Fannie, Freddie swaps may recover 92-94 pct area

NEW YORK, Oct 6 (Reuters) - Sellers of protection on mortgage finance majors Fannie Mae (FNM.N) (FNM.P) and Freddie Mac (FRE.N) (FRE.P) will likely be repaid 92 to 94 percent of the insurance they sold, based on the initial results of an auction on Monday to determine the value of the contracts.

Initial indications are that swaps on the senior debt of Fannie Mae and Freddie Mac will recover 92.4 percent and 93.75 percent, respectively, and swaps on their subordinated debt will recover 92.65 percent and 93.8 percent, respectively, according to Creditex, one of the administrators of the auction.

The net open interest on all of the contracts was to buy the debt, indicating the final price may be higher than the initial results. (Reporting by Karen Brettell; Editing by James Dalgleish)