SA-CCR could spur move to FX futures


The new bank capital rules for counterparty credit risk could lead to a shift away from foreign exchange swaps and forwards and into FX futures if pricing for the deliverable products comes under further pressure.

Since January 1, US banks have had to switch to a new measurement for counterparty credit risk capital requirements, known as the standardised approach to counterparty credit risk (SA-CCR). Impacts vary across the street, but market participants believe the new methodology will

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