Counterparty’s over as Delta Lloyd leads way out of swap trap

By Tom Porter
20 Aug 2014

Delta Lloyd offered plenty of encouragement to fellow RMBS issuers fed up with the uncertainty and costs associated with interest rate swap agreements this week, introducing an innovative interest rate cap to its privately placed Arena 2014-1 transaction and paying only a small premium to investors.

Post-crisis regulation has rendered swaps more costly for all parties. If a swap counterparty is downgraded, the issuer has to post more collateral and investors face the risk of their bonds being downgraded.

The number of available swap counterparties in the European structured finance market has dwindled further ...

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