Danske Bank has now wound up and netted its exposure to Lehman Brothers. A
number of interest rate swaps, and foreign currency and bond transactions have
been terminated. The result constitutes a moderate loss.
In addition, Danske Bank has granted some facilities to subsidiaries of Lehman
Brothers. These facilities, which include a US$800m repo transaction, are secured
by charges on a diversified portfolio of commercial property and private homes.
The collateral provides a nominal excess cover of about 50%.
Danske Bank also has a US$300m repo transaction secured by prime mortgages
with an excess cover of 30%. The charges and mortgages cover both facilities. Lehman
Brothers Holding has guaranteed these facilities.
Asset values in the American housing market are, however, extremely volatile. At
present, after analysing the collateral held, the Danske Bank Group expects that a
deficit, if any, will not exceed US$100m.
- 2 Dec 2008 Danske Bank's exposure to IT Factory A/S in bankruptcy
- 12 Nov 2008 Moody’s places Danske Bank’s rating under review
- 31 Oct 2008 Application of IAS 39 reclassification option