Pegasus Capital
Healthcare Sector
Close up of medical equipment

A UK company approached us due to the requirement under their Loan Agreement to hedge 60% of their interest rate exposure. They therefore had a need to review their hedging requirements and enter into relevant Interest Rate Derivative products.


We were able to carry out the following:

  • Analyse the various products available and ensure that those offered by the Bank counterpart were appropriate for the clients needs.
  • Map the various cashflows and value the product offered by the Bank against the market rates.
  • Help in the negotiation process to ensure the Client paid an appropriate level when agreeing to transact with the Bank.

Our technical analysis and guidance on an appropriate structure and pricing strategy enabled the client to negotiate the most competitive terms with their bank whilst satisfying the banks’ hedging requirements.


Real Estate Sector
Modern business building and skyline

With a fall off in residential developments but a stable income from the existing property portfolio, a Real Estate client approached us to assist them with their debt and swap restructuring to reflect their changing business mix.


We were able to assist with the following:

  • Analysing the debt profile of the client based on their funding requirements and map against their existing swap exposure.
  • Quantify the true cost of unwinding some of their existing swaps using current data feeds and our proprietary capital model.
  • Advise on structuring the client's future interest rate hedging, including buying caps to reduce the weighted average future costs and to benefit from interest rates remaining unchanged.
  • Identify and advise the client on which swaps would be cost effective to break for the Banks based on their cost of capital.

The client identified that their business was changing and that they required an independent assessment of their future debt and hedging requirements. We were able to satisfy this need with a detailed understanding and analysis of the existing position and advise on an appropriate hedging strategy.


Housing Sector
Red brick house

A Community Housing Group with a diversified portfolio of around 10,000 homes approached us to review and advise them on the debt and swaps within their two Housing Trust operations.



We were able to carry out the following:

  • Build a portfolio model to map the maturity profiles of each Housing Trust and to differentiate between the embedded derivatives in their loan agreements, the RPI swaps and the interest rate swaps.
  • Complete an analysis of the current mark to market and unwind costs of the derivatives using real time data feeds and our proprietary model
  • Identify and advise the client which loans and swaps would be cost effective to repay or break.
  • Advise the client of potential restructuring and refinancing of both the loan and derivative positions.

The client had identified that with a reducing level of funding from the Government and an increasing cost of borrowing from the banks' their future funding plans and homebuilding programme were coming under pressure. Our analysis enabled the client to restructure some of their existing swap obligations and to refinance some of their debt over a longer term, without incurring large financial penalties.


PFI Sector
Inside London's St Pancras station

With over 25 years' experience of investing and developing project finance initiatives in both the private and public sectors, the client approached us to review and advise them on the swaps within their current portfolio of PFI projects.


We were able to carry out the following:

  • Analyse the basis risk between the Libor curves on all the projects and advise on a consistent strategy based on the liquidity of each curve.
  • Analyse the capital allocation and CVA (counterpart valuation adjustment) applicable to each swap.
  • Build a portfolio model to map the maturity profiles and to differentiate between the RPI and interest rate swaps.
  • Identify and advise the client on which swaps would be cost effective to break for the Banks based on their cost of capital.
  • Advise the client of potential hedging strategies.

The results of our analysis enabled the client to both restructure some of their existing swap obligations and to purchase additional assets for the portfolio at a cost effective price based on the understanding of the capital cost to the Bank of the attached swaps.

“Once we became aware of the EMIR reporting requirements, we were pleased to find an independent 3rd party that could assist us. This was a one off transaction that needed ongoing monitoring for which we had neither the expertise nor experience to manage so the ability to outsource that capability provided us with a perfect solution.” Finance Director

A View from the Bridge - July 2017

The primary driver of the recent rise in UK swap rates has been a more hawkish tilt from certain members of the Bank of England’s monetary policy committee. This has been predicated on more recent inflation outturns coming in above levels anticipated when the BOE last published its quarterly inflation forecasts in early May and that CPI will rise above the 3% level in the coming months before moderating as past effects of foreign exchange rate weakness work their way through the economy.

PegasusCapital - Thu 3rd Aug