US banks eye collateralisation to tackle SA-CCR costs

Dealers are asking asset managers to post margin on their FX swaps and forwards to offer more competitive prices

US banks and asset managers are increasingly in talks to collateralise their deliverable foreign exchange forward and swap positions, in a bid to reduce the trading costs stemming from new counterparty credit risk capital rules.

Deliverable FX swaps and forwards were carved out of the margining requirements for non-cleared derivatives that have been introduced in waves for other instruments over the past seven years. However, the introduction of the standardised approach to counterparty credit