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Lehman CDS Auction: 91.38 cents on the dollar


That’s what Bloomberg says (Lehman Credit-Swap Auction Sets Payout of 91.38 Cents on Dollar).

Sellers of credit-default protection on bankrupt Lehman Brothers Holdings Inc. will have to pay holders 91.375 cents on the dollar, setting up the biggest-ever payout in the $55 trillion market.

An auction to determine the size of the settlement on Lehman credit-default swaps set a value of 8.625 cents on the dollar for the debt, according to, a Web site run by auction administrators Creditex Group Inc. and Markit Group Ltd.

Based on the results, sellers of protection may need to make cash payments of more than $270 billion, BNP Paribas SA strategist Andrea Cicione in London said…..

No one knows exactly how much is at stake because there’s no central exchange or system for reporting trades. It’s that lack of transparency that has increased the reluctance of financial institutions to do business with each other, exacerbating the global credit crisis and prompting calls for regulation of the market.

Turns out Pimco, AIG and Citadel have written a lot of this insurance. I wonder where Ambac and MBIA are in this mess. Let’s see now – debt wise, WaMu, Lehman, Three Iceland banks, A Japanese Insurer…the CDS would have added to quite a bit. And the rest like AIG, Northern Rock, Freddie Mac and Fannie Mae were nationalised.

Now the market’s betting on GM going bankrupt. Who’s next?


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