(Adds Freddie Mac, updates prices)
NEW YORK Nov 19 The cost to insure the debt of
Fannie Mae FNM.N and Freddie Mac FRE.N rose on Monday amid
concerns over losses from subprime mortgages.
Fannie Mae's swaps rose almost 11 percent to 55.5 basis
points, or $55,500 per year for five years to insure $10
million in debt, according to Markit Intraday.
Freddie Mac's swaps rose 9.5 percent to 54.82 basis points,
Markit data showed. The swaps of both agencies traded around 27
basis points at the end of October.
Fannie Mae's default swaps have weakened amid concerns over
loss accounting at the largest provider of funding for U.S.
This month Fannie Mae attributed $670 million in credit
loss reserves to charge-offs taken as it purchased troubled
loans out of mortgage bond trusts.
Freddie Mac, meanwhile, weakened after a Credit Suisse
research report said the company may report a loss of between
$1 billion to $5 billion on its subprime "AAA" portfolio. For
details, see [ID:nN19270155]
Swaps on both agencies as of Friday were trading as though
rated "Baa1," the third lowest investment grade and seven
notches below their actual "Aaa" ratings, according to data by
the credit strategy group at Moody's Investors Service.
(Reporting by Karen Brettell; editing by Leslie Adler)