US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
US banks are intensifying efforts to optimise their foreign exchange swaps and forwards portfolios affected by the new capital regime for counterparty credit risk, which kicks in for most dealers at the end of 2021 and threatens to increase end-user costs for these instruments.
From January 1 next year, US banks that have not adopted early must switch to a new measurement for counterparty credit risk capital requirements, known as the standardised approach to counterparty credit risk (SA-CCR)
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