Negative Euribor erodes securitisation profits
Implicit floors in notes leave originators facing cost of negative rates on hundreds of tranches
Negative interest rates are eating away at the profitability of structured finance transactions, as originators find themselves paying more for their interest rate swap hedges but are unable to recoup the costs from noteholders.
Asset-backed securities (ABSs) tend to pay noteholders a floating rate coupon, and so include fixed-to-floating interest rate swaps to hedge the fixed-rate mortgages in
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