RBS counterparty deal pulled but others step up

Issue: 1243 - 24 February 2012

Royal Bank of Scotland’s securitisation of counterparty credit risk, dubbed Score 2011, was pulled earlier this year, but other banks are said to be undeterred by the difficulties of the asset class, and are still looking at the market. However, other hedging options for counterparty risk may have dulled the economics of securitising this risk since the end of last year. ..