The decline of Euribor, the European interbank lending rate, to a rate below zero poses risks to a handful of Australian structured finance deals, warns Moody's Investors Service in a short report published yesterday.Rates turned negative after European central banks eased monetary policy, hoping to increase lending activity between European banks and stimulate economic growth. The Moody's report lists several residential mortgage-backed and asset-backed securitisations sourced from Australian issuers that have euro-denominated notes. At most risk are those that lack "mitigants" to deal with the negative interest rate scenario.As Euribor rates move further into negative territory - beyond the buffer provided by the note margin - such deals will see greater net payments made to swap counterparties than were ever contemplated, Moody's predicted. "The payment outflows reduce excess cash flow and can result in insufficient proceeds to make required payments to other transaction counterparties and noteholders," said Moody's.Of the 13 RMBS and ABS deals with euro-denominated notes that Moody's rate: Four will likely need to start making net payments to the swap counterparty within three months (Apollo Series 2007-1E Trust, Crusader Euro Trust 2007 and two Crusader Global deals from 2006 and 2007, respectively.). Seven show sufficiently high margins on their euro-denominated notes and will not need to make net payments to the swap counterparty under current Euribor rates. Two contain structural features in place to mitigate or eliminate any payment outflow to the swap counterparty.In a typical euro currency swap, the swap counterparty will pay interest in euros, based on the index rate (Euribor in the case of euro notes) plus an agreed margin, at a specified exchange rate. In a negative interest rate environment, if the all-in interest rate (index plus margin) is negative, then net monies are owing to the swap counterparty and the parties managing the deal have to find additional cash flows to make the payments to the swap counterparty.Deals that need to make net payments to swap counterparties will, of course, have less excess spread and could even find they have insufficient proceeds remaining to make required payments to other transaction counterparties and noteholders.The higher the note margin, the larger the buffer it provides against negative Euribor rates.The three-month Euribor and one-month Euribor rates were at -0.198 per cent and -0.255 per cent, respectively at 19 February 2016.Outside of the four securitisations listed above, the majority of remaining deals have sufficiently high margins on their euro-denominated notes and will not need to make net payments to the swap counterparty under current Euribor rates, Moody's concluded.