Morgan Stanley has sent investors a bid-list of EUR820m (nominal) featuring Dutch non-conforming RMBS originated by Lehman Brothers' subsidiaries. The entity behind the list is reported to be the ECB and the bonds had been repoed to them by Lehman. The list is due to trade next week.

London-based boutique AgFe is reported to be advising the ECB. AgFe's founder and CEO is Paul Rolles, formerly head of Morgan Stanley's European Financial Asset Backed Group. The firm's CFO Holdger Beyer is a former executive director in Morgan Stanley's European Securitisation and Asset Monetisation Group.

An investor commented that the list should not affect sentiment because the bonds are unusual ones, although it does demonstrate that there is an overhang.

A trader reckoned that there should be interest as the unusually large sizes available are rarely seen and will clearly focus attention. Whether the ECB will avoid making a loss on the bonds is not known but it seems fair to assume that if it had valued them at par and deducted a 12% haircut, which would have been normal at the time they were repoed, a loss seems probable since the market value today is unlikely to exceed 88%.