The pay-outs on around $400bn of defaulted credit derivatives linked to Lehman Brothers are likely to be higher than anticipated after initial results from auctions to settle these credit default swaps resulted in a lower recovery price.

The initial auction results were settled at 9.75 cents in the dollar, meaning banks and other investors who had agreed to make these payments in the event of Lehman's default will have to pay out 90.25 cents on the dollar.