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SA-CCR hits Citi’s FX forwards pricing

Four clients say US bank has quoted “less competitive” spreads as a result of new capital regime

Citi headquarters in Canary Wharf
Håkan Dahlström/Flickr

Citi’s foreign exchange forwards business has been among the hardest hit by new rules measuring counterparty credit risk, with clients of the US bank saying it has widened its bid/offer spreads on short-dated G10 trades because of the new rule.

Four buy-side clients that use Citi for FX forwards and swaps single out the US bank as having noticeably widened out spreads this year as a result of

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