Derivative Advisory

Wye River has significant experience structuring, implementing and monitoring transactions involving a variety of derivative products including interest rate swaps, caps, collars, and options.

As an independent advisory firm, we maintain an arm’s length relationship with all investment banks, commercial banks or other derivative counterparties that operate in this sector of the financial markets. We also do not act in a principal or broker-dealer capacity for any of our derivative advisory clients. This assures completely objective advice at all times.

Range of Services

The full range of derivative advisory services provided by our firm includes:

  • General Education
  • Evaluation of Interest Rate Hedging Alternatives
  • Structuring, Restructurings, and Amendments
  • Novations, Assignments, and Terminations
  • Competitive Solicitations and Single Party Negotiations
  • Completion of ISDA Protocols and Dodd-Frank Compliance Forms and Questionnaires
  • Transaction Documentation and Negotiation
  • Rate Verifications and Fairness Opinions
  • Mid-Market Spread Calculations and Negotiations
  • Swap Valuation (GASB 72) and Hedge Effectiveness Reports (GASB 53)
  • Interest Rate Swap and Derivative Policies
  • Ongoing Monitoring and Reporting

Our firm is an Independent Registered Municipal Advisor (IRMA), Designated Evaluation Agent (DEA) and Qualified Independent Representative (QIR) under the Dodd-Frank Act and applicable regulations of the Commodity Futures Trading Commission. We use a combination of Bloomberg and pasVal (a product of Principia Partners) for all of our swap valuation work.


Over the past decade, the professionals at Wye River have worked on billions of dollars of financings involving the use of derivatives. A number of those assignments have involved restructuring, covenant negotiations or other challenges with existing transactions.

In most of our debt restructuring assignments, we have successfully confronted the challenge of assisting a client in the refinancing of debt hedged by a swap. Because of the frequency of our involvement in such engagements, we have an excellent current knowledge of the market for bank novation and assumption fees and the related structuring issues. Our experience, technology and access to market resources helps to ensure the most competitive pricing possible for our clients’ transactions.


Our professionals have considerable experience analyzing, valuing, structuring, bidding and executing transactions involving all types of derivative products. Given the general lack of transparency in the derivatives market, and the complexity and risks associated with derivative-based transactions, we strive to guide our clients through a deliberate and thorough process designed to ensure that the client is making fully-informed decisions and that all risks and idiosyncrasies of the contemplated transaction are thoroughly understood and appreciated prior to execution.

Competitive Solicitations

We strongly prefer competitive bidding of derivatives rather than negotiating terms with a predetermined financial institution. This is especially the case for highly-rated clients. We conduct a thorough and open competitive bidding process in which all major business terms are established in advance and all appropriate potential counterparties are encouraged to compete.

In our competitive solicitations, awards are typically made within a matter of minutes of receiving bids and no subsequent negotiations of terms are allowed. In general, we find that most of the major financial institutions like this approach and appreciate the level playing field and fast turnaround time.

Single Party Negotiations

In certain situations, a competitive solicitation may not be appropriate. In those cases, we seek to negotiate in advance a reasonable spread to mid-market taking into account fair market pricing for each component of the borrower’s all-in rate (including execution and legal costs, credit reserves, and the counterparty’s gross profit). Mid-market pricing is verified on a live basis at the time of the trade or during any counterparty negotiations that may be conducted on behalf of our clients. We do not rely on end of day data or other non-live data streams for use in any of our derivative pricing engagements. Wye River also maintains a database of interest rate swap transactions containing spread to mid-market information of numerous swap counterparties and past transactions and we use that information to enhance the outcome of swap negotiations conducted on behalf of our clients.

In our single party negotiations, we work hard to ensure that all transaction structuring and documentation is done well in advance of receiving definitive pricing from our client’s counterparty. This helps to eliminate any last minute surprises while providing for the maximum number of rate verifications and independent valuations during the course of the negotiation.

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