Lehman recovery rate set at 8.625%
The final price is about four points lower than that for Lehman’s actual defaulted debt, according to Morgan Stanley. It means protection sellers will pay 91.375% of par to settle defaulted CDSs referencing the firm.
“Since Lehman’s bankruptcy, the market has been pricing in increasingly lower recovery value for Lehman bonds, so today’s final price should not be a surprise
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