• 6 October 2008 — Auction date for Fannie & Freddie: $200-$500b in notional insurance. The auction indicated a 91-99% recovery rate, which yielded a pay-out of 1 to 9 cents on the dollar to CDS holders, which amounted to $2-5b.
  • 10 October 2008 — Auction date for Lehman Brothers: $400b in notional insurance. Their bonds are trading at 10 cents on the dollar. If we take that as their recovery value, it would imply a pay-out of 90 cents on the dollar to CDS holders, which could require payments of $360b.
  • 23 October 2008 — Auction date for Washington Mutual: notional insurance is on par with Lehman

ISDA Timelines