Lehman recovery rate set at 8.625%

Over 350 firms participated in the auction protocol, according to the International Swaps and Derivatives Association.

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: