FACTBOX-Fannie, Freddie CDS auction timeline
NEW YORK, Oct 3 (Reuters) - The value of credit default swaps backed by the debt of Fannie Mae (FNM.N) and Freddie Mac (FRE.N) will be set on Monday in a series of auctions, which will be the largest settlement of the contracts the market has ever seen.
Four separate auctions will be used to determine the value of the agencies' debt. The auctions are for Fannie Mae's senior debt, Fannie Mae's subordinated debt, Freddie Mac's senior debt and Freddie Mac's subordinated debt.
Estimations on how much credit protection is outstanding on Fannie and Freddie's $1.6 trillion in debt range from hundreds of billions of dollars to as much as $1.2 trillion.
Twenty-two dealers will participate in the auctions, which will determine how much protection sellers will recover after paying out the insurance. The timeline for the auctions follows. 8:30 a.m. to 9:30 a.m. - Auction participants will submit initial bids and offers for the debt backing the credit default swaps. 9:30 a.m. to 11 a.m. - Auction administrators Creditex and Markit will calculate the midpoint of the bids and offers and also determine the open interest of the contracts. The open interest reflects the amount of bids and offers that have been made, and will show if there are more buyers than sellers, or vice versa. 11 a.m. - The midpoint price and the open interest for the contracts will be published. 11 a.m. to 12 p.m. - The participating dealers will solicit limit orders for the debt. 12 p.m. - 2:30 p.m. - Limit orders will be submitted for debt in the following order: Fannie Mae's senior debt, Fannie Mae's subordinated debt, Freddie Mac's senior debt, Freddie Mac's subordinated debt 4 p.m. - The final prices of the auctions are calculated and published. (Reporting by Karen Brettell; Editing by Leslie Adler)
