108 | 50 |
| Goldman Sachs & Co. | 110 | 200 |
** Limit Orders that were derived from inside markets
* Limit Orders that were filled.
^ Limit Orders that were partially filled.
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