Today, the International Swaps and Derivatives Association held an auction to determine the size of the settlement on Lehman Brothers credit default swaps. According to the final results of the auction administered by Creditex Group Inc. and Markit Group Ltd., sellers of credit default protection or insurance on Lehman’s defaulted bonds will have to pay 91.375 cents on the dollar to bondholders. The recovery rate on Lehman’s senior debt was fixed at 8.625 cents on the dollar, which fell below the estimate of 9.75 cents published in the first estimate earlier in the day. Payments are due by October 21 to settle CDS in cash. ISDA had previously issued a set of FAQs for the auction.

The list of participants in today’s auction included AIG, Wachovia, Royal Bank of Scotland, JPMorgan Chase, Goldman Sachs and Morgan Stanley. A complete list of adhering parties and bidders can be found on ISDA’s website. In addition to the Lehman auction held today, ISDA has coordinated several auctions this month, including Washington Mutual, Fannie Mae and Freddie Mac.