RBS breaches swap counterparty triggers following Moody’s downgrade
Moody’s downgrade of Royal Bank Scotland’s short-term rating from P-1 to P-2 means that, in its role as a swap counterparty, it has breached ratings triggers on a clutch of ABS deals. It will now need to post collateral, find a guarantor or transfer swap arrangements to a replacement.
The downgrades, which were part of ratings cuts on 15 global banks, also hit RBSs long-term rating, which went from A3 to Baa1. Documentation for many ABS transactions, including RBSs Arran RMBS programme, sets the trigger at any rating below P-1.
RBS estimates it may need to post
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