RBS too big in UK inflation swap market, says RBS market risk chief
Global head of market risk at RBS says he is "way outside" his risk appetite
The positions built up by Royal Bank of Scotland (RBS) in the UK inflation swap market are too large, according to Martyn Brush, chief risk officer for RBS Markets and global head of traded market risk for the bank. Brush said the size of the positions would be a problem if banks – including RBS – were downgraded and counterparties chose to exercise ratings-triggered termination clauses in their trades. The bank is said to have a 40% share of the liability-driven investment (LDI) inflation swap
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