Skip to main content
Low angle of a building in a curved glass wall
Case Study

Termination of an existing interest rate hedge


A recent example of how we successfully advised a European financial sponsor on terminating an existing debt hedge at exit.


  • A highly successful exit (more than 3x return) from a European financial sponsor to a strategic buyer.
  • The existing debt was fully repaid at company level by the new owner shortly after closing.
  • The existing debt, hedged with interest rate swaps, was provided by a pool of banks. All swaps were deep in-the-money (i.e. asset for the company).
  • Our client had the right to terminate the interest rate swaps by the banks.
  • The client received an un-competitive offer to terminate the swaps.

Our Approach

  • We provided independent pricings/valuations for the swaps.
  • We analysed termination/x-value adjustment (XVA) charges that were potentially applicable to the trades,
  • We negotiated termination costs in line with market practice.
  • We co-ordinated the termination process.


  • Transparency on XVAs. XVAs are too often passed on to clients, who are charged without much transparency.
  • Large savings for the client on the termination costs of the existing hedging instruments (more than 7x Chatham fee).
  • Fair and independent termination process for both parties (New owner and the seller).

Contact the author

Please complete the form below to find out more about optimal hedging strategies for private equity funds.

About the author

  • Benoit Duhil de Benaze

    Managing Director
    Hedging and Capital Markets

    Private Equity | London

    Benoit Duhil de Benaze is a member of Chatham’s European Private Equity team. He helps clients with their risk management, from FX deal-contingent hedges in multibillion, cross-border M&A to large interest rate financing/ refinancing situations.