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.

  • 22 Jun 2012

The downgrades, which were part of ratings cuts on 15 global banks, also hit RBS’s long-term rating, which went from A3 to Baa1. Documentation for many ABS transactions, including RBS’s Arran RMBS programme, sets the trigger at any rating below P-1.

RBS estimates it may need to post ...

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1 Bank of America Merrill Lynch (BAML) 6,665 23 12.97
2 Citi 5,781 17 11.25
3 BNP Paribas 3,715 15 7.23
4 Barclays 2,853 9 5.55
5 Credit Suisse 2,783 8 5.42

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