We use an option-based valuation to examine mirror transactions of loan portfolio swaps between a parent bank and its structured derivative product company (DPC). The transactions are governed by capital regulation and deposit insurance. We model the risk premium compensation on the parent bank's loan portfolio swaps that reflect the magnitude of potential default risk of its structured DPC. We show that under strategic complements, the parent's optimal non-swap-performing and swap-performing loan rates are a decreasing function of the defaulting of the DPC's collateral and capital-to-deposits ratio, and an increasing function of the DPC's customer bank's loan rate and deposit insurance premium.