Lehman auction settles at 8.625%

The credit event auction for Lehman Brothers fixed a price of 8.625% for CDS contracts involving the failed US bank. The auction, administered by Creditex and Markit in accordance with the standard Isda protocol, enabled market participants to cash-settle triggered contracts which included single-name, index, bespoke tranche and other credit derivatives transactions. Pressure has mounted on the credit event auction process in recent weeks following the defaults of the GSEs Fannie Mae and Freddie

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