The selloff of Lehman’s structured assets hasn’t even begun yet and already the deals are suffering.
Moody’s has just announced that it is putting ten European commercial-mortgage-backed bond deals on review for downgrade. (LEH, forget not, has a massive $40bn CMBS portfolio it was trying to unload)
Collectively, the on-watch deals have a value of just over $12.5bn.
Lehman is a hedge counterparty in the deals – which could be for anything from fx protection through to something larger. No more Lehman means no more hedges – thus the cause for downgrades. There’s no indication yet of how severe they might be.
The deals affected below:
- FIP Funding S.r.l.
EUR 600,000,000 Class A1 Commercial Mortgage Backed Floating Rate Notes rated Aa2; and
EUR 1,393,560,000 Class A2 Commercial Mortgage Backed Floating Rate Notes rated Aa2.
- Imser Securitisation 2 S.r.l.
EUR 175,896,000 Class A1b Asset-Backed Floating-Rate Notes due 2005 rated Aa3;
EUR 75,000,000 Class B1 Asset-Backed 7.83 per cent Notes due 2025 rated Baa2;
EUR 227,385,000 Class B2 Asset-Backed Floating-Rate Notes due 2025 rated Baa2; and
EUR 55,000,000 Class B3 Asset-Backed Floating-Rate Notes due 2025 rated Baa2
- Portfolio GREEN German CMBS GmbH
EUR 425,500,000 Class A Secured Floating Rate Notes due April 2050 rated Aaa;
EUR 40,000,000 Class B Secured Floating Rate Notes due April 2050 rated Aaa;
EUR 40,000,000 Class C Secured Floating Rate Notes due April 2050 rated Aa3;
EUR 35,000,000 Class D Secured Floating Rate Notes due April 2050 rated Baa1;
EUR 20,000,000 Class E Secured Floating Rate Notes due April 2050 rated Ba1;
EUR 12,000,000 Class F Secured Floating Rate Notes due April 2050 rated B2; and
EUR 4,000,000 Class G Secured Floating Rate Notes due April 2050 rated Caa1.
-WINDERMERE VII CMBS plc
EUR 145,000,000 Class A1 Commercial Mortgage-Backed Notes due 2016 rated Aaa;
EUR 466,000,000 Class A2 Commercial Mortgage-Backed Notes due 2016 rated Aaa;
EUR 50,000 Class X Commercial Mortgage-Backed Notes rated Aaa;
EUR 50,000,000 Class B Commercial Mortgage-Backed Notes due 2016 rated Aa2;
EUR 27,400,000 Class C Commercial Mortgage-Backed Notes due 2016 rated A2;
EUR 50,800,000 Class D Commercial Mortgage-Backed Notes due 2016 rated Baa3.
- Windermere VIII CMBS plc
GBP 558,500,000 Class A2 Commercial Mortgage-Backed Notes due 2015 rated Aaa.
- Windermere IX CMBS (Multifamily) S.A.
EUR 845,000,000 Class A1 Commercial Mortgage-Backed Notes due May 2016 rated Aaa;
EUR 50,000 Class X Commercial Mortgage-Backed Notes rated Aaa.
- Windermere X CMBS Limited
EUR 1,180,000,000 Class A Commercial Mortgage-Backed Notes due 2019 rated Aaa;
EUR 50,000 Class X Commercial Mortgage-Backed Notes rated Aaa;
EUR 56,000,000 Class B Commercial Mortgage-Backed Notes due 2019 rated Aa1; and
EUR 64,000,000 Class C Commercial Mortgage-Backed Notes due 2019 rated Aa3.
- Windermere XI CMBS plc
GBP 570,000,000 Class A Commercial Mortgage-Backed Notes due 2017 rated Aaa; and
GBP 55,000,000 Class B Commercial Mortgage-Backed Notes due 2017 rated Aa3.
- Windermere XII FCC
EUR 776,000,000 Class A Commercial Mortgage Backed FRN due 2017 rated Aaa.
- Windermere XIV CMBS Limited
EUR 836,430,000 Class A Commercial Mortgage-Backed Notes due 2018 rated Aaa; and
EUR 97,100,000 Class B Commercial Mortgage-Backed Notes due 2018 rated Aa3.